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Grid systems

  • Post# 1
  • Quote
  • First Post: Nov 5, 2012 4:40am | Edited Apr 7, 2013 11:04am
Thread Status: "THIS THREAD IS UPDATED. "


Here is my GRID SYSTEMS with various versions.
------------------------------------ ------------------------------------ ----
NOTICE:
1. These EA are not combined with my unique money management system. So the purpose of buying 1 lots here is just for hypothesis test. Please find below link if you want to see more on my game systems test and understanding. Of course this system will be attached into any EA and is not provided to public.
http://www.forexfactory.com/showthread.php?t=384691

2. If you are trying to backtest the EA with long position order during downtrend, you would definitely get worst result. It only works during uptrend.

3. I am willing to help and give advice for trader who want to know more about the EA versions here. So that you could mod the EA to become your own. Any suggestion is welcome.
------------------------------------ ------------------------------------ ----


EA Version Status
Version V000/V001/V002: Separate Long and Short Position Order EA
1. These are the EA with long position order only. I separate long and short position trade with 2 EA but i am uploading the long version here.
2. Version modification V002 is not released to public currently.

Version V100: Combine Long and Short Position Order EA
ABOLISH -LOW QUALITY

Version V101: Combine Long and Short EA Scalping
Investigating and fine tuning is closed. It work on stable trend only. Check at post #48 to 50

Version V200: Combine Long and Short Position Order EA
It is going to release soon. It is a martingale method and would blow up your account if you doesn't have enough fund in trading account.

Version V202: 2x Risk and 3x Reward Grid EA
At post #71
------------------------------------ ------------------------------------ ----


EA Parameters Explain
For Version V000/V001/V002
3 trading period are allowed (Overall,1D and 1W)
Overall: This is for non-stop trading period. Parameter Period_ONOFF=false
1D: Daily GMT 0000-2350
1W: Monday GMT 0000 to Friday 2350
Please check inside the code for further instruction and explanation

Please put CFunctions V001.mqh into mt4 folder ....../experts/include/....

For version V101/V200
Please check inside the code for instruction and explanation
------------------------------------ ------------------------------------ ----


Backtest Optimization
Version V000/V001/V002 have been backtest during 2007.01.01 to 2008.06.30-Uptrend scenario. Here is the optimal result by using capital USD$5000. Version V000(G000),V001(G001) and V002(G002) as shown below screenshot.

Max parameters value to test
SD: 200, TD: 200, GD: 100, RD: 100

Attached Image (click to enlarge)
Click to Enlarge Name: Optimizing.jpg Size: 136 KB

V000
Attached Image (click to enlarge)
Click to Enlarge Name: G000.jpg Size: 43 KB

V001
Attached Image (click to enlarge)
Click to Enlarge Name: G001.jpg Size: 42 KB

V002
Attached Image (click to enlarge)
Click to Enlarge Name: G002.jpg Size: 42 KB



Version V101 has been backtest during 2004.01.01 to 2006.12.31. Please check in post #48 to 50 for further information.
Thanks.
Attached File
File Type: rar GRID EA.rar   8 KB | 418 downloads | Uploaded Jan 28, 2013 10:57am
**Keep Simple**
I choose another uptrend scenario during 2006.01.01 to 2008.06.30. And i apply the same parameters from post#1. The result is not bad.

I may further look into and code with volatility although both my backtest's duration are uptrend scenario. The purpose is to look for more potential growth of these profitable system with the comparison (All the version above).
Attached Image (click to enlarge)
Click to Enlarge Name: NEW GL 1.jpg Size: 171 KB
**Keep Simple**
Quoting ~bull.bear~
I choose another uptrend scenario during 2006.01.01 to 2008.06.30. And i apply the same parameters from post#1. The result is not bad.

I may further look into and code with volatility although both my backtest's duration are uptrend scenario. The purpose is to look for more potential growth of these profitable system with the comparison (All the version above).
Nice detailed thread start.

I tried to test it out but after the initial orders with G100 it does not open anything new. The G000 was only opening at new lows. I bumped up the SD TD and GD params and that helps get G000 rolling but not G100.

Are you using a 4 digit or 5 digit broker.
Quoting Paradox
Nice detailed thread start.

Are you using a 4 digit or 5 digit broker.
Thanks!

I am using 4 digits broker. Maybe you could try amend the code or send me the functions. I simply add into it.
**Keep Simple**
Quoting ~bull.bear~
Thanks!

I am using 4 digits broker. Maybe you could try amend the code or send me the functions. I simply add into it.
well the numbers are just using points so I can manually just add a 0 for now.

But either way the G100 does not keep making orders and I don't even know what it is suppose to do so can't really say what it wrong.
Quoting Paradox
well the numbers are just using points so I can manually just add a 0 for now.

But either way the G100 does not keep making orders and I don't even know what it is suppose to do so can't really say what it wrong.
Yup. All the EA are using "points".

What is the parameters you used for G100? Usually if no potential up moves, it won't trigger any long orders, anywhere this has to depend on parameters.
**Keep Simple**
Quoting ~bull.bear~
Yup. All the EA are using "points".

What is the parameters you used for G100? Usually if no potential up moves, it won't trigger any long orders, anywhere this has to depend on parameters.
I have run it with all of these settings on EURUSD 15 min and 4H starting Jan 1st 2012 and always the same thing. There are some starting orders and then nothing.


extern bool Period_ONOFF = true;
extern string Trade_Period = "1D";
extern int Time_Diff = 2;
extern double Lots = 0.01;
extern int SD = 100;
extern int TD = 100;
extern int GD = 100;


extern bool Period_ONOFF = false;
extern string Trade_Period = "4H";
extern int Time_Diff = 2;
extern double Lots = 0.01;
extern int SD = 100;
extern int TD = 100;
extern int GD = 100;


extern bool Period_ONOFF = true;
extern string Trade_Period = "4H";
extern int Time_Diff = 2;
extern double Lots = 0.01;
extern int SD = 100;
extern int TD = 100;
extern int GD = 100;
Quoting Paradox
I have run it with all of these settings on EURUSD 15 min and 4H starting Jan 1st 2012 and always the same thing. There are some starting orders and then nothing.
The EA is fine. The reason is parameters is configured too large for the value and trade period is 4H. This is why it delete the pending orders because no orders are triggered. You may try lower down the parameters value and do at longer trading period like "1D".
**Keep Simple**
Paradox:

How is the test?

I have done some test for 4 and 5 digits brokers. The result is slightly different. Would like to hear from you about the same? By the way, what is your broker?
**Keep Simple**
Quoting ~bull.bear~
Paradox:

How is the test?

I have done some test for 4 and 5 digits brokers. The result is slightly different. Would like to hear from you about the same? By the way, what is your broker?
As I said in my post I did try all the combinations. Including 1D. I have never gotten it to open orders after the Init call. Just lost interest and went back to my coding.

If you can give me some exact settings/timeframe/date range/symbol that you can get to work I will give it another try.

I have accounts on IBFX,Oanda and Alpari.

The alpari is only demo but I like it the best for testing because it is easiest to get history working properly.
Quoting Paradox
If you can give me some exact settings/timeframe/date range/symbol that you can get to work I will give it another try.
Maybe you could try this.

extern bool Period_ONOFF = false;
extern string Trade_Period = "1D";
extern int Time_Diff = 2;
extern double Lots = 0.01;
extern int SD = 20;
extern int TD = 20;
extern int GD = 20;

By the way, have you tried the rest of the versions?
**Keep Simple**
Quoting ~bull.bear~
Maybe you could try this.

extern bool Period_ONOFF = false;
extern string Trade_Period = "1D";
extern int Time_Diff = 2;
extern double Lots = 0.01;
extern int SD = 20;
extern int TD = 20;
extern int GD = 20;

By the way, have you tried the rest of the versions?
I tried one of them (G000) but it would only buy on new lows. I am not very interested in biased strats so didn't work on it much.

I just got some better results using these settings.


extern bool Period_ONOFF = false;
extern string Trade_Period = "1D";
extern int Time_Diff = 2;
extern double Lots = 0.01;
extern int SD = 200;
extern int TD = 200;
extern int GD = 200;

But looking at the code when ONOFF = false the trade period is completely ignored.

It also quits after a couple days when it gets an order send error. (Screen shot included)

I never understood these grid strategies that close a trade and then make new one. Seems that you could get by with a lot less of an edge if you reduce the transaction costs.

EDIT: that error 130 is "invalid stops". Have you tried forward testing this on demo. What broker are you using.
Attached Image (click to enlarge)
Click to Enlarge Name: gridtest.jpg Size: 247 KB
Quoting Paradox

EDIT: that error 130 is "invalid stops". Have you tried forward testing this on demo. What broker are you using.
Probably you set too tight for all the parameters. I do get these errors while trying small value. Another factor is your account is blow up, but EA still continue function.

I have tried on demo trade for Instraforex & GFT broker. So far no problem at all. So does the backtest.

These grid systems are unique and best to capture market ranging and trending scenario for either uptrend and downtrend. And i am very hard to explain those strategy flow and functions. Guess picture might tell you in good way. Or you may refer to the code briefing inside EA.
**Keep Simple**
Quoting ~bull.bear~
Probably you set too tight for all the parameters. I do get these errors while trying small value. Another factor is your account is blow up, but EA still continue function.

I have tried on demo trade for Instraforex & GFT broker. So far no problem at all. So does the backtest.

These grid systems are unique and best to capture market ranging and trending scenario for either uptrend and downtrend. And i am very hard to explain those strategy flow and functions. Guess picture might tell you in good way. Or you may refer to the code briefing...
Ok I changed it to run from ticks and that helps but it still does fail at some point and I am sure it will in live. It also did not make money but then I wasn't really expecting a simple grid to do that. At some point soon I am going to add grid trading to my box breakout code and try to share some of it.
hi,

with average live balance need to trade safety with grid ?

thanks ?
chat with me by skype: nddtradefx
i will check these out

i just recently built my own grid system. start with 20k and it will average 3k a month profit. at least it would had over the last 10 years, not compounding at all, just letting the risk go down as the account builds.

going to go live with it after some more forward testing
Show Us How YOU Trade --- Trading Systems Forum --- check it out
Nikkei 225
Quoting Paradox
Ok I changed it to run from ticks and that helps but it still does fail at some point and I am sure it will in live. It also did not make money but then I wasn't really expecting a simple grid to do that. At some point soon I am going to add grid trading to my box breakout code and try to share some of it.
I am not sure how you bactest the EA. Maybe i have a tried for your broker "Alpari" and see how is it.

OK. Wait to see your box breakout with grid trading.
**Keep Simple**
Quoting zefx
with average live balance need to trade safety with grid ?
I don't get you. Do you mean how much capital is required to trade grid system safety?
This subject to how much lots size you are wiling to trade and how much dollar per 1 pips.
**Keep Simple**
Quoting Rag2RichesFX
i will check these out

i just recently built my own grid system. start with 20k and it will average 3k a month profit. at least it would had over the last 10 years, not compounding at all, just letting the risk go down as the account builds.

going to go live with it after some more forward testing
OK. If you have any good suggestion, please share with us.

Thanks.
**Keep Simple**
Quoting ~bull.bear~
OK. If you have any good suggestion, please share with us.

Thanks.
one thing i need to do is test each year dating back to 2000 individually with the starting account balance. if they all hold up, then odds are the leverage is tuned properly.

also i want to test a few compounded versions to see if they hold up over time, they should be able to if a) they are tuned properly and b) the year by year 20000 starting balance holds up (no draw down), for each individual year
Show Us How YOU Trade --- Trading Systems Forum --- check it out
Nikkei 225
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