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Basket Robots

  • #381
  • Apr 21, 2016 6:29am Apr 21, 2016 6:29am
Quoting abokwaik
{quote} Hi Reamasesa, I like your enthusiasm about basket robots. So I decided to give it another shot. I will have to review the work already done, so allow me a week or so to refresh my info. Meanwhile, you and other members who tried the system can post about your experience and required improvements. All the best, Khalil
OMGOMGOMGOMGOGMGOMG!!!!!
YeS!

Thank you very much, I will compile my older notes and new ideas for the basket robot.
This is going to be great!


Thank you very much for your generosity.
  • #382
  • Apr 24, 2016 3:52am Apr 24, 2016 3:52am
A Refreshment :

This is a Yen Basket Offline Chart (H1) created by the latest "Create_Basket_Script_03" from Post # 160.

Attached Image (click to enlarge)
Click to Enlarge Name: #YENALL#H1.png Size: 101 KB


Basket pairs were set as follows :

Attached Image (click to enlarge)
Click to Enlarge Name: yen_pairs.PNG Size: 3 KB


And this is a trade taken using S/R and price action on the offline chart

Attached Image (click to enlarge)
Click to Enlarge Name: trade1.PNG Size: 109 KB
No guts, no glory
  • #383
  • Apr 24, 2016 4:27am Apr 24, 2016 4:27am
Quoting abokwaik
A Refreshment : This is a Yen Basket Offline Chart (H1) created by the latest "Create_Basket_Script_03" from Post # 160. {image} Basket pairs were set as follows : {image} And this is a trade taken using S/R and price action on the offline chart {image}
Hi,

I'm using +1/-1 as directional, still not entirely sure how to calculate it.
Also, on the pairs charts, it looks as if all went up? And you were on sell? How is it the basket is in profit? I'm probably missing something here, right?
  • #384
  • Apr 24, 2016 4:35am Apr 24, 2016 4:35am
Hi,

I was thinking, before I make any other suggestions based on the current EA, maybe we can change it to a "true" basket EA?
I'll explain.

Instead of having 4 pending orders (2 of each kind) for both buy and sell, totaling in 3 different basket trades, we can have only three types of orders, market, stop and limit for each basket, so we can place as many pending/market basket orders, that will all go into the cumulative basket and instead of having SL/TP for each basket order, like we have today, the entire basket will have its own TP/SL (and maybe even BE, BE+LOCK, and J/TS).

I'm not sure I explained it properly, I can try to elaborate more, if it's needed.
This is different from the way the current EA is working, not sure how much effort is needed to make the change to the "Basket" version I've suggested.
This will also keep the ability to place pending orders which is a must, in my opinion.

Let me know what you think, please, so I'll know if I should compile my notes on the current EA`s bugs and improvements or focus on the new version.



Again, I thank you for the time and effort for putting this EA (and script) together and for your willingness to continue its development.
  • #385
  • Apr 24, 2016 4:43am Apr 24, 2016 4:43am
Quoting Reamasesa
{quote} Hi, I'm using +1/-1 as directional, still not entirely sure how to calculate it. Also, on the pairs charts, it looks as if all went up? And you were on sell? How is it the basket is in profit? I'm probably missing something here, right?
The offline chart that triggered the trade is for Yen.
So we want to sell Yen against the other currencies.

Forex is traded by pairs not currencies.
Each pair is composed of a Base Currency and a Quote Currency.
The Base currency is the first part of the pair notation while the Quote currency is the second part.
For example in the USDJPY pair, the base currency is USD, and the Quote currency is JPY.
While in EURUSD pair, the base currency is EUR and the Quote currency is USD.

When you buy a currency pair, you are buying the Base Currency of the pair, and Selling the Quote currency of the pair.

Yen is presented as a Quote currency in all JPY pair notations.

So to SELL the Yen, we need to BUY the XXXJPY pairs.
No guts, no glory
  • #386
  • Apr 24, 2016 4:49am Apr 24, 2016 4:49am
Quoting abokwaik
{quote} The offline chart that triggered the trade is for Yen. So we want to sell Yen against the other currencies. Forex is traded by pairs not currencies. Each pair is composed of a Base Currency and a Quote Currency. The Base currency is the first part of the pair notation while the Quote currency is the second part. For example in the USDJPY pair, the base currency is USD, and the Quote currency is JPY. While in EURUSD pair, the base currency is EUR and the Quote currency is USD. When you buy a currency pair, you are buying the Base Currency...
Thank you for explaining, I some times struggle with concepts even though I understand the technicalities of actual trading.

So, the directional weight thingie can be used to represent either base or quote, right? I'll have to go back to the post you were explaining how to calculate the directional weight. Maybe this will improve my basket charts.


Thanks.
  • #387
  • Edited 5:39am Apr 24, 2016 5:07am | Edited 5:39am
Quoting Reamasesa
{quote} Thank you for explaining, I some times struggle with concepts even though I understand the technicalities of actual trading. So, the directional weight thingie can be used to represent either base or quote, right? I'll have to go back to the post you were explaining how to calculate the directional weight. Maybe this will improve my basket charts. Thanks.
It is easy to determine the directional weight for Single Currency Baskets (like EUR, GBP, JPY, CAD ... etc).
So for Currency Baskets,
We need first to determine the SIGN (+ or - ) for the directional weight (DW).
DW will be Positive if the currency is the Base currency in the pair symbol, and Negative if it is the Quote Currency.
suppose I want to create a basket for AUD, composed of AUDUSD, GBPAUD, EURAUD, AUDJPY. Then the sign if the DW will be +,-,-,+ respectively.
Then we need to determine the VALUE for each DW.
The easiest way to do that is to take one symbol as a reference with DW Value of 1.
And calculate the other DW values for other symbols by dividing the symbol rate by the reference rate.
Using rounded values for pair rates AUDUSD = 0.77, GBPAUD = 1.87, EUAUD=1.45, AUDJPY= 86.0
the Directional Weights for the AUD Basket (AUDUSD, GBPAUD, EURAUD, AUDJPY) will be +1,-2.4, -1.9,+110 respectively.

EDIT : For Positive Directional Weight we Divide the Reference Symbol rate by the other Symbol Rate, and for Negative Directional Weight we divide the other symbol rate by the Reference symbol rate.

So the Corrected Directional Weights for AUD basket above will be +1,-2.4,-1.9,+0.01

Things get more complicated for Mixed Baskets,
for example a Commodity Currencies Basket composed of AUDUSD,USDCAD,NZDUSD,EURAUD,EURCAD,EURNZD,GBPAUD,GBPCAD,GBPNZD.
No guts, no glory
  • #388
  • Apr 24, 2016 5:34am Apr 24, 2016 5:34am
Quoting abokwaik
{quote} It is easy to determine the directional weight for Single Currency Baskets (like EUR, GBP, JPY, CAD ... etc). So for Currency Baskets, We need first to determine the SIGN (+ or - ) for the directional weight (DW). DW will be Positive if the currency is the Base currency in the pair symbol, and Negative if it is the Quote Currency. suppose I want to create a basket for AUD, composed of AUDUSD, GBPAUD, EURAUD, AUDJPY. Then the sign if the DW will be +,-,-,+ respectively. Then we need to determine the VALUE for each DW. The easiest way to do...
Thanks.
The rate is the actual price at the time of calculation? OR based on something else? 0.77/86.... did I get it right? If so, it's not +110, but 86/0.77 is 111...? I'm missing something here?

I like the C5 basket, I use +1 for DW on all of it but would love to be able to fine tune it more.
  • #389
  • Apr 24, 2016 5:39am Apr 24, 2016 5:39am
Quoting Reamasesa
{quote} Thanks. The rate is the actual price at the time of calculation? OR based on something else? 0.77/86.... did I get it right? If so, it's not +110, but 86/0.77 is 111...? I'm missing something here? I like the C5 basket, I use +1 for DW on all of it but would love to be able to fine tune it more.
Yes it is the actual price at the time of calculation BUT Rounded. It doesn't have to be exact.
I Edited my previous post because I calculated the DW incorrectly for AUDJPY. It should be 0.01 not 110 (again rounded), the actual DW is +0.00895 so I rounded it to 0.01.
No guts, no glory
  • #390
  • Apr 24, 2016 8:39am Apr 24, 2016 8:39am
Quoting Reamasesa
{quote} Hi, I'm using +1/-1 as directional, still not entirely sure how to calculate it. Also, on the pairs charts, it looks as if all went up? And you were on sell? How is it the basket is in profit? I'm probably missing something here, right?
If you use "+1000" instead of "-1000" the chart is upside down compared to the individual charts....
  • #391
  • Apr 24, 2016 8:43am Apr 24, 2016 8:43am
Quoting abokwaik
{quote} What about Experts tab ?Also Make sure the lot size used is allowed on broker.
I had the same issue............I refreshed the individual charts to make sure the history was OK (see a previous post about this) and the problem went away!
  • #392
  • Apr 24, 2016 6:48pm Apr 24, 2016 6:48pm
Quoting abokwaik
{quote} It is easy to determine the directional weight for Single Currency Baskets (like EUR, GBP, JPY, CAD ... etc). So for Currency Baskets, We need first to determine the SIGN (+ or - ) for the directional weight (DW). DW will be Positive if the currency is the Base currency in the pair symbol, and Negative if it is the Quote Currency. suppose I want to create a basket for AUD, composed of AUDUSD, GBPAUD, EURAUD, AUDJPY. Then the sign if the DW will be +,-,-,+ respectively. Then we need to determine the VALUE for each DW. The easiest way to do...


Thanks for your work abokwaik. I appreciate your work. However - the Directional weight seems very complicated. Is it explained somewhere in detail? And what do I need to divide with what? This is all a bit confusing to me tbh.
  • #393
  • Edited 3:42am Apr 25, 2016 3:26am | Edited 3:42am
Quoting AcerPhoon
{quote} Thanks for your work abokwaik. I appreciate your work. However - the Directional weight seems very complicated. Is it explained somewhere in detail? And what do I need to divide with what? This is all a bit confusing to me tbh.
I think I invented that

OK, lets discuss the basics ...

Directional Weights (DW) is in 2 parts, Direction and Weight.

Lets start with the Direction, so we leave Weight as 1, and focus on only on the direction

Suppose that we are creating a USD basket composed of EURUSD, GBPUSD, USDCAD, USDCHF

This is the USD Basket created with direction + for all four pairs (+,+,+,+), so we simply disregarded the USD direction in the pair notation:

Attached Image (click to enlarge)
Click to Enlarge Name: #USDND#H1.png Size: 61 KB


And this is the USD Basket created with direction applied with regard to USD position in each symbol (+ if it is the base currency, and - if it is the quote currency) , (-,-,+,+):

Attached Image (click to enlarge)
Click to Enlarge Name: #USDWD#H1.png Size: 50 KB


Now, which one better represents the USD ?

Lets take a look at the US Dollar Index (taken from FXStreet)

Attached Image (click to enlarge)
Click to Enlarge Name: US Dollar Index - FXStreet.PNG Size: 84 KB


So, what do you think ?

Direction is important to correctly represent the basket we are trading.

PS: I used only 4 pairs for to create USD basket. This is why the USD basket is not exactly as the US Dollar Index which uses more pairs.
No guts, no glory
  • #394
  • Apr 25, 2016 3:47am Apr 25, 2016 3:47am
Hi,

Thanks for the explanation, waiting for the weight now
Also, did you consider my suggestion regarding the way the basket robot should operate?
I'm attaching a screenshot, earlier in this thread you've mentioned something about it caused because of lacking data. I've downloaded all the history my broker has for each pair in the basket, and still get this issue with the large candle that flattens everything else (I haven't seen it in other basket creators but they are different than yours, of course).


Thanks.
Attached Image (click to enlarge)
Click to Enlarge Name: #JPY7#H4.png Size: 10 KB
  • #395
  • Apr 25, 2016 4:08am Apr 25, 2016 4:08am
Quoting Reamasesa
Hi, Thanks for the explanation, waiting for the weight now Also, did you consider my suggestion regarding the way the basket robot should operate? I'm attaching a screenshot, earlier in this thread you've mentioned something about it caused because of lacking data. I've downloaded all the history my broker has for each pair in the basket, and still get this issue with the large candle that flattens everything else (I haven't seen it in other basket creators but they are different than yours, of course). Thanks. {image}
When you get such a weird chart it means that your M1 (one minute) data is not loaded for the displayed period.

To fix this, you will need to open the M1 chart for each of the pairs that make the basket, and scroll up (using Page Up) until you reach a date which is at least 1 day before the minimum date on the left side of your chart (in your case 28th March 2016)
No guts, no glory
  • #396
  • Apr 25, 2016 5:06am Apr 25, 2016 5:06am
Quoting abokwaik
{quote} When you get such a weird chart it means that your M1 (one minute) data is not loaded for the displayed period. To fix this, you will need to open the M1 chart for each of the pairs that make the basket, and scroll up (using Page Up) until you reach a date which is at least 1 day before the minimum date on the left side of your chart (in your case 28th March 2016)
Thanks, already did that and it did work, gave it another try and it fixed it. Stupid MT4.
  • #397
  • Apr 25, 2016 6:17am Apr 25, 2016 6:17am
Quoting abokwaik
{quote} I think I invented that OK, lets discuss the basics ... Directional Weights (DW) is in 2 parts, Direction and Weight. Lets start with the Direction, so we leave Weight as 1, and focus on only on the direction Suppose that we are creating a USD basket composed of EURUSD, GBPUSD, USDCAD, USDCHF This is the USD Basket created with direction + for all four pairs (+,+,+,+), so we simply disregarded the USD direction in the pair notation: {image} And this is the USD Basket created with direction applied with regard to USD position in...


Of course abokwaik. That part is pretty easy to understand and seems crystal clear to me. But what I don't get is the values themselves. For example if the direction is +, you put for example +1.9, +2.4 etc. Or if you attach it to YEN pairs it has very high numbers like -1200, -1100 and so on. What I don't understand: how do you get those numbers? I can't wrap my head around how I would calculate it...
  • #398
  • Apr 25, 2016 8:17am Apr 25, 2016 8:17am
Quoting AcerPhoon
{quote} Of course abokwaik. That part is pretty easy to understand and seems crystal clear to me. But what I don't get is the values themselves. For example if the direction is +, you put for example +1.9, +2.4 etc. Or if you attach it to YEN pairs it has very high numbers like -1200, -1100 and so on. What I don't understand: how do you get those numbers? I can't wrap my head around how I would calculate it...
OK, second part of Directional Weights is the Weight (or value).

The Weight is used for 2 reasons:
1. To preserve the DETAILS when inverse (-) direction is used.

It is better to show a chart example to understand this point better.

The best example is the Yen basket.

This is a yen basket using value of -1 for Weights (Poor Details)

Attached Image


and This is the same yen basket using value if -1000 for Weights (Better Details)

Attached Image


2. To Balance the Volatility of the different pairs in the basket.

For example if you have GBPAUD and AUDUSD in the same basket, GBPAUD strength/weakness will affect the basket price much more that AUDUSD strength/weakness because ADR for GBPAUD is around 200 pips, while its less than 100 for AUDUSD, so when AUDUSD moves 1 pip, GBPAUD will probably move double that.

So to balance the effect of the two pairs on the basket, we either multiply the value for AUDUSD by 2, or divide GBPAUD by 2.

I hope its all clear now
No guts, no glory
  • #399
  • Apr 25, 2016 8:27am Apr 25, 2016 8:27am
Quoting abokwaik
{quote} OK, second part of Directional Weights is the Weight (or value). The Weight is used for 2 reasons: 1. To preserve the DETAILS when inverse (-) direction is used. It is better to show a chart example to understand this point better. The best example is the Yen basket. This is a yen basket using value of -1 for Weights (Poor Details) {image} and This is the same yen basket using value if -1000 for Weights (Better Details) {image} 2. To Balance the Volatility of the different pairs in the basket. For example if you have GBPAUD and AUDUSD in...

Thanks for the explanation. So why not use 1000 all the time of it gives better granulation? And how do I know what is the multiplication? Just by ADR?
  • #400
  • Apr 25, 2016 9:27am Apr 25, 2016 9:27am
Quoting Reamasesa
{quote} So why not use 1000 all the time of it gives better granulation?
Not necessary. It will only make a difference when using (-) direction on a comparably high rates (like xxxjpy, or Gold rates) as the system calculate the rates by dividing 1 by the pair rate.

So for USDJPY H1, suppose the Open=111.100, High=111.255 , Low=111.000, Close 111.170.

When we calculate rates for JPYUSD using (-1) they will become Open=0.0090, High=0.0090, Low=0.0089, CLose=0.0089 because Offline Chart allows only for 4 digits.
While if we calculate rates for JPYUSD using (-1000) they will become Open=9.0009, High=9.0090,Low=8.9883,CLose=8.9952

Using 10,000 instead of 1000 will be better.

For EUR/USD , in a USD basket, using -1 is OK, using -10 is better. More than -10 is not needed

Quoting Reamasesa
{quote} And how do I know what is the multiplication? Just by ADR?
Yes, ADR or Daily ATR(50 or 100) is better than dividing the rates against a reference rate as I explained before, because that rate could be high for a pair but that pair doesn't move much.
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