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Max Draw Down EA from Matrix Grid Thread

  • Post #1
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  • First Post: Edited Mar 13, 2015 2:37am Mar 12, 2015 7:03am | Edited Mar 13, 2015 2:37am
This thread is just a thread that I am starting to avoid hijacking the Matrix Grid thread however I expect this to be a rather inactive thread. This will be used for explanations and questions of the MaxDd ea. The original version simply took a measurement of the dd and then closed out all orders as it reach the max. This update adds a few features.

First, I noticed that I was having trouble keeping track of which eas needed to have their lot sizes changed based on profit or loss so now there is a way to set lower and upper limits of balance. If it reaches the limit then you get an alert and/or notification.

Secondly, I noticed a much bigger problem especially on higher risk setups. What happened was the ea would close out all trades at a certain level but the matrix eas didn't know to change the lot size and so it just continued with the same lot size. As an example, let's say the max dd was 40% and the balance was 5,000. Now if the max dd was reached then in a perfect world (no slippage) we would have only 3,000 left. If your settings called for 0.01 lot for each 500 then you had your lot size at 0.10 however after the loss it should be at 0.06. The lot size is now 80% larger than it should be. Before, I would notice this and then I would change it but the move happened overnight and in the morning I didn't have time for it and then I saw that most draw-downs got hit twice. Maybe it would have happened anyways but just to be on the safe side, I have now added an option to have the platform close itself after the trades are closed. It will send an alert/notification with the account number if you have enabled it and then close itself. This can be disabled but I encourage you to use it. For the record, I wanted to just disable eas like you can do manually by clicking the button at the top but I didn't see any way to do this so the next option was just to close the platform which does the same thing. If anyone knows how to do this then let me know how and I will make the change.

Once again I will not be publicly releasing the mq4 as it also requires an include and I think it will just confuse people but anyone needing the source code can pm me and I will gladly send it to them. There are no dlls so you don't have to worry about me playing any funny games.
Attached File
File Type: ex4 Max DD.ex4   10 KB | 696 downloads
Well you might think (or hope) it will be an inactive thread but you have my attention!

I should also apologise for asking so many questions but it is clear you understand exactly what is needed here. The lot size is a significant issue because, as you point out, if the Max DD is triggered then your account will have suffered a 25% (or XX%) loss. If the lot size cannot be automatically adjusted then it is proportionately more likely that the Max DD will be hit again (and again...). If "lot size" was change to "risk %" instead it would auto-adjust but that would require an update to the MGT EA and I have no idea how you would go about implementing it so that subsequent trades would match the initial lot size in each case.

Personally I wouldn't trade MGT unattended for too long (or around high impact news without hedging) but no-one can monitor the markets 24/5. Therefore I believe it is essential that you add a safety net for the times you are away from your screens and are in live trades you have no other reason to close out, hence why I think this thread is important and why I like your EA.
The reason why I want it to be inactive is I am busy first of all and second of all I want this to be a thread just for help running the ea and possibly suggestions for improvement. Any discussion about mgt including max dd I think should be in that thread since that is not my ea. Really this ea is pretty universal as well. It would work in any situation where you wanted a max dd. In those cases you also would need to change lot sizes so really it doesn't matter. Since it is universal, this thread could attract other people as well but once they know how it works they shouldn't have much to say. Maybe I am missing something.
you don't honestly believe that this thing would work on the long run, right ?.
this EA is pure gambling with high risk.
i lose money for a living
  • Post #5
  • Quote
  • Edited at 2:57am Mar 13, 2015 2:34am | Edited at 2:57am
There is an update. Thanks to http://www.forexfactory.com/cja, I have a way to disable all eas without closing the platform. The catch is that you must now allow dlls so you will get an alert if you enable the shutdown feature but don't enable dlls. This is to warn you that the platform will be shutdown instead of simply disabling all eas upon reaching maxdd. The file in the first post will be updated. Basically you don't have to enable dlls, but if you don't you wont get the new feature.
When you say that it will disable all EA's, do you mean that it will turn off AutoTrading and leave all live orders intact to run their course, or will it also close all live orders?
Quoting Deltraderboy
When you say that it will disable all EA's, do you mean that it will turn off AutoTrading and leave all live orders intact to run their course, or will it also close all live orders?
Ok so lets be clear. As I stated in the first post, there is an inherit issue when you close all orders with any ea or even manually. When the orders are closed, you have taken a loss. After the loss, according to standard money management the lot size "should" go down because now you have less money. However, when the ea closes all the orders, mgt will just open new orders as if nothing happened but at the same (now wrong) lot size. This could cause it to reach the max dd again and even faster since the lot size is too high. To defeat this issue, I decided to allow the option to disable all eas "after" the orders are closed so mgt doesn't open new orders at the wrong lot size. However, I couldn't find a way to do this so I decided to close mt4 after the orders closed. Then cja gave me the code to do it so now if you want you can have it disable eas after the orders are closed but it requires you to enable dlls. I think this is much better because after you reopen the platform mgt could still open orders at the wrong lot size but with eas disabled, it gives you time to make the necessary changes and then re-enable eas.
  • Post #8
  • Quote
  • Edited at 3:45am Mar 15, 2015 3:08am | Edited at 3:45am
Quoting Deltraderboy
{quote} I am with you on this. However, I think there is still room for live testing different lot sizes, TP settings, and from my recent experience MultiLotFactor settings (especially with TrendChange). I would also prefer to see MaxDD applied to each pair separately but appreciate this may not be possible unless incorporated into MGT CE.
This is possible without modifying mgt. Actually it's not that much more difficult. Instead of calculating everything together, it will calculate per pair. I am not sure this really matters though. There are a few reasons. First, usually there is one of a few scenarios. Either you have just one pair that is the problem or a few. If it's just one then the ones that aren't causing a problem get closed for a loss but they weren't losing that much to begin with. What can happen though is that the other pairs will continue to trade and then they might be trading with too much risk after the loss so anyways you would have wanted to halt trading. If it's a few pairs then you needed to close them all out. Since I really don't see too much of a benefit, I don't know when I will have time to implement it.

I also have another idea that I want to work on first. Basically I have too many demos running and it's slowing down my server. What I want to do is run one demo per set with a max dd indicator (or possibly just have the maxdd ea log it) and the max dd for each set will be 50% because I see 50% as the red line for most people and at least for myself. When looking back at the indicator or log data I will be able to establish what really was the maxdd we would have needed. This way I can eliminate the need for so many demos. There are issues with this way since we won't see exactly what the account would have made but I just cannot continue this way too much longer. The reason for this and not trusting mt4 is because I believe mt4 doesn't calculate unrealized loss as drawdown. If you had 49.9% dd and then it recovered then for mt4 this is not dd. What will happen and it will be perceived as dd is trades will hit the tp in a loss and so for the few milliseconds that pass between each trade closing it will be considered dd and then you will think you had 10% dd or whatever. If the profitable trades closed first then there will be no dd but what we call dd is not even be calculated. They base the dd% on the max balance. Another benefit here will be that we will be able to see what settings of increased risk would have worked. If some settings had 10% dd then you could triple the risk if you were willing to accept 30% dd as an example.
Quoting fxtrader1081
This thread is just a thread that I am starting to avoid hijacking the Matrix Grid thread however I expect this to be a rather inactive thread. This will be used for explanations and questions of the MaxDd ea. The original version simply took a measurement of the dd and then closed out all orders as it reach the max. This update adds a few features. First, I noticed that I was having trouble keeping track of which eas needed to have their lot sizes changed based on profit or loss so now there is a way to set lower and upper limits of balance. If...
Fxtrader, i have read your post and I can tell you that most of the features you have described have already been coded in blessingSRmargin. I have been playing with attaching the account balance to lot size. For instance, you have 2k and you define it as .02 lot size. Account increases to 3k, ea starts doing .03 lot, account drops to 900$, ea starts doing .01 lots. Also you can define maxDD shutdown, max margin shutdown, max account balance shutdown etc. Concerning DD shutdown, I avoid it for all cost and I will sacrifice some profitability for lower DD in the long run, unless you like taking those huge hits. Now if you run really hot setting, you may be able to be profitable, take that loss and still have $ in your pocket...recover fast, then rinse repeat. But what if you suffer two or three such hits in a row? Calls for some testing, but its a rather risky strategy. I believe that efforts should be put towards fixing the core of the problem - DD with some sort of hedge.

Best, Josh
Quoting JoshuaHope
{quote} Fxtrader, i have read your post and I can tell you that most of the features you have described have already been coded in blessingSRmargin. I have been playing with attaching the account balance to lot size. For instance, you have 2k and you define it as .02 lot size. Account increases to 3k, ea starts doing .03 lot, account drops to 900$, ea starts doing .01 lots. Also you can define maxDD shutdown, max margin shutdown, max account balance shutdown etc. Concerning DD shutdown, I avoid it for all cost and I will sacrifice some profitability...
U got that indicator or EA?
  • Post #11
  • Quote
  • Edited at 7:09am Mar 15, 2015 6:48am | Edited at 7:09am
Quoting JoshuaHope
{quote} Fxtrader, i have read your post and I can tell you that most of the features you have described have already been coded in blessingSRmargin. I have been playing with attaching the account balance to lot size. For instance, you have 2k and you define it as .02 lot size. Account increases to 3k, ea starts doing .03 lot, account drops to 900$, ea starts doing .01 lots. Also you can define maxDD shutdown, max margin shutdown, max account balance shutdown etc. Concerning DD shutdown, I avoid it for all cost and I will sacrifice some profitability...
I have played around with the Blessing ea a bit and to be honest it's a bit overwhelming. I am not trying to present this in competition to the Blessing ea. This just started as a way for people to trade this ea if they want to with some way of limiting risk and of dealing with the other problems such as lot size changing etc. Also the thread/ea owner is not very active so rather than wait for some changes I just made an ea that could do some of what I wanted. If we decide that we should just be using the blessing ea then what are we even here for? One thing that GT likes to tout is that the trend is not based on indicators which Blessing can't say but I still see enough whipsawing to say that I don't know if it matters.

Another thing that needs to be said I think is that risk and dd and profits are all relative. I am running a set that seems to be profitable on 0.01 lots per 1k with a max dd of 30%. Now, if you like the set for example and you want less dd then you can just do 0.01 lots per 2k with a max dd of 15% or 0.01 lots per 3k with a max dd of 10%. All will be profitable in theory as long as the first one is profitable. I like the idea of max dd though because as you said, every set at some point will meet it's death trade. So if we already know that the ea makes a certain amount of money on average and we see how it recovers then this is better because we never get to see that death trade. Yes 30% is a lot but anyways 3 hits in a row is not 90%. You had 10k and got hit so now you have 7k. You had 7k and got hit so now you have 4.9k. You had 4.9k so now you have 3.43k. That is still a 66% loss but it's not 90% and this is why we are testing and this can be improved with reduced risk. That set made 26% this week. We have to see how it will work over time but if we just assume that this is an average week (it got hit once so I say it's not that far off from average) then half of that would be 13% a week and then 3 15% losses in a row would be a 39% loss. That is recoverable in a month at 13% a week and then of course the question would need to be asked, once every how many months would this happen? There is really no way to know without testing and testing without backtesting will take too long which is why I am using cent accounts. One cent account got blown up but that was because I forgot to put the max dd ea on an account that I raised the risk on. I have a cent account that I have been using 0.01 per 2.5k and it has been doing well. The dd has been manageable.
Quoting Contrax
{quote} U got that indicator or EA?
Just google blessing ea. It can be found for free on a few forex forums. I don't want to post links for obvious reasons.
Quoting fxtrader1081
{quote} I have played around with the Blessing ea a bit and to be honest it's a bit overwhelming. I am not trying to present this in competition to the Blessing ea. This just started as a way for people to trade this ea if they want to with some way of limiting risk and of dealing with the other problems such as lot size changing etc. Also the thread/ea owner is not very active so rather than wait for some changes I just made an ea that could do some of what I wanted. If we decide that we should just be using the blessing ea then what are we even...
Dear Fxtrader, I am not trying to sell blessing over grid ea, but fundamentally they are very similar. I am sorry if I am going slightly OT, but I will try to answer and explain my earlier post and answer your reply. The only reason i bring it up is that blessing can be back tested, and grid ea can't. In order for me to test something properly, I use 95+ % modeling data from Dukescopy and as long as period as possible. Now, this actually takes a rather long time, but present good data. The only way to test GT's is to forward test it...now this is the problem. To get an answer of whats the average run before the DD is hit, is going to be a tough question to answer, as well as how often they occur unless you are willing to test it for a very, very long time. If you are willing to do that, God bless and I hope that in the end you make a truckload of pips. However, there is also a good chance you might find yourself running in circles, as DD gets hit as you described, hits again, you recover for a month and get hit again. I could not have the patience for it. Truthfully, when I first saw GTs EA, i had almost no experience with Martingales. I have been digging and testing since. As you, I am not convinced that the trend "indicator" he is using is any superior to technical indicators. Also, sometimes it will open counter trend trades, then digg himself out by more buying. The strongest "asset" it has is the TF which statistically allows for at least a snapback, and after a defined number of trades after which it no longer looks for profit but Break Even. Thats how the EA tries to manage reversals.
I came to this conclusion as well looking at the trades closely. The only reason it wont backtest is the secret trend component. Perhaps it would be possible to modify another EA to work as similarly to GTs, but that allows backtesting? This way you might come to your answer quicker. I respect GT and his work, but I am saying that there is no magic there, fundamentally, it a martingale. Better than most, but with the same weaknesses. GTs lack of participation in his own thread is unproductive as his input would be beneficial and would lead to more discussion about ideas and how to code them.
On the note of softening the setting - yes, its a balancing act between profitability of the system and DD, but in my experience ever the softest settings with a generous account size ultimately fail. The only question then is time. So, if I was going with this strategy, I would run hot settings, take my profits always,not compound, rinse repeat until the music stops. See what I am left with and decide if I will take another ride. If I can make 2-3 times my equity before blowout, i would be a happy camper. My 2 cents.
Best of luck,
Josh
Quoting JoshuaHope
{quote} Dear Fxtrader, I am not trying to sell blessing over grid ea, but fundamentally they are very similar. I am sorry if I am going slightly OT, but I will try to answer and explain my earlier post and answer your reply. The only reason i bring it up is that blessing can be back tested, and grid ea can't. In order for me to test something properly, I use 95+ % modeling data from Dukescopy and as long as period as possible. Now, this actually takes a rather long time, but present good data. The only way to test GT's is to forward test it...now...
What I was trying to say before was that generally speaking you can get a good set with blessing with one or 2 death trades (as you call them) over a 5 year period. However, once you start to deal with a max dd type setup the sample you need to look is a lot less. That is to say, the death trade comes once every 2 years so you need a long sample of data. Here, you should be getting a max dd stop out once every week or 2 or at least once a month so your sample needed is less. In general, that move that caused the death trade is no different than any other move that brought you to max dd unless it did it twice which is unlikely from what I have seen and if you are worried ten the ea could just be shut down for some time like 60 mins and by then it's really over.
Quoting fxtrader1081
{quote} What I was trying to say before was that generally speaking you can get a good set with blessing with one or 2 death trades (as you call them) over a 5 year period. However, once you start to deal with a max dd type setup the sample you need to look is a lot less. That is to say, the death trade comes once every 2 years so you need a long sample of data. Here, you should be getting a max dd stop out once every week or 2 or at least once a month so your sample needed is less. In general, that move that caused the death trade is no different...
Correct. You can get blessing to reduce death trades, but not eliminate them by reducing its setting, hence its profitability.
Either way, you could isolate such areas, however, every "death trade" is similar but still unique and that is what makes it hard to find a right solution that would allow you to sail through it. Also keep in mind, changing your settings to accommodate those areas, will change the results of other areas. So you will still need to check with longer periods. Its a give and take game.
It would be a good idea to code in the GT a "volatility gauge". We know when thing happen, spread increases. It would be a good addition to code that when spread increases to X, ea should protect equity and stop trading...and as you have suggested, resume after 60 min. Also, to stop trading 1 hour before a news event, and resume 1 hour after. Either way, I wish you best of luck with this. It would be great to hear GTs point of view.

Sincerely,
Joshua
First off I would like to give a big thumbs up to fxtrader1081 as the MaxDD EA worked perfectly and saved my account from implosion during the FOMC news releases this evening.

I was in fact already trying to exit trades this afternoon ahead of the releases but herein lies the problem - the temptation is to see if the spike goes in your favour as this naturally closes open trades. As all the pairs are majors, open trades are either going to get closed out for a nice profit or exponentially increase your draw down. If you close all open trades ahead of the news you are guaranteed to make a loss on most of them, and if you stay in you have an evens chance of profit or greater loss. The answer here maybe to place a hedge on the pair likely to have the lowest spread, equivalent to all the open trades. For example, say you are trading at 0.01 lots per 1K and have twenty trades open. The MGT pairs all favour USD spiking in one direction to close out profitably, so you place one trade at 0.2 on say EURUSD in the opposite direction and a safe(?) distance away so that you don't get whipsawed in. If the news is only likely to affect one pair then just hedge that one.

I think in future I will suspend trading one pair at a time the day before the big releases as it is just too volatile. Even if you get down to one or two open pairs it is still a challenge to come out ahead in my experience.

I have resigned myself to the fact that a major DD is inevitable with or without trading during news, and the way forward is to build it into the plan. The problem trades are the ones opened at the end of a trend so there needs to be either a halt on trading when the trend strength is above a certain % (indicating exhaustion), or when a higher high or lower low fails (based on fractals maybe but no idea what TF). I would be prepared to sacrifice one open trade (if it could be automatically closed), and let the EA wait until the trend resumes or reverses, as conditions then would be more favourable. I think this would be much better than the EA opening more and more trades hoping for a reversal or suitable pull-back. Maybe GT is already thinking along these lines but until then I will be manually activating and deactivating trading on each pair as far as possible based on these ideas.

fxtrader1081 - if I can help in any way with forward testing, let me know.
Fxtrader, first off, thanks for putting the time into coding the ea and sharing with all. This EA is probably a huge contribution to any type of grid based EA.


Now, I need to address an issue I'm having. Not sure if it has been reported (or addressed) already, but I'm getting FIFO errors from my broker. Once I get the FIFO error, the EA freezes (probably in an endless loop trying to close the order indefinitely).

Any advice? My guess is that it is a coding issue. Would be willing to patch the code if you shared the sourcecode.

Thanks!
Quoting MrChurch
Fxtrader, first off, thanks for putting the time into coding the ea and sharing with all. This EA is probably a huge contribution to any type of grid based EA. Now, I need to address an issue I'm having. Not sure if it has been reported (or addressed) already, but I'm getting FIFO errors from my broker. Once I get the FIFO error, the EA freezes (probably in an endless loop trying to close the order indefinitely). Any advice? My guess is that it is a coding issue. Would be willing to patch the code if you shared the sourcecode. Thanks!
Ok so this ea is not fifo safe. I live outside of the USA so this isn't an issue but I will try to address it. For the record, the ea also worked for me but if you noticed there was a blown up account. I mistakenly didn't have the ea on that account.
One other observation - I have MAX DD loaded on an inactive chart (i.e. any pair not traded by MGT). If I check what the DD is just ahead of the news I can set the Max DD setting to a few % points higher and this will act as a global stop-loss if the news spike goes against open trades. I know this sounds like stating the b******g obvious but if my DD just before the news is only 5% then I could set 10% for example as the limit just before the news. This would be better than my "normal" setting of 25% which could also be taken out if left unchanged, hence I would be 15% better off in the worst case scenario. This also opens up an opportunity for an EA combining Max DD with a news feed, and maybe an additional "pre-news" or "imminent news" setting which adds "X%" to your live DD% a few seconds before the release which overrides the normal setting, still closing all open trades if triggered. If not triggered then the open trades should either be going in the right direction or have already hit TP. And before anyone tells me you need room for trades to breath and recover, high impact news is often the cause of trend reversals from which trades may not recover, or may take an awful long time to do so. In the mean time if your losses were minimised you may well have recouped them and be back in profit long before any recovery might have taken.

I can live with doing this manually as it is just one EA so isn't much of an inconvenience being separate to MGT EA, and the benefit is considerable. However, if anyone had the time or inclination to add the news feed or maybe better still a "limit trading hours from-to" setting and a couple of settings for anticipated news times for that day I for one would be very interested...
Well, I wrote my own version of MAX DD meant to be FIFO safe. I'll probably throw it here somewhere, but at the time I'm still testing it.

If anyone wants a copy, send me a PM.
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