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Vegas Daily MT4 Expert Advisor results

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  • Post #1
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  • First Post: Edited Jun 21, 2006 8:55am Jun 19, 2006 4:23am | Edited Jun 21, 2006 8:55am
  •  piccolo
  • Joined Feb 2006 | Status: adjust your sails to the wind | 1,354 Posts
Hi,

I made a brainless expert advisor that fallows most the Vegas Daily method un EURJPY. It opens positions when the outer fib lines are hit (risk model 1, 233pips from the slowest MA). Vegas suggests 24 and 28 EMAs on daily charts, however, I see better results when using 30 and 35 EMAs. A position consists of 6 units and profit is taken partly on every fib line (and first tunnel line) hit. Fixed stoploss is 34 pips, and it is moved when first fib line is hit and first profit unit taken. Aproximately 4% of balance is risked per trade and there is always only one trade open. If profit is booked, then the 4% represents a larger lot size in the next trade. In other words, lots increase in good times and decrease in bad.

Backtesting results on 1min data for last 24 month show the following results:
Initial deposit: 10000.00
Total trades: 153
Gross profit: 94560.89
Gross loss: -28955.79
Total net profit: 65605.10
Profit trades (% of total): 117 (76.47%)
Loss trades (% of total)36 (23.53%)
Maximal drawdown (%): 6002.58 (8.6%)

This is not the best result you can make from this EA, but it is the most realistic and safe taking into account the small StopLoss and relatively small equity drawdown.

You can see the full report here including equity graph here:
http://www.forexfix.com/reports/35ma-34sl.htm

I'm open for criticism as I know backtesting and even forward testing is not a guarantee for success and profits. However I tweaked the EA it made bigger or smaller profits, but always profits.

Comments welcome.

update: notes to myself - there is still work to be done on the consecutive losses thingy and reentering. maybe after two losses in a row a switch to 4h is neccessary for better entrance? whatever the losses, its all made up in the next successful trade. looks good so far but with some work can look better.

CORRECTION: MetaTrader backtesting doesn't handle properly partial position closing and in reality only 27 of 63 (43%) total trades are profitable (had to do my own counting), nevertheless the gain is the same. this only proves how powerful is the vegas daily method. an aproximate estimate is that my trades have 1:11 risk/reward and it needs one successfull trade to make up for 11 losses.
  • Post #2
  • Quote
  • Jun 19, 2006 4:35am Jun 19, 2006 4:35am
  •  eastmaels
  • | Joined Jul 2005 | Status: J16G Expectancy Seeker | 676 Posts
Quoting piccolo
Disliked
Hi,

I made a brainless expert advisor that fallows most the Vegas Daily method un EURJPY. It opens positions when the outer fib lines are hit (risk model 1, 233pips from the slowest MA). Vegas suggests 24 and 28 EMAs on daily charts, however, I see better results when using 30 and 35 EMAs. A position consists of 6 units and profit is taken partly on every fib line (and first tunnel line) hit. Fixed stoploss is 34 pips, and it is moved when first fib line is hit and first profit unit taken. Aproximately 4% of balance is risked per trade and there is always only one trade open. If profit is booked, then the 4% represents a larger lot size in the next trade. In other words, lots increase in good times and decrease in bad.

Backtesting results on 1min data for last 24 month show the following results:
Initial deposit: 10000.00
Total trades: 153
Gross profit: 94560.89
Gross loss: -28955.79
Total net profit: 65605.10
Profit trades (% of total): 117 (76.47%)
Loss trades (% of total) 36 (23.53%)
Maximal drawdown (%): 6002.58 (8.6%)

This is not the best result you can make from this EA, but it is the most realistic and safe taking into account the small StopLoss and relatively small equity drawdown.

You can see the full report here including equity graph here:
http://www.forexfix.com/reports/35ma-34sl.htm

I'm open for criticism as I know backtesting and even forward testing is not a guarantee for success and profits. However I tweaked the EA it made bigger or smaller profits, but always profits.

Comments welcome.
Ignored
Thanks for sharing piccolo. It's a good start. Now if only I could be able to learn more on backtesting..
 
 
  • Post #3
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  • Jun 19, 2006 5:30am Jun 19, 2006 5:30am
  •  piccolo
  • Joined Feb 2006 | Status: adjust your sails to the wind | 1,354 Posts
Quoting eastmaels
Disliked
Thanks for sharing piccolo. It's a good start. Now if only I could be able to learn more on backtesting..
Ignored
what do you mean by that? you want to learn more on backtesting in general or more on this particular EA?
 
 
  • Post #4
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  • Jun 19, 2006 5:59am Jun 19, 2006 5:59am
  •  eastmaels
  • | Joined Jul 2005 | Status: J16G Expectancy Seeker | 676 Posts
Quoting piccolo
Disliked
what do you mean by that? you want to learn more on backtesting in general or more on this particular EA?
Ignored
I want to be able to create an EA that will auto-backtest.
Not just for the vegas but backtesting in general.
 
 
  • Post #5
  • Quote
  • Jun 19, 2006 6:05am Jun 19, 2006 6:05am
  •  piccolo
  • Joined Feb 2006 | Status: adjust your sails to the wind | 1,354 Posts
Quoting eastmaels
Disliked
I want to be able to create an EA that will auto-backtest.
Not just for the vegas but backtesting in general.
Ignored
well, you can try this link (it creates an EA automaticly for you)
http://sufx.core.t3-ism.net/ExpertAdvisorBuilder/

it is a pretty decent tool if you don't know MQL programming yourself.
 
 
  • Post #6
  • Quote
  • Jun 19, 2006 6:16am Jun 19, 2006 6:16am
  •  eastmaels
  • | Joined Jul 2005 | Status: J16G Expectancy Seeker | 676 Posts
Quoting piccolo
Disliked
well, you can try this link (it creates an EA automaticly for you)
http://sufx.core.t3-ism.net/ExpertAdvisorBuilder/

it is a pretty decent tool if you don't know MQL programming yourself.
Ignored
Cool. thanks. Now I have more to play with..
 
 
  • Post #7
  • Quote
  • Jun 19, 2006 9:23am Jun 19, 2006 9:23am
  •  piccolo
  • Joined Feb 2006 | Status: adjust your sails to the wind | 1,354 Posts
now the link the original post works, stupid error.
 
 
  • Post #8
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  • Jun 19, 2006 1:08pm Jun 19, 2006 1:08pm
  •  accrete
  • Joined Jan 2006 | Status: Pips Ahoy! | 1,130 Posts
Hi Piccolo, i've recently began watching-with-interest, the EURJPY as i wanted to find a pair to trade during the Asian session that was not neccessarily tied to the USD. Was there a particular reason you chose this pair for your EA test?

: ) Thom
 
 
  • Post #9
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  • Jun 19, 2006 2:10pm Jun 19, 2006 2:10pm
  •  piccolo
  • Joined Feb 2006 | Status: adjust your sails to the wind | 1,354 Posts
Quoting accrete
Disliked
Hi Piccolo, i've recently began watching-with-interest, the EURJPY as i wanted to find a pair to trade during the Asian session that was not neccessarily tied to the USD. Was there a particular reason you chose this pair for your EA test?

: ) Thom
Ignored
it's always moving and easier to trade, at least for me. eurusd is much harder to master.
 
 
  • Post #10
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  • Jun 20, 2006 1:56pm Jun 20, 2006 1:56pm
  •  myron
  • | Joined Feb 2006 | Status: Member | 1 Post
thanks
 
 
  • Post #11
  • Quote
  • Edited 4:12am Jun 21, 2006 4:04am | Edited 4:12am
  •  piccolo
  • Joined Feb 2006 | Status: adjust your sails to the wind | 1,354 Posts
Quoting myron
Disliked
thanks
Ignored
its no use yet. I can tweak it to make $10 000 into $600 000 in 24 month (not the same as in original post link) but its not nearly reliable enough.

MetaTrader backtesting doesn't handle properly partial position closing and in reality only 27 of 63 total trades are profitable (had to do my own counting), nevertheless the gain is the same. this only proves how powerful is the vegas daily method. an aproximate estimate is that my trades have 1:11 risk/reward and it needs one successfull trade to make up for 11 losses.

for now, it's only the basement for my building. need to pick those 27 cherry trades more carefully and do pyraminds on them.
 
 
  • Post #12
  • Quote
  • Edited 8:32am Jun 21, 2006 5:39am | Edited 8:32am
  •  piccolo
  • Joined Feb 2006 | Status: adjust your sails to the wind | 1,354 Posts
if you wan't to see something funny that you can do with an EA, look here:
http://www.forexfix.com/reports/insane.htm

the funny thing is, it only makes 63 trades from which only 27 are profitable.

anyways, as far as I know some people can turn $10k in $1m within a couple of weeks on demo.
 
 
  • Post #13
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  • Jun 21, 2006 8:47am Jun 21, 2006 8:47am
  •  Zach
  • | Joined Jan 2006 | Status: Member | 26 Posts
Thank you for posting the test results. The results show a 76% winning percentage. That seems incredibly high considering a 34 pip SL. Exit could either be at next fib line or stop out at -34 pips. Normally you'd have to go much farther than 34 pips to reach the next fib line so it is hard to understand how it could do that 76% of the time and go against you 34 pips 24% of the time.

I'm not trying to discredit anything you've done, I'm just wondering if I'm understanding these test results correctly.

Thanks again for your efforts,

Zach
 
 
  • Post #14
  • Quote
  • Jun 21, 2006 8:49am Jun 21, 2006 8:49am
  •  piccolo
  • Joined Feb 2006 | Status: adjust your sails to the wind | 1,354 Posts
Quoting Zach
Disliked
Thank you for posting the test results. The results show a 76% winning percentage. That seems incredibly high considering a 34 pip SL. Exit could either be at next fib line or stop out at -34 pips. Normally you'd have to go a lot farther than 34 pips to reach the next fib line so I don't see how it could do that 76% of the time and go against you 34 pips 24% of the time.

I'm not trying to discredit anything you've done, I'm just wondering if I'm understanding these test results correctly.

Thanks again for your efforts,

Zach
Ignored
yeah, you have a point. As I pointed out before: http://www.forexfactory.com/forexfor...5&postcount=11
MetaTrader Strategy Tester doesn't handle partial profit properly and 74% is misleading.

In reality there were 63 total trades of which only 27 were profitable. That is 43% profitable.

Nevertheless the return and ending balance is accurate.

Yes, it gets stopped out a lot but it makes all back. You see if the first fib is reached only 1/6 of the trade is exited and the rest is left open with a stoploss at break even. So 5/6 of the "units" have the potential to be taken out at next fib levels when they are reached.. so it all adds up to a good profit that makes up for the consecutive losses.

UPDATE: I did post this thread for open discussion and criticism and I apreciate that some of you do comment and point out the possible mistakes. If anythink is misleading or hard to understand, then I'll try to explain and/or correct it.
 
 
  • Post #15
  • Quote
  • Jun 21, 2006 9:02am Jun 21, 2006 9:02am
  •  piccolo
  • Joined Feb 2006 | Status: adjust your sails to the wind | 1,354 Posts
Quoting Zach
Disliked
That makes sense. Still, and not to be a pain in the butt here, a 43% winning percentage (27 of 63) seems high given the criteria. The only way I could see the winning percentage that high is if the breakeven were set much earlier, say 15-25 pip profit.

Also, was entry triggered at the close of the 1 day candle or when the outer fib line was hit.

Thanks again,

Zach
Ignored
1. A position is opened when the fib line is first hit, if it gets stopped out, then a re-entering attempt is made on the next day bar open (if it is still below or above the outer fib line).

2. If a position hits the next fib line then immediately 1/6 position is closed in profit and for the rest SL is moved to break even. If the rest of trade hits the SL and exits at BE, then the trade altogether is considered a profitable one (we did make some $$ at first fib line and exited with no loss).

Thats how the ratios are made up.
 
 
  • Post #16
  • Quote
  • Jul 7, 2006 11:58am Jul 7, 2006 11:58am
  •  hidethereal
  • | Joined May 2006 | Status: Member | 308 Posts
Have you had anymore luck testing this EA? I was always curious how the Vegas system would function as an EA.
 
 
  • Post #17
  • Quote
  • Edited 11:01am Jul 8, 2006 10:59am | Edited 11:01am
  •  brentmack
  • | Joined Apr 2006 | Status: Commissioner of Autotrading | 462 Posts
My coding skills aren't the greatest yet - but I'm a damn good Forward Test Pilot!

If this EA ever sees the light of day, count me in for helping to put it through its paces.
 
 
  • Post #18
  • Quote
  • Jul 23, 2006 12:20am Jul 23, 2006 12:20am
  •  lietuve
  • | Joined Nov 2005 | Status: Member | 437 Posts
What margin do you use to cover 150 lot trades?

p.s. by the way, I like your sense of humor... (no, no no offense meant, not in this thread

Thanks
 
 
  • Post #19
  • Quote
  • Jul 24, 2006 9:12am Jul 24, 2006 9:12am
  •  piccolo
  • Joined Feb 2006 | Status: adjust your sails to the wind | 1,354 Posts
Quoting brentmack
Disliked
My coding skills aren't the greatest yet - but I'm a damn good Forward Test Pilot!

If this EA ever sees the light of day, count me in for helping to put it through its paces.
Ignored
thanks for the offer, brentmack. don't know when and if ever this EA will see the light but who knows.
 
 
  • Post #20
  • Quote
  • Jul 24, 2006 9:15am Jul 24, 2006 9:15am
  •  piccolo
  • Joined Feb 2006 | Status: adjust your sails to the wind | 1,354 Posts
Quoting lietuve
Disliked
What margin do you use to cover 150 lot trades?

p.s. by the way, I like your sense of humor... (no, no no offense meant, not in this thread

Thanks
Ignored
is your nickname, lietuve, somehow related to a country named Lithuania?

I took another look and maximal lot size in that insane experiment was 91.63. The system was designed not to exceed 100 lots.
 
 
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