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Here is the EA for trading Gaps.
IT ONLY WORKS IN THE STRATEGY TESTER AT THE MOMENT!
This is for various reasons:
Backtesting Results
Backtesting results look mixed. You can see that the strategy is potentially able to make profits, but you have use wide stops. This leads to the problem that one bad trade can eat up all the profits you made. This risk is significantly increased when trading this method on multiple pairs.
For Backtesting I used Real Tick Data from https://eareview.net/tick-data-suite on D1 timeframe and EURUSD.
First pass from 1st Jan 2016 until 31th Dec 2016.
Min Gap: 300
Lots: 0.01
Stop_Loss: 2.0
Trailing_Stop: 0.75
Use_Gap_Opportunity: True
Op_Take_Profit: 800
Op_Stop_Loss: 2.0
Op_Expiration_Multiplier: 3.0
Use_Entry_Stop_Orders: true
Stop_Orders_Distance: 100
Stop_Orders_Expiration: 180 (3 hours)
Result: 23€ profit, 4 Trades.
Same settings for 2017 (1st Jan until 13th Oct) caused a significant loss tho, with only 2 trades:
Result: -11€ profit, 2 Trades.
I didn't run it through optimization yet or tested it on other pairs. Feel free to do that and share your results or suggestions.
IT ONLY WORKS IN THE STRATEGY TESTER AT THE MOMENT!
This is for various reasons:
- When I first tested it live, it opened positions even though there was no Gap. This didn't happen in Backtesting, but on Live market. I think I fixed that but will check it this Sunday to see if it still happens.
- I have doubts that this strategy is really that profitable and want to prevent somebody to lose because of that. If you really f*cking insist on having a live version, PM me and I will give it to you.
Settings
- EA Settings
- Mode
- Alert_Only
- Pops up an Alert when it finds a valid gap
- Alert_And_Trade
- Pops up an Alert and places an Order when it finds a valid gap
- Trade_Only
- Places an Order when it finds a valid gap
- Alert_Only
- Multi_Pairs
- True
- Look through all allowed pairs for Gaps.
- False
- Only checks the Symbol the EA was placed on.
- True
- Min_Gap
- Minimum gap in Points required to be considered
- Mode
- Risk Settings
- Lots
- Order size to trade
- Stop_Loss
- In percent of Account size. 1.0 = 1% Risk per trade
- Trailing_Stop
- In percent of Take Profit target. If TP is 500 Points away and Trailing_Stop is 0.5, TS gets triggered at 250 Points profit.
- Trailing_Stop = 0.0 = Disabled, no Trailing Stop.
- Lots
- Opportunity Settings
- Use_Gap_Opportunity
- True
- Places a Buy / Sell Stop Order at the gap close.
- False
- Do not use Gap Opportunity
- True
- Op_Take_Profit
- Take Profit target for the Gap opportunity (in Points)
- Op_Stop_Loss
- Same functionality as Stop_Loss
- Op_Expiration_Multiplier
- Expiration for pending Opportunity Orders is Current Timeframe. If you use D1, the order will expire in 24hours after placement. An Op_Expiration_Multiplier of 3 means in that case that the order expires after 3 days.
- Use_Gap_Opportunity
- Order Settings
- Use_Entry_Stop_Orders
- True
- Place a Buy / Sell Stop Order at Stop_Orders_Distance points away the Ask / Bid price when a Gap was found.
- False
- Use Market Order to enter the position immediately
- True
- Stop_Orders_Distance
- Distance between Ask / Bid price in Points for Buy / Sell Stop Orders
- Stop_Orders_Expiration
- Stop Orders expiration time in Minutes after placement.
- Use_Entry_Stop_Orders
- Miscellaneous Settings
- Bot_Name
- Name for the EA used in Comments. I used to recognize Orders for Trailing Stop. Must be short enough.
- Bot_Name
- Backtesting Settings
- Pause_On_Order
- True
- Pauses the Backtester after an Order was placed. Requires DLL import for using the keybd_event function.
- False
- Does not pause the Backtester after an Order was placed.
- True
- Pause_On_Order
Entry logic used
Inserted Code
int stopLevel = GetStopLevel(sSymbol),
digits = GetDigits(sSymbol),
spread = MarketInfo(sSymbol, MODE_SPREAD);
// Check if there is a gap between last bar's close and current bar's open on the WEEKLY timeframe
double point = GetPoint(sSymbol),
// Last week's close
lastClose = NormalizeDouble(iClose(sSymbol, PERIOD_W1, 1), digits),
// Current week's open
currentOpen = NormalizeDouble(iOpen(sSymbol, PERIOD_W1, 0), digits),
// Gap (delta between close and open)
gap = NormalizeDouble(lastClose - currentOpen, digits),
// Minimum required gap + Stop Level + Spread
minGap = NormalizeDouble((Min_Gap + stopLevel + spread) * point, digits);
// Visualize the Gap on the chart
string objName = "Gap_Zone_" + IntegerToString(iGapZonesCounter);
ObjectCreate(objName, OBJ_RECTANGLE, 0, iTime(sSymbol, PERIOD_CURRENT, 1), lastClose, iTime(sSymbol, PERIOD_CURRENT, 0), currentOpen);
ObjectSetInteger(0, objName, OBJPROP_BACK, 1);
iGapZonesCounter++;
PrintFormat("(%s) Last Weekly Close: %f / Current Weekly Open: %f / Gap: %d (%d)", sSymbol, lastClose, currentOpen, (int)(gap / point), (int)(minGap / point));
if (MathAbs(gap) >= minGap)
{
buyOrder = gap > 0;
sellOrder = gap < 0;
} Backtesting Results
Backtesting results look mixed. You can see that the strategy is potentially able to make profits, but you have use wide stops. This leads to the problem that one bad trade can eat up all the profits you made. This risk is significantly increased when trading this method on multiple pairs.
For Backtesting I used Real Tick Data from https://eareview.net/tick-data-suite on D1 timeframe and EURUSD.
First pass from 1st Jan 2016 until 31th Dec 2016.
Min Gap: 300
Lots: 0.01
Stop_Loss: 2.0
Trailing_Stop: 0.75
Use_Gap_Opportunity: True
Op_Take_Profit: 800
Op_Stop_Loss: 2.0
Op_Expiration_Multiplier: 3.0
Use_Entry_Stop_Orders: true
Stop_Orders_Distance: 100
Stop_Orders_Expiration: 180 (3 hours)
Result: 23€ profit, 4 Trades.
Same settings for 2017 (1st Jan until 13th Oct) caused a significant loss tho, with only 2 trades:
Result: -11€ profit, 2 Trades.
I didn't run it through optimization yet or tested it on other pairs. Feel free to do that and share your results or suggestions.
- Joined Dec 2013 | Status: Member | 1,874 Posts
Here is the EA for trading Gaps. IT ONLY WORKS IN THE STRATEGY TESTER AT THE MOMENT! This is for various reasons: When I first tested it live, it opened positions even though there was no Gap. This didn't happen in Backtesting, but on Live market. I think I fixed that but will check it this Sunday to see if it still happens. I have doubts that this strategy is really that profitable and want to prevent somebody to lose because of that. If you really f*cking insist on having a live version, PM me and I will give it to you.
n/m keep both Opportunity setting and Order Settings True.
Maybe Im not setting this up properly but the logic of the EA seems off, Order was taken but the SL wasnt activated.
http://prntscr.com/h0klct
Learn, a forex trader must, unlearn and relearn he will.
{quote} n/m keep both Opportunity setting and Order Settings True.
https://www.forexfactory.com/showthr...3#post10399653
{quote} Maybe Im not setting this up properly but the logic of the EA seems off, Order was taken but the SL wasnt activated. http://prntscr.com/h0klct
- Joined Dec 2013 | Status: Member | 1,874 Posts
{quote} The "Opportunity" logic was a suggestion from senjamerah: https://www.forexfactory.com/showthr...3#post10399653 {quote} It says "Sell Stop 0.50", so it is still just a Pending Order which hasn't been filled yet. "Sell Stop 0.50" turns into "Sell 0.50" when activated.
What setting do we use to get the FRIDAY Close to close the position?
Learn, a forex trader must, unlearn and relearn he will.
- Joined Dec 2013 | Status: Member | 1,874 Posts
Learn, a forex trader must, unlearn and relearn he will.
- Joined Jun 2009 | Status: FXCM Representative | 5,808 Posts
{quote} I used to be at FXCM for a while and their spreads haven't been that much better even with Commission, especially at Markets Open.
We’re always working to improve our spreads. I’m not sure which spreads you may have been watching, but these were the average spreads during peak hours during Q1 2017 on NDD forex execution for a few of the most popular traded pairs. : EUR/USD averages 0.2 pips during peak hours; AUD/USD averages 0.3 pips during peak hours; USD/JPY averages 0.3 pips during peak hours
We also post our historical spreads so you can view recent spread history over minutes, hours, and days for top traded currency pairs and CFDs.
Jason
The information provided is historical in nature and does not imply that FXCM maintains a particular capacity or performance level. Past results are not indicative of future performance. The price at which an order is executed does not negate the high level of risk involved with forex trading. Trading could result in losses regardless of the pricing quality of opening or closing transactions
- Joined Dec 2013 | Status: Member | 1,874 Posts
Still don't really understand.
Hey maybe I dont have the right settings? I set the TP to 5000 to show the EA isnt closing the positions at the weekly close.
http://prntscr.com/h0yq8x
http://prntscr.com/h0yrmz
Learn, a forex trader must, unlearn and relearn he will.