Simple High Profit low Drawdown Triangular Arbitrage

Here is the Metatrader 4 version.

Thanks Jaques. My explorer has beenrunning your idea but not the EA itselfasInoticed the lotsizes the EA took were 1)Too huge -like 40 lots and 2) Were not matiching what you had specified. It opened 48.97 lots each on GBPJPY(Sell) & GBPUSD(Buy), and 62.49lots sell on USDJPY as the first cycle. That is when I stoppped the EAand started using a script to place the orders. Result you can see in my explorer.

The EA can have multiple days without movement.
Sometimes a month can go bye, especially on the old EA.

The new EA trades quicker, but having large lots does not mean it is not working seeing that they cancel each other out, although the new EA only reach 18 lots by the $100,000 mark.

My server is broken at the moment.

Once fixed I can start to do forward tests myself.

How did you connect the results to your profile and can MT5 also do it ?

Hi Jacques,
Thanks for sharing your system. will try it

@kaczucha11
More than welcome.
The theory is sound, but the EA is unstable so please DO NOT USE ON LIVE accounts.
Please read post 1 for more information and note that I mainly tested on myfxchoice.

I already discovered a new potential improvement.
At the moment the EA only opens up trades when the spread is below the average spread, unless the EA just started.
Problem is that once the equity drops to a point where a new grid level is supposed to take over the spread most likely will increase significantly.
Now normally you do not want to trade during high spreads, but if the value of all these high spreads, subtracted from the low equity grid entry point then it might be a good idea to enter the grid level seeing that this is a large spike that must return to ZERO point and therefore is trade-able.

Even if this causes the ultimate profit to be lower than if you only trade during low spread times, it will ultimately release the position run so that other positions can be opened up more frequently and therefore generate more profit by having more low profit trades rather than a few high profit ones.

Will test it in time when my server is fixed one day.
Just an idea so far.

Hi Shiva.
Any chance share a script to place the orders?. Would like to play a little manualy. Thanks

Sure.

Hi Jacques, it's easy.

 

1. Go to your profile page (this is your profile link)
2. Select Create a new explorer

Thanks Shiva

Thanks

after 7 days on vps nothing happened. just negative swap and commission.

@koroshfx
That sounds about right.
The first EA did not take swap into account.
Also.
The history the EA gathers on the first EA only reach saturation after 5 day and therefore trades opened up before that time is based on inaccurate rolling averages or just the starting values.

Other than that.
A month can go bye on some trades with no movement.

At the moment I am sitting with pc problems and can not afford to fix it, at the moment.
Once I saved enough I will get back to work on the EA.

The important part is the theory.
I have not looked at the EA Shiva made, but it might shed some more light into the workings of the theory.
I also created a single trade EA in post 50, which you can run to see how the triangle works and the opportunities it presents.
It only opens 3 trades and leaves them open so you can see the ZERO point clearly and how it moves around it.
Based on this you can then abuse the rule with multiple strategies like grids and more to take profit.
This is what I am planning for the full EA once done.

You can also run the latest EA on a back test with myfxchoice or another broker and then look at the trades made and how large the time span can be between trades, which range from within seconds to weeks or more.

I will work on the EA once I get the tools to do it, just wait a bit or jump in and write an EA based on the theory yourself so other can test it with you in the mean time.

OK Here goes something.
At last I gathered the funds to fix my server and along with it I made a massive amount of enhancements to the EA.
Thing is.
I did not have time to convert it to MT4 yet and with all of the enhancements most of the calculations are hard-coded into the EA so if you want to test it you need the following:
Leverage of 200:1 ... Should work on other leverages, but I have not tested it long enough to ensure the draw-down and margin calculations are correct, but try it.
Symbols GBPUSD, GBPJPY and USDJPY must be available for use.
I found brokers with special symbols like GBPUSD. with a (dot) at the end.
And others with even weirder symbols.
One day I will make the EA compatible with other symbols but for now it will not work on others for it will not find them.
Minimum lot size of at least 0.01
Must be able to handle at least a maximum lot size of 50.0 lots.
O and this is a MT5 EA.
Will convert it to MT4 one day.

To install the EA :
Create the following folders in your metatrader installation folder :
MQL5\Experts\0ForexEA\ForexEA
MQL5\Indicators\0ForexEA\ForexEA
Then copy the following files into the above folders :
2017-06-13 20h00 JVB OnTick Spy.ex5
2017-06-14 09h00 JVB Arbitrage Auto Profit11 FXChoice.ex5

Now start or restart your metatrader 5 and run a backtest on GBPUSD for a year or so to ensure everything is working, keeping in mind the settings above.
To run on DEMO account just open a GBPUSD chart and drag the "2017-06-14 09h00 JVB Arbitrage Auto Profit11 FXChoice.ex5" ea onto the chart.
O and make sure your metatrader can run EAs.
The "2017-06-13 20h00 JVB OnTick Spy.ex5" EA is automatically used by the other to monitor the 3 symbols in the background and therefore need to be in the exact folders as stated above to work.

Check the logs for errors and just wait.

The EA will take 1 hour to gather information before starting.
It will draw multiple lines on the chart.
Think of the top 2 lines as the ASK and BID prices Highs and Lows.
If they cross then you have an arbitrage opportunity, but they must cross far enough to cover commission, spread and some profit costs.
This actually happens often.
The blue line is only useful to see the profit of an open position, of which there will only be one for each symbol at a time or none.

The logs contains a MASSIVE amount of noisy information.
Some interesting things are when a ticket is opened and closed.
Then the log will compare the ASK and BID prices before and after the OPEN and CLOSE operations.
What is shocking is that I have tested it on multiple brokers and it is working, but during demo forward testing I found that some brokers like XM have got MASSIVE slippages in the range of 60 or more pip spread over the 3 symbols on EVERY trade.
Therefore making this and probably any other fast moving strategy unusable.
Funny how slippage on some broker are always negative and never positive
Maybe it is just my poor server that has got a 300ms lag to their server, but then again I can not afford a VPS to get a better connection and FXCHOICE on the same slow server is running well.
The EA has a build in buffer to cater for some reasonable slippage and even for the occasional massive slippage to a losing ticket, so long as it does not happen every single time.
So far MyFXChoice have not shown big slippages and looks good.
For the most profit this EA needs low spreads and even lower commission.
Please list a few trustworthy broker that have got low spreads and commission for me to test with that also supports MT5.

Too keep things simple:
Open a ENC Pro Metatrader 5 demo account with MyFxChoice and run the EA on it.
It was build and tested on it so all settings are already ready for it.

I can cater for other brokers, but at the moment I can not afford the time and cost of modifying for each flavour of broker.
I will try if I find one that look good, but I fear my old server is just not fast enough to properly test with it's slow ping.

O and the EA will stop once it reaches 50 lot size.
So if you backtest and you see your account profit goes horizontal then you maxed out the lot sizes.
I found that to increase the lot size I have to split the trades into multiple trades, which in turn slows down the execution time and causes slippages.
So in a live account in future I would suggest opening another account and split the funds between them.

Also it shows brilliant profit using "every tick" during back tests.
Do not be fooled.
"Every tick" is extremely inaccurate and the EA is made to profit from market instability or inaccuracy.
Rather use the slower "Real Tick" option.
That will be closer to actual live data seeing that their time and dates for the different symbols are synchronised.
Still some good profit.

I hope to have some funds some day to complete this project and may test it using a VPS or even live.
If that day comes I will let you all know the results and final EA.

Please let me know if there is any broker with lower spreads and commission than MyFXChoice and I will test them.
I found some, but none that I can trust so far or that slipped everything I traded with them.
So far MyFXChoice seem to be one of the better brokers out there.
Something for others to aspire to.

@EVERYONE
@WARNING
@PLEASE DO NOT DRINK AND DRIVE
I received a couple of PMs where people want to run it on live accounts.
DO NOT RUN ON LIVE ACCOUNT.
IT WILL EAT YOUR CHILDREN.

But really.
It is way too unstable to run on live account.
Read post 1.
There are a lot of work before it can go live.
It will get there, but not soon as I ran out of funds long ago, but it will get there, just not now.

Run on DEMO or back test.
This is still just a proof of concept.


@kb77
Post 114
That is perfectly fine.
ERROR= "blank" is perfect and the EA is running.
Spies ok
Is also a good message, because it is saying that it connected to the 3 symbols and are waiting for ticks from them.

Post 115
I never had this problem, but then again I am running it on my server and not a VPS.
I assume you have got access to a nice VPS.

This is a message from metatrader indicating the EA is too slow ... duh

Well. That is very true.
Even though the EA is saying 11 it is actually version 132 or something like that and contains thousands of lines of code .... 70% of which are old stuff that are now useless and just slowing things down, but mostly the visual side of the EA I think are the big problem.

It draws on average 500,000 lines on the screen to show the inner workings of the EA.
Also looks cool
But uses a couple of gigs of memory and obviously very slow.

Please see attached EA for a faster version using less memory, but no lines.
Just add this EA to your chart instead of the other.

Use the other one on a faster computer to see how the EA works on the chart.
It is sometimes nice to see how Arbitrage looks than just the theory, but not needed if you are forward testing.

thanks downloaded on my vps and working fine lets see how it goes will update soon

@badeel

I wish I was you

Just remember it can not pick up already open trades.
Not yet.
So if you restart metatrader then only do it when there are no trades.


@EVERYONE
I forgot to mention.

If you want to look at the inner workings of the EA and you are using the EA with the lines then keep in mind the lines are HUGE.
So zoom the chart they are drawn on out until you can see all the lines.

You can zoom the chart by left click dragging down on the right hand side of the chart on the currency values displayed for each horizontal line on the chart.
Keep zooming out until you can see the full picture.

The currency line means nothing.
The lines the EA draws are what is actually happening in the back ground.

Also change the chart color to black to that the lines are more visible.

here screen shot of my pc
sir let me know if anything wrong also check expert message is it alright or some problem.
thanks for your time

@badeel
Yes that look good from what I see.

It connected to all 3 symbols according to the logs and is running.

You need to change the colors of your chart and zoom the chart out to see the rest of the lines.
Make the background black and the price lines white.

Then you can see how the ASK/BID spread and instabilities play with each other.
as with this :
https://www.mql5.com/en/charts/75036...choice-limited

You can zoom out by dragging down on the right side of the chart on the horizontal bar prices.
Zoom a couple of times until you see all the lines.

It does not look like the EA has started monitoring yet, but I can not see the whole chart so I do not know and it only start 1 hour after activation.