Auction Market Value Theory & Analytics

Hi TraderFox27, thanks for your effort.
I'm sorry that i saw your post too late, but there is a way to obatin a local browsable copy from waybackmachine, so hope that you had used an automated downloader.

this idea crossed my mind too, but you were faster ... thank you very much!!!

Well I actually did it all by hand. I didn't know that there was another option. Could you explain the process? Will all the articles end up in a PDF file? Or do I still have to go through every single article by hand when I have it everything downloaded on my hard drive?

Thanks in advance.

Ouch! By hand was a lot of job!
Anyway, you can follow the instructions here:
https://superuser.com/questions/8289...ayback-machine
You must install Ruby and then use the gem file from "Wayback Machine Downloader" link in the discussion that I have linked.
It creates a local website copy with local links. Then, with other software, you can create a pdf file.
Happy cloning

thetail,
Is that working similar like this or different? Interesting.
http://www.httrack.com/page/2/en/index.html

I have never used this sofware, I used teleport pro years ago, anyway the concept is similar, probably you get similar results.
But the resource that I have linked is specific for waybackmachine sites, it has specific options that you can use when you create a local copy

TraderFox27, thank you so much for posting this, much appreciated!!

Hello,

I am rather new to this forum, but I have to say that it's very very interesting, so thankyou mzvega for sharing your experience and giving us the opportunity to learn!
I was introduced to this theory by a friend of mine, that was using a semi-manual approach, collecting data, processing with excel macros and obtaining useful market information for manual trading.

I have a bit of experience in mql4 programming, and I noticed that all he was doing could be fully automated.

So, after a month of programming I ended up with an Expert Advisor that:
- elaborates 30 minute bars info (for instance 240 bars, that is 5 days), calculates the Overlay profile, and decides if the bracketing condition is fulfilled;
- then for each 3-day Overlay profile contained in the full 30 bars period, calculates: POC, VA, upper/lower limis, and all Direction and Activity Parameters
- then it compares Direction and Activity Paramaters between 3days Overlays, obtaning an integer number for DIR and ACT, and VA (Value Area) variation (high, low, inside).
- then, buy/sell conditions are set: for instance "bracketing yes, DIR>2 and ACT>0 and VA UP"; if a condiotion is set, a virtual buy/sell stop is calculated at upper/lower limit
- finally, if price is above the virtual buy/sell level for a number of minutes (eg. 25), a real buy/sell order is issued in the market
- all order parameters (stop loss, take profit, trailing stop and trailing step) are non expressed in pips, but as a factor of VA range (for instance take profit= order price + 4*VA range)
-also, an automatic order close can be issued if a condition is met (for instance, there is a buy order in profit and a sell signal arrives)

the Expert Advisor can calculate all this information at a configurable rate: for instance once a day or each half hour), and for a number of equities (EURUSD; USDJPY.....). in this moment I have the EA running in demo environment with 28 equities with 30 minutes update rate.

I believe that several advantages could be obtained with an automated approach:
- play simultaneously with a very high number of equities
- no emotions, no manual mistakes
- possibility to test the strategy with the Mt4 Strategy Tester
- 24 hours * 5 days a week operations

I checked the data calculated by the EA with the tools that I found in this forum (MP-Multi Composite Profiles) , and results are consistent.

In this moment the demo is running...let's see what happens in some weeks/months!

If somebody is interested in this automated approach I will be happy to share information/results.

Again, thank you so much for this really interesting forum!!!

fabiodgt,
Can you please share your findings and your ea. Thanks. JP

Hi JPworks, I can surely share an executable.

The EA runs on Metatrader4, on a demo account or for backtesting in Strategy Tester.
For testing, it is mandatory having good historical data (e.g. Tickstory) with at least M1 M5 and M30, and running the test at M1 timeframe.


Following a description of the input parameters:


NUMERO_BARRE: it's the number of the last 30 minutes bars considered (e.g. 240 is 5 days). Bracketing condition, upperlimit and lowerlimit are calculated respect to this timeframe
STEP: is the price step in point considered for calculating the overlay profile (e.g. 10 is 1 point)
TICKVALUEURUSD: tick value for EURUSD, has only meaning for testing and when using tickvalue correction (see below PIPVALUE). just leave defalut value
producifile, OutFileName: when testing, an historical report with meaningful overlay data can ben produced. just leave producifile at false
producireport, OutReportName, orareport: when running in demo, a daily report file with overlay data for each of the 28 equities can be produced. just leave producireport false
MIN_TPO: minimum number of TPO for each price for a distribution (e.g.3)
MIN_GAP: minimum number of price steps for a distribution (e.g. 4)
ore_wait_bracketing: oa virtual order will be issued if conditions are met and bracketing condition is true at least since this number of hours (e.g. 48)
NUMERO_CAMBI: number of equities considered. leave at 28;
lot: lot for orders
MAGICNUMBER: metatrader "magic number", unique for each terminal (e.g. 9090)
ORDER_BRACKET; this ea can also work for reverse orders. leave it at false, if somebody is interesed I can provide a description of the related parameters.
STOP_TREND: true (means trend orders are allowed)
NMIN: number of minutes "on hold" before opening a market order after price limit has been reached. for a buy, for instance only if the bid is > pricelimit for this number of minutes a real buy order will ben sent to the market. It helps in avoiding "false price spikes" when entering in the market
DIST: when a condition is met, a virtual order is opened. This is not an order in the market, only appears in Expert tab. the order, for instance for a buy situation, is set at upperlimit level of the 5 days Overlay profile. If DIST is different from zero, there is an offset in points respet to this level (e.g. 100, that is 10 pips above upperlimit)
FSTOPLOSS: all orders have stoploss. the stop loss is calculated as open price - (for buy) a fraction of 5 days Overlay price range. for instance, if FSTPLOSS is 0.5, stop loss is at a mid level between upperlimit and lowerlimit
FTAKEPROFIT. the same idea, for take profit
FTRAILINGSTOP: trailing stop is set, at a level that is a fraction of FTAKEPROFIT. For instance 0.5 means trailing step will start when reaching half of the level respect to take profit
FTRAILINGSTEP: trailing step is set. this is a fraction of trailing stop. for instance 0.5 means that the first trailing stop will be set at a level that is half of trailing level
NGIORNI: a virtual order will be canceled after this number of days, if not yet activated
UsaClose: if true, a buy order will be closed, if in profit, when a sell condition is met. same for sell
REF_ACT1, REF_DIR1: Overlay 3days are compared, last 3 days vs 3 days before. the result is Activity (ACT) ad Direction (DIR) calculation (all the parameters). if DIR>REF_DIR1 AND ACT>REF_ACT1 and Value Area variation is "UP" or "INSIDE",a virtual buy order at 5 days upperlimit (+DIST) will be opened. For a sell, if DIR<-REF_DIR1 AND ACT>REF_ACT1 and Value Area variation is "DOWN" or "INSIDE",a virtual buy order at 5 days upperlimit (+DIST) will be opened.

COMP_REF: a compression indicator (number of TPO / Vale Area for the Overlay 3 days). comparison is done, AND the compression must be higher of this value. conditions are similar to aabove, just put COMP istead of ACT and COMP_REF instead of ACT1
DAY_HIGH. for reverse orders, leave false
PIPVALUE: tickvalue correction. if true, stop levels are changed for a factor that is the rate of pipvalue of this equity respect to EURUSD.
RATE: all the overlay data are calculated at this rate (in minutes). the results of the calculation for 3 days overlay is shown in Exper tab, when in demo environment. This value has no meaning when backtesting
TESTING_HIGH_RATE: when backtesting, overlay data can be calculated once a day (if this is false) or eache 30 minutes (if this is true). this affects a lot performance, so if you set at true you should only test with "openprices"

Just copy the .ex4 under MQL4/Experts and fill the set data how you prefere, following above indications.

I really look forward to receive suggestions/contributions or maybe test results.

cheers
Fabio

Thanks Fabio, but I'm unable to load it.
Automatic trading is enabled and EA options are checked. Tried with 2 different brokers, same message:
cannot load 'C:\Users\........\MQL4\Experts\overlay28demo.ex4'

Probably we needs some extra lib file.

Hi thetail, strange, there are no libs...can you run backtest in Strategy Tester or you get the same error?

Same error.
Waiting to see if it happens others too or it's only my pc configuration fault.

Maybe ther was a problem in upload...I try again

Perfect, now it loads correctly.
Thanks!

good:-)

It's a rolling 240 bars (from now to 240 back that update bracket limits every new bar) or fixed 240 bar (from midnight to midnight for example)?
Because the second one is the right bracket. Maybe a switch can be useful.

In demo, all the parameters, including upperlimit and lowerlimit, are recalculated every RATE minutes.

For instance, if you set RATE=30, every 30 minutes everything will be recalculatd with the last NUMERO_BARRE bars.
If you set RATE= 1440 it will recalculate every 24 hours, starting from the moment you execute the EA the firset time. So, if you start the EA ad midnight, a day after everything will be recalculated.


When backtesting, you can choose between 2 modes:
TESTING_HIGH_RATE= true, will calculate everything each 30 minutes
TESTING_HIGH_RATE=false, will calculate everyting once a day at 23.30

I Hope this answers to your doubt

So, in demo mode, it's no possible to calculate past 5 days (EOD) overlay from midnight to midnight if I start the MT4 platfform at 10.45 AM for example?

in demo mode, In order to calculate 5 days (EOD) overlay from midnight to midnight you should start the EA at midnight.

In order to run properly I would recommend a VPS, always on