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Auction Market Value Theory & Analytics Expert Advisor

  • Linked: Auction Market Value Theory & Analytics | Brokerage Account XXXXXX19 Starting Jan 5, 2020
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  • #21
  • Edited 10:32am Jun 4, 2018 12:45am | Edited 10:32am
Hi,

I'd like to explain a bit about the Auction Market Value Theory & Analytics EA, using an example from my live account (see Trade Explorer).

I attach a screenshot from my metatrader, where you can see 4 open positions. one of them is AUDUSD, buy at 0.76147.

1) the order was opened after such level was retested. As you can see in the picture, the level around 0.76147 was tested already in the past 15 days, and was tested in the mid-term at least other 4 times. It seems a quite important resistance.
2) the order was opened with a stop loss (0.75419) and a Take Profit (0.77603). The stop loss was set at the lower level of value area of the last 3 days Overlay, and the Take profit is just 2 times the stop loss (depending of the setting in the input parameters).
3) the blue line is the trailing level, again this depends on the settings in the input parameters. If the price goes beyond this line AND it holds (e.g. there will be bracketing in the 3 days overlay), a trailing stop will be set. Or, if the price goes beyond this line and Activity (ATR, Volume and other parameters) will be increasing, an automatic orderclose will be sent.
4) if after 15 days the price will be between the order open level and the trailing level (e.g. a "not really convincing trend"), an automatic order close will be sent.

Summarizing, this AUDUSD order can be closed in 5 different ways:

1) Stop loss
2) Take Profit
3) Trailing stop
4) Order close due to high activity
5) Order close due to lateral wandering

Let's see what happens
Attached Image (click to enlarge)
Click to Enlarge Name: audusd.png Size: 110 KB
  • #22
  • Jun 4, 2018 1:55am Jun 4, 2018 1:55am
Hi,
can you tell me what this error means?
Thank you.
Attached Image (click to enlarge)
Click to Enlarge Name: _Overlay ERR_cr.png Size: 27 KB
  • #23
  • Edited 6:15am Jun 4, 2018 2:25am | Edited 6:15am
Quoting Lopuch
Hi, can you tell me what this error means? Thank you. {image}
Hi,

the Auction Market Value Theory & Analytics EA stores in memory (e.g. vectors) a lot of important information, that has to be avaiable also if you stop or reinitiate the EA (for instance it happens if you attach the EA to a chart and later you change the timeframe).

So in order not to lose this information, the EA has a persistency feature. this means it stores in files a lot of information.
These persistency files are stored in /Common/Files (a level above /MQL4).
Every time the EA is reinitiated, it goes to such files to retrive information.

The first time you launch the EA there are not such files, so you get this error.

The first time that data are refreshed (input parameter RATE in minutes), files will be read again without errors.

I normally set RATE=5, this means after 5 mins the error disappears.

Nevertheless, I notice that you got the error in several charts (GBPUSD, EURUSD). Did you attach the EA to more than 1 chart? this is not necessary, actually you must attach the EA only to one chart.

So, in order to clean your situation I suggest:
1) close all the charts where you attached the EA
2) go to /Common/Files and delete all the files that the EA created
3) restart MT4
4) attach again the EA to 1 chart only
5) set the input parameter RATE=5

after 5 minutes, you should have a clean situation in Expert Tab

please let me know if this helps

cheers
  • #24
  • Jun 4, 2018 8:09am Jun 4, 2018 8:09am
Just a note to those getting a zero divide error - the EA gathers information from 28 pairs from one chart and thus needs data from all pairs before running the calculations. You can avoid the error by loading history for all 28 charts before attaching the EA.

A note to the OP. You can avoid this error by loading data within the code. Another common mistake with this type of EA is doing calculations on ticks. because MT4 is a tick driven software, the last bar of all pairs may not have loaded yet, especially during the Asian session when ticks are coming in slowly (it might take a minute or more for a new tick to appear and the new bar to form. You can also control for this in code by performing a check on the Time[0] and comparing it to your System time.
  • #25
  • Jun 4, 2018 8:28am Jun 4, 2018 8:28am
Quoting Sciurus
Just a note to those getting a zero divide error - the EA gathers information from 28 pairs from one chart and thus needs data from all pairs before running the calculations. You can avoid the error by loading history for all 28 charts before attaching the EA. A note to the OP. You can avoid this error by loading data within the code. Another common mistake with this type of EA is doing calculations on ticks. because MT4 is a tick driven software, the last bar of all pairs may not have loaded yet, especially during the Asian session when ticks are...
Hi,

thanks a lot for your suggestion.
Actually I never got this error, would you be so kind in sending me the log and your set so I can investigate a bit?

thanks!
  • #26
  • Jun 4, 2018 8:32am Jun 4, 2018 8:32am
Quoting fabiodgt
{quote} Hi, thanks a lot for your suggestion. Actually I never got this error, woud you be so kind in sending me the log and your set so I can investigate a bit? thanks!

Just the default settings for the EA.
Attached Image (click to enlarge)
Click to Enlarge Name: Screen Shot 2018-06-04 at 11.30.43 AM.png Size: 25 KB
  • #27
  • Edited 9:47am Jun 4, 2018 8:58am | Edited 9:47am
Quoting Sciurus
{quote} Just the default settings for the EA. {image}
Hi,

the error comes from line where there is a division of ATR for a normalization number that depends from digits of the pair

I calculate the number of digits (5 or 3) with MarketInfo command from the broker.

My broker answers to all 26 pairs as 5 or 3 digits, so I never get an error, maybe that is not general to all brokers.

Of course, You will get the divide by zero error also in case of no answer from the broker (e.g. broker not connectetd at initialization time)

Anyway, the default set is dummy, a better one is in the .zip
  • #28
  • Jun 4, 2018 9:59am Jun 4, 2018 9:59am
I set up the two EAs a few hours ago.
How long before I should start seeing trades?
Thanks
  • #29
  • Jun 4, 2018 10:19am Jun 4, 2018 10:19am
Quoting billbss
I set up the two EAs a few hours ago. How long before I should start seeing trades? Thanks
Very good!

did you load the .set included in the .zip?

If yes:
- for the Market Profile EA, if conditions apply, every day after 18:00 it could open a buy stop or sell stop pending order. As an average, this EA closes 2-4 trades per week
- for the Auction Market Value Theory & Analytics EA, (I suggest to modify RATE=5 after loading the .set) you will see in the Expert Tab if there are virtual pending orders opened. This information will be refreshed every 5 minutes. In my experience, the real market positions are opened 1-3 days after the EA was launched, but as positions last for many days, I expect that the average number of open positions will be stabilized after a couple of weeks, I expect it will be 3-5 maybe more. For instance in this moment my live account has 2 real orders from this EA (AUDNZD and NZDUSD) and 15 virtual pending orders (in the Expert Tab)

cheers
  • #30
  • Jun 4, 2018 10:19am Jun 4, 2018 10:19am
Quoting fabiodgt
{quote} Hi, the error comes from line where there is a division of ATR for a normalization number that depends from digits of the pair I calculate the number of digits (5 or 3) with MarketInfo command from the broker. My broker answers to all 26 pairs as 5 or 3 digits, so I never get an error, maybe that is not general to all brokers. Of course, You will get the divide by zero error also in case of no answer from the broker (e.g. broker not connectetd at initialization time) Anyway, the default set is dummy, a better one is in the .zip
Thanks for the info. I may have been due to me not having all pairs visuble in the Market watch window, then. It was anew platform install. Once i had added all pairs to market watch and loaded history for all pairs the error went away.
  • #31
  • Jun 4, 2018 10:27am Jun 4, 2018 10:27am
Quoting Sciurus
{quote} Thanks for the info. I may have been due to me not having all pairs visuble in the Market watch window, then. It was anew platform install. Once i had added all pairs to market watch and loaded history for all pairs the error went away.
Yes, this explains.

I believe this is a general information for all the ones that are running this EA: be sure that Market watch window has all the pairs.

Thanks a lot, Sciurus, really helpful!
  • #32
  • Jun 4, 2018 11:07am Jun 4, 2018 11:07am
Quoting fabiodgt
{quote} Very good! did you load the .set included in the .zip? If yes: - for the Market Profile EA, if conditions apply, every day after 18:00 it could open a buy stop or sell stop pending order. As an average, this EA closes 2-4 trades per week - for the Auction Market Value Theory & Analytics EA, (I suggest to modify RATE=5 after loading the .set) you will see in the Expert Tab if there are virtual pending orders opened. This information will be refreshed every 5 minutes. In my experience, the real market positions are opened 1-3 days after the...

What is the name of the set for the Auction Market Value Theory & Analytics EA?
  • #33
  • Jun 4, 2018 11:12am Jun 4, 2018 11:12am
Quoting billbss
{quote} What is the name of the set for the Auction Market Value Theory & Analytics EA?
follow_test2.set

it's in the .zip of post #1
  • #34
  • Jun 4, 2018 11:24am Jun 4, 2018 11:24am
Quoting fabiodgt
{quote} follow_test2.set it's in the .zip of post #1
Just to be sure- what sets go with the Market Profile EA? I have one on EURUSD and one on USDJPY.
  • #35
  • Edited 11:57am Jun 4, 2018 11:28am | Edited 11:57am
Quoting fabiodgt
Hi, I made some improvements to the Market Profile EA, now I believe it has better performances. I attach the result I got with EURUSD, that is higher profit and lower DD compared to previous release: http://fabiotest.ddns.net/eurusd_314.htm The set I used is optimized in the last 5 months, but the performance in the previous 12 months is also good, this is a good thing I believe. I attach a .zip with the EA, the custom indicator and set. If you run the EA in demo, I suggest to attach to a M30 chart, and also attach to the same chart...

Hi,

I think I found a good set for USDJPY for the Market Profile EA.

this is the test:

http://fabiotest.ddns.net/usdjpy_314.htm
Attached File(s)
File Type: zip usdjpy_314.zip   1 KB | 252 downloads
  • #36
  • Jun 4, 2018 11:38am Jun 4, 2018 11:38am
Quoting billbss
{quote} Just to be sure- what sets go with the Market Profile EA? I have one on EURUSD and one on USDJPY.
with Market Profile EA (ver. 314) you can:

- attach to a EURUSD M30 chart, with eurusd_314.set (see post 15)
- attach to a USDJPY M30 chart, with usdjpy_314.set (see post 35)

in both chart you can also attach the R-MarketProfile_open indicator for a visual effect
  • #37
  • Jun 4, 2018 11:50am Jun 4, 2018 11:50am
Quoting fabiodgt
{quote} with Market Profile EA (ver. 314) you can: - attach to a EURUSD M30 chart, with eurusd_314.set (see post 15) - attach to a USDJPY M30 chart, with usdjpy_314.set (see post 35) in both chart you can also attach the R-MarketProfile_open indicator for a visual effect
I forgot....just be sure to change the Magic Number if you use 2 charts
  • #38
  • Jun 4, 2018 2:29pm Jun 4, 2018 2:29pm
Quoting fabiodgt
Hi. With the Auction Market Value Theory & Analytics EA you can trade in parallel 26 pairs. This EA is rather unique, as it is capable to "follow the market", this means: - no optimization is needed - the same set of input parameters is good for all pairs - you dont' need to change the set even if market conditions change. The same set will, in principle, be ok "forever" This 3 unique features mean that the EA is not "manually adapted" to a specific pair in a specific timeframes, as it normally happens when you otpimize a pair in a past period with...
I am intrigued by your work and more importantly, by your courage to put up a live TE out in the open. Kudos for that bro. Throughout my "research-based journey", I have pushed Mr. Vega's work on AMVT and Market Profile on the sidelines because I always thought it was based on tick and volume which I did not want to include in my building blocks. Now that I have put to use everything I have learnt starting this year, I see very much similarities to my EA design to your work especially when you say "ONLY use M1 timeframe".... this rocked my boat because even I am a believer of the M1 Candle but not ""open prices only"" but "closed prices only" which I guess is the same thing.

I like to dig in from the bottom up so I am wondering if you could share some code used either in your EA or publicly available indicators or EA (based on M1) that I can plug and play with my framework to see if it jives well with my theories? I don't run exe due to obvious concerns hence the ask.

EDIT: I use the attached script every few times a week for my EA. It gives a quick visual of all pairs and all timeframes. I found the source code here on FF and modified it to my use. You can increase/decrease the 'speed' to your own preference. veefx in the filename means I use it... does not mean I wrote it :-
Attached File(s)
File Type: mq4 ForceLoadHistoricalData_mod(Veefx).mq4   9 KB | 350 downloads
Staying in my lane...
  • #39
  • Jun 4, 2018 2:47pm Jun 4, 2018 2:47pm
I've had EA attached to chart for over 12 hours, and not a single trade in 28 pairs. Is this normal?
There are no errors in journal tab, and in the expert tab there is a lot of different messages, which I assume is normal.. yet no trades..

Quote
2018.06.04 22:29:08.393 Overlay28multiGapClosev531DEMO GBPUSD,H4: step USDJPY 10
2018.06.04 22:29:08.393 Overlay28multiGapClosev531DEMO GBPUSD,H4: TFF 11.0 TPO 1593nmax 138
2018.06.04 22:29:08.393 Overlay28multiGapClosev531DEMO GBPUSD,H4: atr 0.1016458333333336
2018.06.04 22:29:08.393 Overlay28multiGapClosev531DEMO GBPUSD,H4: va range 0.9200000000000017
2018.06.04 22:29:08.393 Overlay28multiGapClosev531DEMO GBPUSD,H4: range 1.378
2018.06.04 22:29:08.393 Overlay28multiGapClosev531DEMO GBPUSD,H4: volume 418911
2018.06.04 22:29:08.393 Overlay28multiGapClosev531DEMO...
  • #40
  • Edited 3:21pm Jun 4, 2018 2:58pm | Edited 3:21pm
Quoting fabiodgt
Hi. With the Auction Market Value Theory & Analytics EA you can trade in parallel 26 pairs. This EA is rather unique, as it is capable to "follow the market", this means: - no optimization is needed - the same set of input parameters is good for all pairs - you dont' need to change the set even if market conditions change. The same set will, in principle, be ok "forever" This 3 unique features mean that the EA is not "manually adapted" to a specific pair in a specific timeframes, as it normally happens when you otpimize a pair in a past period with...
Just to share my perspectives and why I am here :-

This EA is rather unique, as it is capable to "follow the market" So do I , this means:
- no optimization is needed Neither do I
- the same set of input parameters is good for all pairs So do I... my EA has over 350 parameters but not as an input... they all remain the same for entries. My entries are all universal and applicable to all timeframes and all pairs.... regardless of market condition... see the similarities in our approach?
- you dont' need to change the set even if market conditions change. The same set will, in principle, be ok "forever" 100% agree. Any entry that is based on a specific market condition is a failed strategy....I believe this is the reason why strategies stop working for a 'while'
This 3 unique features mean that the EA is not "manually adapted" to a specific pair in a specific timeframes, as it normally happens when you otpimize a pair in a past period with the Strategy Tester. Having a good backtest result when you use optimization is rather easy...but this doesn't mean that the EA will perform in the same way in the future, simply because market conditions can be very different! I don't believe in backtesting or optimization
This EA is really playing on another level (I agree!)...it adapts to the market variations (Yep... it is necessary!) and adapts (Yep... it is necessary!) to all the pairs (Yep... it is necessary!) without changing the input parameters(Yep... it is necessary!) !! In my long experience I have never seen such a feature in an EA, did you? (mine does and it took me 2.5 years of hard work and suffering to build my own EA from learning to code..it is over 10K lines condensed in size or over 50K un-condensed!)
So, how is it possible that this EA "understands the market"?
The EA doesn't use "common" indicators (mine does not use ANY indicator), instead is based on a Theory, that is called Auction Market Value Theory & Analytics. (VeeFX:Universal Time Action Theory) So, let me tell you a bit about this. (I have already shared I can in my recent posts)
It is well described here:https://www.forexfactory.com/showthread.php?t=482744, and is an evolution of Market Profile Theory (see here: https://www.forexfactory.com/showthr...528resources); it's based in understanding the market mood, that is in a sentence "is the present price far from the proper value that the market has in mind?"...it is not a day trader or scalping tecnique, it is rather a position technique. Normally positions are kept open for weeks.
Important to understand is the concept of Overlay in a specific Timeframe, (Agree, I use 32 different timeframe combinations) in a few words it is an envelope of prices in the last days, and helps understanding where the value is and if the value is stable or not.
An Overlay is "Bracketing" (in other words.. Look in the inside of the inside of the inside.... recursively to breakdown price behavior in it's most elemental form) when the price stays in a channel, almost if the price was "between brackets".
When you have Overlays Bracketing in different timeframes, it means that the price is wandering in the same channel since many days (Agree... it is all relative)...this is a very interesting situation, as long stability in the market is often a signal for a future breakout. (Agree.. In my theory, price is ALWAYS breaking out or Trending or Diverging from Mean"
Here is where my EA trades, looking for "too stable" conditions (mine too... although I only run my EA in idle state when market is not moving and get aggressive when market is moving) in specific bracketing patterns (no patterns for me that are based on price...as I only use closing price with no price history and waiting for them to explode (me2 bro)! If they do, the EA uses a very smart tecnique for setting stoploss ( I don't use stoploss or any orders), take profit (nope) and trailing stop(nope)

You will not find any pip to set such values in the EA (I also completely ignore Pips WTF dude!... this is getting better by every sentence), as the EA understands the best values to set them(hmm.. interesting). If you run the EA, you will see that the stoploss is always hidden under a price support, the same with trailing stop. (I don't use SL)

I understand that if you are not familiar with Overlay and Market Profile (That is me!), this explanation may seem a bit confusing, but I am available to try to explain a bit more, just send me a message. (Let's have a dialogue in the open so others can learn from our collective experience)
Some hints:
- when testing, ONLY use M1 timeframe, it is mandatory for accuracy (I would replace accuracy with Relevancy) . If the testing is too slow, you can use "open prices only". You need at least 2 years of data with M1 and M30 timeframes. (mine only requires the last closed candle)
- when running in a demo account, you can adjust the RATE parameter. That is the number of minutes for a refresh of all calculations, normally I keep it at 5. Of course you can also adjust the lot size (recommend 0.6 lot with an initial balance 10000 EUR, if balance is less just reduce the lot in proportion, e.g. balance 1000 EUR lot size 0.06).It is not necessary to change the other parameters, the EA has already a good set, just load the one in the .zip.
About my test results:
I've been using the same set that is included in the .zip, running a 15 months test (my EA cannot be backtested)(in M1, initial balance 10000) on all 26 securityes; as the EA is trading in parallel all 26 pairs (mine requires to work with all 28 pairs in a single EA instance running as it has some build in diversification. Which 2 pairs have your excluded?), in order to simulate the behaviour you have to SUM the test results:
Staying in my lane...
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