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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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  • #41
  • Jun 5, 2018 1:35am Jun 5, 2018 1:35am
Quoting johnsmith2nd
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}
Hi,

that is normal.
I assume that you have loaded the .set in the zip file, named follow_test2.set, changing the RATE to 5.
This EA is not day trading style, but mid-long term.
If you have seen the test results, you can notice that each pair made 3-15 trades in 15 months...and that each trade can last for many weeks.

The EA will start slowly, but I believe that in a couple of weeks you will have many open positions.

You can check your Expert Tab, if there are virtual stop orders you will see something like this:

2018.06.05 08:22:37.908 Overlay28multiGapClosev53 GBPUSD,H1: USDCAD virtual SS at 1.2732 opened on 2018.05.31
2018.06.05 08:22:37.908 Overlay28multiGapClosev53 GBPUSD,H1: NZDJPY virtual BS at 77.446 opened on 2018.05.31
2018.06.05 08:22:37.908 Overlay28multiGapClosev53 GBPUSD,H1: GBPNZD virtual BS at 1.9697 opened on 2018.05.31
2018.06.05 08:22:37.908 Overlay28multiGapClosev53 GBPUSD,H1: GBPCAD virtual BS at 1.7416 opened on 2018.05.31
2018.06.05 08:22:37.908 Overlay28multiGapClosev53 GBPUSD,H1: EURUSD virtual BS at 1.1994 opened on 2018.05.31
2018.06.05 08:22:37.908 Overlay28multiGapClosev53 GBPUSD,H1: CHFJPY virtual SS at 108.945 opened on 2018.06.01
2018.06.05 08:22:37.908 Overlay28multiGapClosev53 GBPUSD,H1: CHFJPY virtual BS at 111.84 opened on 2018.06.01
2018.06.05 08:22:37.908 Overlay28multiGapClosev53 GBPUSD,H1: CADJPY virtual BS at 87.086 opened on 2018.05.31

if you draw an horizontal line on each H4 chart, you can see where the virtual stop order is compared to current price.
After 5 days, if nothing happens, these virtual orders will be cancelled, otherwise you will have real orders opened.

This EA takes a bit of time to get to start...it's a bit like fishing, patience can be a virtue
  • #42
  • Edited 4:47am Jun 5, 2018 2:13am | Edited 4:47am
Quoting VEEFX
{quote} 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...

Hello,

thanks for your post I really appreciate your message. Even if you are not in deep, I am happy that you have noticed the AMVA work, I think it is really good stuff.
Nevertheless, the main problem in that approach, on my opinion, is that is traditionally fully manual, apart from some spreadsheet support, and that means that you cannot backtest in order to obtain statistics. With no statistic how can you tell if it is good or not?
So what I did was to automatize 1 AMVA scenario, actually there are many more, in order to see if backtesting the overall statistic was positive.
I was really amazed when I saw that I obtained very good backtesting results on 26 pairs with the same generic set. OK, 2 were bad results, so I discarderd them. 93% success, seems good enough to me:-)
About your point on M1 in backtesting, the main reason for me is that Overlay calculation (it's a kind envelope of prices in a period, e.g. say 5 days) has to be accurate, you have to divide your chart in many slices and count how many times a candle hits a price slice....lots of calculations indeed, M1 candle is the only one accurate enough for that.

Instead, if you use the EA in demo, there you have tickdata and there is no problem at all with accuracy.

About souce code for plug&play..sorry I do not use indicators, the EA makes all the calculations from broker's data, from scratch

cheers
  • #43
  • Jun 5, 2018 2:33am Jun 5, 2018 2:33am
Quoting fabiodgt
{quote} Hello, thanks for your post I really appreciate your message. Even if you are not in deep, I am happy that you have noticed the AMVA work, I think it is really good stuff. Nevertheless, the main problem in that approach, on my opinion, is that is traditionally fully manual, apart from some spreadsheet support, and that means that you cannot backtest in order to obtain statistics. Whith no statistic how can you tell if it is good or not? So what I did was to automatize 1 AMVA scenario, actually there are many more, in order to see if backtesting...
Thanks. You did a good job in describing the reasons why I was not a big fan of Mr. Vega but he has always been at the back of my mind. By requesting source code, I meant any generic thing available related to Market Profile or AMVA. Understanding the language of code is far superior (to me) that taking someone's interpretation of the theory (and as you stated, I could not find any automation in those threads).

Anyways, good luck in your journey. I hope your EA survives the test of time... as I hope mine does. Just to add one more thing, mine trades quite frequently as it captures many cycles 24x5.... tilting the law of large numbers and law of averages in my favor. It does not affect me if one trade or even one day goes into loss.
Staying in my lane...
  • #44
  • Jun 5, 2018 3:12am Jun 5, 2018 3:12am
Quoting VEEFX
{quote} 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...
VEE,

" I don't run exe due to obvious concerns hence the ask."

Do you mean .ex4 or .exe?

Thanks
  • #45
  • Jun 5, 2018 4:07am Jun 5, 2018 4:07am
I've loaded the Market Profile EA to EURUSD. I've made sure I put custom indi into folder as well, and I loaded the set file you uploaded.
However I have gotten this error:

2018.06.05 10:03:14.812 Market_Profile_strategy314DEMO EURUSD,M30: initialized
2018.06.05 10:03:14.812 Market_Profile_strategy314DEMO EURUSD,M30: Error, For this symbolEURUSD can only trade in fixed lot: LOT_IS_FIXED = true
2018.06.05 10:03:14.812 Market_Profile_strategy314DEMO EURUSD,M30: Alert: Error input variables ŕdviser\nError, For this symbolEURUSD can only trade in fixed lot: LOT_IS_FIXED = true
2018.06.05 10:03:14.812 Market_Profile_strategy314DEMO EURUSD,M30: OrderCalcMargin: impossible to calculate for EURUSD
2018.06.05 10:03:14.812 Market_Profile_strategy314DEMO EURUSD,M30: cifredecimali 5 rapporto-1 99999.99999999999
2018.06.05 10:03:14.812 Market_Profile_strategy314DEMO EURUSD,M30: cifredecimali 5
2018.06.05 10:03:14.711 Market_Profile_strategy314DEMO EURUSD,M30 inputs: General==== General options ===; GAIN=10; doji_height_point=180; CANALE_MINIMO=72; dist_sl=35.5; delete_pending=false; max_val_area=33.5; ratio_range_varea=2.64; orainizio=18; rapp_sl=0.49; usa_stop=true; usa_limit=false; rapp_sl_limit=1.99; rapp_tp_limit=0.6; rapp_ts_limit=4.4; fatt_step_limit=2.9; PERIODMP=30; PERIODOCANALE=270; MIN_DIST=3; TAKE_PROFIT=310; INSIDE_LEVEL=2; TRAILING_STOP=46; TRAILING_STEP=22; ORDER_STEP=25; SLIPPAGE=2; LOT=1.2; LOT_IS_FIXE
2018.06.05 10:03:00.606 Expert Market_Profile_strategy314DEMO EURUSD,M30: loaded successfully
2018.06.05 10:02:53.120 R-MarketProfile_open EURUSD,M30: initialized
2018.06.05 10:02:53.120 R-MarketProfile_open EURUSD,M30: Version 1.6.2
2018.06.05 10:02:46.010 Custom indicator R-MarketProfile_open EURUSD,M30: loaded successfully
  • #46
  • Jun 5, 2018 4:45am Jun 5, 2018 4:45am
Quoting johnsmith2nd
I've loaded the Market Profile EA to EURUSD. I've made sure I put custom indi into folder as well, and I loaded the set file you uploaded. However I have gotten this error: 2018.06.05 10:03:14.812 Market_Profile_strategy314DEMO EURUSD,M30: initialized 2018.06.05 10:03:14.812 Market_Profile_strategy314DEMO EURUSD,M30: Error, For this symbolEURUSD can only trade in fixed lot: LOT_IS_FIXED = true 2018.06.05 10:03:14.812 Market_Profile_strategy314DEMO EURUSD,M30: Alert: Error input variables ŕdviser\nError, For this symbolEURUSD can only trade in fixed...
Hi,
I believe this is due to some broker setting, can you try to put input parameter LOT_IS_FIXED at TRUE (in text it appears as "Lot")?
thanks
  • #47
  • Jun 5, 2018 7:42am Jun 5, 2018 7:42am
On the overlay EA, there is no setting called RATE.
Is there another designation it goes by?
Thanks
  • #48
  • Jun 5, 2018 7:49am Jun 5, 2018 7:49am
Quoting billbss
On the overlay EA, there is no setting called RATE. Is there another designation it goes by? Thanks
the text is
"rate in minutes for data refresh"
  • #49
  • Jun 6, 2018 12:56am Jun 6, 2018 12:56am
Quoting VEEFX
{quote} Thanks. You did a good job in describing the reasons why I was not a big fan of Mr. Vega but he has always been at the back of my mind. By requesting source code, I meant any generic thing available related to Market Profile or AMVA. Understanding the language of code is far superior (to me) that taking someone's interpretation of the theory (and as you stated, I could not find any automation in those threads). Anyways, good luck in your journey. I hope your EA survives the test of time... as I hope mine does. Just to add one more thing,...
Thanks, and good luck to you
  • #50
  • Jun 12, 2018 11:43am Jun 12, 2018 11:43am
Do the virtual orders persist through reinitialization of the EA? i.e. are they stored in the data file in the Files folder?
  • #51
  • Jun 12, 2018 1:41pm Jun 12, 2018 1:41pm
Quoting Sciurus
Do the virtual orders persist through reinitialization of the EA? i.e. are they stored in the data file in the Files folder?

Hi,

yes all the virtual order parameters are stored in the file system. This means that data are not lost due to reinit of the EA.

You can find the file one level abobe /MQL4 folder, under /common/files.

If you uninstall the EA and then clean the files, after reinstall you will have a clean situation.

cheers
  • #52
  • Jun 12, 2018 1:42pm Jun 12, 2018 1:42pm
I've had this loaded for 1 week, not a single trade. Seems strange.?
  • #53
  • Edited 2:43pm Jun 12, 2018 2:28pm | Edited 2:43pm
Quoting johnsmith2nd
I've had this loaded for 1 week, not a single trade. Seems strange.?

Hi, no I do not think it's strange, market is quite still in this period.

The EA should open virtual orders at the border of the Overlay, but if the price keeps in a channel the EA will not enter. This is better I think...

How many virtual orders do you have in this moment (see in Experts tab)?

cheers
  • #54
  • Jun 13, 2018 1:42am Jun 13, 2018 1:42am
Its can be little missunderstand, when you have MT instaled on another partition, then stored files are not here, but in folder for MT in System partition.
  • #55
  • Jun 13, 2018 1:49am Jun 13, 2018 1:49am
Quoting Lopuch
Its can be little missunderstand, when you have MT instaled on another partition, then stored files are not here, but in folder for MT in System partition.
I really don't know what happens with partitions...I used standard Mt4 file functions,

https://docs.mql4.com/files/fileopen

where if you set open_flags parameter= FILE_COMMON then:

"FILE_COMMON location of the file in a shared folder for all client terminals \Terminal\Common\Files"
  • #56
  • Jun 19, 2018 3:56am Jun 19, 2018 3:56am
Hello,

an information for all the ones that downloaded the Overlay EA.

As it uses a position strategy, it will open market positions normally 2-3 days after installing.
From my experience, in order to reach a regime condition, you will have to wait at least 10 days.

I believe in regime conditions you can have up to 6-8 simultaneous open trades, with an average closing of 2-4 trades per week.

You can check this behaviour on my live trade explorer.

cheers
  • #57
  • Jun 19, 2018 5:22am Jun 19, 2018 5:22am
hi fabiodgt, just a question
I manually entered some trades like your ea after looking at my spreadsheets, for example audchf. Now I am waiting for the market conditions change to exit my position....Why the ea closed audchf?...it's not premature?....in other words...how your ea manage the entries?...trailing stop...target...changes in market condition?

thnx
  • #58
  • Edited 6:36am Jun 19, 2018 6:16am | Edited 6:36am
Quoting franzdoro
hi fabiodgt, just a question I manually entered some trades like your ea after looking at my spreadsheets, for example audchf. Now I am waiting for the market conditions change to exit my position....Why the ea closed audchf?...it's not premature?....in other words...how your ea manage the entries?...trailing stop...target...changes in market condition? thnx

Hi franzodoro, welcome to this thread!

I understand you checked the audchf entry of the Overlay EA, and after comparing with your own data, you decided to enter a manual order.
That sounds good, it seems that your data and the Overlay EA agree on the entry, so I suppose you are a follower of the Auction Market Value Theory & Analytics, am I right?

About you question:

entry strategy-->when both Overlay (long and short) are in bracketing, and there is a gap (e.g. for a buy) between the upperlimit of the short overlay and the upperlimit of the long overlay. in that condition, if also ACTIVITY is high, a virtual buy order is set at the higher upperlimit. Then...if the price in the following days reaches the target and holds, a real buy order is opened.

exit strategy--> there are several ways to close an order:
1) stop loss (that is automatic, at the lower Value area range of the 3 days overlay)
2) take profit (a multiple of the stop loss, for instance 2 times stop loss)
3) trailing stop, that is set if the price reaches a target (stop loss is moved to the next 3 day overlay lower value area)
4) order close, when price reaches trailing stop level and Activity is rather high

so, what happened with audchf? it was closed in automatic by an orderclose( point 4) because price was beyond trailing level and Activity was rather high. A very high activity is often sign of a "tug of war" between buyers and sellers...so it may be a good decision to close...you never know who is going to win!

I hope this quick explanation helped

cheers
  • #59
  • Jun 19, 2018 7:21am Jun 19, 2018 7:21am
Quoting fabiodgt
{quote} Hi franzodoro, welcome to this thread! I understand you checked the audchf entry of the Overlay EA, and after comparing with your own data, you decided to enter a manual order. That sounds good, it seems that your data and the Overlay EA agree on the entry, so I suppose you are a follower of the Auction Market Value Theory & Analytics, am I right? About you question: entry strategy-->when both Overlay (long and short) are in bracketing, and there is a gap (e.g. for a buy) between the upperlimit of the short overlay and the upperlimit...
Hi fabiodgt, thanx for your reply,
I studied AMVT for about 1.5 years, (very hard), I'm not a robot fan because in the past I had bad experience with it ...I think every trader has to follow his own path,...but never say never...maybe one day robots will rule the world (!?!?). Currently I am short on audchf ... wait at the window and watch at your ea

cheers
  • #60
  • Edited 9:18am Jun 19, 2018 9:02am | Edited 9:18am
Quoting franzdoro
{quote} Hi fabiodgt, thanx for your reply, I studied AMVT for about 1.5 years, (very hard), I'm not a robot fan because in the past I had bad experience with it ...I think every trader has to follow his own path,...but never say never...maybe one day robots will rule the world (!?!?). Currently I am short on audchf ... wait at the window and watch at your ea cheers

well, 1.5 years of study of AMVA, Chapeau!!

for the ones not familiar with it, here is a thread where it's very well described: https://www.forexfactory.com/showthread.php?t=482744

Actually I believe AMVA is traditionally a semi automatic trading technique, lots of end of day data and spreadsheets involved, and I can tell you they are not big fans of Expert Advisors...

I was intrigued a lot too by AMVA, but I thought that it could be a good thing to try a real time full automatic approach for it... I see several advantages in it.
But you are right, the only answer to the question if this is good or not is time: so, let's see what happens to this live trade explorer in some months
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