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Formula One Breakout Eas

  • #581
  • Nov 30, 2018 3:40pm Nov 30, 2018 3:40pm
hi everyone, been reading and following this thread recently, very nice group of people and interesting EA. hats off to C and R for the work they put in developing and sharing. have been playing around with the settings last couple of days trying to understand the nuts and bolts, think I have figured out most of it. I am US based trader in Florida so difficult to trade breakouts from Asia/Euro session. This EA seems to offer opportunity to take advantage. I am leaving tomorrow for a week vacation but when I return I will spend last few weeks of year testing in demo and then hopefully give it a shot in my live account beginning of year. I will be happy to share results/strategies along the way. thanks to all of those who have also given their input along the way.
  • #582
  • Edited 1:20pm Dec 1, 2018 12:55pm | Edited 1:20pm
You wanted stats.
Here's some, on what seemed to be the top performer a couple of weeks ago: AUDJPY

Test period from Jan 2015 - to date
All tests conducted using €10K starting capital and fixed 0.25 position size.

Scenario #1
Range from 22:00 - 00:30 GMT
Min/max range 5 pips / 20 pips
TP 20 pips SL 15 pips, no breakeven, no trailstop (results would be worse using that)
Spread 0.5 pips
My broker server time shift has been taken into account

Report
Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot1.png Size: 256 KB


Equity curve
Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot2.png Size: 303 KB


Partial trade history to verify entries/exits are according to the settings mentioned above
Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot3.png Size: 930 KB


Scenario #2
Test period from Jan 2015 - to date
Range from 0:00 - 01:00 GMT (the first H1 candle of Tokyo open)
Min/max range 5 pips / 20 pips
TP 1000 pips SL the opposite of the H1 candle size, moving stop to breakeven at 15 pips, no trailstop, close out trade on hitting TP or alternatively at 17:00 GMT (1 hour before London closes)
Spread 0.5 pips
Again, "my broker's" server time summer/winter shift has been taken into account

Report
Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot4.png Size: 250 KB


Equity curve
Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot5.png Size: 236 KB


My conclusions:

1. I have not been able to find settings that yield acceptable results. Although scenario #2 has acceptable DD, an acceptable profitfactor, during the whole of 2017 it did not make money (and I think 2018 is even slightly down).
2. Cut your profits, let your losses run... Set take profit level to for example 10.000 pips and if not reached by XX:XXh, close out the trade. In the last version of your breakout EA, this setting is missing...

Cheers,
LuX
Wisdom begins in wonder
  • #583
  • Dec 2, 2018 3:24am Dec 2, 2018 3:24am
Quoting claudia1
{quote} Hi - it'll be interesting as NUFC on a bit of a roll with win at Burnley on Monday. Go for a draw !
It was a gr8 match for West Ham...happy hammers
..better luck next time for Newcastle...!
Onwards and upwards...
  • #584
  • Dec 2, 2018 8:05am Dec 2, 2018 8:05am
Quoting soccerfan
{quote} It was a gr8 match for West Ham...happy hammers ..better luck next time for Newcastle...!
Not a good day - Lem would like this bet though. Never seen a one horse race before.
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  • #585
  • Dec 2, 2018 9:33am Dec 2, 2018 9:33am
Quoting LuXing
You wanted stats. Here's some, on what seemed to be the top performer a couple of weeks ago: AUDJPY Test period from Jan 2015 - to date All tests conducted using €10K starting capital and fixed 0.25 position size. Scenario #1 Range from 22:00 - 00:30 GMT Min/max range 5 pips / 20 pips TP 20 pips SL 15 pips, no breakeven, no trailstop (results would be worse using that) Spread 0.5 pips My broker server time shift has been taken into account Report {image} Equity curve {image} Partial trade history to verify entries/exits are according to the settings...
Thank you very much...I ll add this soon!
Vucking good EA coder... https://t.ly/AZjRM
  • #586
  • Dec 2, 2018 2:59pm Dec 2, 2018 2:59pm
Quoting reteid2222
{quote} Thank you very much...I ll add this soon!
Excellent ! And you would have to add 1 more functionality to approach these AUDJPY - my preliminary best effort - results.

Scenario #3 and the last one for now on AUDJPY
Test period from Jan 2015 - to date
Box range from 0:30 - 01:30 GMT (half an hour before and half and hour after Tokyo open)
Min/max range 5 pips / 20 pips
TP: 80% of the ADR (5 days) and SL 15% of the ADR (5 days), moving stop to breakeven at 15 pips, no trailstop, close out trade on hitting TP or alternatively at 20:00 GMT (London close + 3 hours)
Spread 0.5 pips

Reports
Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot2.png Size: 38 KB


Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot3.png Size: 68 KB


Equity curve
Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot4.png Size: 145 KB


These settings give a good enough PF for a breakout system, very low DD, statistically robust, very decent return to drawdown ratio, the only con is the under performance and long equity stagnation in 2018.

"Shorts only" will give a higher profit factor, a lower return to DD ratio, but a longer stagnation period.

Report (shorts only)
Attached Image (click to enlarge)
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Equity curve (shorts only)
Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot6.png Size: 143 KB


Cheers,
LuX
Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot1.png Size: 38 KB
Wisdom begins in wonder
  • #587
  • Dec 3, 2018 6:46am Dec 3, 2018 6:46am
Quoting claudia1
{quote} Been messing with the settings on Dax and hasn't taken any orders past few days. Think the stop probably would have been hit but it would have picked the drop up obviously. I'm looking at somewhere around 30 s/l and a 50 t/p on this - could do with the return of Lem ! Will have it up and running on live from Monday. These demo accounts are fine but it's not the same and spreads are different. The idea of automated trading is to make life easy - haven't worked so hard for years !
Looked today on demo trading the break but putting that lot on auto is beyond me, hence my admiration for R's skills.
Tricky looking one today -painful ?
Attached Image (click to enlarge)
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every Saint has a past. Every Sinner has a Future
  • #588
  • Dec 3, 2018 6:57am Dec 3, 2018 6:57am
Quoting turnip15
{quote} Looked today on demo trading the break but putting that lot on auto is beyond me, hence my admiration for R's skills. Tricky looking one today -painful ? {image}
Keep trying !. Picked up 40 on GU on the move up.
  • #589
  • Dec 3, 2018 7:10am Dec 3, 2018 7:10am
Quoting claudia1
{quote} Keep trying !. Picked up 40 on GU on the move up.
You were up early
I was late to cable
It moved down nicely though with a couple of hiccups ( for me).
Attached Image (click to enlarge)
Click to Enlarge Name: GBP_USD_20181203_13.08.png Size: 153 KB
every Saint has a past. Every Sinner has a Future
  • #590
  • Dec 3, 2018 7:16am Dec 3, 2018 7:16am
Quoting turnip15
{quote} You were up early I was late to cable It moved down nicely though with a couple of hiccups ( for me). {image}
No - the ea took it at 00:51:41 closed at 07:41:16 = +41.2
  • #591
  • Dec 3, 2018 7:21am Dec 3, 2018 7:21am
Quoting turnip15
{quote} Looked today on demo trading the break but putting that lot on auto is beyond me, hence my admiration for R's skills. Tricky looking one today -painful ? {image}
But the old FTSE was more sedate than that wayward Dax gal
Attached Image (click to enlarge)
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every Saint has a past. Every Sinner has a Future
  • #592
  • Dec 4, 2018 8:47pm Dec 4, 2018 8:47pm
Quoting LuXing
{quote} Excellent ! And you would have to add 1 more functionality to approach these AUDJPY - my preliminary best effort - results. Scenario #3 and the last one for now on AUDJPY Test period from Jan 2015 - to date Box range from 0:30 - 01:30 GMT (half an hour before and half and hour after Tokyo open) Min/max range 5 pips / 20 pips TP: 80% of the ADR (5 days) and SL 15% of the ADR (5 days), moving stop to breakeven at 15 pips, no trailstop, close out trade on hitting TP or alternatively at 20:00 GMT (London close + 3 hours) Spread 0.5 pips Reports...
Will add this features...tell me if U need more.... new version will be coded weekend and ready on sunday....
Looked over the preview results and with ADR we have the best results in my opinion/view...
Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot1.png Size: 30 KB
Vucking good EA coder... https://t.ly/AZjRM
  • #593
  • Dec 4, 2018 8:49pm Dec 4, 2018 8:49pm
And yes...music I hear for good coding:
Inserted Video
Vucking good EA coder... https://t.ly/AZjRM
  • #594
  • Dec 4, 2018 8:58pm Dec 4, 2018 8:58pm
For the breaks:
Inserted Video
Vucking good EA coder... https://t.ly/AZjRM
  • #595
  • Dec 4, 2018 9:02pm Dec 4, 2018 9:02pm
TE is set with the two pairs which gives the best results...can t trade US30 or US500 cause tickmill has min 1 lot...
Vucking good EA coder... https://t.ly/AZjRM
  • #596
  • Dec 4, 2018 9:26pm Dec 4, 2018 9:26pm
Indi 4 last 5 candles ADR...just use it only on D1...for testing the ADR range values...
Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot1.png Size: 25 KB
Attached File(s)
File Type: ex4 ADR - For testing simple dreams EA.ex4   7 KB | 283 downloads
Vucking good EA coder... https://t.ly/AZjRM
  • #597
  • Edited 6:30am Dec 5, 2018 5:29am | Edited 6:30am
Quoting reteid2222
{quote} Will add this features...tell me if U need more.... new version will be coded weekend and ready on sunday.... Looked over the preview results and with ADR we have the best results in my opinion/view... {image}
Hi - I've got it down to two pairs now g/u and a/j and will continue that on small live account. Multiple pairs on demo still.

Looks you had an early start this morning (or a late finish)!

Uni must be finished soon for the year ? I know there's always work to be done .....

Edit: Retina one thing - if the ea makes a winning trade could there be a true/false so it doesn't take another trade ? Quite often with A/J it will take a win and a loss or a loss then a win which is ok. But if we could stop it trading after a win ...
  • #598
  • Dec 5, 2018 12:32pm Dec 5, 2018 12:32pm
Quoting reteid2222
{quote} Will add this features...tell me if U need more.... new version will be coded weekend and ready on sunday.... Looked over the preview results and with ADR we have the best results in my opinion/view... {image}
Great stuff Retina !
Need more ?
Yes, (not necessarily me) but traders using this EA need more.

Short version
I explained what is needed in this post.

Long version
LLN: the law of large numbers.
Trading is about probabilities. The larger the number of trades mechanically executed using the same rules, the more the results will approach real expectancy in a real live trading account over an extended period.
So, let's say I have this really stupid idea of breakout trading like in the chart below.

Attached Image (click to enlarge)
Click to Enlarge Name: breskout gmt.jpg Size: 275 KB


Every day when London opens, wait for the close of the first M15 candle and trade the break for 7 pips, stoploss on the opposite side of the candle. Before even thinking further, I would validate the concept by means of a backtest of minimum 3 years (10 years even better). If this doesn't make money measured over let's say a sample size of 1.000 trades, there is no reason to believe that it will make money in a near future !
I could of course forward test the concept, but that would take some time with a maximum of 2 trades per day (upper & lower break in best case scenario).

So, back to validating the concept...

Attached Image (click to enlarge)
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Erm, those bastards changed the broker server time. Is the EA trading the London open M15 candle after they fiddled the broker server time, or am I now all of a sudden trading the Frankfurt open M15 candle ?
Daily open, Tokyo open, FF open, London open, NY open etc. are important reference points and a concept cannot be validated if the EA's 1 hour off the mark and takes a trade off the first Frankie M15 candle.

Attached Image (click to enlarge)
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We could of course argue that it doesn't matter, but I tell you it does because it affects the results ;-)

Happy programming.

LuX
Wisdom begins in wonder
  • #599
  • Dec 5, 2018 12:51pm Dec 5, 2018 12:51pm
Quoting claudia1
{quote} Hi - I've got it down to two pairs now g/u and a/j and will continue that on small live account. Multiple pairs on demo still. Looks you had an early start this morning (or a late finish)! Uni must be finished soon for the year ? I know there's always work to be done ..... Edit: Retina one thing - if the ea makes a winning trade could there be a true/false so it doesn't take another trade ? Quite often with A/J it will take a win and a loss or a loss then a win which is ok. But if we could stop it trading after a win ...
Set this value to false...
Attached Image
Vucking good EA coder... https://t.ly/AZjRM
  • #600
  • Dec 5, 2018 1:42pm Dec 5, 2018 1:42pm
Quoting reteid2222
{quote} Set this value to false... {image}
Read my post again please.
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