Trading Initial Balances and EA

Hi everyone, apologies for the radio silence. Lot of work this time of year. So here's the EA with one of the modifications requested: risk by percent instead of lot size. Remember to back test, remember that this isn't a magical, miracle, golden millionaire strategy.

Ok, so I'm working on modifications for the EA. One of the suggested modifications was to close positions at the end of the day. I liked it, makes sense since this is an EA that basically day trades. Here's a look at the EA performance from April to November (daylight savings time) of this year on the S&P500 futures market. Not bad, but also not great.

Try to implement a dynamic stop loss to account in for the instrument’s recent volatility of the market you trade. Something like ATR/ADR, don’t use a fixed stop distance in points, it’s meaningless.

Regarding to exits. My own backtests showed best outcomes trailing the stop/profit. A time based stop e.g at end of the day could be useful too.

Overall I couldn’t find any combination of parameters to make it profitable for me but maybe you have some more luck than me. I will be interested and keep watching the topic.

You won’t be able to effectively forecast rather you get a trending or sideways day. Nobody can, otherwise trading would be easy and we would only enter on trending days and ride the trend as long as possible and stay out for most other days.

About 80% sideways days vs 20% trending.

I also tried to increase the profitability with market condition based filters but always ended up filtering out a lot of winners too.

Hi IDD! Thanks for taking the time to read through this and test out the EA.

So, about using the ATR as a dynamic targets, I've heard about this before a lot. What has been your experience and recommendations on using it? Meaning what time frames, what parameters etc.

No experience myself but it just makes sense to me to have a more dynamic approach for defining a protective stop. The markets are dynamic and so setting your stop loss at a fixed number of x pips/points away your entry in every situation might be not a good idea.

I haven't tried implementing such a stop myself because it takes a bit of time manually testing it and I don't have the MT4 coding skills myself. But I think there are already a few approaches here and existing EAs that have such stops. Maybe you can learn something from there.

My idea would be to try using trailing stop like

"1,5 times ATR below the previous candle's low" - for a BUY entry.
"1,5 times ATR above the previous candle's high" - for a BUY entry.

Regarding to time frames. Price/time is the same on all time frames and you basically trade the breakout of x pre-defined period of time (range) here. Timeframe doesn't really matters.

Typical ATR time periods used vary between 5 and 21 days. Wilder originally suggested using 7 days, short-term traders use 5, and longer term traders 21 days. Multiples between 2.5 and 3.5 x ATR are normally applied for trailing stops, with lower multiples more prone to whipsaws.

You will probably have to experiment/backtest which are the "best" parameters here.

Btw, this version doesn't work for me on the MT4 strategy tester. The version on post 1 works.

Here this might give you a few more ideas to improve your EA.

For the entry, consider the following ideas/filters:

- Wait for a retest of x bar's close after the breakout level (first M5/M15 bar close above/below the high/low of the initial balance) before entering a buy/sell order. The reason for this is, often the price will retest the initial balance highs and lows. This may help to avoid some whipsaws and/or place a tighter stop. E.g. in the case of a break and retest directly above/below the closed retest bar where you place the order instead of the previous initial balance.

- Wait for a break/retest of the breakout level with volume, e.g. The bar that breaks or retests the breakout level should have a certain minimum size, if possible no wicks etc.

- No entry if price already moved over 50% of the daily ATR(14). The reason for this is, it might not make sense trying to capture a larger part of a potential daily move in one direction if a large price move already happened earlier in the day. This makes particular sense if you are looking to make a bigger profit by the end of the day instead of having a very narrow fixed take profit level.

- No buy/sell entry if the initial balance is below/above yesterdays daily high/low. I've never tested this myself, but might also help. The idea here is to only buy if you have buyers behind you and only sell if you have sellers behind you.

For the exit:

- ATR based trailing stop (like mentioned earlier). The reason for this is, you don't want to get stopped out by "noise" and price fluctuating around. You want to give it some room to actually work out, on the other hand, not too much and, if possible, in line with the prevailing volatility. With the ATR you might able to solve this. You have a tighter stop on calmer days and a wider stop when volatility is high. Since this is a day trading strategy where you want to realize profit at the end of the day and don't want to have any overnight risk, it makes sense to weight the ATR on the first X bars of the day or so rather than those of the past days/weeks. On the other hand, why not let winners run regardless of whether the day is over or not? Most traders seem to do the opposite and drag on losses and cut off profits...

- A way to add to your winning trades in some objective/logical/repeatable procedure. From all my experiences, this is a crucial difference between truly successful traders. They have no problem increasing their winners, but keep their losers small with iron discipline

- Take profit targets based on Fibonacci levels that are plotted above/below the initial balance.

Other:

- A parameter to define the maximum trades per day
- A parameter to define the minimum/maximum size of the initial balance range high-low (in points)
- A parameter to define the max. spread at time of an entry
- A parameter to define a entry buffer/offset of x points above/below the initial balance.

You should look into rebates. Signing up through a parter link and receiving commissions for the Volume you create. Such a breakeven EA would be good for that.
Ofcurse it would be more profitable with a higher trade freqeuncy (volume), but the point is it can be a edge for you. Some brokerages pay 3$ - 8$ per standart lot or 50% - 60% of your spread revenue. with such EAs it can be the diffrence between profit or loss.

Hi Thomas, not sure what that is. I'll send you a direct message and maybe you can explain a little better yeah? Thank you!

Partial take-profits might be good for the EA, and moving SL to break even, so in case price reverses, you would bank some profit already.

Hi, I would like V1 with close positions at the end of the day
Please, thanks for help.

Pretty good day for the initial balance on S&P500 futures today.

Loving this EA Thanks, One thing that lends it hand to big losses is the Stop Loss is above/below the IB range, Can there be an adjustable stop loss please instead of whatever size the range is? . I would greatly appreciate that. Thank you. )

Great day in the S&P500 for initial balances. All time highs and then a pull back that triggered a sell order at the bottom of the IB low.

S&P500 Futures trade from today. So along with using IB, I used a fib retracement for my entry. TP was hit and I'm done for the day.

Decided to implement Fib Retracement today on S&P500 futures. IB was negative, I saw a rejection of the 0.50 Fib level in the IB and took a short position. Done for the day!

Initial Balance EA used today. The Fib Retracement could have also been used as a pretty good entry. Position closed by trailing SL.

Pretty good day for the EA. I had a pending sell order at the 0.50 Fib Retracement level but today's S&P500 moves were just straight down. I cut profits a little early and left a little on the table.

On day's like today with big moves before the IB has even formed, I like to use the Fib Retracement levels. I shorted today below the 50 level of the IB. Set targets at IB low.