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Attachments: Convergence/Divergence (wip5.51.ex4)
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Convergence/Divergence (wip5.51.ex4)

  • #1
  • First Post: Edited 2:55pm Jul 8, 2007 2:14pm | Edited 2:55pm
A work in progress using RSI(13). By no means complete or perfect. The account the ea is attached to should allow simulaneous long & short trades. Zip file contains "every tick" backtest
Attached Image(s) (click to enlarge)
Click to Enlarge Name: wip5.51.jpg Size: 25 KB
Click to Enlarge Name: ScreenHunter_02.jpg Size: 64 KB
Attached File(s)
File Type: zip wip5.51.zip   32 KB | 1,237 downloads
File Type: ex4 wip5.51.ex4   18 KB | 1,220 downloads
  • #2
  • Jul 8, 2007 2:21pm Jul 8, 2007 2:21pm
Very good!!
  • #3
  • Jul 8, 2007 2:35pm Jul 8, 2007 2:35pm
screenshot of visual testing attached
Attached Image (click to enlarge)
Click to Enlarge Name: ScreenHunter_03.jpg Size: 63 KB
  • #4
  • Jul 8, 2007 3:13pm Jul 8, 2007 3:13pm
interesting perhaps...
Attached Image (click to enlarge)
Click to Enlarge Name: eurgbp wip5.51.jpg Size: 25 KB
Attached File(s)
File Type: zip eurgbp wip5.51.zip   77 KB | 825 downloads
  • #5
  • Jul 10, 2007 6:30pm Jul 10, 2007 6:30pm
Hi fxid10t,

I have been interested in an EA that trades divergence for quite some time. I think there is much potential here.The graphs that you produced help also.

I have some data that I run backtests on all the time. It is high quality (99%), but only for the GBP\USD and the EUR\USD. For some reason, I cannot get your EA to test on my data. Testing was OOTB on the 4hr chart.

Any thoughts?

thanks, Ebont74
  • #6
  • Edited 4:09pm Jul 11, 2007 3:46pm | Edited 4:09pm
Quoting Ebont74
For some reason, I cannot get your EA to test on my data. Testing was OOTB on the 4hr chart.
Hello, and thanks... were there any error messages on the journal page of the tester? I downloaded and tested the uploaded file, worked for my ibfx/alpari data merge...

i'll upload an updated file here, perhaps it will work for you. Please keep me informed.
Inserted Code
//external variables
extern int     TradePeriod    =240;    // chart period
extern int     RSIPeriod      =13;     // number of RSI bars (period)
extern double  Lots           =0.1;    // 
extern double  LotMultiplier  =15.0;   // Base Lot = 0.01 per $1000.00
extern double  SLMultiplier   =0;      // 0= no stop loss, else multiple of atr
extern double  TakeMultiplier =2.618;  // multiple of atr
extern double  TrailMultiplier=0.618;  // multiple of atr
extern double  ATRmultiplier  =0.618;
extern int     ATRTimePeriod  =10080;
extern int     ATRperiod      =3;
extern int     ATRshift       =1;   
extern int     MagicNumber    =10203;


I've stopped uploading source code as I've found some of my previous work posted on the Y! group MT I & E's site has been taken, slightly modified, and sometimes sold with no compensation to me.
Attached File(s)
File Type: ex4 wip5.51a.ex4   19 KB | 833 downloads
  • #7
  • Jul 11, 2007 6:22pm Jul 11, 2007 6:22pm
HI,

Yeah, I checked the journal....everything looked good there. I understand that you would be hesitant to upload the MQ4 file. Even if I had it, I am not sure it would help. Although the journal tab offers no clues, I would suspect it may have something to do with lot sizing.?.? At first, I thought it may have something to do with running only on certain pairs...guess not.

I would like to test it and watch it perform on the visual chart. 2-1/2 years of data would be interesting.

Quick tip, if you do not already know, hold down the "page down" button during a visual test. It runs at super speed.

Also, on the subject of divergence, here is a thread that has a very good indicator for divergence on it. The dotted lines the indicator plots on the chart are reverse divergence and the solid lines are classic divergence.

http://codebase.mql4.com/1040


So how does this EA work anyway? Does it look for divergence only? Does it distinguish between reverse divergence and classic divergence? Maybe it trades on other criteria. A quick rundown would be great.

Thanks for your work.

Ebont74
  • #8
  • Jul 12, 2007 1:40am Jul 12, 2007 1:40am
Quoting Ebont74
HI,
Although the journal tab offers no clues, I would suspect it may have something to do with lot sizing.?.? Ebont74
Good point, does the account you've applied this to trade fractional lots? If not, set "Lots" to 1, and "LotMultiplier" to 1 for a quick fix. I'll work on a solution to distinguish between whole lot accounts, and fractional lot accounts.

The first attached screenshot shows divergence, the price trending higher and the indicator trending lower, using limit orders, sell the highs, exit all at a multiple of atr below the average sell price. This prevents lower priced shorts from becoming large losers should price not fall far enough to make them profitable.

The second attached screenshot shows convergence, the price trending lower and the indicator trending higher. Again using limit orders, buy the lows and exit all at a multiple of atr above the average buy price, with the same goal of preventing higher priced longs from becoming large losers should price fail to recover enough to make them profitable.

A larger TP multiple could be used, but there is a risk that the market will continue to trend against the current signal, and retracements will not close out earlier signals exposing the account to large drawdowns and potential collapse. I'm still searching for a suitable TS mechanism to allow the maximal "let profits run" goal, while minimizing risk exposure.

Thanks for the link... will research more and perhaps incorporate the two.
Attached Images
  • #9
  • Jul 12, 2007 1:53am Jul 12, 2007 1:53am
Quoting fxid10t
Good point, does the account you've applied this to trade fractional lots? If not, set "Lots" to 1, and "LotMultiplier" to 1 for a quick fix. I'll work on a solution to distinguish between whole lot accounts, and fractional lot accounts.

The first attached screenshot shows divergence, the price trending higher and the indicator trending lower, using limit orders, sell the highs, exit all at a multiple of atr below the average sell price. This prevents lower priced shorts from becoming large losers should price not fall far enough to make them profitable.

The second attached screenshot shows convergence, the price trending lower and the indicator trending higher. Again using limit orders, buy the lows and exit all at a multiple of atr above the average buy price, with the same goal of preventing higher priced longs from becoming large losers should price fail to recover enough to make them profitable.

A larger TP multiple could be used, but there is a risk that the market will continue to trend against the current signal, and retracements will not close out earlier signals exposing the account to large drawdowns and potential collapse. I'm still searching for a suitable TS mechanism to allow the maximal "let profits run" goal, while minimizing risk exposure.

Thanks for the link... will research more and perhaps incorporate the two.
Another approach would to not differentiate between mini, mico and normal accounts, by just using NormalizeDouble in something like this

extern double Lots = 0.1;
extern bool AutoMoneyMgmt= true;
extern double PercentRisk = 1;
extern double StopLoss = 40;
Start()
{
double risk = PercentRisk / 100;
// Auto money Management here
if ( AutoMoneyMgmt )
Lots = NormalizeDouble( AccountBalance()*risk/StopLoss/10,2);
}

This would give a lots size of 2 digits.

Of couse not seeing your code for how you are handling MM, this might be to simplistic, but it may help.
  • #10
  • Jul 12, 2007 2:05am Jul 12, 2007 2:05am
Quoting smjones
Another approach would to not differentiate between mini, mico and normal accounts, by just using NormalizeDouble in something like this

extern double Lots = 0.1;
extern bool AutoMoneyMgmt= true;
extern double PercentRisk = 1;
extern double StopLoss = 40;
Start()
{
double risk = PercentRisk / 100;
// Auto money Management here
if ( AutoMoneyMgmt )
Lots = NormalizeDouble( AccountBalance()*risk/StopLoss/10,2);
}

This would give a lots size of 2 digits.
Of couse not seeing your code for how you are handling MM, this might be to simplistic, but it may help.
Thanks SMJ,
The existing code is similar, instead of percent risk, it trades 0.01 lot per $1000.00 equity, with the option to increase based on the tolerances of the user...

Inserted Code
extern double  Lots           =0.05;   // 
extern double  LotMultiplier  =15.0;   // Base Lot = 0.01 per $1000.00
 
//set lots
Margin=MathMin( MathMin(AccountBalance(),AccountEquity()) , AccountFreeMargin() );
if(Margin > Balance) { Balance = Margin; }
lots=NormalizeDouble( (Balance/100000)*(LotMultiplier) , 2);
if(lots<Lots) lots=Lots;
if(lots>10) lots=10;
  • #11
  • Jul 12, 2007 2:13am Jul 12, 2007 2:13am
Quoting fxid10t
Thanks SMJ,
The existing code is similar, instead of percent risk, it trades 0.01 lot per $1000.00 equity, with the option to increase based on the tolerances of the user...

Inserted Code
extern double  Lots           =0.05;   // 
extern double  LotMultiplier  =15.0;   // Base Lot = 0.01 per $1000.00
 
//set lots
Margin=MathMin( MathMin(AccountBalance(),AccountEquity()) , AccountFreeMargin() );
if(Margin > Balance) { Balance = Margin; }
lots=NormalizeDouble( (Balance/100000)*(LotMultiplier) , 2);
if(lots<Lots) lots=Lots;
if(lots>10) lots=10;
This is interesting I have never seen MM handled this way...

To me it seems a bit arbitrary. I mean the trade should determine the stop size or there should be an understanding of stop size before going into the trade and then the stop should be used it deternining the lots size based on the risk amount and the balance, or the margin, or the equity.

It could be that you have a different way of figuring stop loss. But for me this is what I want to know first and the lots size comes out of this knowledge...

Thanks for sharing this. You have educated me as to a different approach.

BTW, I especially like the use of the mathmin function.. I had not even thought of this..
  • #12
  • Jul 12, 2007 8:14am Jul 12, 2007 8:14am
[quote=fxid10t;1492525]Good point, does the account you've applied this to trade fractional lots? If not, set "Lots" to 1, and "LotMultiplier" to 1 for a quick fix. I'll work on a solution to distinguish between whole lot accounts, and fractional lot accounts.

I tried your suggestion, but it is still not working. Sorry for the trouble, I really am trying to get it working. Quick note: when I attach it to a visual tester, all of the comments are up in the right hand side of the screen and are cut off so that I cannot read the whole word or see the value that it is displaying. Maybe this has something to do with it?? Corrupted?


Maybe for now, I will just put it on a chart on multiple pairs to see how it does. I can see that you have a input for timeframe, does it matter how low I go with this? I understand that as a general rule divergence is better on larger timeframes, but just for the sake of getting it to work.

Thanks for your explination of the function. I have been looking for an EA that does just as you described. I was actually going to try and build it around the indicator in the link, I mean somehow talk someone else into doing it. It seems that what youe call convergence, I was reffering to as reverse divergence....same difference.

Thanks, Ebont 74
  • #13
  • Jul 12, 2007 4:33pm Jul 12, 2007 4:33pm
Quoting Ebont74
I tried your suggestion, but it is still not working. Sorry for the trouble, I really am trying to get it working. ...who is your broker? i use ibfx...


Quick note: when I attach it to a visual tester, all of the comments are up in the right hand side of the screen and are cut off so that I cannot read the whole word or see the value that it is displaying. Maybe this has something to do with it?? Corrupted? ...make sure chart is shifted to the left, look at attached screenshot...

Maybe for now, I will just put it on a chart on multiple pairs to see how it does. I can see that you have a input for timeframe, does it matter how low I go with this? I understand that as a general rule divergence is better on larger timeframes, but just for the sake of getting it to work. ...a setting of "0" for "TradePeriod" will use what ever period data the chart is open on.


Thanks for your explination of the function. I have been looking for an EA that does just as you described. I was actually going to try and build it around the indicator in the link, I mean somehow talk someone else into doing it. It seems that what youe call convergence, I was reffering to as reverse divergence....same difference. ...if during visual testing, you pause and apply the indicator (RSI(13),close prices) to the chart, trendlines should be plotted on both the price window, and indicator window.

Thanks, Ebont 74
see above inserted comments...
Attached Image (click to enlarge)
Click to Enlarge Name: ScreenHunter_04.jpg Size: 80 KB
  • #14
  • Jul 12, 2007 5:15pm Jul 12, 2007 5:15pm
Quoting smjones
This is interesting I have never seen MM handled this way...

To me it seems a bit arbitrary. I mean the trade should determine the stop size or there should be an understanding of stop size before going into the trade and then the stop should be used it deternining the lots size based on the risk amount and the balance, or the margin, or the equity.

It could be that you have a different way of figuring stop loss. But for me this is what I want to know first and the lots size comes out of this knowledge...

Thanks for sharing this. You have educated me as to a different approach.

BTW, I especially like the use of the mathmin function.. I had not even thought of this..
It is arbitrary, I want to avoid the variation in lot size caused by drawdown/shortterm (un)realized losses, so that as the average account balance increases, then traded lots increase...and currently traded lots have the chance to recover losses, rather than a diminished lotsize trying to recover a loss from a larger lotsize, and in effect, creating a downward spiral.

I like to average into a position, and use average price to get out... perhaps I should use a stoploss, but given stop hunting brokers, the relative stability of the market, I feel comfortable using no stops. I create the EA's primarily for my use, but feel the need to share my work for some self gratifying reason. Thanks for your comments, you have provided ideas/opinions that are worth consideration.
  • #15
  • Jul 12, 2007 7:59pm Jul 12, 2007 7:59pm
Hi All,

I have two points that I would like to bring up here for discussion that might possibly improve this EA.

1. Have the EA measure between fractual points to draw divergence\convergence lines. Fractual points usually do a good job picking tops and bottoms. But I think that it should be at least two bars later because they do re-paint. This indicator comes standard with the MT4 platform.

2.Have the EA look for places where the divergence and convergence meet at the same candle. I realize that there are lots of points to look at but there are places where these two will actually come together on the same candle. Of course, one is always longer term and the other is shorter term. But they are powerful. I get the feeling that this would be a bit of a challenge to program, but I think it would be worth it.

Thanks,
Ebont74
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Click to Enlarge Name: suggestions.jpg Size: 43 KB
  • #16
  • Edited 7:04am Jul 15, 2007 6:50am | Edited 7:04am
modification
Inserted Code
//set lots
Margin=MathMin( MathMin(AccountBalance(),AccountEquity()) , AccountFreeMargin() );
if(Margin > Balance) { Balance = Margin; }
lots=NormalizeDouble( (Balance/100000)*LotMultiplier , 2);
if(lots<Lots) lots=Lots;
[color=navy]if(lots<MarketInfo(Symbol(),23) ) lots = MarketInfo(Symbol(),23); [/color][color=black]//min lot[/color]
[color=navy]if(lots>MarketInfo(Symbol(),25) ) lots = MarketInfo(Symbol(),25);[/color] //max lot

Attached is a screen shot of Market Info values from my broker. Some brokers do not use all these values and this could have a negative impact regarding the performance of this expert.

Also, this expert uses limit orders. Various brokers use various definitions for types of orders. For this expert, a buy limit order is defined as an order that is placed below current Ask and is executed when Ask falls to the buy limit price. A sell limit order is defined as an order that is placed above current Bid and is executed when Bid rises to the sell limit price. If your broker does not use limit orders or defines them differently, this will negatively impact the instruction set execution of this expert.

Lastly, default values of external variables for 5.51b are set for EurGbp 60m.
Attached Image (click to enlarge)
Click to Enlarge Name: MarketInfo.jpg Size: 87 KB
Attached File(s)
File Type: ex4 wip5.51b.ex4   19 KB | 495 downloads
  • #17
  • Jul 15, 2007 4:02pm Jul 15, 2007 4:02pm
This file will "back plot" past convergence/divergence. This is intended to avoid internal variable value loss due to an interuption in the execution of the expert, eg, "re-"initialization due to chart period change, pc reboot, server/pc maintenance, etc. When backtesting, there is no interuption in the execution of the expert, a bit unrealistic.
Attached File(s)
File Type: ex4 wip5.51c.ex4   25 KB | 529 downloads
  • #18
  • Jul 15, 2007 6:18pm Jul 15, 2007 6:18pm
can i know your broker ?

my broker doesnt have mini or micro lot , so i can not use this EX4 to back test !

Thanks
  • #19
  • Jul 15, 2007 6:46pm Jul 15, 2007 6:46pm
Quoting banana9009
can i know your broker ?

my broker doesnt have mini or micro lot , so i can not use this EX4 to back test !

Thanks
I use interbankfx.com. But first, try setting the external variable "Lots" to 1, and "LotMultiplier" to 1 before downloading IBFX's demo platform.
  • #20
  • Jul 15, 2007 6:54pm Jul 15, 2007 6:54pm
Modification fixes an order placement bug that occurs after initialization. 51c will place an order no matter how old the last signal is, 51c1 will place the order only if the signal is less than 24 hours old.
Attached File(s)
File Type: ex4 wip5.51c1.ex4   25 KB | 673 downloads
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