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$ 2.4 Billion Scalper System

  • #1
  • First Post: Jul 27, 2007 5:45pm Jul 27, 2007 5:45pm
Arbitrage scalper system... When backtesting it only opens orders for the pair of the chart that the EA is testing on. This pic is a backtest 5 min EURUSD with 90% from jan 2003 - Today using apreli data. 10k into 2.4B aint to shabby. but it would be better if it opened the orders from all pairs.

The system is sending orders for EURUSD GBPUSD USDCHF and USDJPY. I can see that the orders are being sent through the logs (Print statements) but they do not get filled or show up.

Anyone know how to test an EA that opens and manages positions with multiple currencies ?
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Keep it simple stoopid....
  • #2
  • Jul 27, 2007 6:08pm Jul 27, 2007 6:08pm
  •  tesla
  • | Joined Oct 2006 | Status: Friendly Neighborhood Programmer | 533 Posts
Portfolio testing is something that metatrader doesn't support. You'll either have to aggregate results or move to a more feature-rich platform for testing.
  • #3
  • Jul 27, 2007 6:43pm Jul 27, 2007 6:43pm
nice backtest.
  • #4
  • Jul 29, 2007 10:50am Jul 29, 2007 10:50am
what if I had the EA create a file with the details of every position outside the chart symbol(). Would mT4 be able to manage these positions ? is it limited to just not opening the positions ?
Keep it simple stoopid....
  • #5
  • Jul 29, 2007 12:27pm Jul 29, 2007 12:27pm
  •  tesla
  • | Joined Oct 2006 | Status: Friendly Neighborhood Programmer | 533 Posts
You could create a file or an in-memory array and keep track of orders for other pairs, but you'd lose much of what MT offers in backtesting. You wouldn't know what the backtest quality was, you'd have to manually calculate drawdown, win &, etc. And... I doubt that MT simulates ticks for other pairs, which means you're stuck with end of bar pricing.

There are lots of limitations, but maybe you get some valuable data from it.
  • #6
  • Jul 30, 2007 10:44am Jul 30, 2007 10:44am
So the only thing that really makes sense is to run it on each pair and add everything up ?
Keep it simple stoopid....
  • #7
  • Nov 2, 2007 11:03pm Nov 2, 2007 11:03pm
Code can be written to simulate the trades of the other pairs. Just use MarketInfo("EURUSD", Bid) for example to pull in the price at a particular point in time. You'd have to hard code the rollover premiums, stop losses, and take profits, but it is doable.

Of course, your data set would need to be good for all pairs.
  • #8
  • Nov 3, 2007 4:49pm Nov 3, 2007 4:49pm
"$ 2.4 Billion Scalper System
Arbitrage scalper system... When backtesting it only opens orders for the pair of the chart that the EA is testing on. This pic is a backtest 5 min EURUSD with 90% from jan 2003 - Today using apreli data. 10k into 2.4B aint to shabby. but it would be better if it opened the orders from all pairs.

The system is sending orders for EURUSD GBPUSD USDCHF and USDJPY. I can see that the orders are being sent through the logs (Print statements) but they do not get filled or show up.

Anyone know how to test an EA that opens and manages positions with multiple currencies ? "



Kurk fund,

what strategy /system is this? if you could explain, it would be much appritiated.
  • #9
  • Jan 11, 2008 7:38am Jan 11, 2008 7:38am
Quote
what strategy /system is this? if you could explain, it would be much appritiated

currency arbitrage - that of which we do not speak!

when the price quoted for a pair with one broker is different from that of another so that by taking opposite positions with each broker you make a profit when the quotes return to equal and you close out the trades

the opportunities usually occur only briefly and would need an ea to monitor a matrix of brokers and be able to find discrepancies and instantly place the trades simultaneously with each broker
you would only average 1 or 2 pips per trade but the trade is guaranteed to profit. the only safe trade that exists ssshhhhh!!!
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  • #10
  • Jan 11, 2008 8:08am Jan 11, 2008 8:08am
Hello Kurka Fund,

Are you using a fractional product indicator to instigate these trades? I had a version of this but Ibelieve it does not work well with past data it seems to exaggerate the inefficiencies somewhat.

Regards,

Ed.
  • #11
  • Jan 11, 2008 8:23am Jan 11, 2008 8:23am
Quoting Mills, Inc
........much appritiated.
Is that like prolly?
  • #12
  • Jan 11, 2008 11:26am Jan 11, 2008 11:26am
Quoting Kurka Fund
So the only thing that really makes sense is to run it on each pair and add everything up ?
With a return of $2.4 Billion I'ld hire my kids (they're expensive)
  • #13
  • Jan 11, 2008 1:36pm Jan 11, 2008 1:36pm
Quoting M.A.C.Doug
currency arbitrage - that of which we do not speak!

when the price quoted for a pair with one broker is different from that of another so that by taking opposite positions with each broker you make a profit when the quotes return to equal and you close out the trades

the opportunities usually occur only briefly and would need an ea to monitor a matrix of brokers and be able to find discrepancies and instantly place the trades simultaneously with each broker
you would only average 1 or 2 pips per trade but the trade is guaranteed to profit. the only safe trade that exists ssshhhhh!!!
Having some experience with Arbirage..
You have to watch
1. Slippage
2. Condition must be real , not off quotes.
3. Both sides must be filled. If one side doesnt, you loose money.
4. Only works with certain brokers.
5. Imposible to really back test, as quotes are NOT real trades. Real trades can stall, or slip.
Remember, you are after 1-3 pips, so a 3 pip slip hurts. Our server is a middle ware app that sits between 9 brokers, watches prices 300 times a second. An ea Cant do this by itself.


Craig
  • #14
  • Last Post: Jan 11, 2008 11:47pm Jan 11, 2008 11:47pm
Quoting Ghamm
Our server is a middle ware app that sits between 9 brokers, watches prices 300 times a second. An ea Cant do this by itself.
Wow! Thats impressive.Did you develop that yourself or is it commercially available? never mind, I would have to split my account into 9 separate $200 accounts andf Ive got a feeling the software would be more than my mini account balance anyway.

Quote
Is that like prolly?
- I think it is an innocent typo but thanks for the laugh
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