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Super Carry Trade Trading System

  • #181
  • Feb 25, 2008 10:34pm Feb 25, 2008 10:34pm
TimeFreedom,

How is the auto optimization going?

Jeff

Quoting TimeFreedom
Thanks for sharing this great link. "The main idea is to start optimization of an EA automatically once a day and then analyze the obtained optimization results and record them in the EA's variables". I will do some homework and try and optimize Aphids variable: AddLotsThreshold, which is fixed to -100 pips right now. Dreamliner currently uses -200 pips to add additional lots when price is retracing and I use -100 pips. Maybe -100 pips is best or maybe -200 pips is better. I will run this automated optimizer everyday and I will evaluate what number it suggests for the AddLotsThreshold.

TimeFreedom
  • #182
  • Feb 26, 2008 5:47am Feb 26, 2008 5:47am
Dreamliner:

In reference to you original rules for placing 10 pip profit positions in the direction of the positive swap; has anyone experimented with placing ten pip profit positions in the line of retracements? ie, if I am long GBP/YEN and willing to place another long trade after it has retraced 200 pips it would seem like an opportunity to take some pips on the downside as well as the upside. Since the retrace profit positions would be swaps negative, perhaps using a smaller unit size (less than the %NAV) would be in order. You might also have to use two different brokers since some do not allow you to go long and short on the same pair at the same time. This set up would look very much like an extended straddle/strangle such as we use in options trading.

Just wondering if anyone had given this concept any thought/test.

DrZ

I'm at the home of Continental... Houston.
  • #183
  • Feb 26, 2008 7:10am Feb 26, 2008 7:10am
hey bighope.... thanks for those.... the "close all" script is very similar to what i used on the rewrite but just included it in the ea like timefreedoms closing function.....

was wonderin, is there a reason for not using extern inputs in your buystop code..... seems that would be easier than modying everyday.......

i tried to use almost the exact same while loop as in your buy stop code last year for a couple ea's but never could figure out how to let the user, or ea, independtly adjust the profit target....

backtests on every pair reveals that the ea pays far better when the lower buystops have a larger profittarget.....

have you given any thought on how we could vary the profit target and still use that style while loop.... thanks.....h
to trade and code, keep both simple... no call to impress....h
  • #184
  • Feb 26, 2008 8:50am Feb 26, 2008 8:50am
Quoting hayseed
hey bighope.... thanks for those.... the "close all" script is very similar to what i used on the rewrite but just included it in the ea like timefreedoms closing function.....

was wonderin, is there a reason for not using extern inputs in your buystop code..... seems that would be easier than modying everyday.......

i tried to use almost the exact same while loop as in your buy stop code last year for a couple ea's but never could figure out how to let the user, or ea, independtly adjust the profit target....

backtests on every pair reveals that the ea pays far better when the lower buystops have a larger profittarget.....

have you given any thought on how we could vary the profit target and still use that style while loop.... thanks.....h
hey hayseed ... that "close all" script I took it somewhere or given by someone somewhere sometime ( it might be yours) i can't remember ; big thank you if it's yours. All i did for "close all pending" was added "//" and "break" function.

"Buy stop" i took from "send pending" script preinstalled in mt4 platform than do some modification that suit my trading strategies.

My programming skill in mt4 is as far as 2 days time and 2 pages of metaquotes web pages on "data types" section (finally found the "double" data type).

if this is about driving; I’m still trying to understand which pedal is for braking and you already a race winner.

the story behind this tools was because i hate to do those 40 buy stop manually at 00 GMT.

Extern input ..... i hope i can do that but i can't. Of course i need to learn a lot from a guru like you.

By modifying the script everyday (also shown that i don't know how to do extern input) i can decided what MM strategies should i use that day and also checking do i have enough equity to do something else with my account (actually because is so small).


perfection need more effort (hey i just made that words )
That also why i did not do some complicated ea (also the hard fact that i did not know how to do that)

Warning !! what I’m about to say is totally nonsense
but it might hit something and do the collateral damages.
please don't take my word seriously (peace)

lowering buy stop = bigger profit target

in one of my line in buy stop script

ticket=OrderSend(Symbol(),OP_BUYSTOP,b,e+(d*point),0,0,e+((d+10)*point),"some comment",16384,expiration,Green);
d=d+10;

variable d is what i aim to change;
In my case i use only one variable since i have constant profit but if i need to change my profit base on the where is the bid i certainly will use 2 variable

by measure the Bid - lowest low i did find the lot to handle the movement downward in the same manner i can measure let say R1 - Bid or highest high - Bid and divided by some number i found constant variable that i can add up every time the "while" do the profit line.


just some wrong line to make my point more confusing

int y= 10

in the while

int x= (highest_high - bid) /10
if x > 100 , y = 10
if x > 200 , y = 20
etc

OP_BUYSTOP,b,e+(d*point),0,0,e+((d+y)*point)...........

hey hayseed U done some great ea; a lot of trader very thank full and also great full because of it ; me also (big time);
  • #185
  • Feb 26, 2008 9:53am Feb 26, 2008 9:53am
Can someone explain what the Aphids EA actually does, other than place a buy order at a certain time of the day? I have it running on a demo (just one day) using defaults. It placed an order but didn't place any orders 10 pips above like dreamliners system.
If someone has a step by step breakdown of the EA, that would be valuable. I am a coder, but of course, sometimes it's hard to read other's code. This EA is well written, but having a hard time understanding it.
  • #186
  • Feb 26, 2008 11:06am Feb 26, 2008 11:06am
hey bighope..... hmmmm, you solved my problem..... a very big thank you..... the solution was hiding in clear sight all along but i never saw it till you pointed it out.....

//-----------------------------------

extern int dd = 100; // highest profittarget with lowest buystop


//----------------------------------using your line--------
ticket=OrderSend(Symbol(),OP_BUYSTOP,b,e+(d*point),0,0,e+((dd+10)*point),"some comment",16384,expiration,Green);
d=d+10;
dd=dd * 0.9; // the ea was decide the 0.9 value

//---------------------------------------------

that never occurred to me but it will add weight to the profit targets of the first, lowest, buystop orders and slowy increment down as the buystops go up.... the precentage can be determined by the ea with reguards to the current trend....

btw, i'm not a guru..... just a hayseed with a burning desire to understand the mq4...... thanks again......h
to trade and code, keep both simple... no call to impress....h
  • #187
  • Feb 26, 2008 11:39am Feb 26, 2008 11:39am
As price goes up are we opening buy orders manually? EA only opens 10 buy orders.

Thanks all
Mombone
  • #188
  • Feb 26, 2008 1:39pm Feb 26, 2008 1:39pm
Bhale, I will give you the general concept, but I don't use that EA, so I will not try to give insight to every possible setting.

Basically, the EA will stake an initial position at the time the user specifies. It stays in that position throughout the day. At that same specified time the next day, the EA evaluates if the position is in profit or not. If it is in profit it will immediately close the position and open a new base position. If the position is NOT in profit, the EA determines if the price is more than 100 pips (this can be configured to another number by the user) below the base price. If it is, the EA purchases another position and establishes an Average Price. If at anytime the price exceeds the average price, ALL positions are closed, and a new base position is opened. Each day after an Average Price is established, at the evaluation time, the EA will determine if the current price is less than the Average Price by more than the user selected threshold (100 pips in my example). Anytime the average price is greater than the current price by that threshold another averaging position is added.

There are options for stoplosses (defaults to 0, meaning not utilized) and an advanced money management option included. I asked a question a very long time ago about the Delta variable and learned it related to the money management function. In that answer TimeFreedom provided a link with more information on how that worked.

That should give you the feel for it. As a programmer you should be able to work from that, I hope. The system is used to only take swap positive long positions. There is a Max position variable that is set to 1000 by default. I'm sure you'd go broke long before that... And God help us all if the market gets close to going triple digits on this puppy... lol.

Anticipating the question, which IS covered near the begining of this, the max number of open trades at one time, using those original Aphid rules was something like 22 over the last 2 years, including the big unwindings the second half of 2007.

Hope that helps.

Quoting bhale
Can someone explain what the Aphids EA actually does, other than place a buy order at a certain time of the day? I have it running on a demo (just one day) using defaults. It placed an order but didn't place any orders 10 pips above like dreamliners system.
If someone has a step by step breakdown of the EA, that would be valuable. I am a coder, but of course, sometimes it's hard to read other's code. This EA is well written, but having a hard time understanding it.
  • #189
  • Feb 26, 2008 2:00pm Feb 26, 2008 2:00pm
Hi all,

I was considering an alternative to averaging down by set amount (eg. 100 pips) could we use an indicator such as stochastic (or similar) to calculate oversold territory?
  • #190
  • Feb 26, 2008 2:33pm Feb 26, 2008 2:33pm
I couldn't have explained it any better.

TimeFreedom

Quoting Qman
Bhale, I will give you the general concept, but I don't use that EA, so I will not try to give insight to every possible setting.

Basically, the EA will stake an initial position at the time the user specifies. It stays in that position throughout the day. At that same specified time the next day, the EA evaluates if the position is in profit or not. If it is in profit it will immediately close the position and open a new base position. If the position is NOT in profit, the EA determines if the price is more than 100 pips (this can be configured to another number by the user) below the base price. If it is, the EA purchases another position and establishes an Average Price. If at anytime the price exceeds the average price, ALL positions are closed, and a new base position is opened. Each day after an Average Price is established, at the evaluation time, the EA will determine if the current price is less than the Average Price by more than the user selected threshold (100 pips in my example). Anytime the average price is greater than the current price by that threshold another averaging position is added.

There are options for stoplosses (defaults to 0, meaning not utilized) and an advanced money management option included. I asked a question a very long time ago about the Delta variable and learned it related to the money management function. In that answer TimeFreedom provided a link with more information on how that worked.

That should give you the feel for it. As a programmer you should be able to work from that, I hope. The system is used to only take swap positive long positions. There is a Max position variable that is set to 1000 by default. I'm sure you'd go broke long before that... And God help us all if the market gets close to going triple digits on this puppy... lol.

Anticipating the question, which IS covered near the begining of this, the max number of open trades at one time, using those original Aphid rules was something like 22 over the last 2 years, including the big unwindings the second half of 2007.

Hope that helps.
  • #191
  • Edited 7:12pm Feb 26, 2008 2:35pm | Edited 7:12pm
Haven't had a chance to optimize lately. Based on previous research AddLotsThreshold=-100 pips is best.

TimeFreedom

Quoting azjeff
TimeFreedom,

How is the auto optimization going?

Jeff
  • #192
  • Feb 26, 2008 8:20pm Feb 26, 2008 8:20pm
Has anyone experimented with doubling-up on the entry order after a 200+ pip drop instead of entering at the same lot size? For example if the 10 pip incremental orders are at 1 lot each, then the entry after a 200 pip drop would be at 2 lots.

Walt
  • #193
  • Feb 26, 2008 11:30pm Feb 26, 2008 11:30pm
Has anyone been testing the ea? If so how are your results so far
  • #194
  • Edited 1:39am Feb 27, 2008 1:18am | Edited 1:39am
Hey hayseed nice to know my crazy line can help someone. Thank U. Btw extern can not use in script.

To all here is an idea ;
advance calculator to calculate how big our lot so it can handle all the movements downward. also calculated how big our lot for second position, third, etc.

hope it's useful
Attached File(s)
File Type: xls Advance calculator for carry trade nzdjpy.xls   51 KB | 650 downloads
  • #195
  • Feb 27, 2008 1:19am Feb 27, 2008 1:19am
Hi,

I use this strategy but with a 20 pips tp. That way you often end up with only one dangler at the top, not two.

I don't use market orders, just place stop buy orders above the last low and above the current price...

It looks like this:

http://www.xaron.net/dl/fx/2008/grid/gbpjpy_270208.png

Regards - Xaron
  • #196
  • Edited 6:58am Feb 27, 2008 6:53am | Edited 6:58am
Quoting chiang
Hi Dreamliner and all,

I have a quick question,
I read the tread but may be i miss it if somebody already ask.
On the first market order, no limit order, you also put the the take profit of 10 pips, i think yes. but I ask confirmation.
Yes, as per Dreamliner's method, the first market order has a TakeProfit of 10 pips as well.

Glen
  • #197
  • Feb 27, 2008 9:40am Feb 27, 2008 9:40am
Xaron,
If you set tke profit at 10 pips (or 20), then set the next trade to be 10 plus the spread, you will always open a new trade when the current reaches take profit. Also, you will then have only one dangler. I am using this but not opening up a position that stays on. Just the 10 pip buy stops. That way, ony one danger per day. Also, if the pair has made a nice run up, I won't open any more for the day, but if it goes back down by NY open, then I will enter trades.
  • #198
  • Feb 27, 2008 12:40pm Feb 27, 2008 12:40pm
bhale,

actually you can have 2 danglers due to the spread. A new position will be opened before the old one is closed.

This is more likely for a spacing of 10 pips than for a spacing of 20 pips.

Regards - Xaron
  • #199
  • Feb 27, 2008 3:19pm Feb 27, 2008 3:19pm
Quoting Xaron
Hi,

I use this strategy but with a 20 pips tp. That way you often end up with only one dangler at the top, not two.

I don't use market orders, just place stop buy orders above the last low and above the current price...

It looks like this:

http://www.xaron.net/dl/fx/2008/grid/gbpjpy_270208.png

Regards - Xaron
Xaron
What time do you place your trades? Looks like your using different times. Please explain.
  • #200
  • Feb 27, 2008 5:18pm Feb 27, 2008 5:18pm
here's another buy stop script for MT4 with variable TP function; variable spacing function; and all previous variable functions.
with this script you can set your first buy stop order just one point above the bid price or other points
your second position 20 point above your first position or some points you desire
also set 20 point tp or else

for newbies in mt4 please place this script in :

C:\Program Files\"your broker mt4 name"\experts\scripts

example for interbankfx customers:

C:\Program Files\Interbank FX Trader\experts\scripts

to modify the variable :
just right click the Adv_buy_stop_script in the navigator window in your MT4
change your variables (please check to always have ";" in the end of your variable value )
click compile

Please remember this is script not an EA ;

hope it's help
Attached File(s)
File Type: mq4 Adv_buy_stop_script.mq4   1 KB | 631 downloads
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