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Attachments: Heiken-Ashi System
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Heiken-Ashi System

  • #41
  • Jan 16, 2007 7:22am Jan 16, 2007 7:22am
Can someone write a very simple EA based on this HA indicator? It just looks too good on the chart with red/blue line followwing the trend.I would think it will be easy to do. Add buy order when the line changes color to blue, and vise versa.Thanks.Andy
  • #42
  • Jan 16, 2007 7:54am Jan 16, 2007 7:54am
Quoting kharvell
Hi mike,

Thanks for sharing your system. Been looking over it, and there are a couple of things that jump out at me from a risk standpoint.



You risk 91% of what you could potentially make? Also with a ratio like that, and your backtesting results indicating 51% success, it seems as though profits would barely offset losses. Suppose if you will, you have 100 trades.

51 are winners for 55 pips: 2805 PIPS
49 are losers for 50 pips: -2405 PIPS

Yet your backtesting results indicate (INCREDIBLE) profitability. When you get a chance, could you clarify on what I am missing here?
Hi Kharvell,

The difference is in the Martingale money management method (doubling up after a loss). This method increases risk, for sure. That is why this system may not be for everybody. But I have found that the Heiken-Ashi is so reliable that it minimizes the risk, at least so far. I have just finished back testing November and the system made the equivalent of 4086 pips. Again, I say "equivalent" because in order to make the spreadsheet show correct dollars I had to double up profits instead of pips.

Hope this makes sense.
  • #43
  • Jan 16, 2007 7:57am Jan 16, 2007 7:57am
Hopefully I am attaching this spreadsheet correctly. Maybe someone can let me know, before I upload November and December's stats. Thank you.
Attached File(s)
File Type: zip MMA Trades June through October.zip   35 KB | 2,396 downloads
  • #44
  • Jan 16, 2007 7:59am Jan 16, 2007 7:59am
Quoting AL4715
Can someone write a very simple EA based on this HA indicator? It just looks too good on the chart with red/blue line followwing the trend.I would think it will be easy to do. Add buy order when the line changes color to blue, and vise versa.Thanks.Andy
Andy, remember that without the Martingale strategy the EA would show losses every month. Money management is king, with this system or any other.
  • #45
  • Jan 16, 2007 8:13am Jan 16, 2007 8:13am
May I add a suggestion about money management.

The martingale progression is well known to gamblers (roulette) - as a killer. If there's someone who's programming an EA or backtest:

Please test it with the fibonacci progression:

1-1-2-3-5-8-13-....

If lost 1, then go to next step. If also lost the next step etc. Now, when you win then stay one more time at the same level. It will bring you up into the winning zone.
Example:
1 lost
1 lost
2 lost
3 lost
5 won
5 won
back to first step

This saves money and catches a trend also.

My 2 cents

Freewheelin

P.S: A very interesting strategy! Thanks for sharing.
42
  • #46
  • Jan 16, 2007 8:32am Jan 16, 2007 8:32am
Quoting Freewheelin
May I add a suggestion about money management.

The martingale progression is well known to gamblers (roulette) - as a killer. If there's someone who's programming an EA or backtest:

Please test it with the fibonacci progression:

1-1-2-3-5-8-13-....

If lost 1, then go to next step. If also lost the next step etc. Now, when you win then stay one more time at the same level. It will bring you up into the winning zone.
Example:
1 lost
1 lost
2 lost
3 lost
5 won
5 won
back to first step

This saves money and catches a trend also.

My 2 cents

Freewheelin

P.S: A very interesting strategy! Thanks for sharing.

hmmm, very interesting idea.
  • #47
  • Jan 16, 2007 8:57am Jan 16, 2007 8:57am
Quoting mikejody
Here is the only indicator I use for this system. Set properties to 2-6-3-2.
This indicator with those settings is exactly like the T3 indicator. The color on this indicator changes when the T3 changes slope.

Often times when a change in direction occurs it will be a rapid one, followed by a retracement. What I would recommend doing is adding the T3 to your chart (6, .618). If the move that caused the Heiken Ashi to change colors was a drastic one, wait for the price to come back down to the T3 and then trade in the direction of the slope (and color of the heiken ashi) once price touches the T3. You can also do this during trends to get in positions at better price points.

Jason
  • #48
  • Jan 16, 2007 9:07am Jan 16, 2007 9:07am
Hi Freewheelin,

Thank you for your contribution here. I think I like your money management idea. So if I understand correctly, from your example below, if we lost at number 5 we would go up to number 8, correct?

And it seems that you keep the last number of win for 2 times, so if we won at number 8 we would have the next trade be 8 as well, correct? How about if the second 8 lost? Would we then jump to 13 and stay there for two trades?

Thank you again.

Quoting Freewheelin
May I add a suggestion about money management.

The martingale progression is well known to gamblers (roulette) - as a killer. If there's someone who's programming an EA or backtest:

Please test it with the fibonacci progression:

1-1-2-3-5-8-13-....

If lost 1, then go to next step. If also lost the next step etc. Now, when you win then stay one more time at the same level. It will bring you up into the winning zone.
Example:
1 lost
1 lost
2 lost
3 lost
5 won
5 won
back to first step

This saves money and catches a trend also.

My 2 cents

Freewheelin

P.S: A very interesting strategy! Thanks for sharing.
  • #49
  • Jan 16, 2007 9:10am Jan 16, 2007 9:10am
Quoting jlowder
This indicator with those settings is exactly like the T3 indicator. The color on this indicator changes when the T3 changes slope.

Often times when a change in direction occurs it will be a rapid one, followed by a retracement. What I would recommend doing is adding the T3 to your chart (6, .618). If the move that caused the Heiken Ashi to change colors was a drastic one, wait for the price to come back down to the T3 and then trade in the direction of the slope (and color of the heiken ashi) once price touches the T3. You can also do this during trends to get in positions at better price points.

Jason
Hi Jason, thank you for your contribution. Can you please post the T3 indicator here for us?

Thank you.
  • #50
  • Jan 16, 2007 9:17am Jan 16, 2007 9:17am
Quoting mikejody
Hi Jason, thank you for your contribution. Can you please post the T3 indicator here for us?

Thank you.
Here you go. I noticed with other pairs (I first used NZDUSD to look at it) there isn't an exact sync up but very close.

Jason
Attached File(s)
File Type: mq4 T3MA_mod_2.mq4   3 KB | 2,494 downloads
  • #51
  • Jan 16, 2007 9:45am Jan 16, 2007 9:45am
Quoting jlowder
Here you go. I noticed with other pairs (I first used NZDUSD to look at it) there isn't an exact sync up but very close.

Jason
Jason, the indicator is all red on my platform. What setting makes it change color? Thanks for posting it.
  • #52
  • Jan 16, 2007 10:02am Jan 16, 2007 10:02am
Quoting mikejody
Hi Freewheelin,

Thank you for your contribution here. I think I like your money management idea. So if I understand correctly, from your example below, if we lost at number 5 we would go up to number 8, correct?

And it seems that you keep the last number of win for 2 times, so if we won at number 8 we would have the next trade be 8 as well, correct? How about if the second 8 lost? Would we then jump to 13 and stay there for two trades?

Thank you again.
Hi Mikejody,

I see that I should have been more precise - for me as an old roulette gambler it's easy.

The idea is to stay at one level (expecting we are in a losing row) until two WINNERS in a row occured.

Examples:

-1
-1 = -2
-2 = -4
-3 = -7
+5 = -2
-5 = -7
+5 = -2
-5 = -7
-5 = -12
+8 = -4
-8 = -12
+8 = -4
+8 = +4 back to first step!

Hope it is clear now. I apologize for my poor english...
42
  • #53
  • Edited 10:11am Jan 16, 2007 10:06am | Edited 10:11am
Quoting mikejody
Jason, the indicator is all red on my platform. What setting makes it change color? Thanks for posting it.
The T3 is just one color.

You can use this one, which draws the T3 with different colors. I have settings set to: 0,6,6,0,.618,0,3. This indicator does virtually every MA available. It calls other indicators to use the data, so you'll either need to save this second T3MA indicator I attached or rename the other one to T3MA.

You can download the full indicator and see it's settings here:

http://www.xpworx.com/XP%20Moving%20Average.htm

Jason
Attached File(s)
File Type: mq4 xpMA.mq4   16 KB | 1,671 downloads
File Type: mq4 T3MA.mq4   3 KB | 1,709 downloads
  • #54
  • Jan 16, 2007 10:30am Jan 16, 2007 10:30am
Thank you for the further explanation here, Freewheelin. I know this is the most important aspect of trading, so I wanted to understand it better.

With the Fibonacci numbers you end up with +4 after 13 trades. The doubling (Martingale) method is much riskier I believe, but also correspondingly more profitable (if you don't blow out your account with a series of losses). But it is interesting that in the example you used below, Fibo ends up with +4, Martingale ends up with +5, it is just that the Martingale had a drawdown of -15 whereas the Fibo only had drawdown of -12.

Here is the Martingale method with 13 trades:

-1
-2 = -3
-4 = -7
-8 = -15
+16 = +1
-1 = 0
+2 = +2
-1 = +1
-2 = -1
+4 = +3
-1 = +2
+2 = +4
+1 = +5

I might try to redo the numbers with Fibonacci, or if anyone else had time to take the spreadsheet I posted and redo it with Fibo numbers that would be helpful.

Thanks again Freewheelin!

Quoting Freewheelin
Hi Mikejody,

I see that I should have been more precise - for me as an old roulette gambler it's easy.

The idea is to stay at one level (expecting we are in a losing row) until two WINNERS in a row occured.

Examples:

-1
-1 = -2
-2 = -4
-3 = -7
+5 = -2
-5 = -7
+5 = -2
-5 = -7
-5 = -12
+8 = -4
-8 = -12
+8 = -4
+8 = +4 back to first step!

Hope it is clear now. I apologize for my poor english...
  • #55
  • Jan 16, 2007 11:22am Jan 16, 2007 11:22am
Hi Mikejody,

that's why roulette pros are using the fibo sequence - it's because of the drawdowns.
The longer you are in a losing row, the more you need strong belief in what you're doing.
The martingale blows your account out someday, although in forex with your method it is easy to catch a trend, so you always will be back to +1. But to win 1 unit sometimes you have to risk many capital. That's why I would prefer the fibo sequence.
Also if you want to risk higher lot units (higher than micro) the fibo is better.
I have some other sequences/progressions learned from my time as a gambler.
We always were looking for small drawdowns because of the limited capital...
42
  • #56
  • Edited 12:22pm Jan 16, 2007 11:40am | Edited 12:22pm
The Fibo method is less risky than the Martingale in the sense that the steps ascend more slowly. For example, the twentieth Fibo number is 6,765 while 2^19 = 524,288, which differs by a significant order of magnitude. But the Fibo method apparently requires two successive wins to return to breakeven; the Martingale only one. This is the kind of compromise that underlies any money management (MM) system, i.e. probability is in some way inversely proportional to payoff size. Casino games like Roulette offer a reasonable analogy.

Just like with Roulette, I don’t believe it’s possible to beat the markets statistically using only MM. To be assured of winning with long term consistency, the method of entry/exit (in this case Heiken-Ashi) has to deliver an implicit positive expectancy. In the same way, the casino always eventually wins at Roulette because the game’s expectancy is significantly (5.26%) in the casino’s favor. MM is irrelevant.

With any MM system of increasing bet size, the point will eventually be reached where the number of successive losses exceeds one’s asset base, even if one is Bill Gates.

The probability of attaining a prolonged losing sequence is higher than most people imagine. The following table illustrates this. The left column shows the percentage of winning trades (‘batting average’), the topmost row the number of successive losses. The intersection in the body of the table shows the probability of incurring this number of losses in a sequence of 50 trials (trades).

For example, if one’s system has a win rate of 55%, then the probability of incurring 6 successive losses anywhere within a 50 trade sequence is as high as 31%. All values are rounded to the nearest percent, e.g. 100% doesn’t mean absolute certainty, just that the value exceeds 99.5%.

The table assumes a normal probability distribution. However, I’ve read that with trading, sequences of wins and losses tend to 'cluster' together, while market conditions that are either favorable, or unfavorable, to one’s system, remain in force. Hence the probabilities are likely to be even higher than the values in the table.

David

[Edit:
The table shows the probability for N successive losses. In the case of the Fibo MM system, two successive wins are needed to attain breakeven. Hence (for example) 1 win embedded anywhere in 7 losing trades, or 2 non-successive wins embeeded anywhere within 8 losing trades, etc brings one no closer to breakeven than 6 consecutive losses. There are hundreds of possible combinations of achieving these outcomes. Hence the Fibo system has a significant barrier to overcome.

Another very important consideration is that MM systems where bet size is increased are incredibly difficult to stomach. When the stakes increase, desperation and panic start to set in, resulting in irresistible temptation to compromise the entry/exit rules. This is the complete antithesis of a prudent approach to trading.

Like any trading system, this system will ultimately stand or fail on how well or badly the Heiken-Ashi method exploits non-random price behavior, in generating its entry and exit signals. If it can deliver a profit factor
= (number of wins x average net win size) / (number of losses x average net loss size)
that is > 1, on balance, across all market conditions, then it has the hallmarks of a profitable system.]
Attached Image
  • #57
  • Jan 16, 2007 11:46am Jan 16, 2007 11:46am
I post to you the response I had from Meta Trader itself about their policy regarding their demos:

Hello,

This depends on your broker. In our demo server, for example, there are no limitations for using of demo accounts. But your demo account will be deleted if you have not visited it within 3 weeks.


Best regards, Tatyana Vorontsova (6 feet, 130 lbs sandy blond)

OK This last comment I added, I think we should not think only about Forex but woman too......right. These people can be reached at:

www.metaquotes.net

Regards

Francois
  • #58
  • Jan 16, 2007 12:38pm Jan 16, 2007 12:38pm
hanover,
thanks for your input. This is why you never can beat the roulette/the bank and why I quit fooling around with this game.
42
  • #59
  • Jan 16, 2007 12:59pm Jan 16, 2007 12:59pm
Thank you all for your contribution so far, I'm learning from each of you.

I especially appreciated the info and the chart/graph that hanover posted. I think this also could be somewhat of a "glass is half empty" vs. "glass is half full" scenario, too. For instance, let's say my sytem has a 35% success rate. Then according to the graph posted I have a 70% chance of not having 11 misses in a row (30% chance of having 11 misses in a row). As long as I take into account this drawdown then I have a good system.

Anyway, here are the statistics for January 2006. We gained the equivalent of 526 pips and drawdown was just over 5%.

=============================================================================================
PERFORMANCE STATISTICS
=============================================================================================
TRADING PARAMETERS...........................................................................
Initial Account Equity: $3,000.00
Trading Vehicle: Futures
Initial Margin: $500.00
Round-turn slippage per contract: $0.00
Round-turn commissions and fees per contract: $0.00
Position Sizing Method: None
No. Contracts: From input data
PROFIT SUMMARY...............................................................................
Total Net Profit: $1,661.70
Gross Profit: $2,089.00
Gross Loss: -$427.30
Profit Factor: 4.8888
Highest Closed Trade Equity: $4,802.70
Lowest Closed Trade Equity: $2,872.70
Final Account Equity: $4,661.70
Return on Starting Equity: 55.39%
TRADE RESULTS................................................................................
Number of Trades: 22
Number of Winning Trades: 8
Number of Losing Trades: 14
Percent Profitable: 36.36%
Max Number of Contracts: 1
Minimum Number of Contracts: 1
Average Number of Contracts: 1
Largest Winning Trade ($): $1,760.00 (61.27%)
Largest Winnning Trade (%): 61.27% ($1,760.00)
Average Winning Trade ($): $261.13
Average Winning Trade (%): 8.71%
Max Number Consecutive Wins: 3
Largest Losing Trade ($): -$100.00 (-2.10%)
Largest Losing Trade (%): -2.71% (-$80.00)
Average Losing Trade ($): -$30.52
Average Losing Trade (%): -0.85%
Max Number Consecutive Losses: 5
Average Trade ($): $75.53
Average Trade (%): 2.62%
Trade Standard Deviation ($): $379.41
Trade Standard Deviation (%): 13.16%
Win/Loss Ratio ($/$): 8.5555
Win/Loss Ratio (%/%): 10.1948
Return/Drawdown Ratio: 10.8196
Modified Sharpe Ratio: 0.1994
DRAWDOWNS....................................................................................
Number of Closed Trade Drawdowns: 5
Average Drawdown ($): -$85.46
Average Drawdown (%): 2.37%
Average Number of Trades in Drawdowns: 2
Worst Case Drawdown ($): -$155.00 (5.12%)
Trade Number at Trough: 15
Number of Trades in Drawdown: 5
Worst Case Drawdown (%): 5.12% (-$155.00)
Trade Number at Trough: 15
Number of Trades in Drawdown: 5
  • #60
  • Jan 16, 2007 1:28pm Jan 16, 2007 1:28pm
February was a nice downtrend month for cable, producing nearly 1000 pips for this method with a less than 1% drawdown.

Here are the stats:

=============================================================================================
PERFORMANCE STATISTICS
=============================================================================================
TRADING PARAMETERS...........................................................................
Initial Account Equity: $3,000.00
Trading Vehicle: Futures
Initial Margin: $0.00
Round-turn slippage per contract: $0.00
Round-turn commissions and fees per contract: $0.00
Position Sizing Method: None
No. Contracts: From input data
PROFIT SUMMARY...............................................................................
Total Net Profit: $98.10
Gross Profit: $146.00
Gross Loss: -$47.90
Profit Factor: 3.0480
Highest Closed Trade Equity: $3,103.10
Lowest Closed Trade Equity: $3,000.00
Final Account Equity: $3,098.10
Return on Starting Equity: 3.27%
TRADE RESULTS................................................................................
Number of Trades: 20
Number of Winning Trades: 11
Number of Losing Trades: 9
Percent Profitable: 55.00%
Max Number of Contracts: 1
Minimum Number of Contracts: 1
Average Number of Contracts: 1
Largest Winning Trade ($): $22.00 (0.73%)
Largest Winnning Trade (%): 0.73% ($22.00)
Average Winning Trade ($): $13.27
Average Winning Trade (%): 0.44%
Max Number Consecutive Wins: 3
Largest Losing Trade ($): -$10.00 (-0.33%)
Largest Losing Trade (%): -0.33% (-$10.00)
Average Losing Trade ($): -$5.32
Average Losing Trade (%): -0.17%
Max Number Consecutive Losses: 2
Average Trade ($): $4.90
Average Trade (%): 0.16%
Trade Standard Deviation ($): $11.11
Trade Standard Deviation (%): 0.36%
Win/Loss Ratio ($/$): 2.4938
Win/Loss Ratio (%/%): 2.5137
Return/Drawdown Ratio: 6.6555
Modified Sharpe Ratio: 0.4443
DRAWDOWNS....................................................................................
Number of Closed Trade Drawdowns: 6
Average Drawdown ($): -$7.98
Average Drawdown (%): 0.26%
Average Number of Trades in Drawdowns: 1
Worst Case Drawdown ($): -$15.00 (0.49%)
Trade Number at Trough: 8
Number of Trades in Drawdown: 2
Worst Case Drawdown (%): 0.49% (-$15.00)
Trade Number at Trough: 8
Number of Trades in Drawdown: 2
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