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Grid Trading

  • #21
  • Aug 7, 2008 12:47pm Aug 7, 2008 12:47pm
Quoting nvwine
I have the oposite problem. Too many trades. Maybe we can split them.
Increase the grid spacing?
  • #22
  • Aug 7, 2008 12:53pm Aug 7, 2008 12:53pm
Hello,

I tested this concept six months ago, great results, also great worries in large moves. I used attached EA. Did a grid up and down every day at specific time, mostly between 7 and 12 GMT, different for different pairs. Good luck with your grid.
Attached File(s)
File Type: mq4 Grid Trader.mq4   4 KB | 1,064 downloads
  • #23
  • Aug 7, 2008 12:55pm Aug 7, 2008 12:55pm
Quoting Ronald Raygun
Increase the grid spacing?
I'm using the same settings you posted. I can never make it through 6 months without the balance hitting zero. I am using downloaded Alpari 1 min data not collected ticks. I did check the data to make sure it was fairly clean. I don't think our results should be this different regardless. I just ran a one month test because of the number of trades.
Attached File(s)
File Type: pdf Grid Trader_test-01.pdf   108 KB | 1,836 downloads
  • #24
  • Aug 7, 2008 12:57pm Aug 7, 2008 12:57pm
keramikus,

I think the difference between your grid EA and my grid EA is that each trade is independent of the others. My grid has the trades building up with slightly more dynamic TPs.

nvwine,

When I run a visual backtest, I see the price move in bursts with minimal retracements, I figure 100 pips in a direction before a retracement. Do you see the same?

edit: I just ran it on a daily and on an H1, and there is a considerable difference between the two. I used Daily for my first test, maybe TF does have an affect after all.
  • #25
  • Aug 7, 2008 1:15pm Aug 7, 2008 1:15pm
That would be odd. Grids don't rely on TF's at all. Nice to see you, RR. I'll run a couple different TF's and see if there's a diff.

Quoting Ronald Raygun
... edit: I just ran it on a daily and on an H1, and there is a considerable difference between the two. I used Daily for my first test, maybe TF does have an affect after all.
  • #26
  • Aug 7, 2008 1:19pm Aug 7, 2008 1:19pm
Here is my backtest statement. The longest run in a single direction I had was 14 trades before retracing.


I'm wondering if various brokers use different backtesting engines.
Attached Image (click to enlarge)
Click to Enlarge Name: Gridtester.gif Size: 6 KB
Attached File(s)
File Type: zip Gridtester.zip   122 KB | 1,028 downloads
  • #27
  • Aug 7, 2008 1:20pm Aug 7, 2008 1:20pm
Quoting BenQ
That would be odd. Grids don't rely on TF's at all. Nice to see you, RR. I'll run a couple different TF's and see if there's a diff.
I know, that's the part I can't explain, except...

The data used. I'm looking through my history files right now.
  • #28
  • Aug 7, 2008 1:25pm Aug 7, 2008 1:25pm
Quoting Ronald Raygun
Here is my backtest statement. The longest run in a single direction I had was 14 trades before retracing.


I'm wondering if various brokers use different backtesting engines.
You think we have seen the worst of drawdown? Because it could likely go the other way just like the one above in the next few months.
  • #29
  • Aug 7, 2008 1:26pm Aug 7, 2008 1:26pm
Great Thread, RR.
I tried it in demo for 3 months.
Went live after doubling my account every 2 weeks in demo.
You know the results, margin call because of the god damn N**S.
Anyway, it's kinda different startegy because I am gridding highly
correlated pairs and earning swap everyday.
It's a great money maker just needs some antibiotics before it
becomes fatal.
  • #30
  • Aug 7, 2008 1:26pm Aug 7, 2008 1:26pm
My drawdown is 12%...
  • #31
  • Aug 7, 2008 1:28pm Aug 7, 2008 1:28pm
Quoting meltri
Great Thread, RR.
I tried it in demo for 3 months.
Went live after doubling my account every 2 weeks in demo.
You know the results, margin call because of the god damn N**S.
Anyway, it's kinda different startegy because I am gridding highly
correlated pairs and earning swap everyday.
It's a great money maker just needs some antibiotics before it
becomes fatal.
News will always be a problem. I'm seriously thinking of using this building-up strategy as part of a trend finding trade.

To be fair, what I'm doing isn't new, the Turtles are doing it, except that I'm scaling up trades indefinitely.
  • #32
  • Aug 7, 2008 1:35pm Aug 7, 2008 1:35pm
Quoting Ronald Raygun
I'm wondering if various brokers use different backtesting engines.
I enjoy a puzzle. We are using two different builds but it should not be this different. I'm going to open another platform where I have fairly clean MetaQuotes data and see what that shows. This will give me something to do for the next hour.
  • #33
  • Aug 7, 2008 2:33pm Aug 7, 2008 2:33pm
I ran the month of January on my MetaQuotes platform. This platform uses data downloaded through the history center not imported. The results are similar to my Alpari test and are shown in the PDF file.

I noticed on your tester report the EA did well at the end of January through February. So I ran a test from 01/20/08 - 03/08/08. My results were very different than yours. Look at the screen shot and see how you have a number of trades closing at once some for over $50 dollars.
Attached Image (click to enlarge)
Click to Enlarge Name: Ron1.gif Size: 15 KB

Mine rarely close over $10 dollars. Look in my zip file. Double check my settings. Maybe I've made a big mistake and can't see it since it is in front of me.
Here is a S-shot of the test in the zip file:
Attached Image (click to enlarge)
Click to Enlarge Name: Gridtest_0120-0308.gif Size: 53 KB
Attached File(s)
File Type: pdf Grid Trader_test-01_MetaQuotes.pdf   107 KB | 733 downloads
File Type: zip Gridtest_0120-0308_MetaQuotes.zip   63 KB | 491 downloads
  • #34
  • Aug 7, 2008 2:41pm Aug 7, 2008 2:41pm
Change invisible TP to false.

I didn't have a TP, I had a stepped SL based on the newly opened trade, so the risk:reward scheme goes as follows:

# of trades. Max Loss/Gain

  1. 1 Grid Loss
  2. 1 Grid Loss
  3. 0 Grid Loss
  4. 1 Grid Gain
  5. 2 Grid Gain
  6. 3 Grid Gain
  7. 4 Grid Gain
  8. etc.

I guess you can say my method is more a pyramid than a grid.

  • #35
  • Aug 7, 2008 3:09pm Aug 7, 2008 3:09pm
RR, are you saying invisible tp was false for your test? You have it as true in post #10.
  • #36
  • Aug 7, 2008 3:15pm Aug 7, 2008 3:15pm
Yes,

I know what I posted in those settings, but after looking through the code, I can't think of where else it would be. nvwine is getting results which don't top $10, while I'm hitting $50.
  • #37
  • Aug 7, 2008 7:14pm Aug 7, 2008 7:14pm
Quoting Ronald Raygun
What do the comments say? And did you change the lot size from 0?
Hi RR

Sorry false alarm. The EA is placing trades, just not in a manner I was expecting. I was expecting to see buy and sell stops layered in.
  • #38
  • Aug 7, 2008 10:55pm Aug 7, 2008 10:55pm
After a few beers and a nap I still can't get a positive curve. So I'll let it sit a while. It may just be me. I never find my own errors as quickly as spotting errors in other people's settings.

I hope a couple of other people run a backtest for Janurary of 2008 or the year so far. If they post their results it will be a good indicator if I need to start over on my tests.

I forgot to say it before. Ron, Thanks for posting the EA. I appreciate your efforts.
  • #39
  • Aug 8, 2008 8:55am Aug 8, 2008 8:55am
Hi Everyone

Here is some very early results (about 24hrs)
This is a new demo.
Trading only EU 4hr.

Currently up nicely. Nice work RR!

Attached Image (click to enlarge)
Click to Enlarge Name: 1 gridtrader aug 08 08.gif Size: 77 KB
  • #40
  • Aug 8, 2008 9:03am Aug 8, 2008 9:03am
Quoting andante9
I personally have not used SL with my grid trading. And I think such a small SL would be likely to get hit often.

As I understand it your spacing should be large enough to keep you out of multiple trades and even have a little buffer so you might come away clean at the top.

So lets say I use 10 or 15 Buy stops each with a TP of 10 and a distance of say 1.5times the usual spread.

When I catch a move of 150 or 200 pips multiple TP's of 10 are banked. Now then if you come away at the top with a losing trade get rid of it before it loses more pips then the multiple TPs hit.

I am still experimenting with the concept of grid trading but I have seen this type of thing happen more than once on a smaller scale.
Below picture is showing what I was trying to explain above

Attached Image (click to enlarge)
Click to Enlarge Name: 2 gridtrader aug 08 08.gif Size: 101 KB

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