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Part Time Wealth Building Trading System - Daily Scalping

  • #581
  • Edited 2:50pm Feb 17, 2007 2:06pm | Edited 2:50pm
here's another weird example: i did a manual backtest on a week (i chose it randomly) from last august and then i compared it with the automated backtest using this EA. i have attached the results.
something is not working.

p.s. i did the same thing for the whole month of august 2006. automated gives me a return of -275 PIPS, while manual gives a profit of +580 PIPS. i hate to say it, but there must be something wrong with the EA (i used 1.0b).
Attached File(s)
File Type: pdf automated g-j 7-11aug 2006.pdf   17 KB | 1,204 downloads
File Type: pdf manual g-j 7-11aug 2006.pdf   9 KB | 732 downloads
Nihil Sine Deo.
  • #582
  • Feb 17, 2007 2:09pm Feb 17, 2007 2:09pm
Quoting Scrat
....something is not working.
It may be because of 25% modeling quality...

Again, forward testing should give us better answers.

Mario
  • #583
  • Feb 17, 2007 2:51pm Feb 17, 2007 2:51pm
A little off topic but most arent backtesting correctly. First thing you need to do is create a new install of MT4. Install it to a seperate location as you do not want your data corrupted. NEVER LET THIS INSTALL CONNECT! When you open it up and it asks to connect just hit cancel. Next follow these instructions, and use the script attached to convert the data instead of the default one....


1. Go download the MT4 Data for the currency pair you want to backtest found at http://www.alpari-idc.com/en/dc/databank.php


2. After you unzip the data on your Hard Drive, you need to import the data into Metatrader 4.

3. Open Metatrader 4 (Launch the program)

4. You need to go to your History Center in Metatrader 4. Hit F2 on your keyboard. Or Click on the top of Metatrader: Tools and choose History Center

5. Open Forex, Open Currency Pair to import and Open M1

6. Click Import and Browse to the location where you unzipped the Data for the currency pair.

7. Make sure File Type is on Metaquotes files. Click Open and OK. Then Close.

8. Now, in the Navigator window on the left side of your Metatrader 4 program, open up Scripts. It should be right below Custom Indicators.(place the script below into your experts/scripts folder)

9. Now, click Tools- Options- Charts tab and change the Max Bars in History and Max Bars in Chart to 999999999999 and click OK.

10. Open the chart offline by going to File- Openoffline - SELECT and open the Pair on M1 Timeframe.

11. You should have the M1 Chart (offline) open of the currency pair. You need to Double click on Period Converter script.



Basically, you are converting the M1 data that you imported into the different timeframes that you want to test. You can do one at a time to do all of them.

The data will not appear until you close MT4 and reopen. Do this after you have converted your data.
Attached File(s)
File Type: ex4 period_converter All.ex4   6 KB | 1,308 downloads
  • #584
  • Feb 17, 2007 3:06pm Feb 17, 2007 3:06pm
Back on topic.
As per TK's methods the SL of 40 proves to be the best for cable so I wont go into details. I then moved to the close hour. There are BIG differences in profit and drawdown. The best times to shut it down are around the 1700 hour give or take an hour. This made a difference in profit from the end of day close at appx 2500 pips to the close at 1700 appx 4000 pips. This obviously reduced the drawdown as well. This inst surprising. In general people are entering the market around London open and begin closing positions around the lunchtime US session causing a retrace. A lot of times this retrace continues into the Frankfurt/ London opens. There isnt a variable for open time so I will have a look at the code to see if I can change it and see if waiting until the euro sessions to open. If I cant i will move to max losses and see how that goes.

Attached are my reports named with the close hour at the end.
Attached Images
Attached File(s)
File Type: zip Closetimes.zip   206 KB | 609 downloads
  • #585
  • Feb 17, 2007 3:36pm Feb 17, 2007 3:36pm
Quoting C.E.O.
Initial results on the three day reverse do not make much difference in profit, but do help with drawdown and smooth it out a little.

just a note. I am consistently getting positive results over the long haul. I dont know if you guys are just testing a month or what. I have used skylines and rythm with similar results on MANY backtests. There are bad months during ranging periods but 2000-2500 pips a year in the end.
That's an 85% drawdown. Not acceptable. The weekly scalping system shows much more promise IMO.
  • #586
  • Feb 17, 2007 4:35pm Feb 17, 2007 4:35pm
Hows this for DD.
Added a 40 pip break even reverse, meaning moving to BE at 40 pips with that being the new opposite entry



SymbolGBPUSD (Great Britain Pound vs US Dollar) Period1 Hour (H1) 2005.01.03 00:00 - 2007.01.06 00:00 (2006.01.01 - 2007.01.06) ModelEvery tick (based on all available least timeframes with fractal interpolation of every tick) ParametersGMT_Shift=0; TakeProfit=999; StopLoss=40; HourToCloseOrders=17; SundayCandleExists=false; Lots=1; UseMoneyManagement=false; Risk=2; Slippage=3; MaxLossesTradesPerDay=5; BreakEvenAfterPips=40; TrailingStop_Setting="---------- Trail Management Settings"; TrailingStopType=2; TrailingStop=0;
Bars in test16512Ticks modelled2993454Modelling quality90.00%
Initial deposit10000.00



Total net profit45259.98
Gross profit116980.09
Gross loss-71720.11
Profit factor1.63
Expected payoff99.47

Absolute drawdown570.01
Maximal drawdown3430.00 (26.55%)
Relative drawdown26.55% (3430.00)
Total trades455
Short positions (won %)228 (54.82%)Long positions (won %)227 (55.95%)
Profit trades (% of total)252 (55.38%)Loss trades (% of total)203 (44.62%) Largestprofit trade2690.00
loss trade-400.01
Averageprofit trade464.21 loss trade-353.30
Maximumconsecutive wins (profit in money)12 (3150.02)
consecutive losses (loss in money)8 (-3020.00)
Maximalconsecutive profit (count of wins)4070.02 (6)
consecutive loss (count of losses)-3020.00 (8)
Averageconsecutive wins2 consecutive losses2
Attached Image
  • #587
  • Feb 17, 2007 5:03pm Feb 17, 2007 5:03pm
Nice work CEO.

Much better drawdowns.

Is moving to breakeven possible with this EA at the moment?

Will be interested to know how how a Euro entry time tests.
  • #588
  • Edited 5:33pm Feb 17, 2007 5:20pm | Edited 5:33pm
Quoting C.E.O.
Hows this for DD.
Added a 40 pip break even reverse, meaning moving to BE at 40 pips with that being the new opposite entry



SymbolGBPUSD (Great Britain Pound vs US Dollar) Period1 Hour (H1) 2005.01.03 00:00 - 2007.01.06 00:00 (2006.01.01 - 2007.01.06) ModelEvery tick (based on all available least timeframes with fractal interpolation of every tick) ParametersGMT_Shift=0; TakeProfit=999; StopLoss=40; HourToCloseOrders=17; SundayCandleExists=false; Lots=1; UseMoneyManagement=false; Risk=2; Slippage=3; MaxLossesTradesPerDay=5; BreakEvenAfterPips=40; TrailingStop_Setting="---------- Trail Management Settings"; TrailingStopType=2; TrailingStop=0;
Bars in test16512Ticks modelled2993454Modelling quality90.00%
Initial deposit10000.00



Total net profit45259.98
Gross profit116980.09
Gross loss-71720.11
Profit factor1.63
Expected payoff99.47

Absolute drawdown570.01
Maximal drawdown3430.00 (26.55%)
Relative drawdown26.55% (3430.00)
Total trades455
Short positions (won %)228 (54.82%)Long positions (won %)227 (55.95%)
Profit trades (% of total)252 (55.38%)Loss trades (% of total)203 (44.62%) Largestprofit trade2690.00
loss trade-400.01
Averageprofit trade464.21 loss trade-353.30
Maximumconsecutive wins (profit in money)12 (3150.02)
consecutive losses (loss in money)8 (-3020.00)
Maximalconsecutive profit (count of wins)4070.02 (6)
consecutive loss (count of losses)-3020.00 (8)
Averageconsecutive wins2 consecutive losses2
Interesting observation but taking the last GU daily week, the SAR at +40 feature actually resulted in a 100 pip overall loss compared to +40 without it with 6 trades on Thursday instead of what would have been just 2..that's not to say that longer term it wouldn't prove more profitable..

I think the real trick is to limit the trades per day to 2 -last week it would have produced over 100 pips on the GU without the SAR after +40.
  • #589
  • Edited 7:24pm Feb 17, 2007 7:02pm | Edited 7:24pm
There are a few ways to play the strategy depending on your risk profile. But I am finding out the more I optimize, the better it gets. take for example last week as you say. With my settings, the daily is a big winner. I will post the EA I have with what I modified in a little while, need to finish it up. But see last week below.

Here is the trade list if anyone wants to compare to manual
1 2007.02.12 00:00 buy 1 1.00 1.9519 1.9479 2.0518 0.00 10000.00
2 2007.02.12 07:14 modify 1 1.00 1.9519 1.9519 2.0518 0.00 10000.00
3 2007.02.12 08:54 s/l 1 1.00 1.9519 1.9519 2.0518 0.00 10000.00
4 2007.02.12 08:54 sell 2 1.00 1.9517 1.9557 1.8518 0.00 10000.00
5 2007.02.12 10:30 modify 2 1.00 1.9517 1.9517 1.8518 0.00 10000.00
6 2007.02.12 17:00 close 2 1.00 1.9473 1.9517 1.8518 440.00 10440.00
7 2007.02.13 00:00 buy 3 1.00 1.9458 1.9418 2.0457 0.00 10440.00
8 2007.02.13 06:13 modify 3 1.00 1.9458 1.9458 2.0457 0.00 10440.00
9 2007.02.13 10:29 s/l 3 1.00 1.9458 1.9458 2.0457 0.01 10440.01
10 2007.02.13 10:29 sell 4 1.00 1.9454 1.9494 1.8455 0.00 10440.01
11 2007.02.13 10:44 modify 4 1.00 1.9454 1.9454 1.8455 0.00 10440.01
12 2007.02.13 14:30 s/l 4 1.00 1.9454 1.9454 1.8455 0.00 10440.01
13 2007.02.13 14:30 buy 5 1.00 1.9455 1.9415 2.0454 0.00 10440.01
14 2007.02.13 17:00 close 5 1.00 1.9426 1.9415 2.0454 -290.00 10150.01
15 2007.02.14 00:00 buy 6 1.00 1.9461 1.9421 2.0460 0.00 10150.01
16 2007.02.14 08:44 modify 6 1.00 1.9461 1.9461 2.0460 0.00 10150.01
17 2007.02.14 17:00 close 6 1.00 1.9609 1.9461 2.0460 1479.99 11630.00
18 2007.02.15 00:00 buy 7 1.00 1.9631 1.9591 2.0630 0.00 11630.00
19 2007.02.15 09:47 modify 7 1.00 1.9631 1.9631 2.0630 0.00 11630.00
20 2007.02.15 10:30 s/l 7 1.00 1.9631 1.9631 2.0630 0.00 11630.00
21 2007.02.15 10:30 sell 8 1.00 1.9631 1.9671 1.8632 0.00 11630.00
22 2007.02.15 10:31 modify 8 1.00 1.9631 1.9631 1.8632 0.00 11630.00
23 2007.02.15 17:00 close 8 1.00 1.9539 1.9631 1.8632 920.00 12550.00
24 2007.02.16 00:00 sell 9 1.00 1.9507 1.9547 1.8508 0.00 12550.00
25 2007.02.16 15:12 modify 9 1.00 1.9507 1.9507 1.8508 0.00 12550.00
26 2007.02.16 17:00 close 9 1.00 1.9495 1.9507 1.8508 120.00 12670.00

Settings are SL 40 with a BE of 40 becoming the reverse order closing at 1700.

Closing at EOD would have resulted in 319 pips rather than 267
Attached Images
Attached File(s)
File Type: zip Lastweek.zip   7 KB | 468 downloads
  • #590
  • Feb 17, 2007 8:47pm Feb 17, 2007 8:47pm
This is exactly why I included a (TrailStop Once) variable in Rhythm. I thought it might be profitable just by looking at a few charts. It should be able to do what CEO is testing.
I have also have been using 17:00 as my exit. It looked like it might average more profit than 23:00. I just visualized this from the charts I really had no idea it would backtest this good but I don’t give very much attention to MT4 backtest no matter what it shows.
  • #591
  • Feb 17, 2007 9:48pm Feb 17, 2007 9:48pm
I was just about to Post that rhythm is capable of the 40 pip BE and reverse so people could test for themselves. So at this point we have rhythm that breaks even, has an entrytime but doesnt reverse the trend after 3 days, or skylines which does follow the trend reversal with no BE or start hour. I have modified skylines to include a BE and 3 trailing stop types. I am working on making it user defined on daystoreverse and if I get it I will post it, otherwise I will post it with the BE and trails as is. The problem is I am a code hack, not a coder. Skyline would need to go over my code and probably clean it up, but it does function. I have been working on skylines just because i can understand his code better than Michaels, way to many int's and the _underscores confuse me(would love to know why he did that, the underscores)

What i think needs to be in the final release, either EA.
Days to reverse
A BE and Trail that is INDEPENDENT of the actual reversal order. This would require a recode to include pending orders as the SAR, way above my head.
Keep the BE and trail to modify reversals, would need to modify pending orders if added.
There are people taking profit on one lot, and letting the other run. Possibly the ability to manage more than one lot. This can be done now, but you have to run the EA twice.

If those are added, i can see nothing more that would be required to allow most to set it as they wish for their profile.

I do put some weight to backtesting. Nothing can predict the future for sure. But backtesting will get you in the ballpark of where things need to be.
  • #592
  • Feb 18, 2007 12:29am Feb 18, 2007 12:29am
Quoting Scrat
i just finished a strategy tester with MT4 for the last 2 versions, 1b and 1c. see the results in the attached pdfs. slightly different results for each EA, and quite a surprise: see the results of this system for the last year.
Why are you using one hour charts for the daily scalping system? Try running the same analysis with daily charts.

TK
  • #593
  • Feb 18, 2007 1:42am Feb 18, 2007 1:42am
It was designed to run on 1H charts


Skyline
You cant use take profit. It will immediately open a new order in the opposite direction. Maybe an if (takeprofit>0) tradecondition=0
I dont know, its to late to figure out.
  • #594
  • Edited 4:58am Feb 18, 2007 3:48am | Edited 4:58am
Quoting C.E.O.
There are a few ways to play the strategy depending on your risk profile. But I am finding out the more I optimize, the better it gets. take for example last week as you say. With my settings, the daily is a big winner. I will post the EA I have with what I modified in a little while, need to finish it up. But see last week below.

Here is the trade list if anyone wants to compare to manual
1 2007.02.12 00:00 buy 1 1.00 1.9519 1.9479 2.0518 0.00 10000.00
2 2007.02.12 07:14 modify 1 1.00 1.9519 1.9519 2.0518 0.00 10000.00
3 2007.02.12 08:54 s/l 1 1.00 1.9519 1.9519 2.0518 0.00 10000.00
4 2007.02.12 08:54 sell 2 1.00 1.9517 1.9557 1.8518 0.00 10000.00
5 2007.02.12 10:30 modify 2 1.00 1.9517 1.9517 1.8518 0.00 10000.00
6 2007.02.12 17:00 close 2 1.00 1.9473 1.9517 1.8518 440.00 10440.00
7 2007.02.13 00:00 buy 3 1.00 1.9458 1.9418 2.0457 0.00 10440.00
8 2007.02.13 06:13 modify 3 1.00 1.9458 1.9458 2.0457 0.00 10440.00
9 2007.02.13 10:29 s/l 3 1.00 1.9458 1.9458 2.0457 0.01 10440.01
10 2007.02.13 10:29 sell 4 1.00 1.9454 1.9494 1.8455 0.00 10440.01
11 2007.02.13 10:44 modify 4 1.00 1.9454 1.9454 1.8455 0.00 10440.01
12 2007.02.13 14:30 s/l 4 1.00 1.9454 1.9454 1.8455 0.00 10440.01
13 2007.02.13 14:30 buy 5 1.00 1.9455 1.9415 2.0454 0.00 10440.01
14 2007.02.13 17:00 close 5 1.00 1.9426 1.9415 2.0454 -290.00 10150.01
15 2007.02.14 00:00 buy 6 1.00 1.9461 1.9421 2.0460 0.00 10150.01
16 2007.02.14 08:44 modify 6 1.00 1.9461 1.9461 2.0460 0.00 10150.01
17 2007.02.14 17:00 close 6 1.00 1.9609 1.9461 2.0460 1479.99 11630.00
18 2007.02.15 00:00 buy 7 1.00 1.9631 1.9591 2.0630 0.00 11630.00
19 2007.02.15 09:47 modify 7 1.00 1.9631 1.9631 2.0630 0.00 11630.00
20 2007.02.15 10:30 s/l 7 1.00 1.9631 1.9631 2.0630 0.00 11630.00
21 2007.02.15 10:30 sell 8 1.00 1.9631 1.9671 1.8632 0.00 11630.00
22 2007.02.15 10:31 modify 8 1.00 1.9631 1.9631 1.8632 0.00 11630.00
23 2007.02.15 17:00 close 8 1.00 1.9539 1.9631 1.8632 920.00 12550.00
24 2007.02.16 00:00 sell 9 1.00 1.9507 1.9547 1.8508 0.00 12550.00
25 2007.02.16 15:12 modify 9 1.00 1.9507 1.9507 1.8508 0.00 12550.00
26 2007.02.16 17:00 close 9 1.00 1.9495 1.9507 1.8508 120.00 12670.00

Settings are SL 40 with a BE of 40 becoming the reverse order closing at 1700.

Closing at EOD would have resulted in 319 pips rather than 267
Unfortunately this does show the limitations of backtesting -in real life trading I had 6 trades on the 16th with the B/E SAR set at +40 and a total loss for the day of about 200 pips, which included 2 nasty whiplashes. Hence my suggestion to really limit the number of trades with automated systems which can wreak havoc on a choppy day...
  • #595
  • Edited 9:25am Feb 18, 2007 7:18am | Edited 9:25am
because skyline told me that's how this EA is supposed to work. the problem is, i spent a lot of time playing with strategy tester on both versions and then i ran a manual backtest. quite a big difference. i don't think i can consider automated backtesting anymore, at least not until i figure out or someone explains me why i get those different results.
i guess i'll have to stick to my manual trading for some time, it worked best so far.

as for next week trading, it looks like we'll start with a long for g-y and a short for g-u.

Quoting tkimble
Why are you using one hour charts for the daily scalping system? Try running the same analysis with daily charts.

TK
Nihil Sine Deo.
  • #596
  • Feb 18, 2007 9:58am Feb 18, 2007 9:58am
Quoting Scrat

as for next week trading, it looks like we'll start with a long for g-y and a short for g-u.
My charting shows Friday was a down day for both...but only by 12 or 13 pips. I'm actually carrying over shorts in both from Friday.


Sbetz, how are you doing with your other pairs?
  • #597
  • Feb 18, 2007 10:24am Feb 18, 2007 10:24am
Quoting ksucatfan
My charting shows Friday was a down day for both...but only by 12 or 13 pips. I'm actually carrying over shorts in both from Friday.


Sbetz, how are you doing with your other pairs?

Well Friday was a small gain day for me. I only ended up with 39 pips for the day. I did however close out all my trades at around 8 A.M. Central time. I made a slight profit on all pairs except the usd/jpy and usd/chf. These however were only a very small loss. Friday didn't produce enough volitility to make much of a profit. I am still trying to figure out what stops to put on the eur/sek, usd/sek and the usd/nok. These pairs have been ranging 300 - 900 pips a day. Still have some work to do on them.
  • #598
  • Feb 18, 2007 10:32am Feb 18, 2007 10:32am
Quoting C.E.O.
Initial results on the three day reverse do not make much difference in profit, but do help with drawdown and smooth it out a little.

just a note. I am consistently getting positive results over the long haul. I dont know if you guys are just testing a month or what. I have used skylines and rythm with similar results on MANY backtests. There are bad months during ranging periods but 2000-2500 pips a year in the end.
CEO,

From looking at your report which was attached, I can see what PeterSurrey means when he said about limiting the trades to 2 losses per day. From what I can see - based on the figures you've shown on the report - this would greatly increase profitability.

What do you think?
  • #599
  • Feb 18, 2007 10:36am Feb 18, 2007 10:36am
By the way, is anyone trading tomorrow.

My broker tells me it's Presidents day and the US stock-market is closed.

Looking back on the figures I have for the last holidays - Martin Luther King day, made a profit. Thanksgiving - made a loss (major holiday though) and Labor Day - made a loss.

My instinct is not to trade when the US has a holiday as the volume is so much lighter.

What's everyone else's view on this?
  • #600
  • Feb 18, 2007 11:19am Feb 18, 2007 11:19am
Quoting JillyB
By the way, is anyone trading tomorrow.

My broker tells me it's Presidents day and the US stock-market is closed.

Looking back on the figures I have for the last holidays - Martin Luther King day, made a profit. Thanksgiving - made a loss (major holiday though) and Labor Day - made a loss.

My instinct is not to trade when the US has a holiday as the volume is so much lighter.

What's everyone else's view on this?
not me -best to wait until tomorrow night -hols are generally very choppy and unpredictable...
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