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Trading system using relative strength

  • #441
  • Oct 11, 2008 10:55pm Oct 11, 2008 10:55pm
Just gone randomly over GBPUsd chart especially before truning point of a trend.
By conclusion at this stage is even if currency A is still strong with a series of pluses, that the opposing (B)may gain strength across the other currencies and changes from - to plus and filters itself out as a possible trade with the A currency. The only thing to upset this system IMHO are unexpected news that is causing the currencies across the board to suddenly shift direction. That's where proper money management should prevent the market to reach to deap into your pockets.
  • #442
  • Edited 11:41pm Oct 11, 2008 11:22pm | Edited 11:41pm
So 103d with UseMAs on false, is ES's original method then?

Edit: Actually, I find when comparing them that v103c and v103d, both with default settings, are exact matches for the original CCFp that ES posted. I guess I don't get the whole reason for the use/not use MAs.

Quoting MrPip
Change the input for UseMAs to false. Doing so will show the results from using the close of the past two bars instead of the MA values.

That is the only difference.

I did find something in the code that might need to be modified so be careful when using the close bar method.


Robert
  • #443
  • Oct 11, 2008 11:40pm Oct 11, 2008 11:40pm
So Ive read the thread and I have to say good job ES! After reading it im left with a few question. You have a great way to enter the market but do you have some defined rules on exits that I missed? Do you just enter at a certain time and let it ride till the next 4H candle and then re-enter trades as the indicator may have changed. Any help on the exits and how long you hold trades would be greatly appreciated.

-Sterling
Founder of Day Trading Forex Live
  • #444
  • Oct 11, 2008 11:41pm Oct 11, 2008 11:41pm
Anyone takin any action towards backtesting this.
3 days of trading is not enough.
  • #445
  • Oct 11, 2008 11:46pm Oct 11, 2008 11:46pm
Quoting stersuhr
So Ive read the thread and I have to say good job ES! After reading it im left with a few question. You have a great way to enter the market but do you have some defined rules on exits that I missed? Do you just enter at a certain time and let it ride till the next 4H candle and then re-enter trades as the indicator may have changed. Any help on the exits and how long you hold trades would be greatly appreciated.

-Sterling
read Post #1 paragraph4 and post #16 and #23
  • #446
  • Edited Oct 12, 2008 1:02am Oct 11, 2008 11:52pm | Edited Oct 12, 2008 1:02am
Quoting Ronald Raygun
Ok, I've come up with a preliminary EA for this system. There is still one major problem. As the CCFp relies on multiple currencies to get its readings, this EA WILL NOT WORK PROPERLY IN THE BACKTESTER. It will still place trades, but those trades will be highly inaccurate.

The EA will only look for signals on the chart it is attached to.

If you want the EA to trade a particular currency, attach the EA to the chart with that pair on it. I did this for two reasons:

  1. You can limit the amount of pairs the EA can trade
  2. You avoid the other more exotic pairs with spreads in the 50+ pips range.

There is also another nifty feature in the EA which allows it to communicate with other EAs. If TradeHighestOnly is set to true, the EAs will try to decide amongst themselves which one has the highest combined change in the base and counter currencies. Then THAT EA will be the only one to trade at the beginning of the bar.

I don't remember seeing any exit strategies, so the usual TP, TS, SL, and BE trade management functions are in place.


Ronald,

A couple of questions about the EA:

The custom calls to CCFp in EachTickMode are accessing the current bar (0)and the bar immediately preceding it (1) instead of the preceding bar (1) and the 2nd preceding bar(2)? Please explain why this is appropriate for eachtickmode.

Also, could you briefly explain what the 2 following instructions do? Why are MinutesDelayStart & End multiplied by 60? (I am not suggesting it is wrong, just trying to understand the purpose and function.)

datetime TradeStart = BarOpen + (MinutesDelayStart * 60);
datetime TradeEnd = BarOpen + (MinutesDelayEnd * 60);

Thanks for all the work you put into this EA.

saintmo
  • #447
  • Oct 12, 2008 12:09am Oct 12, 2008 12:09am
Quoting Pipo
read Post #1 paragraph4 and post #16 and #23
So the entries are pretty diefined but no exact rules on the exits. Is this in the works? Thanks for the response!

-Sterling
Founder of Day Trading Forex Live
  • #448
  • Oct 12, 2008 12:27am Oct 12, 2008 12:27am
Quoting Ronald Raygun
Ok, I've come up with a preliminary EA for this system. There is still one major problem. As the CCFp relies on multiple currencies to get its readings, this EA WILL NOT WORK PROPERLY IN THE BACKTESTER. It will still place trades, but those trades will be highly inaccurate.

The EA will only look for signals on the chart it is attached to.

If you want the EA to trade a particular currency, attach the EA to the chart with that pair on it. I did this for two reasons:

  1. You can limit the amount of pairs the EA can trade
  2. You avoid the other more exotic pairs with spreads in the 50+ pips range.

There is also another nifty feature in the EA which allows it to communicate with other EAs. If TradeHighestOnly is set to true, the EAs will try to decide amongst themselves which one has the highest combined change in the base and counter currencies. Then THAT EA will be the only one to trade at the beginning of the bar.

I don't remember seeing any exit strategies, so the usual TP, TS, SL, and BE trade management functions are in place.

Questions about using the EA: (first of all - THANK YOU)
a) is the idea to just open 15 (or so) charts and stick an EA on each?
b) any ideas about which charts to go for?
c) if MM is set to TRUE do I enter a % (and if so do i enter it as 2% or .02) or do I enter a $ amount
d) do I need to set a new magic number on each EA/chart combo

Thanks again for such great work!
  • #449
  • Edited 12:41am Oct 12, 2008 12:27am | Edited 12:41am
Quoting Ronald Raygun
Ok, I've come up with a preliminary EA for this system. There is still one major problem. As the CCFp relies on multiple currencies to get its readings, this EA WILL NOT WORK PROPERLY IN THE BACKTESTER. It will still place trades, but those trades will be highly inaccurate.

The EA will only look for signals on the chart it is attached to.

If you want the EA to trade a particular currency, attach the EA to the chart with that pair on it. I did this for two reasons:

  1. You can limit the amount of pairs the EA can trade
  2. You avoid the other more exotic pairs with spreads in the 50+ pips range.

There is also another nifty feature in the EA which allows it to communicate with other EAs. If TradeHighestOnly is set to true, the EAs will try to decide amongst themselves which one has the highest combined change in the base and counter currencies. Then THAT EA will be the only one to trade at the beginning of the bar.

I don't remember seeing any exit strategies, so the usual TP, TS, SL, and BE trade management functions are in place.

Thanks RR for the EA. Question, if Eur is + and TradeHigestOnly to true, then I would attach the Ea to all pairs I want to trade with eur in either the base or counter positions and the EA would filter thru and trade only one pair that has the widest spread. The other pairs would not trade and will it buy/sell auto?

Question, if you attach the Ea to all pairs in your basket and TradeHO set to true will it just pick out the best ones with the widest spreads and out of the basket trade maybe 4? If it dosen't do that maybe it should. I should be testing this EA before asking these questions, but it's the weekend. Thanks again RR...

Attached are two EA's that can answer the tp.
Attached File(s)
File Type: mq4 CloseAtEquityAmount v1.0.mq4   3 KB | 748 downloads
File Type: ex4 2ProtectAccount.ex4   4 KB | 661 downloads
  • #450
  • Oct 12, 2008 1:25am Oct 12, 2008 1:25am
Quoting saintmo
Ronald,

A couple of questions about the EA:

The custom calls to CCFp in EachTickMode are accessing the current bar (0)and the bar immediately preceding it (1) instead of the preceding bar (1) and the 2nd preceding bar(2)? Please explain why this is appropriate for eachtickmode.

Also, could you briefly explain what the 2 following instructions do? Why are MinutesDelayStart & End multiplied by 60? (I am not suggesting it is wrong, just trying to understand the purpose and function.)

datetime TradeStart = BarOpen + (MinutesDelayStart * 60);
datetime TradeEnd = BarOpen + (MinutesDelayEnd * 60);

Thanks for all the work you put into this EA.

saintmo
EachTickMode shifts everything back a bar. So if set to false, the EA will wait for the bar to close before placing a trade. In order to stick strictly to the system, you set EachTickMode to false.

datetime is the amount of seconds after January 1, 1970 or something like that. That's why it's minutes * 60.

ES_Trader mentioned something about entering trades 10-15 minutes after the bar opens, so it's there for that.


Quoting ahendon
Questions about using the EA: (first of all - THANK YOU)
a) is the idea to just open 15 (or so) charts and stick an EA on each?
b) any ideas about which charts to go for?
c) if MM is set to TRUE do I enter a % (and if so do i enter it as 2% or .02) or do I enter a $ amount
d) do I need to set a new magic number on each EA/chart combo

Thanks again for such great work!

  1. Yes, make sure that each EA has a different MagicNumber
  2. How about the ones the indicator uses?
  3. For 2% you enter 2.
  4. Yes

Quoting qz10cq
Thanks RR for the EA. Question, if Eur is + and TradeHigestOnly to true, then I would attach the Ea to all pairs I want to trade with eur in either the base or counter positions and the EA would filter thru and trade only one pair that has the widest spread. The other pairs would not trade and will it buy/sell auto?

Question, if you attach the Ea to all pairs in your basket and TradeHO set to true will it just pick out the best ones with the widest spreads and out of the basket trade maybe 4? If it dosen't do that maybe it should. I should be testing this EA before asking these questions, but it's the weekend. Thanks again RR...

Attached are two EA's that can answer the tp.
TradeHighestOnly checks the absolute value of the change in both the base currency and the counter currency.

Example: EURJPY

EUR moves +0.1
JPY moves - 0.1

The score is 0.2

EURUSD
EUR moves + 0.1
USD moves - 0.05

The score is 0.15

Between these two, the EA should trade EURJPY long.

I wanted to get some sort of ranking system established so I can pick the top 4 pairs, but that would mean the EA has knowledge of all the pairs internally. I don't know if there's a way to do that reliably using GlobalVariables. The filewrite function came to mind, but there are some delays in that which could be hairy.


-----------------------------------------------------------------


Keep in mind that none of this has been forward tested on my end. It's code I came up with this weekend after I closed my short trade basket (8000 pips, WHOO) from the T101 thread.
  • #451
  • Oct 12, 2008 1:40am Oct 12, 2008 1:40am
Quoting Pipo
I have put together an automated pair selector in an Exel worksheet. Just enter + or - to the corresponding currency and it will make the right combination of pairs you can trade.

Thanks Pipo, nice!
  • #452
  • Oct 12, 2008 2:01am Oct 12, 2008 2:01am
Quoting Ronald Raygun

  1. Yes, make sure that each EA has a different MagicNumber
  2. How about the ones the indicator uses?
  3. For 2% you enter 2.
  4. Yes

thanks!!!!
  • #453
  • Oct 12, 2008 2:01am Oct 12, 2008 2:01am
Dear ES and Thread,

May I ask if anyone can answer my question (p. 27, post #395) about managing the P/L of the basket via an MA of that P/L? As well, as was mentioned a while ago, the real risk of this sort of trading is the sheer number of trades that one has on at any particular point, i.e. quite a bit of leverage. It is the method's strength and weakness simultaneously. It is the method's strength because you are not managing individual trades (and it is probably a mistake to worry about individual trades) and hence will not get stopped out on noise and so renders most TA considerations moot---an edge. It is the method's weakness because you are not using time to average you into the law of large numbers. Rather, you are "bulking" into the trades all at once. You must, therefore, be especially careful with your leverage and with your "uncle" point. The "uncle" point of the trade has not, in my view, recieved enough attention vis a vis the reward point. What is that proper RR ratio? Secondly, there is not a natural "hedge" to the portfolio as there is with the Trader101 basket. There, when you buy or sell you are buying or selling a somewhat hedged basket; here when you buy or sell you are buying and selling strength or weakness, respectively. Therefore, you will always end up with a lopsided portfolio: overweight certain currencies and underweight others. Again, this is simultaneously a strength and a weakness. A strength because you can win big and a weakness because you can lose big---and quickly. Thirdly, this method is a trend-following one, and presently, while the markets are as fluid as they are, it works well. Inevitably, however, they will mean-revert and you will want, then, to short the stronger currency and buy the weaker one at the point of their maximum distance/elasticity from each other. Is there a clause/condition/rule in this methodology which can identify a trended vs. a ranging condition? And, fourthly,
the more theory that we can bring to bear about why a basket concept works and why sometimes it doesn't---what is the REAL edge here and when is it enhanced and when is it degraded---the better recognition tools and MM we will be able to bring to bear on the whole enterprise.

Good luck to all,

Lenoxer
  • #454
  • Oct 12, 2008 2:02am Oct 12, 2008 2:02am
ES Trader,

I have read all the posts since last I was logged on.

Can you please tell me which one of the 5-7 different CCFp mt4 indicators you are using at present?

If I understand correctly you are using the CCFp v1.0.2?

Thanks
J
  • #455
  • Oct 12, 2008 2:11am Oct 12, 2008 2:11am
Great question jnita! I was wondering the exact same thing.
  • #456
  • Oct 12, 2008 2:28am Oct 12, 2008 2:28am
Hey Lenoxer,

No one's listening to you.

Your Bro'
  • #457
  • Oct 12, 2008 2:55am Oct 12, 2008 2:55am
Just trying to be contributive.

Lenoxer
  • #458
  • Oct 12, 2008 3:00am Oct 12, 2008 3:00am
Attached the revised indicator

The + or - signs are not clear in the middel part due to graph
  • #459
  • Oct 12, 2008 3:38am Oct 12, 2008 3:38am
Quoting ES Trader
Good Advice. I was thinking best idea would be to open IBFX mini account with $2000 . Start trading 0.01 contract, putting stop loss of $30.00(that is 3000 pips). I dont believe you will ever hit stop loss at this level(ofcourse there is always possiblity)
Then for every $100 increase in account value add anoth 0.01 .
Hope this make sense
Kris
I am going to take ES Trader's advice. Comments please, anyone....?
  • #460
  • Oct 12, 2008 4:02am Oct 12, 2008 4:02am
Quoting harigp
Attached the revised indicator

The + or - signs are not clear in the middel part due to graph
Just change the input value of all bars to a smaller number like 25. That will cause the lines to end 25 bars back and make the text more easy to read.
Robert
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