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Trading system using relative strength

  • #461
  • Oct 12, 2008 5:56am Oct 12, 2008 5:56am
Magic number for the EA How to get this numbers
  • #462
  • Oct 12, 2008 6:27am Oct 12, 2008 6:27am
Quote
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.


Thanks
  • #463
  • Oct 12, 2008 6:54am Oct 12, 2008 6:54am
Quoting nubchai
Icicle

Here's an alert for the end of the 4 hour bar (if you have it on the 4 hour chart). It's a pop-up box and doesn't have sound. Someone else was kind enough to post this earlier.

Sandy

Sandy,

Yes it does have sound, the sound "cldoef" - it is nearly like the warning sound when you have opened a "select action" window and you try to click on another open window - very soft sound.... with this sound you can make the "alarm with box" false, and you will still hear the sound.

Sorry if this explanation is a little confusing, but hopefully you catch my drift.

Regards,
J
  • #464
  • Oct 12, 2008 7:00am Oct 12, 2008 7:00am
Quoting harigp
Magic number for the EA How to get this numbers

Do you mean where to change it? if so, after loading it into your expert folder, and when you are attaching it to your chart, click on the "input" tab at the top, double click on the "magic number" line and type in your own magic number - as stated different magic numbers for each different pair/chart.
  • #465
  • Oct 12, 2008 7:14am Oct 12, 2008 7:14am
so I can choose the numbers of each pair
  • #466
  • Oct 12, 2008 7:28am Oct 12, 2008 7:28am
Quoting Jnita
Sandy,

Yes it does have sound, the sound "cldoef" - it is nearly like the warning sound when you have opened a "select action" window and you try to click on another open window - very soft sound.... with this sound you can make the "alarm with box" false, and you will still hear the sound.

Sorry if this explanation is a little confusing, but hopefully you catch my drift.

Regards,
J
Hi Jnita. Yes icicle alerted me to the fact that there was a sound alert. But it was pointing to a sound file I didn't have. So I pointed it to a file i do have and now I should be all set. Thanks! Sandy
  • #467
  • Oct 12, 2008 7:43am Oct 12, 2008 7:43am
Quoting Lenoxer
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
Lenoxer you raise good questions. I can't answer them all. But I think that as far as leverage wise money management is a must do. You have to make sure that with a trade of 10 pair for example that your used margin is within reason.

This system works because you are buying or selling into pairs based on a comparison of relative strength for the previous 4 hours which means you are buying each pair based on the dominent trend. Something big like major news after a trade is placed could mess up results for sure.

What I liked was your comment about a change from trending to ranging. I have not found an indicator that will tell me visually if the overall market is trending or ranging. I usually focus on the EU for scalping so i can tell just by looking at the chart whether it's trending or not.

BUT if we could identify that change in state and then come up with a strategy using the relative strength calculations so that this system would still work in a ranging market that would be huge. But I don't know if it's as simple as reversing the signal so to speak: shorting the strong currency and buying the weak.

Interesting subject.

Sandy
  • #468
  • Oct 12, 2008 7:50am Oct 12, 2008 7:50am
Quoting harigp
so I can choose the numbers of each pair
I would assume so. I am not a coder, so I also do not know if the magic numbers have to be different from any other ea you might have on your system....

any coder pls enlighten us.
  • #469
  • Oct 12, 2008 9:05am Oct 12, 2008 9:05am
Please be aware that $30 stoploss equals 300 pips with 0.01 contract (or 1000 units at Oanda), not 3000 pips as ES indicated. A minimum 1000 pips stoploss is a must if someone opens a position with 10-15 pairs, IMHO. Because, on Friday, my demo position went against me -620 pips just after opening it and ES says he saw -800 pips at one stage.

Quoting goldcourse
I am going to take ES Trader's advice. Comments please, anyone....?
  • #470
  • Oct 12, 2008 9:35am Oct 12, 2008 9:35am
Quoting Lenoxer
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
Thanks for your input.
There is a second part to this system I am working on it to address that same issue of "weakness" in this strategy.I will discuss this hopefully in the future. I am looking at possibly entering long when currency is WEAK. But question is how do we know whteher the currency will not get even weaker.
Any how for now refer to one of my above posting on MM..

Thanks
Kris
  • #471
  • Oct 12, 2008 9:41am Oct 12, 2008 9:41am
Quoting Blackeagle
Please be aware that $30 stoploss equals 300 pips with 0.01 contract (or 1000 units at Oanda), not 3000 pips as ES indicated. A minimum 1000 pips stoploss is a must if someone opens a position with 10-15 pairs, IMHO. Because, on Friday, my demo position went against me -620 pips just after opening it and ES says he saw -800 pips at one stage.
3000 pips at .01 lot is = $30, with a mini account.
.01 mini lots = 1 cent per pip.
  • #472
  • Oct 12, 2008 9:43am Oct 12, 2008 9:43am
Quoting matrixebiz
Well if I plug the values into the awesome spreadsheet I get this;
(Don't look at the -1 and 1, I just made it simple and put all 2's in the far left column of the spreadsheet and if currency is strong put in 3 and if currency is week put 1 in the second column)

GBPUSD 1 1 FALSE GBPJPY 1 -1 BUY USDCAD 1 -1 BUY GBPCHF 1 1 FALSE USDJPY 1 -1 BUY EURJPY -1 -1 FALSE EURUSD -1 1 SELL AUDUSD 1 1 FALSE AUDJPY 1 -1 BUY USDCHF 1 1 FALSE EURCHF -1 1 SELL NZDUSD 1 1 FALSE EURGBP -1 1 SELL CHFJPY 1 -1 BUY NZDJPY 1 -1 BUY EURAUD -1 1 SELL EURCAD -1 -1 FALSE AUDCAD 1 -1 BUY AUDNZD 1 1 FALSE AUDCHF 1 1 FALSE EURNZD -1 1 SELL GBPNZD 1 1 FALSE NZDCHF 1 1 FALSE GBPAUD 1 1 FALSE NZDCAD 1 -1 BUY GBPCAD 1 -1 BUY CADJPY -1 -1 FALSE

Looks like 8 Longs and 5 shorts
I think our differences are due to the fact that I don't have some of the pairs you listed available for me to trade
  • #473
  • Oct 12, 2008 9:49am Oct 12, 2008 9:49am
Dear ES Trader and Thread,

Thanks Kris and Sandy for the responses. Looking forward to your addressing the weakness of the strategy, Kris. And thanks for the strategy in the first place; thanks for all your efforts; and thanks for the continuing good vibes. Bless you. And good thought, Blackeagle, about 1000 pip SL on the portfolio. Sounds about right. And the reward would be what? 2000 pips? 3000 pips? for a 2:1 or 3:1 RR? Or, trail up the stop on the whole portfolio while keeping 1000 pips as your ultimate SL? At any rate, my l quick analysis guess in terms of deciding trendedness vs. ranging---when do you reverse the trades and sell the strong ones and buy the weak ones---would be to use the basics of pairs trading methodology. See the Ehrman book. See Swingman's spread indicator on the Zeusjoes thread on FF. Watch for standard deviations on the portfolio as a whole and then some reversal trigger at a "stretch" point.

Enjoy.

Lenoxer.
  • #474
  • Oct 12, 2008 10:24am Oct 12, 2008 10:24am
Quoting Pipo
OK guys, lets focus again. Thanks TS Trader for this system and I am looking forward to test it over the next week as per rule in the first few posts.

What would be very helpfull is an EA to run tests and see weaknesses and strength of this system, drawdowns, how does the time differences of brokers effect it, how does it perform over choppy periods, what pairs perform best. With this info that we can model a money managemen plan and than implement it in an EA to trade accordingly. What do you guys think.


Also if TS trader would check all uploaded indicators or exels for it's use and merit for his system and post it in the first thread and all uploads should be removed to prevent confusion.

your posts here in this thread very important.. keep staying with us , we want to learn a lot from you.. thanx too much
Never sell @ lower upward channel unless breacked and vise versa .
  • #475
  • Oct 12, 2008 10:30am Oct 12, 2008 10:30am
my frined ES Trader .. i want to ask you what about fillterition for this system.. i just did testback for only one pairs EU and i sow some times system give me rong signal 150+ pips loss ..

once we got filter for that .. i can say the hollyGril found from this thread

thanks too much for help us.
Never sell @ lower upward channel unless breacked and vise versa .
  • #476
  • Oct 12, 2008 10:45am Oct 12, 2008 10:45am
Quoting WedWed
my frined ES Trader .. i want to ask you what about fillterition for this system.. i just did testback for only one pairs EU and i sow some times system give me rong signal 150+ pips loss ..

once we got filter for that .. i can say the hollyGril found from this thread

thanks too much for help us.
A filter I'm using is if the pair goes -50 I'll reveres the pair so a buy that loses -50 now becomes a sell. So your negative -150 would now be +100.
  • #477
  • Oct 12, 2008 10:56am Oct 12, 2008 10:56am
I'm going to practice this system keeping it very simple just as ES Trader recommends. Demo account with no stop losses. We'll see how the method works when the volitility goes out of the market and becomes a ranging market. That's the true test. Paris
  • #478
  • Oct 12, 2008 11:15am Oct 12, 2008 11:15am
Quoting qz10cq
A filter I'm using is if the pair goes -50 I'll reveres the pair so a buy that loses -50 now becomes a sell. So your negative -150 would now be +100.
i mean Filter for Entry..

after Entry it donse not mean filter , it mean many mangment or contol bad situation or some thing like that..
Never sell @ lower upward channel unless breacked and vise versa .
  • #479
  • Oct 12, 2008 11:34am Oct 12, 2008 11:34am
Some more historical study

Details attached

majority of the contract are sell
Attached File(s)
File Type: xls Historey 1.xls   36 KB | 709 downloads
File Type: xls Historey 2.xls   36 KB | 475 downloads
File Type: xls Historey 3.xls   36 KB | 465 downloads
File Type: xls Historey 4.xls   36 KB | 428 downloads
File Type: xls Historey 5 ranging.xls   36 KB | 501 downloads
File Type: xls Historey 6 ranging.xls   36 KB | 480 downloads
File Type: xls Historey 7 friday last two candles.xls   36 KB | 555 downloads
  • #480
  • Oct 12, 2008 12:34pm Oct 12, 2008 12:34pm
I just find old post in FF .. http://www.forexfactory.com/showthread.php?t=80927

i will post it here
if it is unrelated with this supject .. just ignor it..

Quoting priceaction
Tom Yeomans sells something that might be what you're after. I've got his old spreadsheet version but he has a new version out which can read about here http://forexgrail.com/

When I asked him what the new version offers that the old one doesn't he told me; "new version saves plotting the strengths and weakness over periods of time since the spreadsheet gives only tick by tick data."

Below is a screenshot of the spreadsheet version I have.
http://www.forexfactory.com/attachme...0&d=1208180368
Hope this helps
Rob
Never sell @ lower upward channel unless breacked and vise versa .
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