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Relative Strength Basket Trading System

  • #2,301
  • Dec 31, 2008 9:14am Dec 31, 2008 9:14am
Quoting Kang_Gun
Please make sure your broker have at least 28 pairs to make KG RS GROUP or RS_GROUP_XXX indicators works properly.
Are you sure about this, KG? IBFX has 26, but 3 of these are so bizarre it is hard to imagine trading them.

  • #2,302
  • Dec 31, 2008 9:19am Dec 31, 2008 9:19am
Alpari UK has 29 currency pairs.
  • #2,303
  • Dec 31, 2008 9:21am Dec 31, 2008 9:21am
Quoting SteveHopwood
Are you sure about this, KG? IBFX has 26, but 3 of these are so bizarre it is hard to imagine trading them.

Yes... Steve, with ibfx the accuration decrease about 5% ... I'm still working to solve this problem so we can use the broker that have pairs below 28 pairs...

Thanks

KG
  • #2,304
  • Dec 31, 2008 9:21am Dec 31, 2008 9:21am
Quoting Kang_Gun
Try FXOPEN

KG

Thanks I am actually demo'ing it now, do you use them KG?


Anyway, thanks to everyone, KG, Steve, Matrixebiz, Eddie, et al for their efforts. 40 mins to the New Year.

Lets hope it brings us all health and happiness.
  • #2,305
  • Dec 31, 2008 9:21am Dec 31, 2008 9:21am
Oh dear. I am such a dimwit.

V8b cannot possibly place any trades; I am just sorting this out now.

Have a laugh at my expense, coders. Each trigger routine has something similar to this:

//Count no of open trades
EurCountOpenTrades();

// Remove any unwanted global variables
string GvName;
if (EurStrongTradesSent == 0)
{
GvName = DoubleToStr(EurStrongMagicNumber,0);
if (GlobalVariableCheck(GvName)) GlobalVariableDel(GvName);
EurStrongPending=false;
}//if (EurStrongTradesSent == 0)

Ye Gods.

  • #2,306
  • Dec 31, 2008 9:25am Dec 31, 2008 9:25am
The pairs that needed by indicators are the combination pairs of eight currency that we use (GBP, NZD,AUD, USD, JPY, CAD, CHF, EUR).

extern bool Trade_AUDUSD = true;
extern bool Trade_AUDJPY = true;
extern bool Trade_AUDCAD = true;
extern bool Trade_AUDNZD = true;
extern bool Trade_AUDCHF = true;
extern bool Trade_CADCHF = true;
extern bool Trade_CADJPY = true;
extern bool Trade_CHFJPY = true;
extern bool Trade_EURUSD = true;
extern bool Trade_EURAUD = true;
extern bool Trade_EURCAD = true;
extern bool Trade_EURCHF = true;
extern bool Trade_EURGBP = true;
extern bool Trade_EURJPY = true;
extern bool Trade_EURNZD = true;
extern bool Trade_GBPAUD = true;
extern bool Trade_GBPCAD = true;
extern bool Trade_GBPNZD = true;
extern bool Trade_GBPUSD = true;
extern bool Trade_GBPJPY = true;
extern bool Trade_GBPCHF = true;
extern bool Trade_NZDJPY = true;
extern bool Trade_NZDCHF = true;
extern bool Trade_NZDCAD = true;
extern bool Trade_NZDUSD = true;
extern bool Trade_USDCHF = true;
extern bool Trade_USDJPY = true;
extern bool Trade_USDCAD = true;

Thanks

KG
  • #2,307
  • Dec 31, 2008 9:35am Dec 31, 2008 9:35am
Please find attached my statement from 29/12.

I am using the indicators posted here and my own interpretation of an EA that i built. I havent posted it so as not to confuse the thread.

The lotsize, drawdown looks pretty good.

Happy New Year to all.
Attached File(s)
File Type: zip DetailedStatement.zip   9 KB | 371 downloads
  • #2,308
  • Dec 31, 2008 9:39am Dec 31, 2008 9:39am
Quoting cybernet69
Please find attached my statement from 29/12.

I am using the indicators posted here and my own interpretation of an EA that i built. I havent posted it so as not to confuse the thread.

The lotsize, drawdown looks pretty good.

Happy New Year to all.
And it shows the small multiple gains against a few massive losses.

Nice one........

Eddie
  • #2,309
  • Edited 9:59am Dec 31, 2008 9:44am | Edited 9:59am
Here is V8c. This has the offending lines of code removed. This probably means the ea will go back to placing baskets seemingly at random from time to time.

Hey ho. I will get there.




Update details
V3a: fixed the incorrect entries in the xxxUSDUSDxxx baskets.
V3b: (1) Fixed the user feedback display. (2) Added feedback to show when the ea is waiting for a retrace to send a basket - shows a message such as 'Weak basket pending'.
V4: added the GBP trigger.
V4a: added the MaximumSpread feature. Added the ability to chose the distance of retrace the ea waits before sending the basket.
V5: added EUR and CHF triggers. Added the DisplayGapSize input to help tidy up the feedback display. Added the missed GBPCAD pair to the GBP basket.Added the option to turn off the screen display of magic numbers.Added the basket take profit option.
V6: added the basket stop loss and jumping stop functions.
V6a: added the missed GBPAUD and CADCHF pairs.
V7: added AUD trigger,
V8: added NZD and CAD triggers. Sorted out AUD glitches – I think. Sorted out the jumping stop – possibly. Added Shirt Protection and Global Order Closure.
V8a: solved the problem of baskets closing then the EA immediately opening a fresh one – I think.
V8b: corrected some mis-coding. Jumping stop is partially working – sets a breakeven.
V8c: removed the line of code that stopped V8b placing any trades at all.
Attached File(s)
File Type: zip KG basket range trading EA V8c.zip   412 KB | 635 downloads
  • #2,310
  • Dec 31, 2008 9:45am Dec 31, 2008 9:45am
Quoting cybernet69
Please find attached my statement from 29/12.

I am using the indicators posted here and my own interpretation of an EA that i built. I havent posted it so as not to confuse the thread.

The lotsize, drawdown looks pretty good.

Happy New Year to all.
Yes, it's look pretty good.
You can post here your EA, it will help our work to find the best strategy using EA.. And all member will test it. We have already two EA and coders here.. And if there is another coder and EA, i think it's should be better....

Regards,

KG
  • #2,311
  • Dec 31, 2008 9:45am Dec 31, 2008 9:45am
I am holding the baskets until they achieve dynamic TP.

Lotsize=AccountBalance()*RiskFactor/100000
TP=Lotsize*100*OrdersTotal()
SL=TP*(-10)

The SL has never even looked liked by actioned, although early days yet. I could achieve a higher ROI% but prefer to keep the drawdown to a minimum.

It uses the 90/10 entry method combined with a direction calcualtion for each basket pair.
  • #2,312
  • Dec 31, 2008 9:52am Dec 31, 2008 9:52am
Quoting cybernet69
I am holding the baskets until they achieve dynamic TP.

Lotsize=AccountBalance()*RiskFactor/100000
TP=Lotsize*100*OrdersTotal()
SL=TP*(-10)

The SL has never even looked liked by actioned, although early days yet. I could achieve a higher ROI% but prefer to keep the drawdown to a minimum.

It uses the 90/10 entry method combined with a direction calcualtion for each basket pair.
Hi Cybernet69,

Could you explain, what do you mean about direction calculation for each basket pair?

Thanks

KG
  • #2,313
  • Dec 31, 2008 9:55am Dec 31, 2008 9:55am
I use the indicators posted to decided if to enter a basket trade. Then i look at each currency pair within that basket using the following:

if(iRSI(symbol,0,14,PRICE_OPEN,0) > iRSI(symbol,0,14,PRICE_CLOSE,1))
OR
if(iRSI(symbol,0,14,PRICE_OPEN,0) < iRSI(symbol,0,14,PRICE_CLOSE,1))

I also only trade a currency based on a MaxSpread input parameter, set to 10.
  • #2,314
  • Dec 31, 2008 10:04am Dec 31, 2008 10:04am
Steve

8c

Just flashed up an alert to open a weak AUD basket, but nothing opened.
Attached Image(s) (click to enlarge)
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Click to Enlarge Name: 31122008_1604.gif Size: 53 KB
  • #2,315
  • Dec 31, 2008 10:05am Dec 31, 2008 10:05am
Quoting cybernet69
I use the indicators posted to decided if to enter a basket trade. Then i look at each currency pair within that basket using the following:

if(iRSI(symbol,0,14,PRICE_OPEN,0) > iRSI(symbol,0,14,PRICE_CLOSE,1))
OR
if(iRSI(symbol,0,14,PRICE_OPEN,0) < iRSI(symbol,0,14,PRICE_CLOSE,1))

I also only trade a currency based on a MaxSpread input parameter, set to 10.
Thank you very much cybernet69

KG
  • #2,316
  • Dec 31, 2008 10:06am Dec 31, 2008 10:06am
WOW... GBP basket... the indicator working very good with this spike...

KG
  • #2,317
  • Dec 31, 2008 10:07am Dec 31, 2008 10:07am
Quoting cybernet69
I use the indicators posted to decided if to enter a basket trade. Then i look at each currency pair within that basket using the following:

if(iRSI(symbol,0,14,PRICE_OPEN,0) > iRSI(symbol,0,14,PRICE_CLOSE,1))
OR
if(iRSI(symbol,0,14,PRICE_OPEN,0) < iRSI(symbol,0,14,PRICE_CLOSE,1))

I also only trade a currency based on a MaxSpread input parameter, set to 10.
Mind sharing the script/EA so that others who dont understand the code can use it?

Thanks

Eddie
  • #2,318
  • Dec 31, 2008 10:16am Dec 31, 2008 10:16am
Quoting eddiemiller
Steve

8c

Just flashed up an alert to open a weak AUD basket, but nothing opened.
My demo managed to place two of the trades only, so probably the spread was too wide for the others. There is nothing in the experts tab to indicate an error.

GBP basket opened both live and on demo.

  • #2,319
  • Dec 31, 2008 10:16am Dec 31, 2008 10:16am
Eddie.

I will release it next week as i have coded it for 5 decimal places on Alpari UK. I am also working on some mods so that spikes do not cause the SL to get actioned if they go MADLY against me. Currency spikes do genuienly occur in markets and dont always go in ones favour.

Also, i dont think its a good idea to trade (real money) during the xmas/new year holidays. Some very strange things occur, especially during the night.
  • #2,320
  • Dec 31, 2008 10:28am Dec 31, 2008 10:28am
Eddie, I just had a look at the spread monitor. AUD pair spreads are often ridiculously high on IBFX, so this is one trigger I shall not be trading live.

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