Drag matrebiz's Multipair spread monitor onto a chart, Eddie. It looks as though you have to multiply your original maximum spread by 10 to get the same result.
Relative Strength Basket Trading System
- #2,382
- Jan 2, 2009 5:16am Jan 2, 2009 5:16am
- | Joined Oct 2008 | Status: Basket Case or Basket Trader? | 798 Posts
Drag matrebiz's Multipair spread monitor onto a chart, Eddie. It looks as though you have to multiply your original maximum spread by 10 to get the same result.
I know what the spread values are for each pair already.
What I need to know is the value/effect of the MaxSpread setting as if 20 is actually 2 then it will vastly restrict the pairs I trade (and possible bugger everything up).
I am testing with 80, which does look like 8 pips so far as more trades have opened.
Eddie
- #2,384
- Jan 2, 2009 8:41am Jan 2, 2009 8:41am
- | Commercial User | Joined Apr 2007 | 8,331 Posts
If you are using the ShutDownOnFriday option, the ea continues to manage open trades even though it will not take out any fresh trades.
There was supposed to be a message saying, "Trading suspended for Friday close - continuing to manage open baskets" but I put the code for this the wrong way around. This is purely a visual feedback thing, but download V9b if it bothers you.
The feedback will not update the trigger strengths once trading is suspended.
There was supposed to be a message saying, "Trading suspended for Friday close - continuing to manage open baskets" but I put the code for this the wrong way around. This is purely a visual feedback thing, but download V9b if it bothers you.
The feedback will not update the trigger strengths once trading is suspended.
- #2,386
- Jan 2, 2009 5:25pm Jan 2, 2009 5:25pm
- | Commercial User | Joined Apr 2007 | 8,331 Posts
A nice end to the week saw some outstanding baskets finally move in my favour and hit their tp - just left with one open basket - a USD Weak.
Despite some faffing around with the ea insisting on sending errant EUR baskets, today finished off with a gain on the live account of 3.5%, and nearly 14% for the week. Impressive, considering some of the rubbish coding I came up with and the lowered trading volumes due to holidays.
V10 is already written, with an extra filter to abort sending a basket if the number of trades would fall below x because of adverse spreads. Given my record this week, I think I will hang onto it until I know it works properly.
I will be able to release it early next week.
Have a pleasant weekend, everyone. I am going to spend what I hope will be a pleasant couple of hours watching South Africa continue sticking it to the Ausies in the final cricket Test from Australia (I am a pom, but hey, I will support anyone sticking it to the Ausies)
Despite some faffing around with the ea insisting on sending errant EUR baskets, today finished off with a gain on the live account of 3.5%, and nearly 14% for the week. Impressive, considering some of the rubbish coding I came up with and the lowered trading volumes due to holidays.
V10 is already written, with an extra filter to abort sending a basket if the number of trades would fall below x because of adverse spreads. Given my record this week, I think I will hang onto it until I know it works properly.
I will be able to release it early next week.Have a pleasant weekend, everyone. I am going to spend what I hope will be a pleasant couple of hours watching South Africa continue sticking it to the Ausies in the final cricket Test from Australia (I am a pom, but hey, I will support anyone sticking it to the Ausies)
- #2,389
- Jan 3, 2009 3:42am Jan 3, 2009 3:42am
- | Commercial User | Joined Apr 2007 | 8,331 Posts
bshoe24: no SL. The trades are taken out when the strength is at an extreme and has already begun to change direction, so a SL is not necessary. There are two things to bear in mind here:
- Just because the strength has begun to change direction does not mean it cannot change back again. It both can and does, so dd on some baskets does happen. The thing to remember is that the relative strength of the trigger in question is at an extreme and will change eventually.
- I trade tiny, tiny lots. A single basket would have to go against my by 15,000 pips before causing a margin call.
maxdd, the ea supervised my baskets nicely to closure after the Friday knock-off time. Would you like to say which broker and post your set file?
Nothing against the Ausies as a nation, you understand, just their cricket team - this comes from a jealous pom. I miss watching Warney, mind, very much; a joy to behold even when he was destroying my heroes.
- #2,391
- Jan 3, 2009 4:48am Jan 3, 2009 4:48am
- | Commercial User | Joined Apr 2007 | 8,331 Posts
Steve are you using 80/20 to trigger, or something like that?
- #2,393
- Jan 3, 2009 7:03am Jan 3, 2009 7:03am
- | Commercial User | Joined Apr 2007 | 8,331 Posts
A quick note about stop loss and basket trading.
Conventional wisdom insists that the risk/reward ratio should be a minimum of 1:1. 1:1.5 is better, whilst 1:2 is heaven.
This cannot apply to basket trading. The moment the ea sends a basket of trades, they go into drawdown by the negative value of the spread.
Imagine you are using a SL of 200 and a TP of 200. On a typical xxxJPY basket, the trade immediately goes 75-85 pips against you because of the spread. These trades are taken at a point where market sentiment is only just beginning to turn around, so an immediate move in your favour is unlikely. If you start with a dd that is already half-way to your sl, then it doesn't take much for the basket to hit the sl.
Brokers can and do play fast and loose with their spreads, increasing them dramatically for a few seconds at a time. Take a couple of (mostly) hypothetical situations on a xxxJPY basket of all 7 trades.
Conventional wisdom insists that the risk/reward ratio should be a minimum of 1:1. 1:1.5 is better, whilst 1:2 is heaven.
This cannot apply to basket trading. The moment the ea sends a basket of trades, they go into drawdown by the negative value of the spread.
Imagine you are using a SL of 200 and a TP of 200. On a typical xxxJPY basket, the trade immediately goes 75-85 pips against you because of the spread. These trades are taken at a point where market sentiment is only just beginning to turn around, so an immediate move in your favour is unlikely. If you start with a dd that is already half-way to your sl, then it doesn't take much for the basket to hit the sl.
Brokers can and do play fast and loose with their spreads, increasing them dramatically for a few seconds at a time. Take a couple of (mostly) hypothetical situations on a xxxJPY basket of all 7 trades.
- You have a maximum spread allowed of 20. The broker increases the spread on each pair to 20 just as the ea starts to send the basket. You are immediately -140 and so close to the sl that you have no chance.
- You have a maximum spread allowed of 30. The broker increases the spread on each pair to 30 just as the ea starts to send the basket. You are immediately -210, which is below the stop loss, so the ea will close the basket.
Ok, so not very likely scenarios, but it shows how a 1:1 r/r ratio fails quickly when basket trading.
I reckon a 2:1 ratio has little more to commend it. Even a 3:1 will fail often, just at the point the markets are about to change in your favour.
So, if you must use anything other than a dire-emergency sl, don't use a tight one. You will lose.
- #2,398
- Jan 4, 2009 4:53am Jan 4, 2009 4:53am
- | Commercial User | Joined Apr 2007 | 8,331 Posts
maxdd, I cannot see anything in the set file that would cause the EA to stop managing the trades.
Coders, the Friday shutdown coding is one of the first in start().
The xxxCountOpenTrades() functions put the number of open trades into xxxStrong(Weak)OpenTrades. Can you see any reason why the trade management function would not get called?
Coders, the Friday shutdown coding is one of the first in start().
The xxxCountOpenTrades() functions put the number of open trades into xxxStrong(Weak)OpenTrades. Can you see any reason why the trade management function would not get called?
Inserted Code
//Friday shut down
if (ShutDownOnFriday)
{
if (TimeDayOfWeek(TimeCurrent())==5)
{
if (TimeHour(TimeCurrent()) >= ShutDownHour)
{
// Still need to manage open trades
JpyCountOpenTrades();
UsdCountOpenTrades();
GbpCountOpenTrades();
EurCountOpenTrades();
ChfCountOpenTrades();
AudCountOpenTrades();
NzdCountOpenTrades();
CadCountOpenTrades();
if (JpyStrongTradesSent >0) ManageOpenBaskets(JpyStrongMagicNumber);
if (JpyWeakTradesSent >0) ManageOpenBaskets(JpyWeakMagicNumber);
if (UsdStrongTradesSent >0) ManageOpenBaskets(UsdStrongMagicNumber);
if (UsdWeakTradesSent >0) ManageOpenBaskets(UsdWeakMagicNumber);
if (GbpStrongTradesSent >0) ManageOpenBaskets(GbpStrongMagicNumber);
if (GbpWeakTradesSent >0) ManageOpenBaskets(GbpWeakMagicNumber);
if (EurStrongTradesSent >0) ManageOpenBaskets(EurStrongMagicNumber);
if (EurWeakTradesSent >0) ManageOpenBaskets(EurWeakMagicNumber);
if (ChfStrongTradesSent >0) ManageOpenBaskets(ChfStrongMagicNumber);
if (ChfWeakTradesSent >0) ManageOpenBaskets(ChfWeakMagicNumber);
if (AudStrongTradesSent >0) ManageOpenBaskets(AudStrongMagicNumber);
if (AudWeakTradesSent >0) ManageOpenBaskets(AudWeakMagicNumber);
if (NzdStrongTradesSent >0) ManageOpenBaskets(NzdStrongMagicNumber);
if (NzdWeakTradesSent >0) ManageOpenBaskets(NzdWeakMagicNumber);
if (CadStrongTradesSent >0) ManageOpenBaskets(CadStrongMagicNumber);
if (CadWeakTradesSent >0) ManageOpenBaskets(CadWeakMagicNumber);
ScreenMessage=StringConcatenate("Trading suspended for Friday close - continuing to manage open baskets",NL);
DisplayUerFeedback();
return;
}//if (TimeHour(TimeCurrent()) >= ShutDownHour)
}//if TimeDayOfWeek(TimeCurrent()==5)
}//if (ShutDownOnFriday) - #2,400
- Jan 4, 2009 12:15pm Jan 4, 2009 12:15pm
- | Joined Nov 2006 | Status: Trader | 1,143 Posts
24 hours in a day – 24 bottles of beer in a case – Coincidence? I think not