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Relative Strength Basket Trading System

  • #2,541
  • Jan 6, 2009 8:32am Jan 6, 2009 8:32am
Quoting eddiemiller
Closed the EUR basket with a +£4.00 profit (55 pips)

The GBP went down quick and the JPY isn't doing much better.



Eddie
heheheheheehe finally it's close.... just need patience...

KG
  • #2,542
  • Jan 6, 2009 8:34am Jan 6, 2009 8:34am
Pressie for you Eddie, and for those others trading a different currency to the dollar.

V1b has a new input, CurrencySymbol. Change this to "£" and it will display a pound sign in the screen feedback.

Attached File(s)
File Type: zip KG basket flexible trading EA V1b.zip   532 KB | 566 downloads
  • #2,543
  • Jan 6, 2009 8:42am Jan 6, 2009 8:42am
Steve, flex trading V1a, the gbp went below the pending, showed pending, then the pending disappeared as it went above.
  • #2,544
  • Jan 6, 2009 8:57am Jan 6, 2009 8:57am
Steve, Start to use V1a, and the 5M TF is already produce 1258 pips for 5.5 hours trade. The EA start to close the trade when it reaching the TP and so far no additional trade has been added since the total trade in going still more than 24 trades. It looks like the new EA for limiting the trade is functioning. Sahars.
  • #2,545
  • Jan 6, 2009 8:58am Jan 6, 2009 8:58am
Been running it all day with nice profit. take a look.
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Click to Enlarge Name: Screen.jpg Size: 295 KB
If you can bend in the wind you can ride the storm.
  • #2,546
  • Jan 6, 2009 9:18am Jan 6, 2009 9:18am
Quoting sahars
Steve, Start to use V1a, and the 5M TF is already produce 1258 pips for 5.5 hours trade. The EA start to close the trade when it reaching the TP and so far no additional trade has been added since the total trade in going still more than 24 trades. It looks like the new EA for limiting the trade is functioning. Sahars.
Fun huh !!!! hahahahahahaha
Congratulations bro, just keep watching... get the experience, note it and share it......

Salam,

KG
  • #2,547
  • Jan 6, 2009 9:39am Jan 6, 2009 9:39am
Quoting sundog
Steve, flex trading V1a, the gbp went below the pending, showed pending, then the pending disappeared as it went above.
The most likely cause of that is the broker widening the spread byond your tolerance on enough of the pairs to cause the EA to cancel the pending trade.

Looking at the time you posted, some big US news releases were impending, so the brokers would have been messing with the spreads.

I think I will code in an alert when a basket is cancelled because of the spreads.

  • #2,548
  • Jan 6, 2009 10:01am Jan 6, 2009 10:01am
I finally made it through the entire 160+ pages of post. Whew! I've got to get to work, so I'll be quick on this first post. I have tested the range version of the program. I don't really have any different observations than has already been posted. I have started testing the original version (1b) as that methodology fits with my trading psychology. I opened using the default setting, and immediately got both a strong and weak EUR basket. I know the original method was just for the JPY basket, but I am going to try them all. I looked at the Group-EUR indicator and it was very flat. This is further verification that eddie's idea about checking the difference between the indicator value and it's smoothing value is a valid one. I know the suggested diff value is 10 for the H1 time frame. Are there any rules of thumb for the diff value at different time frame? I noticed Sahars is using the 5 min tf. Are you using a diff value?

One other note, I noticed that with both the range and original versions, the EA looks for the current value to determine if a trade should trigger. The current value of strength can move up to 10 points and back over the same bar. Has anyone given thought to verifying a trigger signal on a closed bar? Is that clear?
  • #2,549
  • Jan 6, 2009 10:02am Jan 6, 2009 10:02am
Not quite sure why people are still using these brokers that are jacking the spreads all around. I have had a spread monitor running on fxdd for the past 4 days or so and they haven't moved a pip. IBFX seems to be flat out theives these days, first with the negative swap and now with cranking spreads at will. Crazy
  • #2,550
  • Jan 6, 2009 10:05am Jan 6, 2009 10:05am
Quoting SteveHopwood
The most likely cause of that is the broker widening the spread byond your tolerance on enough of the pairs to cause the EA to cancel the pending trade.

Looking at the time you posted, some big US news releases were impending, so the brokers would have been messing with the spreads.

I think I will code in an alert when a basket is cancelled because of the spreads.

Thanks for the answer, I wasn't watching the spreads.
  • #2,551
  • Jan 6, 2009 10:11am Jan 6, 2009 10:11am
V1c has the code to show an alert if the EA cancels a basket because there were insufficient trades available to constitute a basket.

There is nothing else new, so don't bother downloading unless you want the feedback. This version is about to replace the previous EA on my live account.

Still stuck with those wretched EUR and USD baskets, but the EA has just closed a GBP Strong and a JPY Weak looks as though it is about to go in my direction. Nice.

Attached File(s)
File Type: zip KG basket flexible trading EA V1c.zip   533 KB | 536 downloads
  • #2,552
  • Edited 10:42am Jan 6, 2009 10:21am | Edited 10:42am
I tested v9b using FXOPEN standard account
Balance $30.000, open 0,1 lot
Trading YEN, EUR, USD, GBP Basket

But my result is minus
My setting is
Basket TP $2000 because I want to let it run
Basket SL $500
Jumping Stop $300
Basket add BEP = True
basket Break Even Point = $150
85 / 15
retrace distance 5
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Attached File(s)
File Type: zip kg090106.zip   7 KB | 327 downloads
  • #2,553
  • Jan 6, 2009 10:37am Jan 6, 2009 10:37am
The range version does not work well with a stop loss. I tried settings with an 80/20 trigger, 90/10 trigger, and 85/15 trigger. The trailing stop with a basket trading system appears not to work.

That being said, I think any system that requires you to forgo proven trade and money management techniques dosen't fit well with me. I think the next step in the evolution of this project is to find a way to implement solid trade and money management with the basket trading.

Quoting duyduy
I tested v9b using FXOPEN standard account
Balance $30.000, open 0,1 lot
Trading YEN, EUR, USD, GBP Basket

But my result is minus
My setting is
Basket TP $2000 because I want to let it run
Basket SL $500
Jumping Stop $300
Basket add BEP = True
basket Break Even Point = $150
  • #2,554
  • Jan 6, 2009 10:46am Jan 6, 2009 10:46am
A trailing stop with basket trading is doomed to failure sooner rather than later, unless all individual trades are in profit.
  • #2,555
  • Jan 6, 2009 10:51am Jan 6, 2009 10:51am
Quoting duyduy
I tested v9b using FXOPEN standard account
Balance $30.000, open 0,1 lot
Trading YEN, EUR, USD, GBP Basket

But my result is minus
My setting is
Basket TP $2000 because I want to let it run
Basket SL $500
Jumping Stop $300
Basket add BEP = True
basket Break Even Point = $150
85 / 15
retrace distance 5
Duyduy my friend,

This system was build to catch the profit as fast as posible, you could not set it for Long Term. So, you have to calculate your TP that has high probability hits by the basket. Now, it's code for eight currency... so we will have a lot apportunity to open the basket...

Try to play your TP...

Thanks,

KG
  • #2,556
  • Jan 6, 2009 10:56am Jan 6, 2009 10:56am
Quoting SteveHopwood
Matrixebis, how is it going for you with your EA?

I found sl/tp of 30/30 led to a lot of hit sl's and few hit tp's. 40/40 just about broke even, so now I am trying 40/60.

40/60 is making profit; it is early days to tell whether this will be consistent. If it is then the 1:1.5 r/r ratio is good and I can try 40/80. Maximum spread throughout is 8.

It was going ok but yeah without a proper rule in closing off the bad trades, I have some trades that are bad and might margin call me. Will need to try a SL or maybe a Close on Reverse option.
24 hours in a day – 24 bottles of beer in a case – Coincidence? I think not
  • #2,557
  • Jan 6, 2009 10:57am Jan 6, 2009 10:57am
Personally, i use TP=Lotsize*100*OrdersTotal(). And that is for all baskets opened.
  • #2,558
  • Jan 6, 2009 11:05am Jan 6, 2009 11:05am
Quoting Kang_Gun
Duyduy my friend,

This system was build to catch the profit as fast as posible, you could not set it for Long Term. So, you have to calculate your TP that has high probability hits by the basket. Now, it's code for eight currency... so we will have a lot apportunity to open the basket...

Try to play your TP...

Thanks,

KG
How about the SL?
It hits SL all the time. Maybe I should widen the SL and short the TP
I will play with the setting
  • #2,559
  • Jan 6, 2009 11:12am Jan 6, 2009 11:12am
Just got back after being out..... banked £8 overall.

Now stuck with that JPY basket that is -£11! DOH

Eddie
  • #2,560
  • Jan 6, 2009 11:16am Jan 6, 2009 11:16am
Quoting duyduy
How about the SL?
It hits SL all the time. Maybe I should widen the SL and short the TP
I will play with the setting
It will, duyduy.

I posted this only last week, on Friday I think:

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.

  1. 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.
  2. 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.

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