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Relative Strength Basket Trading System

  • #2,561
  • Jan 6, 2009 11:19am Jan 6, 2009 11:19am
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
Honestly, i'm not using SL with Steve EA. Just let it run on your demo account without SL, and watch like an eagle what is happened with your profit and DD... I believe if you do it like us here you will now what i mean. It's basket trading system not individual trading.

Example what is happened today... my EUR basket was open in the morning and I close manually 15 hours later when they give me + total profit (only 64 pips) but still profit. But the other basket open and close with very good results. So, maybe one basket give you negative but the other basket still make profit..

Thanks,

KG
  • #2,562
  • Jan 6, 2009 11:25am Jan 6, 2009 11:25am
GBPJPY is dead (-£14.00 on it;s own), everything else is manageable at present (total-£15.00)

Eddie
  • #2,563
  • Jan 6, 2009 11:30am Jan 6, 2009 11:30am
Harigp,

I know you always read this thread... i can not send you PM. I hope admin will release your status soon... I'm so sorry. I know you are angry.. with ***63 and me too. But, don't let anybody stop our project here with negative statements... and don't let anybody play our emotions...

Best Regards,

KG
  • #2,564
  • Jan 6, 2009 12:08pm Jan 6, 2009 12:08pm
Quoting Kang_Gun
Harigp,

I know you always read this thread... i can not send you PM. I hope admin will release your status soon... I'm so sorry. I know you are angry.. with ***63 and me too. But, don't let anybody stop our project here with negative statements... and don't let anybody play our emotions...

Best Regards,

KG
What happened to harigp?

Eddie
  • #2,565
  • Jan 6, 2009 1:37pm Jan 6, 2009 1:37pm
Hello All...
Finnaly I've made it !! finishing read 171 pages.
This is the best thread i ever read so far..
I'm Newbie in forex.. but eager to share and learn with all of you here..
(sorry in advance if my english is not good)

this is my understanding of this system so far..
This is basket trading style, so we take our basket as ONE BIG PICTURE based on 1 Currency.
eg. if indi give signal weak to JPY, then our basket support SELL JPY in all JPY pairs..
so our BASKET DIRECTION become Sell JPY.

most of the times.. some pairs are profit but some pairs are loss.
... i wonder if we could improve this issue ...

i think we can't simply SELL XXX pairs eventhough our indi said so.
it is because CORRELATION.
not all XXX pairs in same direction.. correlation do change !
for everyone here who want to know about correlation,
you can visit http://www.mataf.net
there's a great tool there.. overlay chart. so we can overlay for example GBP/JPY chart to USD/JPY.. so we can know wheter that two pairs direction are the same or not.

maybe we could add correlation filter.
if correlation is 75% above.. put to the basket.no otherwise.

unfortunately, if we want to add correlation style we must have BASE CURRENCY PAIR.
( i hope it doest violate basket trading style)
example using correlation :
we use for example GBP/JPY as Base currency for JPY pairs.
time frame : H1
check 5 last Bars of each pairs.
so if we want to check USD/JPY correlation with GBP/JPY.
5 last bars GBP/JPY : bullish, bearish, bullish, bullish, bullish (last bar closed)
5 last bars USD/JPY : bearish, bearish, bullish, bullish, bullish
as we see above.. there is only 1 diffence direction and 4 same.
it means USD/JPY correlation with GBP/JPY is 80% --> so we put USD/JPY to basket.

after we finish select which pairs to be put in our basket..
so we can be more sure our basket have ONE DIRECTION (we expect positive direction of course)

That's all friends.. i just try to contribute.. and waiting next EA from Steve
Thx to KG, Steve, Eddie, Matrix, HariGP and all of you here.. you are very inspiring me !

Regards,
- Mike -
  • #2,566
  • Jan 6, 2009 1:45pm Jan 6, 2009 1:45pm
Kang Gun, very impressive amount of work u have done there.
I have a question on your index calculations. How did you actually calculate these?
  • #2,567
  • Jan 6, 2009 1:58pm Jan 6, 2009 1:58pm
Quoting Mike_Stax
Hello All...
Finnaly I've made it !! finishing read 171 pages.
This is the best thread i ever read so far..

- Mike -
Welcome fella.

SELL = Strong
BUY = WEAK

Eddie
  • #2,568
  • Jan 6, 2009 2:31pm Jan 6, 2009 2:31pm
Steve this should make you smile!

Some EA some my trades since monday (05/01/2009)

Eddie
Attached Image
  • #2,569
  • Jan 6, 2009 2:42pm Jan 6, 2009 2:42pm
heres my jpy basket opened with steves last kg rs flexible ea v1a

jpy basket opened 15mns ago and up 152pips!!!!
  • #2,570
  • Jan 6, 2009 3:48pm Jan 6, 2009 3:48pm
Thx for the correction Eddie..

Regards,
- Mike -
  • #2,571
  • Jan 6, 2009 4:18pm Jan 6, 2009 4:18pm
Quoting eddiemiller
Steve this should make you smile!

Some EA some my trades since monday (05/01/2009)

Eddie
Hehe Eddie. It makes me grin with pleasure from ear to ear.

Just because I don't thing your account has a snowball's chance in Hades of surviving the EA, doesn't mean I want it to fail.

If the balance can hit £200 I shall start to hope, just a bit. If it hits £500, I shall start to hope a lot.

If it hits £1,000, KG will hear my cheer in Indonesia.

  • #2,572
  • Jan 6, 2009 4:46pm Jan 6, 2009 4:46pm
Quoting Mike_Stax
maybe we could add correlation filter.
if correlation is 75% above.. put to the basket.no otherwise.

unfortunately, if we want to add correlation style we must have BASE CURRENCY PAIR.
( i hope it doest violate basket trading style)
example using correlation :
we use for example GBP/JPY as Base currency for JPY pairs.
time frame : H1
check 5 last Bars of each pairs.
so if we want to check USD/JPY correlation with GBP/JPY.
5 last bars GBP/JPY : bullish, bearish, bullish, bullish, bullish (last bar closed)
5 last bars USD/JPY : bearish, bearish,...
Thanks Mike. I have ploughed through a fair few multi-page threads. It takes some doing. This is a first contribution better than any I ever made.

You give me food for thought. There is nobody here who would not love to find a way of keeping unprofitable trades out of a basket.

I do not see the correlation thing as much of a starter, unless someone can suggest an accurate way of deciding on the base pair. There is not much point in picking a pair if it is actually going against the direction of the trigger strength.

Actually, even as I typed that last para, I found myself thinking, "Well, you wouldn't, you fool, you would pick a pair that is going in the direction of the trigger strength." Any ideas guys?

Then again, why bother with the correlation? Maybe the filter could be this, for each individual pair in the basket:

  1. Look back x candles.
  2. Over those candles, x% of the closing prices have to move in the direction we are hoping to trade. Only then does the individual pair become tradeable within the basket.

Any further ideas, guys? It is a little unfair to expect Mike to contribute more as he still has a lot to absorb.

  • #2,573
  • Jan 6, 2009 5:25pm Jan 6, 2009 5:25pm
Here is another thought, based on advice I gave Eddie earlier as well as my actions over this week so far.

Typical example: earlier today, the EA took a JPY Strong. This basket has diddled around not doing much all day. A few minutes ago, the JPY strength had passed 94 and a Weak is pending. The basket finally went into profit by about 45 pips.

I closed the basket. It was not likely to hit my tp as the strength should start to drop soon. There is no such thing as bad profit in Forex.

This must be the fourth time I have done this so far this week, and it is only Tuesday.

Perhaps I should code a close-basket-if-in-profit-and-strength-is-beyond-certain-parameters?

And I keep thinking, "Yep, the EA is finally complete" Hey ho.

  • #2,574
  • Jan 6, 2009 5:28pm Jan 6, 2009 5:28pm
Quoting SteveHopwood
Here is another thought, based on advice I gave Eddie earlier as well as my actions over this week so far.

Typical example: earlier today, the EA took a JPY Strong. This basket has diddled around not doing much all day. A few minutes ago, the JPY strength had passed 94 and a Weak is pending. The basket finally went into profit by about 45 pips.

I closed the basket. It was not likely to hit my tp as the strength should start to drop soon. There is no such thing as bad profit in Forex.

This must be the fourth time I have done this so far this...
sounds a bit wierd im using alpari uk with the latest version of youre ea and like you said not too long ago i got a jpy weak so a sell signal and closed my basket with 150pips!!!! i also have a opened U.S weak basket
  • #2,575
  • Jan 6, 2009 6:32pm Jan 6, 2009 6:32pm
Quoting Mike_Stax
Hello All...
Finnaly I've made it !! finishing read 171 pages.
This is the best thread i ever read so far..
I'm Newbie in forex.. but eager to share and learn with all of you here..
(sorry in advance if my english is not good)

this is my understanding of this system so far..
This is basket trading style, so we take our basket as ONE BIG PICTURE based on 1 Currency.
eg. if indi give signal weak to JPY, then our basket support SELL JPY in all JPY pairs..
so our BASKET DIRECTION become Sell JPY.

[i]most of the times.. some pairs are profit...
Thank you Mike,

Very good idea... you make my brain cells busy now... hahahahahhahahaha welcome...

Regards,

KG
  • #2,576
  • Jan 6, 2009 7:00pm Jan 6, 2009 7:00pm
Quoting SteveHopwood
It will, duyduy.

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

[color=RoyalBlue]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....
Thanks Steve
  • #2,577
  • Jan 6, 2009 7:03pm Jan 6, 2009 7:03pm
Quoting SteveHopwood
Perhaps I should code a close-basket-if-in-profit-and-strength-is-beyond-certain-parameters?

Steve - you must have read my mind, I was in the pub discussion this exact idea only a few hours back!

IDEA 1

From the trades I have had today this would have worked well, and further to this with the depreciation issue from the flat period/retraces I was wondering if we could go further and make it multi conditional.

So.....

If STRONG basket in profit and over (xx) with profit of at least (£xx) close or continue

[profit of at least may work better as a % of basket total?]

If STRONG basket no profit and over (xx) with Loss of at least (£xx) close or continue

(and the same for the WEAK baskets)

This would give you a set up allowing for trades to be closed based purely on performance at a predetermined point.

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

IDEA 2

The other idea that came up today was this (and for all the basket purists in the thread I am sorry) that it would be useful to close off a pair within a basket IF it deviates too much from the rest.

What I mean by this is for example on the GBP basket I had today one pair from the 4 I was trading was -200 pips whilst the other 3 were between 30 - 50.

This was nothing to do with the brokers spread as they were all within a pip of each other.

I closed off the massive looser (opened up a hedge which paid very well) but left the rest alone. They all recovered, interestingly the massive looser still has come back even now!

If there was a way to keep the trade "in line with each other" it make the "pack" )basket) much simpler to manage.

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

I don't want to over complicate things but when you talk to people who know what to do to achieve the results and desires you commonly shre then it is worth a go.

Two ideas......... what do you think?

Eddie
  • #2,578
  • Jan 6, 2009 7:05pm Jan 6, 2009 7:05pm
Hi..Guys..,

This is the result for yesterday trade :

1. KG Flexible V1, 1H TF, MinDiff=0, TP=$2, No SL, Total Pips =2863 pips, Max DD=$150

2. KG Flexible V1a, 1H TF, MinDiff=2, TP=$2, No SL, Total Pips =1198 pips, Max DD=$60

3. KG Flexible V1, 5M TF, MinDiff=5, TP=$0.33, No SL, Total Pips =2503 pips, Max DD=$120

Based on the result above, the DD can be reduced tremendously by V1a due to MaxTradesAllowed is functioning. However, in V1 (MaxTradesAllowed is having a bugs) the EA will open up to 59 trades and can draw huge DD, but the beauty of V1, the hedging is functioning and any movement of basket will produce pips and by hoping the total accumulated pips at the end is higher than the DD. Only time will tell..and that's why we have to tested it prior to go for live.

As Steve mentioned earlier, no SL is the best options and money management is playing a good role in this type of trade..i.e using only 0.01 lots (for IBFX) for equity of $100 and by the time the equity increase..we may increase also our trading lots as well...

In my case, I try the demo account with the amount of money that I can start with live account i.e.$300, and not as per recommended by the broker when creating a demo account. I choose the best lots for my trades which is 0.03 lots (my live account with IBFX) with TP $6. Start to trade with live account once we are comfortable and profitable with EA setup in demo account. Don't make mistake like I did before...I blow my real account 5 times due to no patient in this type of trade.

There is no EA can guarantee to 100% win...but we are looking for an EA that can produce more win than loss (at the end we are still on the profit)... and luckily we have a brilliant kind programmer that willing to contribute in this forum..thanks to you Steve..and KG..for the effort.

Cheers

Sahars.
  • #2,579
  • Jan 6, 2009 7:16pm Jan 6, 2009 7:16pm
Quoting sahars
Hi..Guys..,

This is the result for yesterday trade :

1. KG Flexible V1, 1H TF, MinDiff=0, TP=$2, No SL, Total Pips =2863 pips, Max DD=$150

2. KG Flexible V1a, 1H TF, MinDiff=2, TP=$2, No SL, Total Pips =1198 pips, Max DD=$60

3. KG Flexible V1, 5M TF, MinDiff=5, TP=$0.33, No SL, Total Pips =2503 pips, Max DD=$120



.
Sahars - can you tell us how you got your pip value totals and how many trades you entered to get them?

Also were you using the 80/20 rule?

Eddie
  • #2,580
  • Jan 6, 2009 7:26pm Jan 6, 2009 7:26pm
Quoting sahars
Hi..Guys..,

This is the result for yesterday trade :

1. KG Flexible V1, 1H TF, MinDiff=0, TP=$2, No SL, Total Pips =2863 pips, Max DD=$150

2. KG Flexible V1a, 1H TF, MinDiff=2, TP=$2, No SL, Total Pips =1198 pips, Max DD=$60

3. KG Flexible V1, 5M TF, MinDiff=5, TP=$0.33, No SL, Total Pips =2503 pips, Max DD=$120

Based on the result above, the DD can be reduced tremendously by V1a due to MaxTradesAllowed is functioning. However, in V1 (MaxTradesAllowed is having a bugs) the EA will open up to 59 trades and can draw huge DD, but the beauty...
wow amazing Sahars,

So.. DD is total the whole baskets or just one basket ?

Thanks

KG
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