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Relative Strength Basket Trading System

  • #2,621
  • Jan 7, 2009 8:32am Jan 7, 2009 8:32am
I made a really dozy mistake when coding the StrengthInProfitClose routine.

It came to light when the EA closed a CHF Weak basket that was in profit but the strength was well above 20. I had forgotten to change some > signs to < - this sort of thing happens easily when I am copyingpasting code. Hey ho.

V2a fixes this.

Attached File(s)
File Type: zip KG basket flexible trading EA V2a.zip   545 KB | 613 downloads
  • #2,622
  • Jan 7, 2009 8:54am Jan 7, 2009 8:54am
Doesn't look like the 5M TF was a good idea... even when they are coming down the baskets seem to carry on getting worst!

Steve - what do you think?

Eddie
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  • #2,623
  • Jan 7, 2009 9:10am Jan 7, 2009 9:10am
Steve

Question:

Thinking about the JSL to lock in some profit for the basket and protect the account, the same quick up quick down keeps occurring causing the first JSL mark to become active (setting a £0 level) which then gets tripped.

Is it possible to get the FIRST call to the JSL to delay for say 1 minute and provided it hasn't fallen back under the level to then apply it?

So JSL = £1

Basket goes over to £1.10

JSL set to £0 after 1 minute if still over the £1 JSL

After that it doesnt matter... or perhap have the option to apply this to all JSL or just the first would be useful?

Eddie
  • #2,624
  • Jan 7, 2009 9:39am Jan 7, 2009 9:39am
Steve

I was just trying to work out what is going on with this CHF basket and so started looking at the trades........ the attached stands out and I am puzzled why on earth it decided to BUY?

The system is being followed... this just doesn't make any sense!

Eddie
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  • #2,625
  • Jan 7, 2009 9:49am Jan 7, 2009 9:49am
Quoting eddiemiller
Steve

Question:

Thinking about the JSL to lock in some profit for the basket and protect the account, the same quick up quick down keeps occurring causing the first JSL mark to become active (setting a £0 level) which then gets tripped.

Is it possible to get the FIRST call to the JSL to delay for say 1 minute and provided it hasn't fallen back under the level to then apply it?

So JSL = £1

Basket goes over to £1.10

JSL set to £0 after 1 minute if still over the £1 JSL

After that it doesnt matter... or perhap have the option to apply this...
This sounds like an extra complication that would get us nowhere. I will code it if there is sufficient demand; I thing it would simply be an extra input to clutter up an already rather complicated EA.

As to the 5 minute thingy, I suspect that the shorter the timeframe, the smaller has to be the take profit. I wonder if anyone has gone the other way and tried a 4h tf?

  • #2,626
  • Jan 7, 2009 9:52am Jan 7, 2009 9:52am
Quoting SteveHopwood
This sounds like an extra complication that would get us nowhere. I will code it if there is sufficient demand; I thing it would simply be an extra input to clutter up an already rather complicated EA.

As to the 5 minute thingy, I suspect that the shorter the timeframe, the smaller has to be the take profit. I wonder if anyone has gone the other way and tried a 4h tf?

The 4 H was tomorrows test......

Could you at least add in the break even setting as you have in the Trade Manager please.

Eddie
  • #2,627
  • Jan 7, 2009 10:37am Jan 7, 2009 10:37am
Quoting eddiemiller
The 4 H was tomorrows test......

Could you at least add in the break even setting as you have in the Trade Manager please.

Eddie
Here you go. V2b has the new input, LockInDollars. The section copied from the user guide explains how it works.

This isn't a feature I want, so would you road-test it please and let me know if it doesn't work properly.

 

  1. Basket jumping stop settings:
  2. UseJumpingStop: set this to 'true' to use this feature.
  3. JumpingStopDollars: profit points in dollars at which the EA should lock in the basket UPL – JumpingStopDollars,
  4. LockInDollars: the profit to lock in at the first jump. Leave this at 0 to simply set a break even point. Make sure this is less than JumpingStopDollars, or the EA will immediately close the basket, as it is below the take profit.
  5. Here is how a jumping stop works. Imagine you have it set to $3: LockInDollars = 1:

    1. Basket profit hits $3: EA locks in $1 and will close the basket if the profit falls to this.
    2. Basket profit hits $6: EA locks in $4 profit and will close the basket if the profit falls to $4.
    3. And so on until the basket is closed by a change of strength direction.

Attached File(s)
File Type: zip KG basket flexible trading EA V2b.zip   545 KB | 599 downloads
  • #2,628
  • Jan 7, 2009 2:02pm Jan 7, 2009 2:02pm
Quoting SteveHopwood
Here you go. V2b has the new input, LockInDollars. The section copied from the user guide explains how it works.

This isn't a feature I want, so would you road-test it please and let me know if it doesn't work properly....
Hey Steve, looks like you've been busy
Anyway, here is an update on my EA you asked for a while ago. I added the Spread filter halfway through but you see the old straggling trades that I should have closed a long time ago either by SL or Reverse orders, maybe even Hedged them but still working on that part. Resent trades seem to be going good though, damn JPY has been getting weaker and weaker causing those bad Sell trades in December.
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Attached File(s)
File Type: doc KS RS ALL v1.2b DetailedStatement.doc   324 KB | 588 downloads
24 hours in a day – 24 bottles of beer in a case – Coincidence? I think not
  • #2,629
  • Jan 7, 2009 2:40pm Jan 7, 2009 2:40pm
Quoting matrixebiz
Hey Steve, looks like you've been busy
Anyway, here is an update on my EA you asked for a while ago. I added the Spread filter halfway through but you see the old straggling trades that I should have closed a long time ago either by SL or Reverse orders, maybe even Hedged them but still working on that part. Resent trades seem to be going good though, damn JPY has been getting weaker and weaker causing those bad Sell trades in December.
I see you are still shooting for a tp of 11. I assume the stragglers are left over because you do not use a sl.

I closed my stragglers down on Monday and adopted a sl/to of 30/30, which lost, so I adopted 40/40, which broke even. Then I adopted 40/60, which won yesterday and lost today.

I shall leave this in place for the rest of the week to see what happens. One idea I had was to use my own trade manager to lock in a breakeven at +30. We shall see.

  • #2,630
  • Jan 7, 2009 4:01pm Jan 7, 2009 4:01pm
Hi..Guys..,

This is the result for yesterday trade :

1. KG Flexible V1, 1H TF, MinDiff=2, TP=$2, No SL, Total Pips =1218 pips, Max DD=$182, Total Accumulated $=$154.17, Begining Equity=$300.

2. KG Flexible V1a->V1c, 1H TF, MinDiff=2, TP=$2, No SL, Total Pips =818 pips, Max DD=$81, Total Accumlated $=$60.49, Begining Equity=$300

3. KG Flexible V1->V1c, 5M TF, MinDiff=5, TP=$0.33, No SL, Total Pips =784 pips, Max DD=$159, Total Accumlated $=$98.60, Begining Equity=$300

4. KG Basket Range V9b, 1H TF, TP=$2, No SL, Total Pips=1030 pips, Max DD=$55, Total Accumlated $=$30.91, Begining Equity=$300

Based on the data above, the max DD still higher compared to the total accumulated equity. We will wait whether the total equity can take over the amount of DD...!!

Cheers

Sahars.
  • #2,631
  • Jan 8, 2009 1:21am Jan 8, 2009 1:21am
Just came back this morning after an overnight test and my account is almost at wipe out.

A JPY basket from last night has gone very bad.

I will close this off shortly as I want to trade on a single pair for the next day or two following my other charts....

Eddie
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  • #2,632
  • Jan 8, 2009 1:49am Jan 8, 2009 1:49am
Just "tidyed" up the basket, closing of a NZD that didn't look like it was going to recover.

Close down EA, opened a manual chart and crossed fingers.

The JPY took a massive dip over night which resulted in the massive DD (approx 950 pips over the basket)

Interestingly the over night trades without the JPY in the mix would have showed a profit of 220 pips since 5pm GMT yesterday so all was going very well until the Yen struck.

Other things to do so I am going to leave it alone for a time......

Eddie
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  • #2,633
  • Jan 8, 2009 2:34am Jan 8, 2009 2:34am
Ok so here is (I am pleased to say in one way) my first crash and burn after almost 5 weeks with the EA.

The demise of the account was down to a run away pattern with the JPY that I didn't see as I was asleep, and talking with a few other traders this morning it seems surprise all round.

The European Gas "crisis" has unbalanced EUR and USD and one is getting weak and the other is getting stronger as oil is about to kick up (demand is going to increase as Gas is limited!)

Seems that nice chap on the TV agrees as well!

As this is a small Alpari account and the money left is there "promotional bouns" (which I am sure they will find a way of getting off me on 10/01/2009) I have closed off all trades and stuck in a single trade that looking at my chart should gain 150 - 200 pips in the next 24 hours.

[Please dont ask me about this you can see from the chart what I am doing....... follow as your own risk]

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

I was thinking (I know Steve that you may decide this is too complicated, but I think it would improve the actions of the EA) that there should be some kind of time frame placed on the trade.

For example you enter (pending) at 15 with a 5 point gap = trade opens at 20. All too often the retrace kicks in from my experince.

What I would like to see is this:

For example you enter (pending) at 15 with a 5 point gap = trade opens at 20 if (xx) minutes has passed and the trade is still valid.

(FYI - too many times yesterday the GBP went from 15 > 20 > 6 very quickly on a 1H TF)

This would mean the EA would go from:

 

  1. Waiting
  2. Pending
  3. Validating
  4. Open

Step 3 (as detailed above) would prevent the following:

You enter (pending) at 15 with a 5 point gap =20.

At 21 some 3 minutes laster there is a fall back to 18, but its too late you are already in the trade and experincing "devaluation". If only you could have waitied......

If the trade couldnt be validated then it would reset and in the example above would need to get back to 15 to become pending again. If that didnt happen then no trade would start.

This is not about setting a higher retace value, it is about validating any retrace value you set.

Loooking back over the trades waiting 2 to 3 minutes to validate would have stopped 40% of the trades entering.

Profit wise the account WOULD have been better off.

It is certainly no quanitiy it is quality on the baskets that matters.

With the delay setting in place I beleive this will become a much much more stable EA which can be used on accounts with even greater sucess.

Cheers

Eddie

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  • #2,634
  • Jan 8, 2009 2:58am Jan 8, 2009 2:58am
Quoting eddiemiller
What I would like to see is this:

For example you enter (pending) at 15 with a 5 point gap = trade opens at 20 if (xx) minutes has passed and the trade is still valid.

(FYI - too many times yesterday the GBP went from 15 > 20 > 6 very quickly on a 1H TF)
This is the kind of thing I mean when I talk about an eye for detail. I do not have one and had not noticed this.

Quote
This would mean the EA would go from:

  1. Waiting
  2. Pending
  3. Validating
  4. Open

Step 3 (as detailed above) would prevent the following:

You enter (pending) at 15 with a 5 point gap =20.

At 21 some 3 minutes laster there is a fall back to 18, but its too late you are already in the trade and experincing "devaluation"....


I think this is a great idea, Eddie, and I shall code it. It might take me a little while, as I first have to work out how, but watch out for V3 coming to a cinema near you soon.

  • #2,635
  • Jan 8, 2009 3:26am Jan 8, 2009 3:26am
Eddie.

This was question in the thread about "what is the assumption that a basket will recover enough to make a profit", if you look over the history of the baskets many of them zig zag back and fourth which means:

- Drawdown will be huge
- You are potentially waiting a very long time to make a profit. (if any)

Although basket trading is a very good idea, you are still subject to the following:

- News statements.
- Banks buying/selling large volumes of currency for internal reasons. i.e. nothing todo with market conditions.
  • #2,636
  • Jan 8, 2009 3:30am Jan 8, 2009 3:30am
Eddie.

Also the BOJ Governor Masaaki Shirakawa made a surprise statement (12 mins notice) in the Japan parliment about the economy. This is what caused the JPY to go mad overnight.
  • #2,637
  • Jan 8, 2009 3:39am Jan 8, 2009 3:39am
Quoting cybernet69
Eddie.

This was question in the thread about "what is the assumption that a basket will recover enough to make a profit", if you look over the history of the baskets many of them zig zag back and fourth which means:

- Drawdown will be huge
- You are potentially waiting a very long time to make a profit. (if any)
All pairs in that sense "zig zig" up and down from some perspective and this is just natural.

Drawdown has either been massive or very small (no middle ground) from my experince and the purpose of this EA/System/Idea is to refine it further to Reduce/Limit/Control this as much as possible.

Some of the trades went into profit within a short space and achieved 200 pips +.

We are looking directly at the strength rather than any bar/line patterns. (I know they are mostly the same as one is based on the other, however every system must has a starting point, and this is our's.)

Quoting cybernet69


Although basket trading is a very good idea, you are still subject to the following:

- News statements.
- Banks buying/selling large volumes of currency for internal reasons. i.e. nothing todo with market conditions.
All forex trading is subject the above regardless of if you trade one pair, several or a basket.

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

Steve - my eyes are glued ready for this "timer" feature. Let me know.

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

I may also change broker to a 0.01 lot = 0.01 pence... but I have found one yet. Some brokers seem to want a large deposit to open an account at that level....... any ideas please PM me (dont want to promote any one openly on the thread, rules and all)

Eddie
  • #2,638
  • Jan 8, 2009 3:42am Jan 8, 2009 3:42am
Quoting cybernet69
Eddie.

Also the BOJ Governor Masaaki Shirakawa made a surprise statement (12 mins notice) in the Japan parliment about the economy. This is what caused the JPY to go mad overnight.

Yup I saw that. Bloody politicians ------ always interfering!

Politics and money simply don't mix.

Eddie
  • #2,639
  • Jan 8, 2009 3:45am Jan 8, 2009 3:45am
Eddie.

I think you can open a 0.01 account with Alpari using a minimum of 300 in your base currency.
  • #2,640
  • Jan 8, 2009 4:09am Jan 8, 2009 4:09am
Eddie.

You shouldnt listen to brokers. You actually need a minimum of 1000 of base currency for trading 0.01.

You should only increase your lotsize very 1000.

Brokers know what they are doing when they say you can trade forex using 200 or 300 etc.
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