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Relative Strength Basket Trading System

  • #2,741
  • Jan 12, 2009 4:41am Jan 12, 2009 4:41am
Attached is V4 again, looking for the correct CCI indicator.

iCCI is the custom call the EA makes to the CCI indi to extract its values. I had forgotten to remove the 'i' when coding the indi's name. Then I coded the routine to read, in English, 'if the conditions are ok then let the trade go ahead, otherwise cancel it'. As the EA was looking for an indi that does not exist, the conditions were not ok, so it cancelled the trade.

Let's see if this works now.

Attached File(s)
File Type: zip KG basket flexible trading EA V4.zip   583 KB | 638 downloads
  • #2,742
  • Jan 12, 2009 4:50am Jan 12, 2009 4:50am
Pips up, everybody
Thanks for the new update, Steve
I've just got through all the posts (there are almost too many now to expect many to do it)
Many thanks to KG, Steve, Matrixebiz and all those testing and making suggestions.
I'm running KG Basket Flexible Alpari on an Alpari UK demo, most settings out of the box.
I've just had an error message "insufficient individual trades".
Does that come from number of pairs enabled or from price action?
I checked the settings for the pairs Alpari doesn't offer and turned 'em off.
Junja
  • #2,743
  • Jan 12, 2009 4:55am Jan 12, 2009 4:55am
Quoting SteveHopwood
Attached is V4 again, looking for the correct CCI indicator.

iCCI is the custom call the EA makes to the CCI indi to extract its values. I had forgotten to remove the 'i' when coding the indi's name. Then I coded the routine to read, in English, 'if the conditions are ok then let the trade go ahead, otherwise cancel it'. As the EA was looking for an indi that does not exist, the conditions were not ok, so it cancelled the trade.

Let's see if this works now.

Thanks Steve.. I'll try now
  • #2,744
  • Jan 12, 2009 4:58am Jan 12, 2009 4:58am
Steve, we have a stop trade time for Friday, could we have a start trade time for Monday (Sunday).

I am on the asian time zone, and sometimes I leave before the session starts, today I happened to be home, as the session began, so I manually switched on the EA about 15 minutes after the start, to give the indi's time to settle down.

A low priority request...

Ta.
  • #2,745
  • Jan 12, 2009 5:28am Jan 12, 2009 5:28am
Quoting sundog
Steve, we have a stop trade time for Friday, could we have a start trade time for Monday (Sunday).

I am on the asian time zone, and sometimes I leave before the session starts, today I happened to be home, as the session began, so I manually switched on the EA about 15 minutes after the start, to give the indi's time to settle down.

A low priority request...

Ta.
Yes. It was one of those little enhancements I had in mind. It will help all of us who do not want to trade the beginning of the week. I will add this in time for next week.

  • #2,746
  • Jan 12, 2009 6:17am Jan 12, 2009 6:17am
Nope, sorry guys. The CCI filter routine is not working.

Turn it off for now; I will release a new version when I have got the routine working.

  • #2,747
  • Jan 12, 2009 8:37am Jan 12, 2009 8:37am
The best way to prevent drawdown is having a realistic accountbalance() in relation to the lotsize you are using to trade.

My formula is AccountBalance()*RiskRatio/100000

The RiskRatio should never be set above 3.

Anyone can build an EA to take an account from 10,000 to 3,000,000 but the drawdown would be in excess of 50%.

Dont forget that the majority of brokers will close out your positions if they go above 25% of account leverage on live accounts.

Even trading 0.01 with an account of 300 is suicidel unless its on a demo for testing purposes.

Money management has always been key with any type of forex system be it manual or automatic. It becomes even more necessary when basket trading multiple currencies.

Hope this helps.
  • #2,748
  • Jan 12, 2009 9:51am Jan 12, 2009 9:51am
Quoting cybernet69
Even trading 0.01 with an account of 300 is suicidel unless its on a demo for testing purposes.
Not recommended and from the experience posted on this thread it IS possible with good results.

My long term experiment only stopped due to JPY news (unexpected) causing a spike.

It always makes me smile as the "big boys" and "brokers" all want you to deposit as much money as possible and then loose it... almost like "their" idea of "our" money management.

Or put another way the would rather you put in $1000 and messed up than $100 with the same result as they are $900 better off.

Over leveraged accounts are trouble and I now run back on 1:100 (previous 1:500).

Steve's EA has allowed for smaller accounts to take part with good results... DD will always be there what ever and who ever you are.

Eddie
  • #2,749
  • Jan 12, 2009 10:22am Jan 12, 2009 10:22am
Good luck Eddie but i fear you will come unstuck sooner rather than later.
  • #2,750
  • Jan 12, 2009 10:40am Jan 12, 2009 10:40am
Quoting cybernet69
Good luck Eddie but i fear you will come unstuck sooner rather than later.
Lol - 5 years of trading makes "sooner or later" very vague.

I have always tested opinions to the max when they seem to come from other people experience rather than the person repeating it. I had the same with my mortgage.... "not possible to get that paid off in 5 years, you still have 22 years to go...." and that was true - I paid it off in 4 rather than 5 years!

You have to try it for yourself and be very disiplined before you know if it works, or at least try it first.

Eddie
  • #2,751
  • Jan 12, 2009 10:40am Jan 12, 2009 10:40am
Eddie.

By the way, i wasnt trying to convince people to deposit large volumes of funds into their accounts.

What i was saying is they need to take into account the ratio between lotsize and account balance. many people do not and end up blowing 5 x £300 accounts when they would have been better off depositing £1500 at once and trading a sensible lotsize.

I agree DD will always be there but it doesnt have to be huge and anything to worry about, if you follow correct MM.

The JPY pairs are known for weilding higher DD than others but they likewise generate higher TP, which reminds me of my trading days at the bank. Difference was we traded lots=25.0 and had shed loads of funds available.

Those were the days.
  • #2,752
  • Jan 12, 2009 11:19am Jan 12, 2009 11:19am
This CCI thing has driven me nuts today, but I just worked out the problem.

For example, looking to take a Strong GBP basket, the EA is coded to check the direction of the shorter CCI against the longer to make sure the shorter has a higher value.

That is great for GBPxxx pairs, but for xxxGBP pairs it needs to be the other way around - the shorter needs to be less than the longer.

That explains why the latest version would send an EUR basket quite happily, but cancel a GBP. Hey ho.

Updated version later, with luck.

  • #2,753
  • Jan 12, 2009 11:32am Jan 12, 2009 11:32am
Quoting cybernet69
Eddie.

By the way, i wasnt trying to convince people to deposit large volumes of funds into their accounts.

What i was saying is they need to take into account the ratio between lotsize and account balance. many people do not and end up blowing 5 x £300 accounts when they would have been better off depositing £1500 at once and trading a sensible lotsize.

I agree DD will always be there but it doesnt have to be huge and anything to worry about, if you follow correct MM.

The JPY pairs are known for weilding higher DD than others but they likewise...
That was my point too as Steve has put the 0.01 lot = 0.01 pence. On my previous test account it was 0.01 lot = 0.07 pence on a £100 account.

I am now with Steve on a 0.01 pence account.....

Brokers are the ones that try to convince people to deposit larger amounts of funds into their account. Newer trades are just a likely to blow a £1500 the same as 5 x £300. The psychology changes with the frequency of the deposits, not always the amount..... BTW I am no fan of brokers...

I also worked for a bank not so long back and the numbers they dealt in were staggering.

Eddie
  • #2,754
  • Jan 12, 2009 11:56am Jan 12, 2009 11:56am
Steve

The EA has sat there all day doing nothing.

It just opened a JPY at the 65 level when the settings are 85/82!

Eddie
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  • #2,755
  • Jan 12, 2009 12:54pm Jan 12, 2009 12:54pm
Quoting eddiemiller
Steve

The EA has sat there all day doing nothing.

It just opened a JPY at the 65 level when the settings are 85/82!

Eddie
See how steep the JPY fall was? On its way up, it triggered a pending, then a validation on the way down, then the EA waited 4 minutes before taking out the basket. There can be a lot of movement in 4 minutes. That is why it took the trades at such a low level.

The time filter needs another parameter - the distance the strength moves during the validation phase. We need an end-the-validation-and-send-the-basket if the strength moves x points whilst waiting.

I will see to that if I ever get the individual trade filter going. Right now, I want to kill the originator of CCI.

  • #2,756
  • Jan 12, 2009 1:09pm Jan 12, 2009 1:09pm
Steve.

Sorry for suggesting the CCI indicator.
  • #2,757
  • Jan 12, 2009 1:20pm Jan 12, 2009 1:20pm
Quoting cybernet69
Steve.

Sorry for suggesting the CCI indicator.
Hehe. It's ok. I am abandoning it anyway.

I wrote a script to show the 12 and 20 period values and dragged it onto about 20 charts. Not once was the shorter value > than the longer one.

I am going to leave the individual trade filter for now; I am unconvinced it is necessary. When I return to it, I shall look at a moving average setup, and possibly Envelopes - Bobokus suggested these as a good indicator of a pair's direction and I have found them to be quite reliable.

So guys, forget CCI for this purpose. Switch it off and leave it off because I shall remove it for the next release.

Thanks for the offering, cybernet69. The EA is inevitably going to wander down some blind alleys before we arrive at a finished version; I still appreciate your suggestion.

  • #2,758
  • Jan 12, 2009 1:53pm Jan 12, 2009 1:53pm
Quoting SteveHopwood
See how steep the JPY fall was? On its way up, it triggered a pending, then a validation on the way down, then the EA waited 4 minutes before taking out the basket. There can be a lot of movement in 4 minutes. That is why it took the trades at such a low level.

The time filter needs another parameter - the distance the strength moves during the validation phase. We need an end-the-validation-and-send-the-basket if the strength moves x points whilst waiting.

Yup I see that now - a good idea the distance strength.... we await your update.

Eddie
  • #2,759
  • Jan 12, 2009 2:58pm Jan 12, 2009 2:58pm
I leave you guys alone for two weeks and you've DOUBLED the length of the thread!!!!!!!!! Joder!!

Happy New Year all, I've been out in Cyprus setting up a sales office so haven't been around the forum.

Here's an idea, if we're looking at which pairs to include/exclude why not use the values from KG GROUP to give us an indication?

EG: Using the reversal method. If JPY is your trigger and it's heavily depreciating then you're looking to SELL the pairs expecting a recovery of JPY strength.

If, however, GBP (for example) is also really low, you'll be expecting that to recover too and for the GBP/JPY (maybe/possibly) to then appreciate. Perhaps, we can use this as an indication for excluding GBP/JPY from an overall SELL basket. We could choose only to trade pairs which had the other currency with a KG GROUP value above a certain level.

Anyway, just an idea.

Wish list:

Obviously the EA doesn't have nearly enough options so here's some more fuel for the fire:

  1. Trading hours to turn EA on/off.
  2. TP on individual open trades as each one reaches a certain value. (maybe MPTM already does this).
  3. Lot sizes by % of account for each pair (or at least variable).

The DD is obviously a concern. There is no way on earth I could put capital behind a system that routinely dropped -30% of the account value and then leave it to run with the hope it will come back. Currently I cherry pick the exits manually. Maybe i just need more screen time with the EA.

Is there any consensus yet on whether the original method or the reversal method is proving most effective? Everyone's reporting seems to give conflicting views. I'll keep testing both.

Cheers all, and fantastic contributions. Totally blown away.

El Choco.

  • #2,760
  • Jan 12, 2009 3:54pm Jan 12, 2009 3:54pm
El Choco.

This was the discussion i was having with Eddie earlier. If your lotsize/account balance ratio is weighted correctly then you wont get -30% DD and you therefore wont need to worry about it.

There has always been a big assumption here that a basket will recover at some point. But, as we all know thats like saying how long is a piece of string.

However, if you dont get the MM correct in the first place then DD can get huge and sooner or later the dreaded killer market conditions will happen.

You can ofcourse do things to prevent this by hedging etc but that is not for beginners and you can get into an awfull mess if you panic and dont really know what you are doing.
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