Relative Strength Basket Trading System | Page 139 | Forex Factory

Options

Go to
Permalinks
Print Thread

Similar Threads

Trading system using relative strength 2,816 replies

BASKET TRADE Management: Using multiple trade management EA's on basket trades 11 replies

Basket Knights - A Basket Trading Round Table 1,313 replies

Trading System Using Relative Strength-Part 2 1,499 replies

My version of a relative strength basket 2 replies

Attachments: Relative Strength Basket Trading System
Exit Attachments

Relative Strength Basket Trading System

  • #2,761
  • Jan 12, 2009 5:03pm Jan 12, 2009 5:03pm
Quoting elchoco
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.
Welcome back. I was wondering where you were and assumed you were on holiday. Hope the office setting up went smoothly.

Quote
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...
And a good one, thanks. We had not thought of it. It also sort-of backs up my questioning the value of looking at individual trades. By definition, trading the reversal from the extreme of a range implies that the trigger already encompasses all the other currencies in the basket. Any further ideas are most welcome.

Quote
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.

I have already written routines to turn of Sunday trading and allow a start time for trading on Monday. I just haven't released it yet. Ultimately, there is no reason why the EA should not have day-by-day trading choices. After all, there must be at least 3 people here who understand the existing inputs, so no reason to leave them in peace.

Quote

  1. TP on individual open trades as each one reaches a certain value. (maybe MPTM already does this).

MPTM does indeed, so I will not include it here - 'tis a basket trading EA after all.

Quote

  1. Lot sizes by % of account for each pair (or at least variable).

No reason why not, once the basics are all in place.

Quote
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.
Your own wait for a retrace idea was a huge breakthrough that has already alleviated huge amounts of dd. I assume you have read about Eddie's time filter, which has had a similarly dramatic effect.

It is possible that these two ideas will make it possible to trade this EA with a stop loss - don't know yet. I have a demo in place that sets a $10 sl against a $2 tp. Unacceptable odds in terms of conventional mm, but this is basket trading; it remains to be seen how this will pan out.

  • #2,762
  • Jan 12, 2009 5:53pm Jan 12, 2009 5:53pm
i am hesitant to suggest things, as I dont know much, but how about if the price is above the 50 ma, weak only trades, below 50ma, strong only trades.
  • #2,763
  • Jan 12, 2009 5:56pm Jan 12, 2009 5:56pm
-Stevehopwood-

I have a suggestion about the CCI filter--the CCI filter is extremely lagging indicator on the 1 hr chart--that thing could take about 4- one hr bars before it gives you a good valid signal plus the 4 minute validating process-i mean, we are talking alot of time here for this to come together---Meanwhile, you have already lost your basket signals--(eddiemiller complaints)-that's why trades are being cancelled so often.
http://www.forexfactory.com/images/icons/icon8.gif

I suggest you let the CCI filter out the individual trades on a smaller timeframe- 1 minute chart or 5 minute--i prefer the 1 minute chart with settings 50/170.

i think you will notice a big difference--

Thanks for all your great work
  • #2,764
  • Jan 12, 2009 6:12pm Jan 12, 2009 6:12pm
Plus--think about it--although you are taking trades from the 1 hr chart--if the CCI filter the trades through the 1 minute chart-you can get in trades early--thereby, cut down on the DrawDowns problems people are concern with.
  • #2,765
  • Jan 13, 2009 12:54am Jan 13, 2009 12:54am
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.

steve i get this message from the EA allot here is a pic.
http://imagebin.org/35666http://imagebin.org/35666
http://imagebin.org/35666
  • #2,766
  • Jan 13, 2009 2:23am Jan 13, 2009 2:23am
Quoting cybernet69
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.
Yes, I totally agree on needing MM. I'm saying I couldn't justify putting 30% at risk to make 5%.

Another Idea:

Maybe we could reduce DD by using a mutliple time frame approach to the RS GROUP Indicator.

This is something I've been looking at for a while, having RS_GROUP_XXX on 4Hr, 1Hr and 15m timeframes and entering when they all line up. Seems to work out well and might avoid some of the "I thought it was going to turn round but hasn't yet and now I've got a big drawdown" problems.

Compositional Style:

I quite like the idea of keeping the strategy totally KG based without introducing other indicators. I think it's more elegant. Otherwise it's like introducing another theme into a Sonata because you ran out of creativity with your original ones.

Nice and sunny here in Paphos.

El Choco
  • #2,767
  • Jan 13, 2009 2:53am Jan 13, 2009 2:53am
Looks like the JPY pairs went mental again around 6.00am (UK time).
  • #2,768
  • Jan 13, 2009 2:54am Jan 13, 2009 2:54am
Quoting cybernet69
But, as we all know thats like saying how long is a piece of string.
Just to be a smart ass the answer is "twice the length from one end to the middle".

Not sure why Steve's law works 95% of the time but (and it is documented throughout this thread) it does. Still agreed it's not ideal.

Eddie
  • #2,769
  • Jan 13, 2009 2:55am Jan 13, 2009 2:55am
Apart from the JPY pairs going mental it looks like Alpari increased the spreads on these currencies as well.
  • #2,770
  • Jan 13, 2009 3:10am Jan 13, 2009 3:10am
Quoting cybernet69
Apart from the JPY pairs going mental it looks like Alpari increased the spreads on these currencies as well.
on which ones? all jpy?

eddie
  • #2,771
  • Jan 13, 2009 3:19am Jan 13, 2009 3:19am
Eddie.

Yes. They incresed them for just over an hour, just after my EA had placed the trades. Very strange. naughty people.
  • #2,772
  • Jan 13, 2009 3:23am Jan 13, 2009 3:23am
Hi All,

It's look like we are looking for a filter now.... that's good idea but we need to find a filter that match with RS indicator, i mean the logic.

So i suggest to use our original indicator (KG RS GROUP) but use higher TF to confirm it pair by pair. How to do that ? Check my picture below, it's set just for EURGBP. I have mention it in the begining that the position of line between two currency will give us an information about the trend of the pair.

So, i suggest to use this trend info (i suggest D1/H4) to decide a pair should be open or not in our basket system. hehehehehehehe

BTW, on D1 (Long Term) for individual trade with good MM the crossing line always give me a good entry..

I hope it's help, just check it. What do you think ?


Regards,

KG
Attached Image (click to enlarge)
Click to Enlarge Name: test d1.jpg Size: 104 KB
  • #2,773
  • Jan 13, 2009 3:27am Jan 13, 2009 3:27am
Quoting Kang_Gun

So, i suggest to use this trend info (i suggest D1/H4) to decide a pair should be open or not in our basket system. hehehehehehehe

BTW, on D1 (Long Term) for individual trade with good MM the crossing line always give me a good entry..

I hope it's help, just check it. What do you think ?


Regards,

KG
So to check the direction on the 1H chart, reference against the 4H chart, right?

Sounds like a good, simple idea to me (and they are usually the best)

Eddie
  • #2,774
  • Jan 13, 2009 3:28am Jan 13, 2009 3:28am
Quoting cybernet69
Eddie.

Yes. They incresed them for just over an hour, just after my EA had placed the trades. Very strange. naughty people.
I have closed my account with them.... too many mistakes on their part.

Eddie
  • #2,775
  • Jan 13, 2009 3:28am Jan 13, 2009 3:28am
I agree Kang Gun.

Also, did we ever explore the "dont trade JPY currency pairs in Asian session", "dont trade EUR currency pairs in Euro session" etc etc. Although this will probably cut down on the number of basket trades we would avoid news statements.
  • #2,776
  • Jan 13, 2009 3:30am Jan 13, 2009 3:30am
Quoting cybernet69
Eddie.

Yes. They incresed them for just over an hour, just after my EA had placed the trades. Very strange. naughty people.
Please, capture the picture on your chart when it's happened. BTW, you run spread monitor right ?

KG
  • #2,777
  • Jan 13, 2009 3:35am Jan 13, 2009 3:35am
Quoting eddiemiller
So to check the direction on the 1H chart, reference against the 4H chart, right?

Sounds like a good, simple idea to me (and they are usually the best)

Eddie
Yes Eddie...

We wait Steve now, i hope he has better idea and put it on his code


Regards,

KG
  • #2,778
  • Jan 13, 2009 3:41am Jan 13, 2009 3:41am
Kang Gun.

I had a spread filter in my EA so they need to be <= 100 (5 decimals on Alpari), however, 10mins after i placed the trades they increased the spread on all of them well over 100 for over 1 hour, together with the basket hitting +98 where it has remained since 7.00am meaning a DD of -952.86 using lotsize of 0.30 with bank of 10,000.
  • #2,779
  • Jan 13, 2009 4:05am Jan 13, 2009 4:05am
Following on from my previous thread. This will test the assumption that a basket will recover at some point. However, given what my broker did to the spreads this could be a challenge as i would need the basket strength to fall to around 40.

we live in hope.
  • #2,780
  • Jan 13, 2009 4:28am Jan 13, 2009 4:28am
Quoting cybernet69
Following on from my previous thread. This will test the assumption that a basket will recover at some point. However, given what my broker did to the spreads this could be a challenge as i would need the basket strength to fall to around 40.

we live in hope.
Can you screen shot what you have at the moment please.....

Eddie
Attached Image (click to enlarge)
Click to Enlarge Name: 13012009_1024.gif Size: 67 KB
1 trader viewing now