Relative Strength Basket Trading System
- #2,924
- Jan 19, 2009 5:13am Jan 19, 2009 5:13am
- | Commercial User | Joined Apr 2007 | 8,331 Posts
I decided to add some feedback to the Daily Cross screen, to show which lower time frame filters are lined up.
Whilst doing this I noticed a humungous coding error, so V2 needs replacing with 2a if you are demoing the DC method.
You can try this out in speeded-up time by putting the EA onto a 30 min chart, then setting the lower tf settings to 15, 5,1. Occasionally, you will see all 3 settings neatly lined up but no trade being sent. This will result from the spread being too wide.
Whilst doing this I noticed a humungous coding error, so V2 needs replacing with 2a if you are demoing the DC method.
You can try this out in speeded-up time by putting the EA onto a 30 min chart, then setting the lower tf settings to 15, 5,1. Occasionally, you will see all 3 settings neatly lined up but no trade being sent. This will result from the spread being too wide.
- #2,928
- Jan 19, 2009 4:25pm Jan 19, 2009 4:25pm
- | Commercial User | Joined Apr 2007 | 8,331 Posts
V2b squashes a few bugs that emerged today.
- #2,931
- Jan 20, 2009 5:12am Jan 20, 2009 5:12am
- | Commercial User | Joined Apr 2007 | 8,331 Posts
Good start for the Daily Cross trades.
- #2,934
- Jan 20, 2009 9:48am Jan 20, 2009 9:48am
- | Commercial User | Joined Apr 2007 | 8,331 Posts
Eddie.
You should build in time/session filters:
if Basket == "JPY" && TimeHour(TimeCurrent()) >= XX && TimeHour(TimeCurrent()) <= XX
etc.
So, dont trade JPY basket during Asia session etc etc.
Yes, this will cut down the number of trades BUT your trades should work much better with allot less drawdown.
Would it be enough to simply code an Asian (Tokyo and Sydney) and a European session (London and New York)? I am a bit hazy about this as I have only ever manually traded during European hours and concentrated on EU.
If the two are enough, which triggers do I code to avoid during which session?
I assume:
- Asian would not trade these triggers: JPY, AUD, NZD.
- European would not trade these triggers:GBP, USD, CAD, CHF, EUR.
Please correct me if I am wrong.
__________________________________________________________
V2c is attached. Changes are mostly cosmetic, to the Daily Cross user feedback screen. I have coded a routine to tell the EA not to go chasing trades with pairs the broker does not offer. Thanks to matrixebiz for the method.
DC has made a brilliant start. I needs some code to stop the EA placing a new trade soon after an old one closes - a No_Trade_Fot_X_hours thingy. Not the foggiest idea how to do this, so I need to think about it. Suggestions from coders who have a method already will be much appreciated.
At the mo, I am managing the trades with MTTM set to jump the stops every +100 pips. This is probably far too tight for daily trades, so I think I will double this figure. If the DC method proves successful, I will think about porting across some of the code from MPTM to make the EA a complete auto-trader in this method also.
- #2,935
- Edited 3:17pm Jan 20, 2009 11:39am | Edited 3:17pm
- | Joined Nov 2006 | Status: Trader | 1,143 Posts
Thanks to matrixebiz for the method.
DC has made a brilliant start. I needs some code to stop the EA placing a new trade soon after an old one closes - a No_Trade_Fot_X_hours thingy. Not the foggiest idea how to do this, so I need to think about it. Suggestions from coders who have a method already will be much appreciated.
Anyway try this for your No_Trade_Fot_X_hours thingy
Maybe change to No_Trade_For_X_Bars then call this before your OrderCall;
Let me know if you need a hand.
Inserted Code
extern int No_Trade_For_X_Bars = 2;
bool DecideToOpenTrade;
.........
DecideToOpenTrade = true;
.........
DesideToOpen();
if (DecideToOpenTrade) { ......rest of order code.........}
..........
void DesideToOpen()
//----------------------------------------------------------------+
{
int total = OrdersTotal();
if (total > 0)
{
for(int cnt=0;cnt<total;cnt++)
{
if(OrderSelect(cnt,SELECT_BY_POS))
{
if(OrderComment() == MagicNumber+"") DecideToOpenTrade = false;// in case trades has already opened and closed within the candle
}
}
}
int histotal = OrdersHistoryTotal();
if (histotal > 0)
{
for(cnt=0;cnt<histotal;cnt++)
{
if(OrderSelect(cnt,SELECT_BY_POS,MODE_HISTORY))
{
if(OrderComment() == MagicNumber+"")
{
for (int b=0;b<No_Trade_Fot_X_Bars;b++)
if (Time[b] <= OrderOpenTime()) DecideToOpenTrade = false;// if b=0, don't open a new position if we're still on the same candle
}
}
}
}
}
//----------------------------------------------------------------+ 24 hours in a day – 24 bottles of beer in a case – Coincidence? I think not
- #2,937
- Jan 20, 2009 4:11pm Jan 20, 2009 4:11pm
- | Commercial User | Joined Apr 2007 | 8,331 Posts
Thanks for the credit
Anyway try this for your No_Trade_Fot_X_hours thingy
Maybe change to No_Trade_For_X_Bars then call this before your OrderCall;
Let me know if you need a hand.
One of the things I noticed today is that basing the sl on the previous candle is not always successful.
Trading DC, the EA kept on taking EURCHF buys that hit their sl quite quickly. When I looked at a chart the reason became obvious; the low of the previous candle was so close to the current one that the sl was far too tight. I am going to code a minimum sl feature.
- #2,938
- Jan 20, 2009 4:13pm Jan 20, 2009 4:13pm
- | Commercial User | Joined Apr 2007 | 8,331 Posts
Steve.
Yes, you are spot on with your suggestion, so:
Asia session = dont trade JPY, AUD, NZD
Euro session = dont trade EUR, GBP, CHF, CAD
USA session = dont trade USD
I built this into my EA and the results are VERY good, so far.
Do you apply this to the trigger currency, or to the individual pairs, or both?
- #2,940
- Jan 20, 2009 4:20pm Jan 20, 2009 4:20pm
- | Commercial User | Joined Apr 2007 | 8,331 Posts
Steve.
This is a very good point and i am sure will be open to debate. Personally i have done it at currency level due to the fact that trading sessions overlap.
i.e. EURUSD overlaps London/New York.