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Inside Bar Trading Revisited

  • #161
  • Jan 19, 2009 4:52pm Jan 19, 2009 4:52pm
Following on from Pippo's post about using Maximum Adverse Excursion then here is the analysis from EURUSD on M30 for 2008.

Red dots are losing trades, blue dots are winners.

The X-Axis shows the maximum profit the trend reached
The Y-Axis shows the maximum loss the trend reached.

The group of red dots along the X-Axis are, I think, the losing trades after we take 1/2 profit and reset the SL. It shows that there is a tendency for these trades to bounce back for a small loss.

There does seem to be a distinct line between the winning trades and the losing ones. This is roughly 60~70 degrees from the horizontal. I now need to decide how I can code this trend line to automatically close a trade if it falls to the left of the line into the red zone. By doing this we will reduce our losses.

I might redraw this graph using % of IB size and see if it's as clear cut.
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  • #162
  • Jan 19, 2009 5:02pm Jan 19, 2009 5:02pm
Attached is the graph showing todays results.

We were doing fine until the evening. Still 0.13 profit
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  • #163
  • Jan 19, 2009 5:20pm Jan 19, 2009 5:20pm
Good, it was also good fom 00 GMT upt12 GMT... after that the market was ranging.....I think i netted about 70 to 120 pips/ I do not post the results, because I got confused with other EAs also....So, got a new demo accounts.

Looks to me, breakout IB true seems to be a looser than IB false.
  • #164
  • Jan 19, 2009 7:23pm Jan 19, 2009 7:23pm
1ka, Looks like SL 25 with no B/E alteration may produce best results. Nice work. Pippo
Vincit qui se vincit.
  • #165
  • Jan 20, 2009 12:17am Jan 20, 2009 12:17am
Yesterday for me, using IB Breakout True:

I ran it on 0.5 lot, which is the sort of size I would probably use live.

On EURUSD: minus £80

Overall, on the eight pairs I mentioned earlier: plus £1242.

One thing: it doesn't seem to be allowing for spread on northbound trades, so it got me into trades without the IB being breached. Quite a lot of those eventually turned out to be profitable, as it happens.

The TP on half and leave half thing is awesome!

All the best
  • #166
  • Jan 20, 2009 12:55am Jan 20, 2009 12:55am
Thanks Anto, Sledgehammer

I wonder if the Inner Bar Breakout (UseIBForBreakout=true) is currency sensitive since Sledgehammer lost on EURUSD? Nice overall result though.

For me, EURGBP was the big loser yesterday, lots of -5's and one -15.

I'll have a look at the spread issue with buy trades, I think I've noticed this before.

Thanks.
  • #167
  • Jan 20, 2009 1:34am Jan 20, 2009 1:34am
Quoting 1ka
Well, you asked for it (or at least thinkpip did )

There is a generic interface that allows you to write your own code that will help the EA decide whether a trade is valid or not.

To get started:

  1. Put the attached IBTrader EA in the experts directory of your MetaTrader installation.
  2. Put both IBTrader-Ind files in the expertslibraries directory of your MetaTrader installation.
  3. Restart MetaTrader and you're off.

To create your own indicators you will need to edit the IBTrader-Ind.mq4 file and add your...

Hello 1Ka
Thank you for all your work in writing this EA. I am still attempting to learn the language and I am unclear how to insert a "Custom Indicator" that I am using on my charts. Can I trouble you to give an MetaEditor example of how you would modify the IBTrader-Ind? (Say "FX Sniper's LSMA")

Thanks,
Kirl
Attached File(s)
File Type: mq4 FX Sniper's LSMA.mq4   3 KB | 384 downloads
  • #168
  • Jan 20, 2009 1:40am Jan 20, 2009 1:40am
Quoting Pippopotamus
1ka, Looks like SL 25 with no B/E alteration may produce best results. Nice work. Pippo
Fixing the SL to 25 gives the results as below (before/after). I need to look at this further as it doesn't quite give the increase in profit I was hoping for.
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  • #169
  • Jan 20, 2009 2:19am Jan 20, 2009 2:19am
Quoting kirl
Hello 1Ka
Thank you for all your work in writing this EA. I am still attempting to learn the language and I am unclear how to insert a "Custom Indicator" that I am using on my charts. Can I trouble you to give an MetaEditor example of how you would modify the IBTrader-Ind? (Say "FX Sniper's LSMA")

Thanks,
Kirl
I haven't tried to incorporate and existing indicator into the EA, they've all been re-coded to fit in the EA. However, here is a snippet of code from another EA I've seen. It reads values directly from an external indicator, which is what you are looking for, I think. I have no idea what it does but it might point you in the right direction.

if(iCustom(NULL,period,"ZigAndZag",4,Closebar)!=0){close=true;SetArrow(251,3,false,White);}
if(iCustom(NULL,GrossPeriod,"ZigAndZag",5,ZZbar)!=0){buy=true;SetArrow(241,1,true,Blue);}
if(iCustom(NULL,GrossPeriod,"ZigAndZag",6,ZZbar)!=0){sell=true;SetArrow(242,1,false,Red);}
  • #170
  • Jan 20, 2009 2:25am Jan 20, 2009 2:25am
Quoting 1ka
I haven't tried to incorporate and existing indicator into the EA, they've all been re-coded to fit in the EA. However, here is a snippet of code from another EA I've seen. It reads values directly from an external indicator, which is what you are looking for, I think. I have no idea what it does but it might point you in the right direction.

if(iCustom(NULL,period,"ZigAndZag",4,Closebar)!=0){close=true;SetArrow(251,3,false,White);}
if(iCustom(NULL,GrossPeriod,"ZigAndZag",5,ZZbar)!=0){buy=true;SetArrow(241,1,true,Blue);}
[FONT=Courier...
Thanks for the response 1ka

I was attempting to use the iCustom function, but I was not succeeding in inserting the indicator. I will use your suggestion as an example.

Thanks again,
Kirl
  • #171
  • Jan 20, 2009 3:08am Jan 20, 2009 3:08am
1ka, In the study of SL 25 what was TP?
Vincit qui se vincit.
  • #172
  • Jan 20, 2009 4:09am Jan 20, 2009 4:09am
Quoting Pippopotamus
1ka, In the study of SL 25 what was TP?
Initially it is 1/2 ATR where I take half the lot. This seems to give a reasonable hit rate. Anything bigger and we get more losers. Could go smaller I suppose, maybe have a fixed value?
  • #173
  • Jan 20, 2009 9:37am Jan 20, 2009 9:37am
Quoting billbss
I don't know if you're looking for input, but if you are, here's my 2 cents.

I think you're wasting your time on IBs.
I've seen a couple of computer runs on candle formations, and they both indicated that the IB had no predictive properties.
These were done on futures and not forex. There may be a difference, but I doubt it.

The results you show tend to back this up.

On a random coin toss entry, with a SL twice the size of a TP, you will get about 67% wins. That appears to be what you got.

You'll lose money because of the overhead of the spread....

Hi Billbss,

How are you

Please see Currency trader magazine of this month pg 20 -pg 24 article titled "Inside day set ups" there the ib on daily charts has been tested with statistical data on several pairs for the period dec31 1998 - dec 31 2008 (this is 10 years period) for certain predicitive patterns with and without filters and has statitically found to be profitable and the result has been published.

The trading method is much different from this thread but the basic pattern ie the IB on daily charts has been found to have an edge if traded in a certain way.

I'm not saying this means they do definitively work but it certainly shows they do have an edge and a little predicitive power - they showed an inverted price action pattern, inside days that closed higher preceded short term down moves and vice versa (please just see the article for details)

In addition to this I remember Peter Crowns discussion about his method of IB trading and he had clearly said he had 10 years worth data to back up his theory.

In addition to this I personally know people who trade the IB using James's 40-100 pips a day method over at babypips have been profitable. Well at least they claim to be.

why not have another look.

thanks.
  • #174
  • Jan 20, 2009 1:37pm Jan 20, 2009 1:37pm
Thought I'd run a quick test to see what effect the ATR period has on the results. Images below are for ATR periods of 10, 20, 30, 40, 50 & 60.

The EA has been running with an ATR of 20, but some of the higher ATRs seem to give subtly better results, at least on the long term EURUSD 30M. I suspect that we're averaging out the bars and getting rid of some extremes where the ATR is too large to hit the 1/2 ATR TP.

A figure of 40 seems to be best.

I'll post a new EA at the beginning of the thread (1st post).
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  • #175
  • Jan 20, 2009 3:01pm Jan 20, 2009 3:01pm
Attached is the graph showing todays results.

Lots of ups and downs.
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  • #176
  • Jan 21, 2009 12:20pm Jan 21, 2009 12:20pm
Examining the live trades on the EUR/USD the last several day it seems like most of the bad trades were made on small setup bars that were less than 50 pips. When I run a back test for last year the EA performed a lot better during the last quarter when volatility increased quite a bit. May be that we need a minimum setup bar size that would need to be adjusted manually once in awhile to compensate for this.
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  • #177
  • Jan 21, 2009 12:37pm Jan 21, 2009 12:37pm
Today it was a scary day......Still the EA picked up 49 pounds in demo.

Risk to Reward is also scary especially when you see the SL. Today, the winners in GU and EJ were picked up at the opposite ends....At one point the loss was around 60 compared to the profit (£10). If it were in live, i would have definitely in panic.

So, we need to do something.

Anto
Attached File(s)
File Type: zip Anto.zip   2 KB | 302 downloads
  • #178
  • Edited 1:29pm Jan 21, 2009 1:08pm | Edited 1:29pm
Anto, Abnormalone

Thanks. Never thought about a minimum set up bar, always assumed the problem was with the big ones I'll post here with a new version if I get time to do this.

I'm currently trying to see if the EA should bail out when a trade is open and a second IB forms. The idea is that I move the SL for the Outer IB to the new Inner IB. Anyway, will see.

In the picture the trade lost. We could have reduced the amount it lost by using the second IB's SL value.
Attached Image
  • #179
  • Jan 21, 2009 1:19pm Jan 21, 2009 1:19pm
I don't know exactly how ATR effects the EA but I just run it up to 175 and was able to get a lot better results. Below is a chart with the same settings as the one in post #176 except the ATR was set at 10 in that one.
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  • #180
  • Jan 21, 2009 1:32pm Jan 21, 2009 1:32pm
Quoting Abnormalone
I don't know exactly how ATR effects the EA but I just run it up to 175 and was able to get a lot better results. Below is a chart with the same settings as the one in post #176 except the ATR was set at 10 in that one.
The ATR is used to determine the TP. With larger ATR's we average out the size of the bars, so the EA is not affected by any spikes in the bar size, so it will generally TP much sooner. I ran a few tests on EURUSD 30M charts and found that 40 was a good figure for those. (Look back a few posts)
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