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Relative Strength Basket Trading System

  • #2,981
  • Jan 22, 2009 3:40pm Jan 22, 2009 3:40pm
HI Guys,

I still get "2009.01.22 21:16:43 KG Relative Strength trading EA V4 USDCHF,M1: Alert: CHF basket cancelled - insufficient individual trades available (1)

Can any one of you help me?

KG Relative Strength trading EA V4 works on ODL.....but not on Alpari (Alpari version)

The version which is working in ODL also giving the same error message in Alpari.

Anto
  • #2,982
  • Jan 22, 2009 4:01pm Jan 22, 2009 4:01pm
"2009.01.22 21:16:43 KG Relative Strength trading EA V4 USDCHF,M1: Alert: CHF basket cancelled - insufficient individual trades available (1)'

sounds like your 'min trade per basket' variable is set too high for the amount of xxxchf trades that the ea was going to take. probably just means chf was only strong/weak vs too few currencies.
  • #2,983
  • Jan 22, 2009 4:02pm Jan 22, 2009 4:02pm
Quoting cybernet69
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.
On my Market Hour chart I have London, New York, Sydney and Tokyo so I'd assume when you say Asia that would be Tokyo and when you say USA that would be New York and is Euro London and Sydney?
Thanks
24 hours in a day – 24 bottles of beer in a case – Coincidence? I think not
  • #2,984
  • Jan 22, 2009 4:06pm Jan 22, 2009 4:06pm
Quoting RaverStyleTim2
"2009.01.22 21:16:43 KG Relative Strength trading EA V4 USDCHF,M1: Alert: CHF basket cancelled - insufficient individual trades available (1)'

sounds like your 'min trade per basket' variable is set too high for the amount of xxxchf trades that the ea was going to take. probably just means chf was only strong/weak vs too few currencies.

Hi Tim,

But the EA is taking trades in ODL platform, while it is giving error message in Alpari UK

Anto
  • #2,985
  • Jan 22, 2009 4:06pm Jan 22, 2009 4:06pm
Asia = AUD, JPY and NZD.
London = CHF, EUR, GBP.
New York = USA.
  • #2,986
  • Jan 22, 2009 4:10pm Jan 22, 2009 4:10pm
Quoting RaverStyleTim2
steve just so i'm certain, v4 automatically has the time filter for not trading yen during asian session etc??
Yep, although this applies to basket trades, not DC trades.

  • #2,987
  • Jan 22, 2009 4:22pm Jan 22, 2009 4:22pm
Quote
Originally Posted by cybernet69 http://www.forexfactory.com/images/buttons/viewpost.gif
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.
Quoting matrixebiz
On my Market Hour chart I have London, New York, Sydney and Tokyo so I'd assume when you say Asia that would be Tokyo and when you say USA that would be New York and is Euro London and Sydney?
Thanks
I have coded the EA thus:

  1. Asia - Sydney and Tokyo
  2. Euro - London
  3. USA - New York

If this is wrong then somebody better say so.

  • #2,988
  • Jan 22, 2009 4:43pm Jan 22, 2009 4:43pm
I am unable to replicate pipbuilder's recurrent trade thingy.

However much I stare at the code, I cannot see anything wrong. Can the coders here see anything?

On firing up, the EA sees that it is required to trade the DC method and calls the equivalent of start() in this context - DailyCrossTrading(). One of the first things DailyCrossTrading() does is call CheckForCrosses().

CheckForCrosses() cycles through each trigger and sets up appropriate pairs to pass to CompareTriggerStrengths(string T1, string T2, double T1Val, double T2Val). There is no separate routine for the NZD and CAD triggers because these are all catered for by the earlier calls.

Ignore variables called, for example JpyVal in this context. They belonged to an earlier incarnation of these functions and are no longer used. I just cannot be bothered to remove them for now.

Can anyone see any reason here why the EA should set rogue NZDCHF trades if either/both triggers are disabled?



Inserted Code
void CheckForCrosses()
{
   // Sets up the paramaters to send to CompareTriggerStrength, which checks for crosses and 
   // sets up globals to tell the EA to send trades at the next opportunity
   
  
   // GBP pairs
   if (TradeGBP)
   {
      if (TradeJPY) CompareTriggerStrengths("GBP", "JPY", GbpVal, JpyVal);
      if (TradeUSD) CompareTriggerStrengths("GBP", "USD", GbpVal, UsdVal);
      if (TradeEUR) CompareTriggerStrengths("EUR", "GBP", EurVal, GbpVal);
      if (TradeCHF) CompareTriggerStrengths("GBP", "CHF", GbpVal, ChfVal);
      if (TradeAUD) CompareTriggerStrengths("GBP", "AUD", GbpVal, AudVal);
      if (TradeNZD) CompareTriggerStrengths("GBP", "NZD", GbpVal, NzdVal);
      if (TradeCAD) CompareTriggerStrengths("GBP", "CAD", GbpVal, CadVal);            
   }//if (TradeGBP)


   // JPY pairs
   if (TradeJPY)
   {
      if (TradeEUR) CompareTriggerStrengths("EUR", "JPY", EurVal, JpyVal);
      if (TradeUSD) CompareTriggerStrengths("USD", "JPY", UsdVal, JpyVal);
      if (TradeCHF) CompareTriggerStrengths("CHF", "JPY", ChfVal, JpyVal);
      if (TradeAUD) CompareTriggerStrengths("AUD", "JPY", AudVal, JpyVal);
      if (TradeNZD) CompareTriggerStrengths("NZD", "JPY", NzdVal, JpyVal);
      if (TradeCAD) CompareTriggerStrengths("CAD", "JPY", CadVal, JpyVal);   
   }//if (TradeJPY)
   
   // USD pairs
   if (TradeUSD)
   {
      if (TradeEUR) CompareTriggerStrengths("EUR", "USD", EurVal, UsdVal);
      if (TradeCAD) CompareTriggerStrengths("USD", "CAD", UsdVal, CadVal);
      if (TradeNZD) CompareTriggerStrengths("NZD", "USD", NzdVal, UsdVal);
      if (TradeAUD) CompareTriggerStrengths("AUD", "USD", AudVal, UsdVal);
      if (TradeCHF) CompareTriggerStrengths("USD", "CHF", UsdVal, ChfVal);
   }//if (TradeUSD)

   
   // EUR pairs
   if (TradeEUR)
   {
      if (TradeCHF) CompareTriggerStrengths("EUR", "CHF", EurVal, ChfVal);
      if (TradeCAD) CompareTriggerStrengths("EUR", "CAD", EurVal, CadVal);
      if (TradeNZD) CompareTriggerStrengths("EUR", "NZD", EurVal, NzdVal);
      if (TradeAUD) CompareTriggerStrengths("EUR", "AUD", EurVal, AudVal);
   }//if (TradeEUR)

   // AUD pairs
   if (TradeAUD)
   {
      if (TradeCHF) CompareTriggerStrengths("AUD", "CHF", AudVal, ChfVal);
      if (TradeNZD) CompareTriggerStrengths("AUD", "NZD", AudVal, NzdVal);
      if (TradeCAD) CompareTriggerStrengths("AUD", "CAD", AudVal, CadVal);      
   }//if (TradeAud)

   // CHF pairs
   if (TradeCHF)
   {
      if (TradeNZD) CompareTriggerStrengths("NZD", "CHF", NzdVal, ChfVal);
      if (TradeCAD) CompareTriggerStrengths("CAD", "CHF", CadVal, ChfVal);            
   }//if (TradeCHF)
   
}// End void CheckForCrosses()

void CompareTriggerStrengths(string T1, string T2, double T1Val, double T2Val)
{
   // Checks for crosses and sets up globals to tell the EA to send trades if lower tf's match up.
   // T1 == trigger 1 eg GBP out of a GBP/JPY comparison.
   // T2 == trigger 2 eg JPY out of a GBP/JPY comparison.
   
   // If a trade already exists, then this routine is irelevent
   string symbol = StringConcatenate(T1,T2,PairSuffix);
   bool TradeExists = DoesTradeExist(symbol);
   if (TradeExists) return;

   // Check the pair is traded by the broker. Use matrixrbiz's suggestion of checking the spread
   if (MarketInfo(symbol, MODE_SPREAD) < 1) return;
   

// double T1Val, double T2Val are no longer used. They are left in because they are too complicated to remove
  
  // Set up trigger index for reading and storing trigger strengths
  int TriggerIndex1, TriggerIndex2;
  double TriggerCurrencyA2, TriggerCurrencyA1, TriggerCurrencyA0; // 2=2 days ago; 1=1 day ago; 0 = today
  double TriggerCurrencyB2, TriggerCurrencyB1, TriggerCurrencyB0;
  
  if (T1 == "JPY") TriggerIndex1 = 1;
  if (T1 == "USD") TriggerIndex1 = 0;
  if (T1 == "GBP") TriggerIndex1 = 4;
  if (T1 == "EER") TriggerIndex1 = 6;
  if (T1 == "CHF") TriggerIndex1 = 2;
  if (T1 == "AUD") TriggerIndex1 = 5;
  if (T1 == "NZD") TriggerIndex1 = 7;
  if (T1 == "CAD") TriggerIndex1 = 3;
   
  if (T2 == "JPY") TriggerIndex2 = 1;
  if (T2 == "USD") TriggerIndex2 = 0;
  if (T2 == "GBP") TriggerIndex2 = 4;
  if (T2 == "EER") TriggerIndex2 = 6;
  if (T2 == "CHF") TriggerIndex2 = 2;
  if (T2 == "AUD") TriggerIndex2 = 5;
  if (T2 == "NZD") TriggerIndex2 = 7;
  if (T2 == "CAD") TriggerIndex2 = 3;
  
  TriggerCurrencyA2 = iCustom(NULL,0, "KG RS GROUP V1.1",TriggerIndex1,2);// 2 days ago
  TriggerCurrencyA1 = iCustom(NULL,0, "KG RS GROUP V1.1",TriggerIndex1,1);// yesterday
  TriggerCurrencyA0 = iCustom(NULL,0, "KG RS GROUP V1.1",TriggerIndex1,0);// today
   
  TriggerCurrencyB2 = iCustom(NULL,0, "KG RS GROUP V1.1",TriggerIndex2,2);// 2 days ago
  TriggerCurrencyB1 = iCustom(NULL,0, "KG RS GROUP V1.1",TriggerIndex2,1);// yesterday
  TriggerCurrencyB0 = iCustom(NULL,0, "KG RS GROUP V1.1",TriggerIndex2,0);// today
   
   
   // Global variable trade storage name
   string GvTradeName = StringConcatenate("KgDc", T1,T2, "PendingTrade");
   
   // Actually check for a cross and set the gv with one of these values:
   // Long trade = 0
   // Short trade = 1
  
   // Check for long trade cross.
   if (TriggerCurrencyA2 < TriggerCurrencyB2 && TriggerCurrencyA1 > TriggerCurrencyB1 && TriggerCurrencyA0 > TriggerCurrencyB0)
   {
      GlobalVariableSet(GvTradeName, 0);
   }//if (TriggerCurrencyA2 < TriggerCurrencyB2 && TriggerCurrencyA1 > TriggerCurrencyB1 && TriggerCurrencyA0 > TriggerCurrencyB0)
   
   // Check for short trade cross.
   if (TriggerCurrencyA2 > TriggerCurrencyB2 && TriggerCurrencyA1 < TriggerCurrencyB1 && TriggerCurrencyA0 < TriggerCurrencyB0)
   {
      GlobalVariableSet(GvTradeName, 1);
   }//if (TriggerCurrencyA2 > TriggerCurrencyB2 && TriggerCurrencyA1 < TriggerCurrencyB1 && TriggerCurrencyA0 < TriggerCurrencyB0)
   
}// End void CompareTriggerStrengths(string T1, string T2, double T1Val, double T2Val)
  • #2,989
  • Jan 22, 2009 5:09pm Jan 22, 2009 5:09pm
Hi

I have attached the zip file which contains the error message and the set file. Please let me know if there is any thing wrong

Anto
Attached File(s)
File Type: zip anto-alpai.zip   50 KB | 348 downloads
  • #2,990
  • Jan 22, 2009 5:16pm Jan 22, 2009 5:16pm
Quoting anto
Hi

I have attached the zip file which contains the error message and the set file. Please let me know if there is any thing wrong

Anto
I didn't need to look at your set file to know what the problem is, but I did just in case. I was right.

This question has been answered about 50 times in this thread. In future, I shall simply ignore it.

Either: read back and find the answer for yourself or; read the user guide section about maximum spreads.

  • #2,991
  • Jan 22, 2009 5:43pm Jan 22, 2009 5:43pm
Steve, Thanks a lot....
  • #2,992
  • Jan 22, 2009 6:28pm Jan 22, 2009 6:28pm
Quoting anto
Steve, Thanks a lot....
Hmmmm. My post came across a lot harsher that I meant it to, now that I re-read it - a typical case of the written words not completely reflecting the tone of voice in which they would have been spoken.

The sense I intended was this:

Either: read back and find the answer for yourself or; read the user guide section about maximum spreads. You will learn from the experience as we all have in similar situations.

I hope you were not too stung by my comments.

  • #2,993
  • Jan 23, 2009 4:29am Jan 23, 2009 4:29am
Quoting SteveHopwood
Hmmmm. My post came across a lot harsher that I meant it to, now that I re-read it - a typical case of the written words not completely reflecting the tone of voice in which they would have been spoken.

The sense I intended was this:

Either: read back and find the answer for yourself or; read the user guide section about maximum spreads. You will learn from the experience as we all have in similar situations.

I hope you were not too stung by my comments.

Steve... all looking good from my end.

The daily cross seems to perform better than the other methods.....

results to follow.

Eddie
  • #2,994
  • Jan 23, 2009 5:10am Jan 23, 2009 5:10am
Quoting eddiemiller
Steve... all looking good from my end.

The daily cross seems to perform better than the other methods.....

results to follow.

Eddie
DC is blowing me away. The demo I started on Monday is up 10% in trades closedby price retracements hitting sl. The upl is up about 2,200 pips, so I could close the entire position now and make it a 32% profit for the week. I shall leave them open; KG says that Daily trades can run for more than a week, so leaving them in place makes sense. I am using a jumping stop of 200 pips to lock in the profits as they accrue.

On Weds, I started simultaneous demos for Range, Original and DC methods, so I am running two DC demos.

The second one highlighted the need for a big stop loss. An EURJPY sell went to -320 at one point yesteray. It subsequently recovered and is now at +20 and has been higher. There are several trades open now and the upl has just hit the positive for the first time.

The Original demo is the most profitable, using the trading hours filters and a Diff of 5. It is up about 5.5% but the dd is growing - 6% at the mo. It looks as though your original diff of 10 will be better.

The Range is set up at 90/10 with a retracement figure of 15 before basket validation starts; the strength index is on a clear curve in the right direction by the time validation kicks in at 75/25. This is working well in partnership with the trading hours filters. Few baskets get placed, but they tend to hit their 100 pip tp quite quickly and dd is minimal.

Yesterday, I started another Range demo with the trades monitored by MPTM, so it can hedge individual trades that go to -100. Apart from this, the same settings apply as for the other demo, so the hedging has not been tested yet.

I have just coded a StrengthInLoss feature for the Range method. Once a trigger starts to trend strongly, as JPY has done this week, a loosing basket will continue to lose even though the relative strength might be heading in the right direction. I have seen weak JPY baskets at -2000 to -3000 pips even though the rs value has been below 20, so strongly has the Yen accrued this week.

StrengthInLoss closes a basket under these circumstances. I will post the latest version in time for market opening on Sunday night so people can start playing with it. I will hold off for now in case there are any further tweaks needed, especially if someone can see why pipbuilder's EA kept insisting on placing NDZCHF trades; I can't.

I am thinking that sufficiently stringent settings will allow us to run both the Original and the Range methods on the same account - I might try a demo with this next week.

If the DC keeps on performing as it has this week, none of us will care what Range and Original get up to.

One DC idea has occurred to me, and I offer it in the form of a question. If the previous candle closed so close to the current market price that the minimum 200 pip stop loss kicks in, should the EA be taking the trade at all? What do people here think?

  • #2,995
  • Jan 23, 2009 6:55am Jan 23, 2009 6:55am
started the daily cross last night, have 3 trades going audcad sell, audnzd sell and the nzdchf buy.
Looking at the KG RS Group indie I would think the nzdchf trade should have been a sell instead of a buy but maybe I am looking at it wrong. trade was opened at 0249 gmt.

all settings are stock except for lots. Ibfx mini.
might there also should be more trades open as well...?
I have the pdf printed out & have been through it but will continue checking the settings looking for any problems...

If someone could verify that the one trade is or is not in the correct direction I would appreciate that very much.
  • #2,996
  • Jan 23, 2009 7:39am Jan 23, 2009 7:39am
Quoting tommyd
started the daily cross last night, have 3 trades going audcad sell, audnzd sell and the nzdchf buy.
Looking at the KG RS Group indie I would think the nzdchf trade should have been a sell instead of a buy but maybe I am looking at it wrong....
It looks as thoughit was at the time. The EA took the same trade at midnight; just then the chf and nzd were the furthest apart they travelled. Since then they have converged on my chart and crossed over. It could be that we need a routine to close open trades when this happens - let's watch it and see.

  • #2,997
  • Jan 23, 2009 8:25am Jan 23, 2009 8:25am
from jan 22 5pm est to 9am jan 23 there were no trades on v4b, due to asian session correct?(just making sure my v4 is working properly)
my v3 took a jpy during the asian session so i'm just making sure anyone using v4 hasn't had a trade.
using eddies pending at 87,13 validation 82, 18.
  • #2,998
  • Jan 23, 2009 11:04am Jan 23, 2009 11:04am
I've been following this thread since day one. Great information being shared here by all!!! Great job KG, Steve, Matrixbiz, Eddie, etc.

I'm currently running demos on all 3 methods. I've noticed when trading the original method, the KG RS V4 EA display shows Weak Lower and Strong Lower to be the same number regardless of set file inputs. I've also noticed that (only in the original method) the EA is taking trades in the wrong direction. Is anyone else having the same problem? I've attached my set file if anyone would like to take a look.

I'm currently using the EA in the 4 hr TF with the following inputs:

WeakUpperBound: 45
WeakLowerBound: 0
StrongUpperBound: 100
StrongLowerBound: 55
MinDiff: 8

I allow the EA to take out a basket (the wrong way), then close it and manually open a basket the correct way and am having good results with little DD.
Attached File(s)
File Type: zip 4 hr original.zip   2 KB | 428 downloads
  • #2,999
  • Jan 23, 2009 11:46am Jan 23, 2009 11:46am
Steve,

Not sure if the JSL is working right on the DC V4....

Eddie
  • #3,000
  • Jan 23, 2009 12:01pm Jan 23, 2009 12:01pm
Asia session = dont trade JPY, AUD, NZD
Euro session = dont trade EUR, GBP, CHF, CAD
USA session = dont trade USD



So which is right? is Sydney AUD, NZD?

  1. Asia - Sydney and Tokyo
  2. Euro - London
  3. USA - New York

or

  1. Asia - Tokyo
  2. Euro - London and Sydney
  3. USA - New York

24 hours in a day – 24 bottles of beer in a case – Coincidence? I think not
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