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  • #1,141
  • Mar 4, 2009 9:01am Mar 4, 2009 9:01am
I really know nothing about programming, but I am wondering if there is a way for the EA to determine if slippage happened.

I.e.

Let's say that are stop was set at 1.2500 to go long, but the trade did not enter until 1.2503. What really should happen then is the EA would take this into consideration and add the slippage back into the price at the close of the bar and if with all that done, the EA would then either see that we would have been in profit if not for the slippage and close the trade or that the trade should still be kept open.

I am not a programmer though and this may be a programming nightmare.

Gary, what are your thoughts about this? Before we do it, we should make sure that slippage is the issue though, but just wondering your thoghts.

Damon

Quoting flapper
What do you think of this to tackle this brokerage problem or would we just be spinning our wheels? Part of me is inclined to say that it really doesn't matter - that the EA should be able to deal with any brokerage as long as it gives quick fills. Am I thinking right on this?

But anyway, what if we get real focused here. 1. best 3 brokerages, 2. assign out one pair, 2 time frames, at a time, 1 week each? I, for one, would do one pair, 2 time frames, on EACH of the servers that FXDD has (8). Perhaps we're way too broad here until we get this...
"Keep your eyes on the helpers" - Mr. Rogers
  • #1,142
  • Mar 4, 2009 9:01am Mar 4, 2009 9:01am
I don't know the answer to this... slippage on demo vs live. Can we control both? If we set a max, it shouldn't matter, right? I agree with what you say below though...


Quoting damonl
You bring up some valid points. Is slippage the culprit? I think that this really could make a difference if the end result is a profit of 1-3 pips. It really could change the outcome of the whole thing. But we are talking the difference between night and day, however when you factor in 67 trades per day, that could add up significantly.

One other thing that Gary brought to my attention is demo accounts. Is this just becuase we are using a demo account and not a live account?

I am hoping to get back to testing today or at least be set up by...
  • #1,143
  • Mar 4, 2009 9:04am Mar 4, 2009 9:04am
Slippage is now defualt to 3, so it is at least minimum. We will have to watch this in our testing and see how much of an issue it really is

Quoting flapper
I don't know the answer to this... slippage on demo vs live. Can we control both? If we set a max, it shouldn't matter, right? I agree with what you say below though...
"Keep your eyes on the helpers" - Mr. Rogers
  • #1,144
  • Edited 9:47am Mar 4, 2009 9:15am | Edited 9:47am
This may not apply to anything but I thought I'd post it just in case it may. There is no question that different brokers have slightly different market price in their chart feeds (usually 1-3 pips difference on average). This also effects slippage as well, no? I really don't fully understand why this is. If you look at other markets (i.e. stocks) the current price quote is the same for everyone. Perhaps this is how the forex big boys "manipulate" things? The difference is even worse when it comes to comparing things like tick volume between forex brokers because forex is not a centralized consolidated reporting market.

I've seen so many times where the EA takes a slingshot trade for Damon but not for me even though we have the same settings on the EA and the reason appears to be that 1-3 pip difference in price reported by our brokers. So...all this said, what if we traded this on the higher time frames? Say 1H and above? Wouldn't that 1-3 pip difference in price be absorbed? Or would we have the same issue? Probably the latter. Are we trading this too close into the lower level timeframe noise and variances? I dunno, just a thought.
- Bowen (a.k.a. Wolf)
  • #1,145
  • Edited 9:45am Mar 4, 2009 9:34am | Edited 9:45am
Damon,

I've been hesistant to post this next point until now. One of the things that has always bothered me about this trade methodology from the start is the ratio of Stop Loss to Profit. Take the GBPUSD for example. We are setting a 45 pip S/L yet we are getting out in profit at the first break even or in-profit on the next bar, correct? Well, unless the profit trades move in our favor consistently more than 45 pips, the odds are stacked against us by default. Take a look at my trades today thus far and the S/L's on the losing trades literally jump out and smack you in the face. Now compare those loss amounts to the winning trades profit amounts. Almost 2 to 1 in favor of the losers. So in my mind, we need to find a way to get out of the losing trades sooner and stay with the profitable ones longer. Easier said than done, right? I know. Just another thought.

Look at the 10:18 trades in my screen shot. Tell me again how we get a $54 loss if our S/L is set to 45?

Referring to item 6. on the first post, you talk about moving the S/L to the low of the initial bar in a LONG trade but are we doing the same/opposite for SHORT trades as well? Forgive me, the journey has been long on this one and I forget all the changes we made along the way. It's all starting to blur.
Attached Image (click to enlarge)
Click to Enlarge Name: 030409.JPG Size: 145 KB
- Bowen (a.k.a. Wolf)
  • #1,146
  • Mar 4, 2009 9:43am Mar 4, 2009 9:43am
Quoting damonl
You bring up some valid points. Is slippage the culprit? I think that this really could make a difference if the end result is a profit of 1-3 pips. It really could change the outcome of the whole thing. But we are talking the difference between night and day, however when you factor in 67 trades per day, that could add up significantly.

One other thing that Gary brought to my attention is demo accounts. Is this just becuase we are using a demo account and not a live account?

....
Damon
You will find that you should get less slippage on a dEmo account than on a live. You can't expect the same results from a brokers live server that you get on its demo.
So I see little point in trying to find the 'best demo broker' for the EA.
  • #1,147
  • Mar 4, 2009 9:51am Mar 4, 2009 9:51am
Quoting BlackWolf
Damon,

Look at the 10:18 trades in my screen shot. Tell me again how we get a $54 loss if our S/L is set to 45?

Referring to item 6. on the first post, you talk about moving the S/L to the low of the initial bar in a LONG trade but are we doing the same/opposite for SHORT trades as well? Forgive me, the journey has been long on this one and I forget all the changes we made along the way. It's all starting to blur.
Yes you will lose more than 45 pips on a trade if it gets to the next bar and the entry bar went farther out tha th initial SL. This is because the new SL is set regardless of whether it is greater or less than the initial SL.
This is why (way back), i suggested using the initial SL as a maximum SL on the trade - so not adhusting the SL if doing so would make it more than the inital SL.
But I think that damon didn't like that idea at the time.
  • #1,148
  • Mar 4, 2009 9:55am Mar 4, 2009 9:55am
Quoting ianf0ster
You will find that you should get less slippage on a dEmo account than on a live. You can't expect the same results from a brokers live server that you get on its demo.
So I see little point in trying to find the 'best demo broker' for the EA.
Not only that but... if you look at the web pages of many brokers (i.e., Alpari the other day), it clearly states that trades are executed immediately with demo accounts and there can be delays due to manual fills with live accounts. All you are doing with a demo account is simulating a best scenario. We all know that what happens in a demo account is often quite different than in a live one. Excellent point ianF0ster and I agree with you on both points.
- Bowen (a.k.a. Wolf)
  • #1,149
  • Mar 4, 2009 9:56am Mar 4, 2009 9:56am
Quoting BlackWolf
Damon,

I've been hesistant to post this next point until now. One of the things that has always bothered me about this trade methodology from the start is the ratio of Stop Loss to Profit. Take the GBPUSD for example. We are setting a 45 pip S/L yet we are getting out in profit at the first break even or in-profit on the next bar, correct? Well, unless the profit trades move in our favor consistently more than 45 pips, the odds are stacked against us by default. Take a look at my trades today thus far and the S/L's on the losing trades literally...
This system fundamentally has a larger SL than profit.
Either you accept that and look for ways to increase the % wins.
Or you modify the SL , or stay in longer, or trail .. etc and check that you are not ruining the % win such that it ends up losing (more).
  • #1,150
  • Mar 4, 2009 9:57am Mar 4, 2009 9:57am
Quoting ianf0ster
Yes you will lose more than 45 pips on a trade if it gets to the next bar and the entry bar went farther out tha th initial SL. This is because the new SL is set regardless of whether it is greater or less than the initial SL.
This is why (way back), i suggested using the initial SL as a maximum SL on the trade - so not adhusting the SL if doing so would make it more than the inital SL.
But I think that damon didn't like that idea at the time.
That's right, I remember now. Thanks.

I understand the need to allow the trade room to breath with the S/L but to me, if it needs to breath that much, then we were wrong on our timing or direction of the trade to begin with and the trade should have been put down earlier. Kind of like a diseased wolf - lol!
- Bowen (a.k.a. Wolf)
  • #1,151
  • Mar 4, 2009 10:07am Mar 4, 2009 10:07am
Sounds right to me - and sounds like it has been addressed before as well...

Quoting ianf0ster
You will find that you should get less slippage on a dEmo account than on a live. You can't expect the same results from a brokers live server that you get on its demo.
So I see little point in trying to find the 'best demo broker' for the EA.
  • #1,152
  • Edited 11:17am Mar 4, 2009 10:29am | Edited 11:17am
hi,

Demo and live accounts are different, that's for sure.
There are people who swear that demo is worse than live because the live is more controlled, you won't be able to trade on spikes etc.

And, there are people who swear demo is actually better because (1) brokers offer their "best" to make you open a live account after seeing how good they are (2) live accounts are manipulated.

***EDIT: I've just found this thread: now I'm confused. Even non dealing desk brokers can manipulate? haha...***

I think both arguments are valid, and am pretty damn sure both have happened to many people. That's why we have to go to Forex Peace Army (and Google), and read all possible reviews on a particular broker.

The other thing is the dealing desk / non dealing desk options.


I think the bottom line is:
We CAN'T eliminate broker problems (we would need an army of full time testers) and probably that's why it is unnecessary for all of us to use the same demo broker... unfortunately. We have to concentrate on consistency, and overall strategy with SL's and so on.

I'm not even sure if we open two of the same platforms and let the EA trade the results would be the same - actually I wanted to try that at some point.
  • #1,153
  • Mar 4, 2009 10:35am Mar 4, 2009 10:35am
Quoting hsa013
hi,


I'm not even sure if we open two of the same platforms and let the EA trade the results would be the same - actually I wanted to try that at some point.
If you recall a week or two ago, Gary and I are both on ForexMeta and mirrored each other's EA settings and we got totally different results. Probably due to seprate demo servers each of us were on but at the same broker.

EDIT: Oh, you mean on the same PC!
- Bowen (a.k.a. Wolf)
  • #1,154
  • Mar 4, 2009 10:39am Mar 4, 2009 10:39am
Quoting BlackWolf
If you recall a week or two ago, Gary and I are both on ForexMeta and mirrored each other's EA settings and we got totally different results. Probably due to seprate demo servers each of us were on but at the same broker.
yes, that's true.

Ah, Damon, answering your question:
You can change servers anytime. If you look up forums and reviews for FXDD's servers you'll find quite a few angry people and some pretty relaxed people advising changing servers if your trade doesn't go through due to MT4's known bug.
  • #1,155
  • Mar 4, 2009 12:05pm Mar 4, 2009 12:05pm
What is the MT4 bug - I am not familiar with that...?

Wow! Interesting! But would it not still be the case though in theory that the EA should be able to generally take all of this into consideration (including any slippage issues) and keep us out of trades until all setup conditions are precisely met? I agree with other input - we'll never solve the brokerage issues here. It would seem that a good EA would need to perform predictably well on any reputable brokerage platform, in spite of some of these handicaps (as is the case with other successful EAs). Are you saying that an MT4 bug is causing significant problems here that are preventing the EA from performing to the extent that we can go on to phase 2? I know it has been said here over and over that our immediate concern is that the EA is technically correct so that we can proceed to the next phase, so maybe we're still jumping ahead of things. I am very interested in Damon's take and Pavatar's take here...

Just tell us what to do, o great and wise leaders!!!

Quoting hsa013
yes, that's true.

Ah, Damon, answering your question:
You can change servers anytime. If you look up forums and reviews for FXDD's servers you'll find quite a few angry people and some pretty relaxed people advising changing servers if your trade doesn't go through due to MT4's known bug.
  • #1,156
  • Mar 4, 2009 12:47pm Mar 4, 2009 12:47pm
Quoting flapper
Are you saying that an MT4 bug is causing significant problems here that are preventing the EA from performing to the extent that we can go on to phase 2?
hi flapper
I've read it somewhere a couple of weeks ago that if you submit an order which doesn't go through first time but sort of hangs out, then you try to resubmit it once or twice it won't get through at all and you can end up losing a lot of money. It's kind of like a traffic jam because the server tries to process the first order and doesn't accept the next. So the solution was to simply switch servers (if possible, like on FXDD).

But I haven't seen this myself, so it is based on others' experience.
  • #1,157
  • Mar 4, 2009 2:12pm Mar 4, 2009 2:12pm
Ok, I'm done. Same settings as yesterday, default recommended, plus all single trade filter options set to true, 30M GBPUSD only. Nose dive, baby!!!
Attached File(s)
File Type: xls V3.3 GBPUSD 30M Only 03042009.xls   32 KB | 274 downloads
- Bowen (a.k.a. Wolf)
  • #1,158
  • Mar 4, 2009 2:50pm Mar 4, 2009 2:50pm
ok, i've read through a couple of things with regards to MT4, dealing desks, ECN brokers etc.

The conclusion:
we are all trading through dealing desk brokers (or shall I say dealers?) in one way or another, when we use MT4 - let them be humans or computers.

There are only a handful of true ECN brokers offering MT4 as their trading platform, and these use a different version of MT, call it "Pro" or similar.
The reason for this is that MT4 has not been designed for ECN connection (as far as I could find out) and they are still researching possibilities and sorting out problems.

The ECN brokers using MT4 I've found: MB Trading, Fastbrokers, ATC Brokers and HotspotFX.
If you look at the attached pdf you'll see differences in different MT4 platforms.

ECN brokers all charge small commissions in exchange of their real time data feed and instant execution, furthermore their spread is floating, not fixed.


***EDIT: please correct me if I'm wrong with ECN brokers - I'm very keen to learn about this***
...

My results for the EA were horrible today, Alpari US down by -$700, UK down by -$530.

I think having said all this we need to step back a little from different filters and examine the system at the basics.... sorry to say that because Gary and Damon have worked super hard and I really hope they can sort out these issues...
Attached File(s)
File Type: pdf MetavsMBTMeta.pdf   216 KB | 618 downloads
  • #1,159
  • Mar 4, 2009 2:53pm Mar 4, 2009 2:53pm
Hi All -

Technically the ea traded another perfect day for me. Yesterday I used the mmacd filter, today was the stoch filter. Everything else was the same.

Setup: GBPUSD, M30, stoch filter only, Alpari(US), defaults for everything else.

Today's chart and detailed trading report are attached.

I'm going to check out the slippage problem for 5 digit brokers and post a new version of the ea if necessary.

I'll use the same setup for tomorrow but change to the zzi filter.

Gary
Attached Image (click to enlarge)
Click to Enlarge Name: gu_03_04_09.gif Size: 21 KB
Attached File(s)
File Type: xls 03_04_09.xls   29 KB | 263 downloads
  • #1,160
  • Mar 4, 2009 3:05pm Mar 4, 2009 3:05pm
Hi hsa -

What you've been doing has really opened our eyes/mind to brokers and the differences between them. No one has an answer including me as to why? As far as technical issues with the ea, my approach of one filter on one day with default settings is working well for checking out whether the ea is working properly. With one filter there are just a few trades per day which are easy to check to see if the ea worked properly (Damon's rules). I would be particularly interested in you using this approach with the same setup for Alpari US and UK - i.e, one chart for US and one for UK but with identical setups and the same single filter. This should result in small dataset that would be quick and easy to compare. We would need a picture of each chart for the day and the normal detailed report on the trades like you have be doing. If you have the time, that would be a big help.

Thanks - Gary

Quoting hsa013
Yes, I'm aware of this, but hey, thanks for pointing it out!

As I'm working my *ss off these weeks/months I don't really have time to actually go through the details. I'm testing the EA "in general" or in terms of consistency and profitability, and provide feedback hoping that helps Gary.

But, to make better use of my "time" and platform I ask the following from Gary:
What would give the most help to you?
- any filter combinations?
- trade only specific currency pairs?
- trade only specific charts?
- give you screenshots of the day?
-...
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