THV MTF EA beta testing

The FF calendar is managed by the FF staffs, the indicator calls that file.

A contact person would be Twee

I was originally assigned EU H1 and H4 by Karun to test the EA. There has only been one trade taken two weeks ago by the EA for 6 pips. I followed Karun's instructions for setting the EA, but I believe the parameters are too restrictive. I think that the high TF's should start with simpler criteria for a trade, then become more restrictive as needed. Due to Karun's temporary absence I am curious as to other tester's thoughts here on that, and especially yours Cobra, unless that TF just plain scares you .

Haha, no it doesn't scare me but I'm not very family with it as many of you know.

But comes time, comes H1, lol.

I'm sure that someone can make a set for that TF, actually I'm very busy in some biz.

Well I will continue to work on it. I am just looking for ideas in addition to mine. I think I will try to keep it simple...just looking for the right combination. Thanks Cobra, for your response.

I collected some better working set files - you can find among them also long tern trading files - for instance Isweeney posted some of such files ans results.

Hi

Many thanks XUX99, I had this problem and with help you to solve.

I'm testing the following idea as we speak and will let you guys know how it works out... here is some research I did on the topic... Really good read for people like me who never worked with atr indicator...

The ATR Trailing Stop
By Jason Mitchell

What Is The ATR Trailing Stop ?

The ATR Trailing Stop is basically a line that follows price. This is why it has the word trailing in it's name. The line monitors an acceptable downward limit to price. Ideally this line never goes down and if price goes below it it would be taken as an exit signal. Hence the word stop in the name, as a cross below this line "stops" you out of a position. The line is calculated using the Average True Range Indicator (or ATR) and hence the use of the anogram in it's name.
As the name suggests, the Average True range is a measure of the average movement in price (or range in price) per day. I use a 21 period ATR Trailing Stop most of the time, so in my case this is the average range in price per day when the last 21 days are taken in to consideration. I use this longer time frame as I use the ATR stop with longer term trends and as such it makes sense to take in to consideration the average movement over a longer period than say 5 or 10 days. This is just a personal preference however.

http://www.startraderreport.com/Arti...opExample1.gif

The above chart shows a 3 X ATR Trailing stop (thick black line). You can see that when price comes down during the uptrend the ATR line is usually a good measure of it's limit. When price came under this line the price fell away rather quickly. The Count Back lines are shown as an alternative stop that was investigated when the position was opened. The count back on this stock had failed twice before, meaning it was not suited to this trend. The 3 x ATR however had defined the downward limit well and thus was the better choice as the stop in this case.

How Is the ATR Trailing StopCalculated ?

Basically the ATR trailing stop uses the Average True Range for it's calculation (see Average True Range for the description of it). Once this figure is calculated the figure is then multiplied by a factor (usually 2 0r 3) and then taken away from the close. The following is an example of how a 3 x ATR Trailing Stop may be calculated on any given day: ATR Figure = $0.08Last Close = $6.783 x ATR Stop = $6.78 - ($0.08 x 3) = $6.78 - $0.24 = $6.54 The trailing stop in this case would be set at $6.54
Because the trailing stop is designed to show an acceptable limit of downward price action, it would be silly if it moved up and down with the price. As we use it to protect profits, we only change the value of the stop if the value goes up. Using the above example where the trailing stop was calculated at $6.54, if we calculated the figure again tommorrow and it was less than $6.54 then it would not be used. We would keep the line at the higher figure of $6.54. If however tommorrow the price goes up and the calculation shows that the ATR Exit is at $6.60 today, then we would use the new line of $6.60.

What Does The ATR Trailing Stop Tell Us ?

The Average True Range is calculated using the average move the share makes each day. If the share were to continue to go up, we would expect that prices will go up somewhere around the average amount each day. Should the price come down we would also expect that price would move about this amount. If however the price moved down more than say two times the average expected downward move, this could be seen as a sign of weakness. If the share traded at a figure lower than 3 times the average expected range then we would definitely consider this as weakness. Because the ATR Stop does not move down the ATR stop tells us how far we could expect the price to fall before we would consider this out of the normal acceptable limits. IN easy terms it tells us what price we should be using to get out of a long position. A close below an ATR Exit is an exit signal.

What Are The Other Multiples of The ATR Stop ?

The ATR stop can be calculated based on any multiple of the Average true range from 1 (although this is too close in trending situations) to 4 or 5, although this is usually too far away. The most common figures are 2 and 3 times but I also use the 2.5 times a lot. Basically if I am enering an established trend, I look to see which exit is most compatible after a retracement or two and use that from there. If the two times exit has given no false signals and price has moved away from this level when it has come back then I would use the 2 x ATR Exit, if this had given a false exit I would look at the 2.5 times and 3 times to see how they performed, always using the smallest multiple as this picks up changes the quickest.

Different ATR Stops (2x ATR in Red, 3 x ATR in Black)

http://www.startraderreport.com/Arti...opExample2.gif

False Exits and Choosing a Stop
A quick look at the above chart shows that with this trend the 2 X ATR Exit is likely to give a false signal. This did happen again later in the trend. The 3 x ATR Exit on the other hand, had experienced a rebound off it at the same time and clearly showed itself to be the better choice for this trend. If there had been no false signal, it is possible that I would use the 2 x ATR exit signal as it is closer to price action and tells of possible changes more quickly. The downside of course is that this also means more false signals

Interpreting the ATR Trailing Stop

The use of the stop is dead easy once chosen. A close below the ATR Trailing stop is an exit signal. Take an exit either immediately the next day if the trade is in loss or if the trade is in profit you could wait a day or two to lock in the best profits - this should be left until you have the experience to judge this call. I almost always sell on the next day, and for the sake of the trades in this webdite, I will alwasy take the exit on the following morning. The hardest part of an ATR Stop is choosing the closest one that allows you the best position size while not being whipsawed in and out of trades.

What Question(s) Does the ATR Exit Answer

* How far down is the price likely to go during a trend ?* What price should I use as an initial stop to base my position size on.

The ATR for my mind is one of the most valuabel indicators around as it answers the above two questions, which for my mind are the basis of succesful trading. The trailing stop can be used to determine position size in to the entry of an established trend and it can then be used to monitor and protect profits as the price begins to rise. The best thing about the ATR Exit is that it is not subject to interpretation. A close below this line is a bearish signal and it is time to take profits or cut losees whichever is the case !

What Are The Well Published Signals

* Close below the ATR Exit

Close Below the ATR Exit

Because the ATR Trailing Stop has a single purpose there is really only one published signal and that is a close below this line. This means EXIT. Unles your plan says otherwise a close below this level means EXIT NOW - it is not usually a warning signal to be considered, it is a signal to act and act quickly. The reason I love this indicator, and all trialing stops is because it is decisive and leaves little room for interpretation

What Other Indicators Work Well With This

* All trend indicators* Line Studies (particularly trend lines)* Moving Averages* Volume Based indicators such as the OBV, Chaikins Money Flow or Volume itself.* Guppy Multiple Moving Averages* JICD (personal Indicator)

General Notes

For established trends the ATR Exit in my mind is invaluale. It can be set to suit the trend conditions and then left to it's own devices. The signal is decisive and leaves no room for interpretation in my opinion. The only time it could not be acted upon is if it was never the right stop to begin with.

This Article is written by Jason Mitchell
Copyright Jason Mitchell 2006

Wow, nice info, thanks CE

Will study later, now is time to get prepared to trade the London session

Folks,

My results for the past two weeks for the USDJPY pair on the 60M TF seem to be working not too shabby. I have attached the .set file (EA 0.6 version).
With the new settings there is definitely more room for longer trades and for more positive pips.

AZBOfin

Cyberevil

Great article - good job!

My stops are ATR based as well and this article explains it very well. I like the pictures!
I have found this indicator ATRStops_v1.1 here on FF to display the calculated stops on the chart. If somebody has the time and knowledge to adjust the code to display also TP and TL levels it could be a great tool to analyze exits.

AZBOfin

I agree. Most importantly you have to let the setup run for a while before making adjustments (at least a couple of weeks or even months). There always will be loosing trades and it doesn't make sense to change the setup every day just because of one trade gone sour.

Have a look at the settings I have just posted for the USDJPY 1H TF. Maybe you can use it.

AZBOfin

Hello everyone,

I like the ATR subject that has been mentioned in the last few posts. I would like to even take it further. This is one of my favorite exit strategies. I like it better than just ATR. http://www.forexpros.com/education/t...bjectives-2592

Having well-planned profit objectives is the best way to maximize closed-out profits. The tendency is to either take profits too soon or too late and most traders tend to err on the side of taking profits too soon. Taking a quick profit always feels good and helps to maintain our winning percentage because these "nailed-down" profits will never turn into losses. However, taking profits too soon can be one of the most costly of all possible mistakes.
It has been argued that profits in trading (especially in futures) are possible because the distribution of prices is not normal and is not a typical bell-shaped curve. The tail on the right hand side tends to be surprisingly thick indicating that unexpectedly large profits are possible. The opportunity for large profits comes our way more often than one might expect. However if we went for big profits on every trade we would also be making a big mistake. Major profit opportunities are the exception not the rule.
In very general terms there are two ways of having an advantage or "edge" in trading. One is to have gains much larger than losses and the other is to have more winners than losers. To succeed as traders we need to do our best to maximize both the percentage of winners and the size of the winners. These two worthy goals appear to be mutually exclusive. If we take the quick small profits we can have a good winning percentage but we eliminate any possibility of more substantial profits. However, if we fail to take some of the small profits they may well turn into losses.
Wouldn't it be ideal if we could know when it was best to take small profits and when it was best to hold patiently for big profits?
In previous Bulletins we have discussed the advantages of using profit objectives expressed in units of Average True Range. To quickly summarize that discussion, the ATR expands and contracts with the volatility of the market. In a quiet market a profit objective of 2 ATRs might bring us a profit of $600. In a very volatile market, two ATRs of profit might be $1400 or more. By expressing our profit goals in terms of ATRs instead of fixed dollar amounts we make them highly adaptive to what is going on in the market in terms of variations in volatility. However, what we will propose in this Bulletin goes a big step beyond that highly recommended procedure.
We have done a great deal of research using the Average Directional Index (ADX) that leads us to believe it is possible to vary our exit strategy to stay in tune with the trendiness of the market as well as the volatility. By having a doubly adaptive profit-taking strategy we can happily accept small profits when that is the best the market has to offer or we can change the strategy and hold out for unusually large profits when those opportunities are known to be present.
Volatility as measured by ATR is obviously important but daily volatility does not always relate to direction and trendiness. It is quite possible that we can have lots of big ranges in a market that is merely going sideways or we could have small ranges in a market that is highly directional. It is the correct combination of directional price movement and volatility that will allow us to maximize our profits in relation to what is happening in the market at any given time. For the best possible results we want to combine our knowledge of ATR and ADX.
As we have described in previous Bulletins, ADX tells us the underlying strength of any trend. When the trend is strong the ADX will rise. When the trend is weak the ADX will decline. This is true in stocks as well as in futures. It also applies in downtrends as well as in uptrends. A rising ADX means a strengthening trend and a declining ADX means a weakening trend.
Let's go back to our earlier example where our plan was to take our profits at the 2ATR level. With this adaptation to volatility we are counting on the changes in volatility to produce large profits and small profits based on a constant target of two ATRs of profit. However we can go a step further and get even better results. Under our new plan, when the ADX is declining we will reduce our expectations and accept profits of only 1.5 ATRs instead of two. And when the ADX is rising we will double our expectations and wait for profits of 4 ATRs instead of 2. Now we are adapting our exit strategy to both the current volatility and to the amount of trendiness in the market we are trading. As you might expect the difference in results is dramatic because our profit-taking strategy is doubly adaptive.
The logic of this strategy should be obvious. When the market is not trending strongly we improve our results by reducing our profit expectations and maintaining our winning percentage. When the market is trending strongly we know it is time to abandon our small profit targets and time to take advantage of some unusually large profit opportunities.
The examples of 1.5 ATRs as a profit target in a non-rending market and 4 ATRs as a profit target in a strong trending market are just broad guidelines and we need to vary these parameters depending on the particular market and type of system we are operating. Short-term systems may require smaller objectives and long-term systems may require much larger objectives.
We suggest you start with a 20 day ATR and a 14 to 18 day ADX. Play around with the units of profit and see what a dramatic improvement you can make in your trading results by combining ADX and ATR

Regards,
Jeff

Thanks to cyberevil (and azjeff) for explanations of ATR based trailing S/L - but how we have to use all the parameters around trailing S/L in the THV EA 0.7 ?

Thanks for your comments and the set file. I will look at it and decide what I will do. I agree with taking the process slowly, but it has been one month and between the H1 and H4 one trade in one month is too few.

Hello Mandi,

My post was more about tp than sl as far as combining atr and adx. Steve Hopwood coded this strategy in one of his ea's and below is the code that he used for it. If Cobra, Karun and XUX would consider implementing this in a future version I think it would be a wonderful addition.

void CalculateTakeProfit(string TradeDirection, double HighEMA, double LowEMA)
{

// Calculate tp by getting ATR and using ADX to set the multiplier
double AtrValue=iATR(NULL,0,AtrPeriod,0);
if (iADX(NULL,0,AdxPeriod,PRICE_CLOSE,MODE_MAIN,0) >20) AtrValue=AtrValue*4;
if (iADX(NULL,0,AdxPeriod,PRICE_CLOSE,MODE_MAIN,0) <=20) AtrValue=AtrValue*2;

//Long trade
if (TradeDirection=="Long")
{
takeprofit=MarketInfo(Symbol(),MODE_BID)+AtrValue;
}

// Short
if (TradeDirection=="Short")
{
takeprofit=MarketInfo(Symbol(),MODE_ASK)-AtrValue;
}


} // End of CalculateTakeProfit

Regards,
Jeff

Since the first basic rule of checking an EAs performance is a backtest, what I have done is a backtest for the 2009 year to date. I have used Adrazz's .set which stays out of Asia session. News have been disabled of course. Credit to stormin_norm for running the backtest. He had difficulty posting it.

I hope you can take something from the backtest. I realize a lot of you are going to object to this backtest because you are already "in love" with the EA but such is life. Please let me know if you have a .set file and pair+timeframe you'd like me the test. I can dedicate a machine to it - although the test takes 3-4 days to complete due to its complexity.
One last comment. The last 23 trades that I took in demo match 100% with the backtest.

equity graph -- eurusd 5m : 2009 year to date:
http://stashbox.org/556548/thv%20ytd%202009.gif

full backtest report (observe the settings here):
http://stashbox.org/556550/thv%20ytd%202009.zip

results based on opening times:
http://stashbox.org/556559/open_times.jpg

results based on closing times:
http://stashbox.org/556560/close_times.jpg[/quote]

Hello fxspeedster,

Can you start with the attached set files from azbofin and flyingnutjob?
Those set files are the ones that have the best results so far. It would be greatly appreciated.

Regards,
Jeff




[/quote]

Tradewell, I posted my EU set files for last week, they seem to be trading H1 & H4 on the V06 well. Not as often as the shorter TFs, but trading.

Of course, now that V07 is out, we start all over :-)

I did not check yours, but I was using Karun's requested settings. Perhaps you have formulated your own. I am sure there are better settings than what I was using, but I was apprehensive to change without giving them a patient chance.

Anyone getting anything decent to trade with the new V07? Would love to have a set of *.SET files to start with. Mine are doing almost nothing, and what little they are doing is not good. Anything will do, but I'm using EUR/USD M5, M15, M30, H1 & H4

Thanks