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4H Box Breakout

  • #2,201
  • Aug 21, 2009 1:46pm Aug 21, 2009 1:46pm
Hi RR.

OK I found the coding. In this case, they created a separate function called OpenBuy() and OpenSell() but you get the picture. MaxLoop was previously defined at 25.

//ENTRY LONG (buy, Ask)
void OpenBuy()
{
int gle=0; //Get Last Error
int ticket=0;

double SL=0;
double TP=0;
int loopcount;

// PLACE order is independent of MODIFY order.
// This is mandatory for ECNs and acceptable for retail brokers

loopcount=0;
while(true)
{
// place order - NO TP OR SL
ticket=OrderSend(Symbol(),OP_BUY,lotsi,Ask,Slippage,0,0,TradeComment,MagicNumber,White);
gle=GetLastError();
if(gle==0)
{
logwrite(TradeComment,"BUY PLACED Ticket="+ticket+" Ask="+Ask+" Lots="+lotsi);
break;
}
else
{
logwrite(TradeComment,"-----ERROR----- Placing BUY order: Lots="+lotsi+" Bid="+Bid+" Ask="+Ask+" ticket="+ticket+" Err="+gle+" "+ErrorDescription(gle));

RefreshRates();
Sleep(500);

// give up after loopcount tries
loopcount++;
if(loopcount>maxloop)
{
logwrite(TradeComment,"-----ERROR----- Giving up on placing BUY order");
return(gle);
}
}
}//while - place order


// modify the order for users TP & SL
loopcount=0;
while(true)
{
// don't set TP and SL both to zero, they're already there
if(LossLimit==0 && ProfitMade==0) break;

if(LossLimit ==0) SL=0;
if(ProfitMade ==0) TP=0;
if(LossLimit >0) SL=Ask-((LossLimit)*myPoint );
if(ProfitMade >0) TP=Ask+((ProfitMade)*myPoint );
OrderModify(ticket,OrderOpenPrice(),SL,TP,0,White);
gle=GetLastError();
if(gle==0)
{
logwrite(TradeComment,"BUY MODIFIED Ticket="+ticket+" Ask="+Ask+" Lots="+lotsi+" SL="+SL+" TP="+TP);
break;
}
else
{
logwrite(TradeComment,"-----ERROR----- Modifying BUY order: Lots="+lotsi+" SL="+SL+" TP="+TP+" Bid="+Bid+" Ask="+Ask+" ticket="+ticket+" Err="+gle+" "+ErrorDescription(gle));

RefreshRates();
Sleep(500);

loopcount++;
if(loopcount>maxloop)
{
logwrite(TradeComment,"-----ERROR----- Giving up on modifying BUY order");
return(gle);
}
}
}//while - modify order


}//BUYme

Dave R.
  • #2,202
  • Aug 21, 2009 1:51pm Aug 21, 2009 1:51pm
Quoting droland
HI Ron.

Your concept of nesting the OrderSend in an OrderModify function I had never seen before....

Nice research there Dave.

I agree that my snippet of code isn't good programming practice, but I figured it makes a cheap and fast fix. I'm waiting for MQL5 to be released because I'm not really that willing to overhaul the MT4 template I use.

And for the record, I have no formal training in programming. What I know now is largely trial and error.
  • #2,203
  • Aug 21, 2009 2:36pm Aug 21, 2009 2:36pm
Quoting Ronald Raygun
Nice research there Dave.

I agree that my snippet of code isn't good programming practice, but I figured it makes a cheap and fast fix. I'm waiting for MQL5 to be released because I'm not really that willing to overhaul the MT4 template I use.

And for the record, I have no formal training in programming. What I know now is largely trial and error.
You do pretty damn well in my opinion. I am trying to learn but haven't really got it yet.

Dave R.
  • #2,204
  • Aug 21, 2009 6:25pm Aug 21, 2009 6:25pm
Strategy as posted in Post# 1607

GBPJPY: 2 trades

SHORT
1st lot: +140 pips
2nd lot: 0 pips

LONG
1st lot: -140 pips
2nd lot: -140 pips


EURJPY: 2 trades

SHORT
1st lot: +104 pips
2nd lot: 0 pips

LONG
1st lot: -104 pips
2nd lot: -104 pips


AUDJPY: 1 trade

SHORT
1st lot: +115 pips
2nd lot: 0 pips


CHFJPY: 2 trades

SHORT
1st lot: -82 pips
2nd lot: -82 pips

LONG
1st lot: -82 pips
2nd lot: -82 pips
  • #2,205
  • Aug 21, 2009 6:42pm Aug 21, 2009 6:42pm
Thanks for posting, FXLab. At times, only the good weeks get reported, so it's refreshing to see a trader post results good or bad. That's how we all learn whether our system variations are working or not.

Good luck next week.
Greetings from Guanajuato, Mexico
  • #2,206
  • Edited Aug 22, 2009 3:55am Aug 21, 2009 7:37pm | Edited Aug 22, 2009 3:55am
Quoting Ronald Raygun
Your solution says the EA will enter the trade if the bar opens outside the box.

My solution says the EA will enter the trade if the price moves outside the box. If you set EachTickMode to false, my solution says the EA will enter the trade if the price closes outside the box. (I think this is exactly what you're trying to do in your code)

Your code isn't wrong, it just uses a different order entry philosophy.

Maybe my example was not clear, i meant that the 2 logic condition would be used together, in this way:

......&& ((Open[Current + 0] < LongEntry && Close[Current + 0] >= LongEntry) || (Close[Current + 1] < LongEntry && Open[Current + 0] >= LongEntry))
......&& ((Open[Current + 0] > ShortEntry && Close[Current + 0] <= ShortEntry) || (Close[Current + 1] > ShortEntry && Close[Current + 0] <= ShortEntry))

cause if u use only one you miss the other possibility that are for long entry the bar could open below and close above the LongEntry price, or the bar can close below the next(current) open above, the same, in reversed way, for the short position.

Lubo.

Edit: maybe is better to set BUYSTOP or SELLSTOP at LongEntry and ShortEntry price. what is your though?
If I know how, I tell You!! Few but Good!!
  • #2,207
  • Aug 21, 2009 8:49pm Aug 21, 2009 8:49pm
great thread... the back testing spreadsheets are great.!
still, you take some beatings but it comes out on top. Not too many systems do that.
As long as we stay away from the indicator insanity ; than things should go well!.
  • #2,208
  • Aug 22, 2009 1:29am Aug 22, 2009 1:29am
Quoting yen44x
The week of June 8 is another example with GBP/JPY. The first trade went Short and hit only TP1 (a losing trade at the time) and then the second trade (Long) went all the way to TP4.

Again, maybe I don't understand the point of your backtesting, but in just a quick look back a couple of months, there was plenty of profits to be found in a second trade.
From my figures the second trade was a losing trade as well.
On my chart the high was 157.77/low 157.07.
Adding the buffer of 20 pips + spread makes the box 158.05 and 156.87.
The short was a loss and the long went up to 158.52 before going down to 156.60 for a second stop loss.

Are your figures different?

You are correct about the other dates: the second trade in the weeks 13 July and 27 April on GBP/JPY would be winners.

I`m glad there are some people on here that put the work in.

It is still a good idea to look if taking a second trade is worthwhile
  • #2,209
  • Aug 22, 2009 1:42am Aug 22, 2009 1:42am
Quoting yonnie
From my figures the second trade was a losing trade as well.
On my chart the high was 157.77/low 157.07.
Adding the buffer of 20 pips + spread makes the box 158.05 and 156.87.
The short was a loss and the long went up to 158.52 before going down to 156.60 for a second stop loss.

Are your figures different?

You are correct about the other dates: the second trade in the weeks 13 July and 27 April on GBP/JPY would be winners.

I`m glad there are some people on here that put the work in.

It is still a good idea to look if taking a second trade...
No, you're absolutely right. I looked at where GBP/JPY ended for the week but failed to note it was stopped out prior to the big rally. I apologize for the error.
Greetings from Guanajuato, Mexico
  • #2,210
  • Aug 22, 2009 2:18am Aug 22, 2009 2:18am
Quoting yen44x
No, you're absolutely right. I looked at where GBP/JPY ended for the week but failed to note it was stopped out prior to the big rally. I apologize for the error.
I'm not convinced that August is the best time for serious testing. Historical, this is not an active month. We had NFP which caused some movement but otehr than that, any profits are pretty weak and only if you intervene.

Hopefully Sept we be more interesting.

dr
  • #2,211
  • Aug 22, 2009 7:13am Aug 22, 2009 7:13am
Quoting yonnie
From my figures the second trade was a losing trade as well.
On my chart the high was 157.77/low 157.07.
Adding the buffer of 20 pips + spread makes the box 158.05 and 156.87.
The short was a loss and the long went up to 158.52 before going down to 156.60 for a second stop loss.

Are your figures different?

You are correct about the other dates: the second trade in the weeks 13 July and 27 April on GBP/JPY would be winners.

I`m glad there are some people on here that put the work in.

It is still a good idea to look if taking a second trade...

June week both trades were losses and it doe snot matter where the market went afterward. According to original and even slightly modified by Danno96 rules both trades were losers. There is no reentry rule in this system.
With my minor change this was $0 week. No losses. actually. I have tested all weeks since January according to original rules and my rule of 50 pips in black, move to stop loss to B/E. Overall return of original strategy was 4-5% higher. Not big deal. But my version had a much lower % of losing weeks.
Only 4. 11 were B/E weeks and 17-18 were winning weeks. Keeping in mind that market can change anytime and it doe sit often, preserving capital is more important than making returns.
Anyway, I am starting trading 4 accounts since tomorrow. Danno96 rules, same rules with 1 minor modification of 50 pips and 2 more accounts I am currently thinking of variations.
1 should be more aggressive with 2% risk and only G/J pair to trade. but probably no trade after 1 losing trade rule and another I have no idea yet.
  • #2,212
  • Aug 22, 2009 7:54am Aug 22, 2009 7:54am
Quoting LuboLabo
Maybe my example was not clear, i meant that the 2 logic condition would be used together, in this way:

......&& ((Open[Current + 0] < LongEntry && Close[Current + 0] >= LongEntry) || (Close[Current + 1] < LongEntry && Open[Current + 0] >= LongEntry))
......&& ((Open[Current + 0] > ShortEntry && Close[Current + 0] <= ShortEntry) || (Close[Current + 1] > ShortEntry && Close[Current + 0] <= ShortEntry))

cause if u use only one you miss the other possibility that are for long entry the bar could open below and close above the LongEntry price, or...
Simultaneous buy/sell orders are being removed by the NFA, I prefer to keep the pending orders internal to the EA, so the broker cannot see that I have two orders open in opposite directions (implying a straddle).

As for your code, are you saying there is the possibility where the bar will close inside the box, then the next bar gaps outside the box?

If that's the case, it probably wouldn't be a good idea, and here's why I think why. Had you put in a plain pending order there, and the price gaps across a bar, the pending order will still get filled, but at the higher price. I cannot predict the size of a gap, it could be 1 pip, it could be 100 pips. Gaps also have another distinct property: the price tends to retrace back across the gap, so as I see it, you have two things going against you:

 

  1. Slippage
  2. The usual retracement that follows a gap.

  • #2,213
  • Aug 22, 2009 8:09am Aug 22, 2009 8:09am
Quoting shiko
I have tested all weeks since January according to original rules and my rule of 50 pips in black, move to stop loss to B/E. Overall return of original strategy was 4-5% higher. Not big deal. But my version had a much lower % of losing weeks.
Are you planning to post your results?
Greetings from Guanajuato, Mexico
  • #2,214
  • Aug 22, 2009 8:22am Aug 22, 2009 8:22am
Quoting droland
I'm not convinced that August is the best time for serious testing. Historical, this is not an active month. We had NFP which caused some movement but otehr than that, any profits are pretty weak and only if you intervene.

Hopefully Sept we be more interesting.

dr
In my case, August has been much better than July in terms of profit on this system. However, that's just this year. Otherwise, I agree with you that historically August generally makes for some really flat trading.
Greetings from Guanajuato, Mexico
  • #2,215
  • Aug 22, 2009 9:16am Aug 22, 2009 9:16am
Quoting yen44x
Are you planning to post your results?
Obviously YES!
  • #2,216
  • Aug 22, 2009 9:19am Aug 22, 2009 9:19am
Quoting yen44x
In my case, August has been much better than July in terms of profit on this system. However, that's just this year. Otherwise, I agree with you that historically August generally makes for some really flat trading.
Just check August 2008. this system would made a murderous killing.
I have not checked but I am quite sure R:R would be 5:1.
I traded E/J exclusively then one sided volatility was huge. Market was in free fall. It started 1 day, and I was watching it just after taking profit from the E/J long trade at the very top. Soon, it dropped like a hammer.
  • #2,217
  • Aug 22, 2009 9:20am Aug 22, 2009 9:20am
Quoting shiko
Obviously YES!
I'm speaking of your backtest results from January to August . . . is that what you're referring to?
Greetings from Guanajuato, Mexico
  • #2,218
  • Aug 22, 2009 9:21am Aug 22, 2009 9:21am
Quoting shiko
Obviously YES!
shiko,

Thanks for your contribution to this thread.

With your +50 pip rule, have you altered the original SL placement (opposite side of the "box")? Unless I am mistaken, last week's SL was 159 pips (FXDD).
  • #2,219
  • Aug 22, 2009 9:59am Aug 22, 2009 9:59am
Quoting yen44x
I'm speaking of your backtest results from January to August . . . is that what you're referring to?
with 50 pips in profit and move stop to B/E then follow Danno96 rules.
11 weeks B/E no money. 4 weeks losses. 17-18 weeks wins. I need to check my list how much losses and wins but netreturn with 1% risk per trade is 29%. with original rules return is 34% but way more losing weeks.


I am going to post my live results from live accounts. I am starting trading tomorrow.
  • #2,220
  • Aug 22, 2009 10:04am Aug 22, 2009 10:04am
Quoting Bobcat2
shiko,

Thanks for your contribution to this thread.

With your +50 pip rule, have you altered the original SL placement (opposite side of the "box")? Unless I am mistaken, last week's SL was 159 pips (FXDD).


No, just 50 pips and move stop loss to B/E. the rest is same.
I think the fourth account rules are following.
Everything same as Danno96, with 2 exceptions: Open 2 positions: 1 for TP3, 1 TP1. 2. 50 pips in profit move stop loss to B/E.
3. I will think of second trade if one lost.
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