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scooby-doo BOJ JPY pairs trading robot

  • #3,301
  • Nov 25, 2009 3:18am Nov 25, 2009 3:18am
Quoting Joel
Just wanted to say thanks to Scoob, Steve, and all the other sharp guys who make this a very informative, profitable, and entertaining thread. Love that BOJ....I look forward to 10:30 PM GMT to start looking for pips............. or is it 10:30 GMT on a Sunday, only when the moon is full, and Sarah Palin has just done another book signing................. I don't know........... sometimes I get confused. Steve could you add that variable to the code?
Look out for the next version and the SarahPalinIsBookSigning input.
  • #3,302
  • Edited 4:05am Nov 25, 2009 3:19am | Edited 4:05am
Quoting tazmaan
Thanks Mac, when I got around to updating, 2.1 was the latest available. I see 2.3 is there now, so I'll give that a shot (assuming you meant 2.3 not 2.4)
Maybe this will allow it to open long baskets, although only having shorts for like 36 hrs sure was working out
AFAIK 2.3 is the latest - see post #1 for details.

BTW I always update as soon as a new version is released as there can be quite major changes between versions. If you have trades open you can still update to a newer version so long as you keep the magic numbers the same. The later version will simply 'take over' the trades opened by the earlier version.

Cheers
  • #3,303
  • Nov 25, 2009 3:32am Nov 25, 2009 3:32am
Yep, thx again, sorry I am apparently very tired, coulda sworn u said v2.4 in your post
Anyhow, no errors, so i'll see what it did in the mornin, gnite
  • #3,304
  • Nov 25, 2009 3:38am Nov 25, 2009 3:38am
Got the sell basket this morning at 23:50 GMT, before Japan market open. Through heavy dd but not to 10% SL. Hit basket TP at 00:47. Only 57 minutes, but seemed longer due to being in dd for so long. Pity TP isnt a basket trailing SL. Pairs went for very big drops eg
GBPJPY 43 pips instead of the 2 at basket TP
USDJPY 41 pips instead of the 10 at basket TP
AUDJPY 11 pips instead of the -15 at basket TP
not all achievable through a Trailing stop of course.

Had tried adding another v3.1 copy with different magic number. But it picked up on the news & suspended. 1st ea took the sell. Noticed later that it had displayed a news vline, but dont know if before or (probably) after the trade.

No trade triggered during the buy monitoring period this afternoon.
Looking at the chart it probably should have been but very close to shutoff time & again a news vline has appeared (as it should).

Will look at some forced trades to test out the 3 buttons.

cheers scalpz
Target 2 : Stoploss in the green
  • #3,305
  • Nov 25, 2009 4:47am Nov 25, 2009 4:47am
Steve,

In my opinion the only additional filter you now need is a correlation check before sending the trades. I have been watching this for a number of days and it can be the difference between hedging kicking in or not.

An example was round 4.00pm GMT this morning when the GBPJPY was considerably out of sync with the remaining pairs and went negative on its own. This is a big no no as this pair is our base for allot of decisions etc, if it goes negative then there should be no trades sent.

I am going to build this last filter into my EA and test it for awhile.

Cheers

Scoobs

PS. The check needs to make sure we have positive correlation across all pairs before sending.
  • #3,306
  • Nov 25, 2009 6:52am Nov 25, 2009 6:52am
Quoting scooby-doo
Steve,

In my opinion the only additional filter you now need is a correlation check before sending the trades. I have been watching this for a number of days and it can be the difference between hedging kicking in or not.

An example was round 4.00pm GMT this morning when the GBPJPY was considerably out of sync with the remaining pairs and went negative on its own. This is a big no no as this pair is our base for allot of decisions etc, if it goes negative then there should be no trades sent.

I am going to build this last filter into my EA...
Scoobs, I have a fuzzy brain today; late nights are starting to catch up with me. How do I ascertain this correlation?

V2.4 is in post 1. This has a volume filter and will cancel the impending basket if the total volume across all 5 pairs < 500. You might want to wait until scoobs answers my last question before downloading it - 2.5 can't be far away.

  • #3,307
  • Nov 25, 2009 6:57am Nov 25, 2009 6:57am
Information

Nothing to-do with this thread but could be important for anyone living and working in the UK.

I have just been given a document put together by some economists from the bank where I work.

Their predict that direct and indirect tax increases will be around 5p - 7p in the £ whoever wins the next general election and unemployment will rise to 3.5 million. UK Plc is basically bankrupt.

Its not going to be a happy place.
  • #3,308
  • Nov 25, 2009 6:58am Nov 25, 2009 6:58am
Quoting SteveHopwood
Scoobs, I have a fuzzy brain today; late nights are starting to catch up with me. How do I ascertain this correlation?

V2.4 is in post 1. This has a volume filter and will cancel the impending basket if the total volume across all 5 pairs < 500. You might want to wait until scoobs answers my last question before downloading it - 2.5 can't be far away.

Group.Correlation = 0;
for(int i = 0; i < ArraySize(Pairs); i++)
{
if(Pairs[i] != Symbol())
{
Group.Correlation += Cor(Symbol(),Pairs[i],1440);
}
}
Group.Correlation = Group.Correlation / ArraySize(Pairs);


//+------------------------------------------------------------------+
//| expert Correlation function |
//+------------------------------------------------------------------+
double Cor(string base, string hedge, int corperiod)
{
double u1=0,l1=0,s1=0;
for(int i = corperiod - 1; i >= 0; i--)
{
u1 += u(symboldif(base, i, corperiod), symboldif(hedge, i, corperiod));
l1 += powdif(symboldif(base, i, corperiod));
s1 += powdif(symboldif(hedge, i, corperiod));
}
if(l1*s1 > 0)
return(u1 / MathSqrt(l1*s1));
}

//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double symboldif(string symbol, int shift, int corperiod)
{
return(iClose(symbol, 1440, shift) -
iMA(symbol, 1440, corperiod, 0, MODE_SMA,
PRICE_CLOSE, shift));
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double powdif(double val)
{
return(MathPow(val, 2));
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double u(double val1,double val2)
{
return((val1*val2));
}
  • #3,309
  • Nov 25, 2009 7:10am Nov 25, 2009 7:10am
Quoting SteveHopwood
Scoobs, I have a fuzzy brain today; late nights are starting to catch up with me. How do I ascertain this correlation?

V2.4 is in post 1. This has a volume filter and will cancel the impending basket if the total volume across all 5 pairs < 500. You might want to wait until scoobs answers my last question before downloading it - 2.5 can't be far away.

The sudden dropping in GU and UY caused the massive drop in GY -- EU and AU were not dropped nearly as much (shakeouts)- holding up EY and AY (GU news revised-)

Maybe just adding GBP/EUR red (according to FF) news to the filter would be enough?
  • #3,310
  • Edited 7:24am Nov 25, 2009 7:18am | Edited 7:24am
Quoting scooby-doo
Information

Nothing to-do with this thread but could be important for anyone living and working in the UK.

I have just been given a document put together by some economists from the bank where I work.

Their predict that direct and indirect tax increases will be around 5p - 7p in the £ whoever wins the next general election and unemployment will rise to 3.5 million. UK Plc is basically bankrupt.

Its not going to be a happy place.
Tough times ahead indeed

If UK has a labour force of 31.23 million (2008 est.), that will be more than 10% unemployment!!
  • #3,311
  • Nov 25, 2009 7:22am Nov 25, 2009 7:22am
Quoting hohgch
Tough times ahead indeed
Think I am going to ask for a transfer overseas.
  • #3,312
  • Nov 25, 2009 7:24am Nov 25, 2009 7:24am
Quoting scooby-doo
Group.Correlation = 0;...
Cheers Scoobs, you are a star. Ok, I have the code in place and the Group.Correlation value displayed on the chart. Don't understand it; that can come later.

What Group.Correlation value do I use to allow the basket to go ahead?

  • #3,313
  • Nov 25, 2009 7:26am Nov 25, 2009 7:26am
Quoting SteveHopwood
Cheers Scoobs, you are a star. Ok, I have the code in place and the Group.Correlation value displayed on the chart. Don't understand it; that can come later.

What Group.Correlation value do I use to allow the basket to go ahead?

if it's < 0.7 = NO trade
  • #3,314
  • Nov 25, 2009 8:01am Nov 25, 2009 8:01am
3 consecutive winning trades, last 2 with V2.3. IBfx...settings on request. A trade now active, Buy at 13:30 GMT, had a requote with G/J, but was filled in very short order. This trade is currently negative.
Vincit qui se vincit.
  • #3,315
  • Nov 25, 2009 8:08am Nov 25, 2009 8:08am
Hi Scoobs, Steve
Just forced a manual sell basket and encountered an error for Off Quotes for U/J, rest of the pairs in basket still triggered and TP reached. Do we need some sort of refresh to try again since the broker didn't suppy us with the price for the pair when we wanted? Never experienced this before..been testing for past two weeks.
Cheers
Kaz
Attached Image
  • #3,316
  • Nov 25, 2009 8:14am Nov 25, 2009 8:14am
Quoting DXTrade
Well... whatever...

I updated the dashboard with the following changes:

-removed the candle time as it is eating resources like crazy
-added visual alert if a buy/sell opportunity arises
-added the corresponding arrows on the chart... gives a kind of backtesting capacity

Take care guys...

Uli
Hm, why does i get a php file from the above download?
The other versions was ok...
Tx for the indi anyway Uli.
  • #3,317
  • Nov 25, 2009 8:16am Nov 25, 2009 8:16am
top right corner of page will lead to attachments. Try downloading from there.
Vincit qui se vincit.
  • #3,318
  • Nov 25, 2009 8:17am Nov 25, 2009 8:17am
Quoting scottik187
Jezza - my 24hr V2.3 hasn't taken any trades this week...I have the feeling that something may be wrong...

Next time the EA triggers a sell/buy basket can you post? I'd like to see what happening...
No worries Scottik. Have you got the latest RS Group indicator installed from 22/11/09 ?
Had another basket this morining 6.44am (GMT) Hedge had to kick in and basket closed out 9.02am for break even. V2.3 All default and News Filter = 3 (Still testing 24hr V1.9 alongside out of interest, and no difference between the 2 so far.)
  • #3,319
  • Nov 25, 2009 8:29am Nov 25, 2009 8:29am
Hello and just wondering what to do in a basket such as this? I still have trades from two days ago open? Do you just let the basket run or close it for a loss?

Attached Image (click to enlarge)
Click to Enlarge Name: close.gif Size: 46 KB
  • #3,320
  • Nov 25, 2009 8:55am Nov 25, 2009 8:55am
Quoting letizia
Hello and just wondering what to do in a basket such as this? I still have trades from two days ago open? Do you just let the basket run or close it for a loss?

Attachment
If on demo, that is one to close and start again. 4/5 trades are hedged, so the basket is never coming back.

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