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magic shift

  • #61
  • Nov 27, 2009 4:41am Nov 27, 2009 4:41am
Quoting serpo
I'll attach the results later since the optimizing took about 40mins and I screwed up the saving part.
You can safely optimize with "Open price only", your EA should only trade on the first tick of a new candle. Any other ticks should be ignored anyways.

Did you already try my reference EA from Post#1? It can be optimized from minus a few hundred to plus a few hundred, negative numbers meaning trade in opposite direction. The reason why it is so big is because it already contains most of the things you will need anyways when running an EA live: it checks for it's magic number, so it doesn't interfere with your other trading on the same account and it will create and update an offline chart containing the resulting equity curve (of only this EA without any other trading on the same account).
  • #62
  • Nov 27, 2009 6:05am Nov 27, 2009 6:05am
If you haven't already done so, take a look here: http://www.forexfactory.com/showthread.php?t=167720

I mentioned before that his genetic algorithm automatically chooses the best strategies to use based on market conditions through constant testing although I am unclear as to whether he does this on a daily, weekly or other basis. I think he built his own testing framework in order to do this quickly and automatically, though.You could ask him to provide some assistance in writing an automatic optimisation process if you do not already have this covered.

I agree with yours and Capitalist88's idea of only testing from the time that the 'champion' shift took over from the last one, as my understanding is that as general consensus is that humans rather than machines are still the main players in forex trading decisions and as such will be slower to change. This in turn means that you could be looking at lengthy periods of time that your current magic shift 'champion' could still be in use.
  • #63
  • Nov 27, 2009 8:35am Nov 27, 2009 8:35am
Quoting 7bit
You can safely optimize with "Open price only", your EA should only trade on the first tick of a new candle.
I don't know if it's just me or then the MT4 optimizer is full of bugs, since I have noticed that it doesn't create reliable results. (for instance, it tested that only 61 around 55-65 was the only profitable outcome for this program, which ain't true.) But never mind about that.

I optimized the algorithm by hand using control points and tested every single shift value ranging from 51-100 and the results are here. Quite interesting though.

From the picture we can really see that there really is a continuum between adjacent parameter values. For instance changing the shift-parameter value by 1 doesn't drastically change the results.
Attached Image
  • #64
  • Nov 27, 2009 8:43am Nov 27, 2009 8:43am
Quoting Inbox
I dont know why serpo, but i have tested your expert (with 61 and 62 shift), and it gives me the best results. Is there is any way to disable mm on expert?
Sorry, I didn't quite understand your message. So if 61 and 62 gives you the best results why do you want to disable the MM-part? To see how it performs without it?

P.S. In order the EA to start working properly you need to manually insert the beginning Balance in Expert Properties->Inputs->BegingBal.
  • #65
  • Nov 27, 2009 9:11am Nov 27, 2009 9:11am
Quoting serpo
I don't know if it's just me or then the MT4 optimizer is full of bugs, since I have noticed that it doesn't create reliable results.
This is strange. I have never seen such a strange behavior in the tester. could you please post the optimization plot of the same optimization from the optimizer for comparison?

Maybe you accidentally clicked "genetic algorithm"? In this case it would search the parameter space in a random fashion.
  • #66
  • Nov 27, 2009 9:29am Nov 27, 2009 9:29am
Bookmarked
  • #67
  • Nov 27, 2009 11:24am Nov 27, 2009 11:24am
found something interesting: http://iticsoftware.com/articles/dig...lm-ftlm-2.html


From the above link:

Attached Image (click to enlarge)
Click to Enlarge Name: spectral_density.gif Size: 51 KB

Spectral density of the power of EUR/USD currency rate
calculated with method of maximum entropy.
SDP pattern used in calculation is equivalent
to autoregressive pattern of 150 order


A period of 10.55 trading days would equal 63.3 H4 bars. Our lag of 61 plus some bars lag of the AO indicator itself comes pretty close. This publication is from 2001, maybe these periods have some fundamental reason!
  • #68
  • Nov 27, 2009 12:00pm Nov 27, 2009 12:00pm
Yeah, interesting I must say! lol
When I was testing by hand different magic_shift values I noticed that positive outcome peaks were located around 20, 40, 60 and 95 (just like in your graphs). And one other thing I noticed too that the smaller the shift parameter value was the more volatile the outcome were (the more the outcome varied between adjacent parameter values) and when the parameter value got bigger the results between adjacent parameter changes became less volatile...

I really have to dive my nose deeper into that article. Great found!
  • #69
  • Edited 2:21pm Nov 27, 2009 1:22pm | Edited 2:21pm
The H4 version will be short soon:
Attached Image (click to enlarge)
Click to Enlarge Name: magic_h4.gif Size: 19 KB
  • #70
  • Nov 29, 2009 5:02am Nov 29, 2009 5:02am
Thnx 7bit Interresting indeed....


Suscribed
  • #71
  • Nov 30, 2009 8:42am Nov 30, 2009 8:42am
Once in do we trade manually or does EA open and close new positions?? EA opened position but has done nothing since

Thanks
Mombone
  • #72
  • Nov 30, 2009 8:53am Nov 30, 2009 8:53am
Quoting Mombone
Once in do we trade manually or does EA open and close new positions?? EA opened position but has done nothing since
You need much patience. If you attach the Accelerator Oscillator to the chart you can see how many H4 candles it will stay above or below the line. Be careful with the lot size because it may go up and down hundreds of pips during the trade.

On H4 it is currently short and on my chart (Alpari UK) it will stay short for 5 more H4 candles (20 hours). The red line indicates at which bar you must read the AC Oscillator.
  • #73
  • Nov 30, 2009 9:06am Nov 30, 2009 9:06am
Thanks. So on the 0800 bar on the 17th is when it then goes long??

Sorry probably different times. Your count includes current bar? Long bar is one that opens @ 1.4965 and closes @ 1.4900
  • #74
  • Nov 30, 2009 9:22am Nov 30, 2009 9:22am
Quoting Mombone
Thanks. So on the 0800 bar on the 17th is when it then goes long??
Exactly. Same candle time as here (8:00 CET)
  • #75
  • Nov 30, 2009 9:36am Nov 30, 2009 9:36am
H4:
Attached Image (click to enlarge)
Click to Enlarge Name: magic_h4.gif Size: 19 KB


h1:
Attached Image (click to enlarge)
Click to Enlarge Name: magic_forward.gif Size: 19 KB
  • #76
  • Nov 30, 2009 10:17am Nov 30, 2009 10:17am
What is the largest Drawdown you've had with this strategy?
Direction is more important than speed. Alot of people go nowhere real fast
  • #77
  • Nov 30, 2009 11:16am Nov 30, 2009 11:16am
Quoting traderjess87
What is the largest Drawdown you've had with this strategy?
I trade it forward only since a few weeks, so i can't really say what to expect in the future. Drawdown can be a few hundred pips in less than a day, i currently have something similar running already a bit longer (it uses another indicator and trades more often but the principle is exactly the same), it just destroyed 3 weeks gains (~300 pips) in a few hours, just before the weekend (because it traded 3 times wrong in a row [higher trade frequency]) but it is too early to tell whether it will recover or not or whether the shift has fundamentally changed. It can win it all back just as fast as it loses.

This system is dangerous and i'm still trying to find ways to make it safer without keeping it from making profits!
  • #78
  • Edited 3:14pm Nov 30, 2009 2:21pm | Edited 3:14pm
Quote
This system is dangerous and i'm still trying to find ways to make it safer without keeping it from making profits!
Here is an idea I have been using on this in testing manually that seems to make it safer without cutting profit, in fact enhancing the profit.

The attachment is a series of slides with notes about what I am doing with an unusual trend line. Perhaps you could incorporate something like this into your EA. So it will trade the signal from the AC indicator if the Trend line is ok. The point here is this is not a normal trend line, because the trade is self is adjusted bar by bar. Take a look and see what you think. I have not really researched this idea in great detail, but from the couple of hours I spent manually back testing, it seems to hold up.

What this does is create a ratchet effect... Oops, I said too much. Outa here. LOL
Attached File(s)
File Type: zip Chart Slides.zip   371 KB | 551 downloads
  • #79
  • Nov 30, 2009 5:15pm Nov 30, 2009 5:15pm
Quoting smjones
The attachment is a series of slides with notes about what I am doing with an unusual trend line.
This is an interesting trailing stop algorithm i will have to investigate further. Theoretically this could be made into an indicator so it could be used like parabolic SAR or similar trailing stop indicators. Does it already have a name?

Edit: Its not really a trailing stop in the strict sense that can be directly used for stop orders, it may only stop on close of the bar.
  • #80
  • Nov 30, 2009 5:18pm Nov 30, 2009 5:18pm
Quoting 7bit
This is an interesting trailing stop algorithm i will have to investigate further. Theoretically this could be made into an indicator so it could be used like parabolic SAR or similar trailing stop indicators. Does it already have a name?
NO I never named it. You can name it. just send me a copy of the indi or Ea, if you feel like it.. LOL

BTW thanks for the info on the offline chart stuff. I used it to write this indicator

http://www.forexfactory.com/showpost...postcount=3633

If you want a copy of the code, send me a pm with your email address and I will forward it to you.
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