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scooby-doo BOJ JPY pairs trading robot

  • #5,821
  • Feb 12, 2010 5:27am Feb 12, 2010 5:27am
Quoting SteveHopwood
Yes, hugely profitable this morning, but at the cost of a vast number of trades and a drawdown upl that would make most people cry.

Perhaps a maximum trades allowed setting?

This bot has become a monster piece of code with many options, now I don't know too much how to improve the strategy
When we are in the trend everything is perfect
When we catch a trend reversal , pain and tears come.
(nothing new, it's the trader's well knowed problem)
I think the entries methods are not bad.
We have to work on the exit strategy.
My hedge system do not make me happy, I hedge pair by pair, may be it would be smarter to choose the most promissing pair to hedge the entire mode basket. I think you, Steve, already have done this in one of yours EAs, right ?
  • #5,822
  • Feb 12, 2010 5:47am Feb 12, 2010 5:47am
Quoting maxou888
My hedge system do not make me happy, I hedge pair by pair, may be it would be smarter to choose the most promissing pair to hedge the entire mode basket. I think you, Steve, already have done this in one of yours EAs, right ?
Kind of. Have a look in the Opposite Positions robot, at the void CheckBasketTpSlTarget() function to see how I do it. This sets an automatic 50% hedge of the entire basket, so it might not be what you want.

  • #5,823
  • Feb 12, 2010 5:59am Feb 12, 2010 5:59am
big bug in the currency close function
Now that's work (thanks to the closeOrderPrice)
Interesting feature : when currency target is reached in one mode, we close all the trades that include this currency. This help to reduce faster the open trades numbers and currency exposure.
May be I should add this feature to the master chart, considering all the trades within all the modes
Just now it closed EurAud and EurNzd together.
And recover not bad from its large DD
Attached File(s)
File Type: mq4 Basket_508b.mq4   77 KB | 353 downloads
  • #5,824
  • Feb 12, 2010 6:13am Feb 12, 2010 6:13am
Hi all,

Does anyone know how to disable wave 2 and 3 trading on the original BOJ ea?

Thanks in advance.


Hernando
  • #5,825
  • Feb 12, 2010 6:22am Feb 12, 2010 6:22am
Now the bot is recover from DD (may be only luck !)
The bad pairs have opened hedges.
example nzdUsd in mode 2 : 5 T, 1S and 1H
So the loos is "stick", but this pair will never close . the loss is stuck (gap between trades and hedge oppening), and even using CurrencyTarget or GlobalTarget will not work, because the smaller profits (other pairs) will close one by one, and let this looser alone.
One possibility is to hedge only 50% of the trades amount, and hopes things will recover, but in this case if things continue go wrong, loss will increase.
One idea is a function I included in the bot : "CutHedgeOnOpposite". Idea is simple : if the trend come back in the way of original trade (T), ie opposite from Hedge way, close the hedge. But in backtest this didn't was so successfull.
Any idea ?
  • #5,826
  • Feb 12, 2010 6:39am Feb 12, 2010 6:39am
For the good coders here.
I have a problem when I close many trades togethers. Some are closed, some not.
What can you suggest to be sure that tha trades are really closed ?
Using OrderReliable function ?
  • #5,827
  • Feb 12, 2010 6:39am Feb 12, 2010 6:39am
Quoting maxou888
Now the bot is recover from DD (may be only luck !)
The bad pairs have opened hedges.
example nzdUsd in mode 2 : 5 T, 1S and 1H
So the loos is "stick", but this pair will never close . the loss is stuck (gap between trades and hedge oppening), and even using CurrencyTarget or GlobalTarget will not work, because the smaller profits (other pairs) will close one by one, and let this looser alone.
One possibility is to hedge only 50% of the trades amount, and hopes things will recover, but in this case if things continue go wrong, loss will increase.
One...
Hi Maxou

It seems alot of these strategies will go pear shaped when a trend reversal occurs.

I was reading about the Aroon Indicator, which helps to identify a possible reversal.

Are you able to have a review of this page to see if it could be incorporated into your EA?

I was thinking it could help to cut losses early on if a reversal is possibly on the way....

http://forex-indicators.net/aroon

Anyway thanks for sharing your work.
  • #5,828
  • Feb 12, 2010 6:49am Feb 12, 2010 6:49am
Quoting fxtrader08
Hi Maxou

I was reading about the Aroon Indicator, which helps to identify a possible reversal.
I was thinking it could help to cut losses early on if a reversal is possibly on the way....

http://forex-indicators.net/aroon

Anyway thanks for sharing your work.
Hmmm, the 2 lines cross a lot when a trend reversal occurs, so will give false signals i guess.
  • #5,829
  • Feb 12, 2010 6:54am Feb 12, 2010 6:54am
Quoting maxou888
For the good coders here.
I have a problem when I close many trades togethers. Some are closed, some not.
What can you suggest to be sure that tha trades are really closed ?
Using OrderReliable function ?
Yep. DD plummeted and profits skyrocketed. It has been fun this morning.

A possible solution to your problem is this:
Inserted Code
//Monitor open baskets
   if (OrdersTotal() > 0)
   {
      CheckBasketTpSlTarget();//Also takes care of hedging
      if (ForceLongBasketClosure) CloseBasket(LongMagicNumber);//Function will reset ForceLongBasketClosure if successful
      if (ForceShortBasketClosure) CloseBasket(ShortMagicNumber);//Function will reset ForceLongBasketClosure if successful
           
   }//if (OrdersTotal() > 0)
This is fairly early in start(). ForcexxxBasketClosure variables are declared in the general section and set to 'true' if an individual trade closure fails, to force a retry at the next tick.

Another trick is to put a Sleep(10) after each successful closure, to give the platform a tiny breathing space.

This is the basket closure function that responds to the above
Inserted Code
void CloseBasket(int MagicNumber)
{
   
   
   
   //Closes an open basket after upl is hit

   if (MagicNumber == LongMagicNumber) ForceLongBasketClosure = false;
   if (MagicNumber == ShortMagicNumber) ForceShortBasketClosure = false;
   if (OrdersTotal() == 0) return; //Just in case
   
   
   for (int cc = OrdersTotal(); cc >= 0 ; cc--)
   {
      if (!OrderSelect(cc,SELECT_BY_POS)) continue;
      if (OrderMagicNumber()==MagicNumber)      
      {
            bool result =OrderClose(OrderTicket(),OrderLots(), OrderClosePrice(),5000,CLR_NONE);
            if (!result) 
            {
               if (MagicNumber == LongMagicNumber) ForceLongBasketClosure = true;
               if (MagicNumber == ShortMagicNumber) ForceShortBasketClosure = true;
               cc = OrdersTotal();
            }//if (!result) 
            
            else cc++;         
      }//if (OrderMagicNumber()==LongMagicNumber)
   }//for (int cc=0; cc<OrdersTotal(); cc++)



}//End void CloseBasket(int MagicNumber)
  • #5,830
  • Feb 12, 2010 6:55am Feb 12, 2010 6:55am
Quoting maxou888
Hmmm, the 2 lines cross a lot when a trend reversal occurs, so will give false signals i guess.
Thanks Maxou

What about the SAR indicator?

I guess we've got the cake but we're not quite finding the right icing for it.
  • #5,831
  • Feb 12, 2010 7:05am Feb 12, 2010 7:05am
Quoting maxou888
For the good coders here.
I have a problem when I close many trades togethers. Some are closed, some not.
What can you suggest to be sure that tha trades are really closed ?
Using OrderReliable function ?

Hi Maxou,

Thx for your great efforts here. Very impressive!!!

I use the following consctruct to check if a order is closed successfully:

if(OrderSelect(OrderTicket2Close,SELECT_BY_TICKET,MODE_HISTORY))
{
if (OrderCloseTime()== 0)
{
Some error handling stuff .......
}
}
Only if the OrderCloseTime>0 you can be sure it is really closed.

CU,
MaMood
  • #5,832
  • Feb 12, 2010 7:26am Feb 12, 2010 7:26am
Hi,

between all the talk about bucketshops, ECN's etc, what would people see IGIndex.co.uk as? Are they suspect of manipulating prices to stop you out, are they STP etc.

cheers,
Fredella
  • #5,833
  • Feb 12, 2010 7:30am Feb 12, 2010 7:30am
If you makesure there is a big enough gap between 20 day EMA and 200 day EMA on H4 then you wont need to worry about possible trend reversals too much.

The gap should be at least Average Daily Range for each currency pair.

Scoobs.

PS. And as for risk control I would not have more than 7 trades open at once. Otherwise you are asking for trouble if your lotsize is set too high. If you are going to open more than 1 trade then your lotsize should be AccountBalance() * 1.5 / 100000.
  • #5,834
  • Feb 12, 2010 7:46am Feb 12, 2010 7:46am
Quoting scooby-doo
If you makesure there is a big enough gap between 20 day EMA and 200 day EMA on H4 then you wont need to worry about possible trend reversals too much.

The gap should be at least Average Daily Range for each currency pair.
Good idea, I will add this to my code

Quoting scooby-doo

PS. And as for risk control I would not have more than 7 trades open at once. Otherwise you are asking for trouble if your lotsize is set too high. If you are going to open more than 1 trade then your lotsize should be AccountBalance() * 1.5 / 100000.
For moment my lot size is approx AccountBalance() * 0.5 / 100000, but much more open trades at once, will check that
For your StochRsi I have now set the Hi/Lo at 85/15. But TF15 is may be too fast, H1 perhaps better or difeerents parameters (i test 8/10/8 rather than 2/8/3). I will also use (for Long ) If RSI[previousBar]<15 && RSI[actualBar]>15 ...
  • #5,835
  • Feb 12, 2010 7:51am Feb 12, 2010 7:51am
Quoting SteveHopwood
A possible solution to your problem is this:
[code]//Monitor open baskets...
Don't know why, maybe too much coding today, if someone (Steve?) has energy enough to modify my code....
  • #5,836
  • Feb 12, 2010 7:55am Feb 12, 2010 7:55am
Has anyone's TCF ea made any trades in the last 3 days or so?
  • #5,837
  • Feb 12, 2010 8:30am Feb 12, 2010 8:30am
Quoting scooby-doo
A friend sent me some indicators. I dont use them but you may find them helpfull for manual trading.

ATC - Automatic Trend Channel
DSR - Dynamic Support Resistence

Scoobs

Just a thankful note. I have been successfully using them with your strategies.

Have a nice weekend
  • #5,838
  • Feb 12, 2010 9:04am Feb 12, 2010 9:04am
Hi Steve,

Please, one of the safest ways to disable wave 2 trading on original BOJ ea without messing the code could be to make the function GetGroupCorrelation() always returns a value lower than 0.7, for example 0.5 ?

- best regards

Hernando
  • #5,839
  • Feb 12, 2010 9:04am Feb 12, 2010 9:04am
Quoting toafdawg
Has anyone's TCF ea made any trades in the last 3 days or so?
Yes TCF v2 had quite a few trades last night. It wasn't trading for me earlier and I realized i had it on H1 charts. Changed to M15 and trades started firing.

I like this EA because it has several filters that seem to get it safely into good trades.

I'm also testing Scooby RS Simple entry. Takes more trades based on mtf rsis lining up but is like a robot on steroids.

One more week of testing and I will probably put TCF v2 on a live account.

Thanks Scooby!
  • #5,840
  • Feb 12, 2010 9:52am Feb 12, 2010 9:52am
Who is superman2 sending me buy/sell signals.

what a fcukin muppet.
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