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Extreme scalping using neural networks - EA/Manual

  • #521
  • Jul 1, 2010 7:11am Jul 1, 2010 7:11am
...was up over 100pips till the end of the day.

After closing of the last three trades...
Result -47 pips.
Attached Image (click to enlarge)
Click to Enlarge Name: neuro1.jpg Size: 206 KB
  • #522
  • Edited 9:10am Jul 1, 2010 7:24am | Edited 9:10am
Quoting Bwana
Hello,

I'm using an ann i put together in matlab. I used Du ka sco py and the data from there seems to be ok.

My opinion is that the bucket shops play with the numbers to throw off TA indicators so that people will be hard pressed to find patterns out of the data; comes with the territory of semi-regulated forex market.
Obviously the data feeds from different brokers will have variations. But brokers aren't going to present a data feed that's bogus enough to throw off TA and pattern detection. It's simply too easy to bust them on it since after all anyone can record data feeds from several brokers and compare them at any time.

The only thing I could see getting gamed by a broker is the current quote, where you could get requoted on an actual order.
You are in a maze of twisty little passages, all alike.
  • #523
  • Jul 1, 2010 7:31am Jul 1, 2010 7:31am
Quoting koyote44
are you getting any errors on the experts tab? do you have installed the fann2mql from the first post?
Hi Koyote
I installed fann2mql into the experts. Is it ok?
Do you think it will work now?
Thank you
  • #524
  • Jul 1, 2010 8:06am Jul 1, 2010 8:06am
Settings see Post #470 / #507
NextClose V155 ---> Post #470
NextClose V156 ---> Post #507

eTrader,
  • #525
  • Jul 1, 2010 10:33am Jul 1, 2010 10:33am
I dont think the bucketshops "play" with their feeds. HOWEVER, I have had several people on the "inside" tell me that each broker will SMOOTH their price feed differently by doing what is called "filtering", which eliminates spikes. If you put up a chart from IBFX (who I have been TOLD is heavily "filtered") side by side to a chart for the same time frame from MIG (who I have been TOLD is relatively unfiltered), they would look vastly different, MIGs would look more jagged and IBFX's more smooth - in other words, the wicks on candles seem "chopped" on the filtered feeds.

This can have an impact on a any NN based scalper that in effect is attempting to capture a range of pricing within a candle - the more the candles wicks (extremeties) are chopped (smoothing) by that broker, the tougher it is for the EA to capture its target TP price range. To combat this, this EA has a "time filter" that ATTEMPTS to only trade during quiet "non-volatile" periods, when it can ascertain a stable candle range on which to base a future projection. However, there are sometimes unscheduled news and in fact even unexplained volatility that CAN and does still wreck this entire proposition.

I used to have a NN - based EA that used an indicator called NBV (for Near Background Volatility) to filter the signals and not trade during volatile periods, regardless of the time frame, which IMO is a better idea. Another potential way to approach that is to use the well-known Damiani filter in reverse, and only allow one of these signals when Damiani says to NOT trade (due to low volatility).

For this Ea to work IMO, it needs 3 things:
1) a volatility filter that works (they seem to use a force index now, I dont like it)
2) super-low spreads from an as-unfiltered-as-possible broker feed. This eliminates most bucket shops right off. Who it might NOT eliminate, Im not sure. Possibly DukasCopy via bridge?
3) a reasonable R:R - u cant have effective SL of 60-80 pips (I know the emergency SL here is 140, but most seem to wait on some recovery and SL with 60-80 often) and take profits of 8-10 pips, and make money long term. Just my opinion. Some people claim that CAN be done if the accuracy is high enough, and I understand mathematically that is true, but it doesnt suit me personally even if this EA COULD be that accurate.

Odysseus
forexfusiondotcom
  • #526
  • Jul 1, 2010 10:59am Jul 1, 2010 10:59am
Running an EA during (very) low volatility periods on a live account is a receipe for disaster.

It's at these times that your broker will take the opposite side of your trade knowing they can move the market to your SL's without worrying about being hammered by the big boys.

Scoobs.
  • #527
  • Jul 1, 2010 11:36am Jul 1, 2010 11:36am
I did find it interesting that the OP selected the period 1700 UTC - 0100 UTC (1300 EST - 2100 EST). Other systems I've looked at for EURUSD do best between London open and New York lunch. This system starts right after New York lunch.
You are in a maze of twisty little passages, all alike.
  • #528
  • Jul 1, 2010 12:34pm Jul 1, 2010 12:34pm
Quoting scooby-doo
Running an EA during (very) low volatility periods on a live account is a receipe for disaster.

It's at these times that your broker will take the opposite side of your trade knowing they can move the market to your SL's without worrying about being hammered by the big boys.

Scoobs.

#1. This EA and Neural Network usage is written for after hours. Actually, running ANY EA on a live account is a receipe for disaster.

#2. Yes, brokers can take an opposite position. But brokers definitely do NOT move the market. You are making the assumption that brokers KNOW what is going to happen to price in the future. Might as well not be a broker, and just trade, if that's true.
  • #529
  • Jul 1, 2010 12:39pm Jul 1, 2010 12:39pm
Quoting crodzilla
#1. This EA and Neural Network usage is written for after hours. Actually, running ANY EA on a live account is a receipe for disaster.

#2. Yes, brokers can take an opposite position. But brokers definitely do NOT move the market. You are making the assumption that brokers KNOW what is going to happen to price in the future. Might as well not be a broker, and just trade, if that's true.
Brokers have the added advantage of being able to see pending BUY/SELL orders (and their values) at interbank levels which retail traders do not have access too.

This doesnt mean they can move the market but they can see what is pending and take positions to their advantage against your positions if need be.

Scoobs.
  • #530
  • Jul 1, 2010 12:42pm Jul 1, 2010 12:42pm
Hey, looks great! Follow this thread for the last 24 h now. Could someone tell me about a good setup for IBFX micro account trading a very low lot size (pennies). Maybe send over some preset for it. I am using the lastet Version of NextClose ( V. 156 ).

thanks in advance
  • #531
  • Jul 1, 2010 12:48pm Jul 1, 2010 12:48pm
Im not sure this type of EA *can* be successful or not and wasnt trying to judge that - I was just pointing out how the EA is DESIGNED to trade, and what it is looking to try and capture. Low volatility, skinny spreads. So obviously an indicator that attempts to measure that could be useful for this EA.

Odysseus
forexfusiondotcom
  • #532
  • Jul 2, 2010 5:32pm Jul 2, 2010 5:32pm
Quoting stevegee58
I did find it interesting that the OP selected the period 1700 UTC - 0100 UTC (1300 EST - 2100 EST). Other systems I've looked at for EURUSD do best between London open and New York lunch. This system starts right after New York lunch.

what time is NY lunch?

yes it does perform good after hours.

also it does play good between 6.30 am and 8.30 am london time BUT at your own risk.

sami
  • #533
  • Edited 3:44am Jul 3, 2010 3:24am | Edited 3:44am
Could someone tell me the settings for trading NextClose on IBFX. What is the thing with 4 or 5 degits? IBFX has 5th decimal pricing, so you have to multiply sl, tp... by 10 am i right?

My Settings so far on EUR/USD (30M) are the following: Are they fine?

Inserted Code
Lots=0.01000000
UseMoneyManagement=0
RiskFactor=0.2000000
MAGIC_NUM=34777
Stop=140
Trail=15
TakeProfit=10
UseFixedTP= True
TrailFractal= False
ContinuousMode= False
RiskReducer=2
Epochs = 380
MaxEpochs = 1200
ForceIndex = 5.5
TradeOnSunday = False
MinMSE=0.0000025
TimeFilter= False
SlidingWindow=32
CloseAfter=2
BeginHour=18
EndHour=5
Threshhold=8
Offset=2
AutoAdjustDigits= True
thanks for your help!
  • #534
  • Jul 3, 2010 4:54am Jul 3, 2010 4:54am
Quoting lddd
Could someone tell me the settings for trading NextClose on IBFX. What is the thing with 4 or 5 degits? IBFX has 5th decimal pricing, so you have to multiply sl, tp... by 10 am i right?
I've been forward testing it on IBFX with a 5 digit demo account and didn't have to do anything special. Just make sure AutoAdjustDigits is true.
You are in a maze of twisty little passages, all alike.
  • #535
  • Jul 3, 2010 5:06am Jul 3, 2010 5:06am
Let it running all day long yesterday on a GPBUSD H1 chart...

24 trades
19 winners
5 loosers

Total profit = U$ 645,00
Attached Image (click to enlarge)
Click to Enlarge Name: GPBUSD_H1.PNG Size: 186 KB
  • #536
  • Jul 3, 2010 5:12am Jul 3, 2010 5:12am
Quoting stevegee58
I've been forward testing it on IBFX with a 5 digit demo account and didn't have to do anything special. Just make sure AutoAdjustDigits is true.
Thanks, bro. Yeah actually i´ve now using default settings instead of MM=OFF and changing StartHour from 17 to 18. Thats it, for now.
  • #537
  • Jul 3, 2010 5:13am Jul 3, 2010 5:13am
Quoting DocJordan
Let it running all day long yesterday on a GPBUSD H1 chart...

24 trades
19 winners
5 loosers

Total profit = U$ 645,00
are you live?
  • #538
  • Jul 3, 2010 5:31am Jul 3, 2010 5:31am
Quoting lddd
are you live?
Not so confident... first time running the EA

This is a demo account.
  • #539
  • Jul 3, 2010 5:35am Jul 3, 2010 5:35am
Quoting DocJordan
Not so confident... first time running the EA

This is a demo account.

kk, anyways nice results. keep on posting. which broker you demo with?
  • #540
  • Jul 3, 2010 5:40am Jul 3, 2010 5:40am
Quoting lddd
kk, anyways nice results. keep on posting. which broker you demo with?
www.fxpro.com

If I can get a profitable week, I will try it live.
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