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  • #161
  • Dec 6, 2010 1:52am Dec 6, 2010 1:52am
Quoting sidhujag
in mt5 or jforex? i know about the mt5 bugs
In MT5. I have changed the code a bit, the expert now forces the tester to synchronize hourly bars.

Run the test on PAIR1 currency pair on the 1 minute timeframe.

This is the best approximation that I could come up for now.

I'm not familiar with jforex? Is it easy to learn?
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  • #162
  • Dec 6, 2010 5:38am Dec 6, 2010 5:38am
Good work guys. I will wait to test further when you guys can tell me its worth doing more with MT5.

Jag, keep us posted on that jforex option...

Cheers

Tim
  • #163
  • Dec 6, 2010 9:57am Dec 6, 2010 9:57am
Good, thanks.

I'll continue demoing for sure, now that I'm not familiar with MQL5 coding.

However, Jag, could you please clarify some doubts of mine so that I can better compare/evaluate your EA's performance vs original(MC/caillou):

if I use your V1, I know the difference from 'original' include below:
1. 10 pairs;
2. Asian/London Session;
3. BE is applied

what are the other differences? I believe that V1 reset ONLY on closeall() and init(), except for the difference above, I have not found other logic changes, is there any other?

Your answer will also greatly help my editing/demoing based on your V1 EA.

Quoting sidhujag
Hi Charvo,

Yea maybe the equity target variable got reset somehow.. Longer term testing will then tell us which strategy is better.
  • #164
  • Dec 6, 2010 12:04pm Dec 6, 2010 12:04pm
Quoting Saidar
In MT5. I have changed the code a bit, the expert now forces the tester to synchronize hourly bars.

Run the test on PAIR1 currency pair on the 1 minute timeframe.

This is the best approximation that I could come up for now.

I'm not familiar with jforex? Is it easy to learn?

Hi yes Saidar its easy to learn... based on Java... I would stay away from meta trader for live trading or demo. From what I read on the forum I know I can't believe everything I read but mt4 is easy for brokers to manipulate its feed and execution so that the bucket shops can clean your account. On top of that the history data is never 99% as much as you try.

JForex historical data includes spread (seperate bid/ask feeds) and also is tick based.. no emulation so it should be better indication of a real environment.

I'm done with meta trader I'll spend extra time converting my strategy to other platforms especially with better testing capabilities. If I havea strategy that works long term I would probably use FIX API and institutionally with a direct bank feed.

The EA uses no indicators so its easy to port.

Jag
  • #165
  • Dec 6, 2010 12:08pm Dec 6, 2010 12:08pm
Quoting charvo
Good, thanks.

I'll continue demoing for sure, now that I'm not familiar with MQL5 coding....

Hi Charvo,

The 10 pairs is just to get tighter response from trend changes like you would use 3 pairs instead of 6 for example.

The other difference is the two baskets asian and london... and after each session the profit gets set to BE. The hope is that it won't take the entire session to reach your profit.. if it does then it didn't trend enough so don't push your luck.

I would probably gut out the asian stuff for now and get the london one working properly... I think its better to use a volatility filter either through keltner or the one Timmy gave to know when to trade instead of set hours.

I don't think there's anything else different. I pretty much commented the differences in the EA comments aswell as post 1.

Thanks,
Jag
  • #166
  • Dec 6, 2010 3:42pm Dec 6, 2010 3:42pm
Quoting sidhujag
Hi yes Saidar its easy to learn... based on Java... I would stay away from meta trader for live trading or demo. From what I read on the forum I know I can't believe everything I read but mt4 is easy for brokers to manipulate its feed and execution so that the bucket shops can clean your account. On top of that the history data is never 99% as much as you try.

JForex historical data includes spread (seperate bid/ask feeds) and also is tick based.. no emulation so it should be better indication of a real environment.

I'm done with meta trader...
I spent so much time learning and developing in MT it would be sad to dump it now... But if you have to you have to hey...

Brokers do manipulate its feed, but they can only delay the data, so I won't be too scared using a basket strategy.

Let us know how you are doing on the new platform
  • #167
  • Dec 6, 2010 5:26pm Dec 6, 2010 5:26pm
Thanks a lot, Jag.

I pretty much removed all Asian stuff in there, and let the basket run w/o session consideration.

I just wanted to double-check since I worked on both your EA and originals.

Quoting sidhujag
Hi Charvo,

I would probably gut out the asian stuff for now and get the london one working properly... I think its better to use a volatility filter either through keltner or the one Timmy gave to know when to trade instead of set hours.

I don't think there's anything else different. I pretty much commented the differences in the EA comments aswell as post 1.
  • #168
  • Dec 6, 2010 5:34pm Dec 6, 2010 5:34pm
yeah, i think that for a robust method/system, the platform may be insignificant to the trading outcome.

the scaplers, intraday traders are more liable to brokers' crime.

however, this system seems strong enough for those crap.

Quoting Saidar
I spent so much time learning and developing in MT it would be sad to dump it now... But if you have to you have to hey...

Brokers do manipulate its feed, but they can only delay the data, so I won't be too scared using a basket strategy.

Let us know how you are doing on the new platform
  • #169
  • Dec 6, 2010 5:50pm Dec 6, 2010 5:50pm
Yes Charvo you are right.. however note that Mt4 brokers do go down very frequently when they are running into losses (or you are winning) aswell as execution starts to suck when you win more often.... I'd rather either a) trade directly or b) trade against a pool of other traders... then the broker doesn't care you are since you are not taking from them.

Dukascopy has its own pool and so does Oanda. THey are market makers in the true sense that they make their own market and you trade within that market. The price is the price and it doesn't matter which side you are on because they take no positions.

I think I got that right unless someone who has experience with MM's(not STP or ECN) shed more light.

Also note that Mt4 server has a "feature" to filter the price feed (smooth by averaging) or to distort through not filtering at any time on the Mt4 client side. This is useful if you have a client for example if the customer is using martingale you would apply a different filter than if the customer was using a strategy that depends on a ranging market.

Jag
  • #170
  • Dec 6, 2010 5:53pm Dec 6, 2010 5:53pm
Quoting Saidar
I spent so much time learning and developing in MT it would be sad to dump it now... But if you have to you have to hey...

Brokers do manipulate its feed, but they can only delay the data, so I won't be too scared using a basket strategy.

Let us know how you are doing on the new platform
I would be hardpressed to find a trader with over a mill executing with Mt4... charting maybe but not executing.
  • #171
  • Dec 7, 2010 12:29am Dec 7, 2010 12:29am
Have you guys downloaded JForex demo and played with it yet? It takes some getting used to...

The API itself is alot nicer than mt4. EA is doing its job... backtest runs good.
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  • #172
  • Dec 7, 2010 12:29am Dec 7, 2010 12:29am
i actually, do have friends who worked for blpari, or FXEE these criminals. he told me many dirty but funny stories on how brokers scr3w traders.

when a order request sent, there may be EVEN a human in broker office verifying if the request should be requoted...

if a trader is successful/profitable and the advantage is untraceable, the money will be returned to him, and the broker will no longer take this client...

all kinds of crap, ...... if i have sufficient capital, i for sure will leave mt4.

but i'm a small fish now, still seeking the 'idea', hoho, might have to get stuck with mt4 for many more days......

Quoting sidhujag
I would be hardpressed to find a trader with over a mill executing with Mt4... charting maybe but not executing.
  • #173
  • Edited 1:38am Dec 7, 2010 12:58am | Edited 1:38am
Quoting sidhujag
I would be hardpressed to find a trader with over a mill executing with Mt4... charting maybe but not executing.
Examples in JForex are few, we all would appreciate it if you could post something you already coded. I know literally nothing about java but it seems to be more or less the same than C#.

I also consulted their wiki there is not much to go with.

Sometimes I wonder why we don't use tradestation
  • #174
  • Dec 7, 2010 2:46am Dec 7, 2010 2:46am
Hi Guys,
Jag what are your results like on jForex.

Also what sort of broker is jForex? I haven't bothered to look them up but are they just another small cap ECN broker trying to make it with the big dogs?

If you are keen to go with an API into an institutional broker why not get on board with one of the big players with solid backing and decent (real) liquidity?

(Or is this your plan - once you see it working with jForex?)

Tim
PS A market maker is exactly that - it is a broker who 'makes the market' and so takes EVERY position against their clients. Effectively there is no real liquidity and no real market. This is most of the retail brokers out there that everyone uses. And really, with 95% of traders losing, why wouldn't they take the other side of the trade - its a low risk bet for them. Especially with all the bull$hit tricks that they can play with platforms like MT4.
  • #175
  • Edited 6:33am Dec 7, 2010 4:11am | Edited 6:33am
Quoting sidhujag
Have you guys downloaded JForex demo and played with it yet? It takes some getting used to...

The API itself is alot nicer than mt4. EA is doing its job... backtest runs good.
I'm trying to figure out the coding but it is very hard because there is basically NO documentation available and no programming tips while coding.

So this is going to take a while. But so far I actually like it think if I can learn Jforex and the broker is good I will switch over. I'm TIRED of MT they always give me a hard time, and with all the rumours floating around I don't even think it is safe anymore.

Would appreciate it if you share the java code if you ported this strategy over.

Is the API not for external integration ?
  • #176
  • Dec 7, 2010 9:47am Dec 7, 2010 9:47am
I'm really really confused at the moment. I found a JTrader strategy that is profitable in JTrader, then I reprogrammed it in mql5 and the results are like night and day. Not even close.

How is this possible??
  • #177
  • Edited 2:16pm Dec 7, 2010 11:53am | Edited 2:16pm
Quoting Saidar
I'm really really confused at the moment. I found a JTrader strategy that is profitable in JTrader, then I reprogrammed it in mql5 and the results are like night and day. Not even close.

How is this possible??
Hi Saidar...

I will post the strategy as soon as it is sound technically. Meta trader really sucks for backtesting... DO NOT TRUST IT even for 10 cents. The only way you will get OK results is if you are trading H1 and above and don't care about spread.

Which strategy was it?

For those who are wondering what JForex is... it is the Java platform for the broker Dukascopy (a swiss broker you can look them up)...

Here is the liquidity model:
http://www.dukascopy.com/swiss/engli...usiness_model/

They create the market called Swiss FX Marketplace which consists of liquidity providers and other traders in the marketplace....

I just called them and they do indeed have a "conflict of interest" on small positions that do not get directly forwarded to the liquidity provider. They queue these small positions until the position becomes big enough and the average price is available through the liquidity provider.. then they will send it to the bank. These hedged trades may incur losses for Dukascopy as the trader wins... however the guy from Dukascopy insured that they can't do anything about it by affecting execution if the trader was to keep winning... they have to follow the rules. The fact that most traders take their profits too early or pick the wrong direction means they will win more often than not.

However the spread should be tight because there are so many liquidity providers in the market at Dukascopy... and execution should be very good... but I do not know what to take from the fact that they will have to hedge all your positions before sending to the bank.


There are two types of MM's. One who claim to be STP or ECN... all they are doing is taking the opposite trade and shipping it off to the liquidity provider (bank) who doesn't accept unhedged positions. Therefor you get raped on the commission aswell as the fact that if you are winning the broker will try to either affect the execution or just give some bs excuse why you can't trade with them.

The other MM is the real market maker where you trade against the market that is made. You are not trading with the banks but with other customers that provide liquidity to the pool. The price is not affected by any trades.

Oanda I think is this later type of MM. Explains why they also have higher retail trader win % compared to other brokers (they also pay out interest to your account).

That said... Dukascopy has a Mt4 platform but again I'll stay away just because I know what the server side can do to affect the client feed. JForex not sure what they do or don't do but the backtesting is based on 100% tick quality data with bid/ask spread for multiple symbols... you can't get any better. The only thing is you are testing against Dukascopy's datafeed which may or may not be representative of the future's that symbol represents. The fact that they offer an aggregate of most major clearing exchanges (Currenex, Lava, Hotspot) means the price should be pretty indicative of what "it should be" and your strategy testing should be pretty accurate.

I say that because future's is regulated by CME and has actual price transparency.. the price is the actual price minus minimal arbitrage.

Spot forex is not regulated which is why so many brokers love dealing out to spot forex traders. Its easy pickings

Your trades will always be hedged before the bank... you have to make sure that the hedged trade (market maker) isn't the same one finding you the best bid/ask(broker)

Jag
  • #178
  • Dec 7, 2010 12:17pm Dec 7, 2010 12:17pm
Quoting timmy
Hi Guys,
Jag what are your results like on jForex....
Tim,

Yes the goal is to test and see where the hiccups lie and how to prevent them. The backtests take a long time (6 month test ran overnight still not done). But that is expected because of the amount of ticks it has to go through.

Only issue I saw from 06/01 to 11/01 (I left for work here) was around end of 9 (september). It posed a problem for the EA... it went from 70k to 25k equity but closed out in profit later in a few weeks... you can visually see this to see how it can be avoided.

Note that with the platform you must trade atleats 100k min currency... so the lot is 0.1($10/pip) but equivalent to 1.0($10/pip) Mt4 standard lots. The demo ran 50k with 0.1($10/pip) which is equivalent to our 5k demo with 0.1 lots($/pip).
  • #179
  • Dec 7, 2010 1:47pm Dec 7, 2010 1:47pm
Quoting sidhujag
Hi Saidar...

I will post the strategy as soon as it is sound technically. Meta trader really sucks for backtesting... DO NOT TRUST IT even for 10 cents. The only way you will get OK results is if you are trading H1 and above and don't care about spread.

Which strategy was it?

For those who are wondering what JForex is... it is the Java platform for the broker Dukascopy (a swiss broker you can look them up)...

Here is the liquidity model:
http://www.dukascopy.com/swiss/engli...usiness_model/

They...
And I thought I knew what forex is all about. Way confused over here will have to do some research. Thanks for the info!

By the way JForex don't have genetic optimization, this is not good news optimizing will be a problem.
  • #180
  • Dec 7, 2010 1:48pm Dec 7, 2010 1:48pm
Quoting sidhujag
Tim,

Yes the goal is to test and see where the hiccups lie and how to prevent them. The backtests take a long time (6 month test ran overnight still not done). But that is expected because of the amount of ticks it has to go through.

Only issue I saw from 06/01 to 11/01 (I left for work here) was around end of 9 (september). It posed a problem for the EA... it went from 70k to 25k equity but closed out in profit later in a few weeks... you can visually see this to see how it can be avoided.

Note that with the platform you must trade atleats...
This is a problem for me, I'm a student at the moment so don't have enough capital to trade that kind of money.

I will just have to stick with MT will will follow your advice and only backtest strategies that use hour or more bars/
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