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  • #721
  • Edited Feb 1, 2011 2:59am Jan 31, 2011 8:32pm | Edited Feb 1, 2011 2:59am
Quoting frazerd
OK, I'll change that. I also want to see how the recovery strategy works. BTW, my demo closed another basket with no cutting of losers and, of course no recovery - now up 3.26% in about 12 hours.
I still have my 500:1 account running with MMTU @ 2
It closed 6 baskets yesterday in the 12 hour period I have it running
Number of trades in each basket has been 5, 2, 3, 3, 8, 3, and it has of course been opening several trades at each check minute period ( up to 4 at a time )
No recovery trades
No close loser trades

I too have suffered because of the price movement during the time it takes trades to close resulting in all profit being lost. The larger the lot sizes the more of a problem this becomes

We all consider the large MMTU way too aggresive, but the one thing a combination of large MMTU and the 500:1 account is showing me is that it takes only a small movement in price to get the required pop
The flipside of this of course is it only takes a small move in the wrong direction for big DD and margin level problems .... I have not had this yet, and when it happens, as it surely will, I am going to see if I can ' control ' the margin level by cutting trades as I have described before, to avoid close losers and extend the life of the basket until I get the small move in the right direction

EDIT .... Should have said account is up 20% in 4 days trading ( or should that be gambling ! )
EDIT .... Turned Close Loser off, turned recovery off, don't need them for this test
  • #722
  • Feb 1, 2011 3:21am Feb 1, 2011 3:21am
Quoting jcs

......................
We all consider the large MMTU way too aggresive, but the one thing a combination of large MMTU and the 500:1 account is showing me is that it takes only a small movement in price to get the required pop ...............
Precisely,

The flipside of this of course is it only takes a small move in the wrong direction for big DD and margin level problems ....


Hence the need for a recovery facility as an alternative or an additional item to manual cutting of trades.
  • #723
  • Feb 1, 2011 3:52am Feb 1, 2011 3:52am
Quoting Nicastro
Precisely,
Hence the need for a recovery facility as an alternative or an additional item to manual cutting of trades.
Hi Nicastro

Recovery trades contribute to reducing the margin level as would a normal trade, but then do not contribute to any pop as they merely freeze the 2 trades at a loss, exactly what I am trying to avoid, so I am looking to see if I can get this to make sense without close loser trades or recovery trades first

Also recovery ( hedge ) is not of any use to USA account holders
It does not affect me, but it would be nice to find a solution that can be applied to all account types
  • #724
  • Feb 1, 2011 4:07am Feb 1, 2011 4:07am
Quoting jcs
Also recovery ( hedge ) is not of any use to USA account holders
It does not affect me, but it would be nice to find a solution that can be applied to all account types
Couldn't the trade simply be closed, but retained in memory for the purposes of calculating the PP?
  • #725
  • Feb 1, 2011 4:11am Feb 1, 2011 4:11am
Quoting jcs
I too have suffered because of the price movement during the time it takes trades to close resulting in all profit being lost. The larger the lot sizes the more of a problem this becomes
I noticed that IBFX has a neat closeall script that executes very fast:
Inserted Code
#include <IBFX - Quick Scripts.mqh>

//----
void start()
{
      /*+-------------------------------------------------------------------------+
         Because these scripts are meant to execute fast there are no user 
         external inputs. Make sure to modify the settings below, then compile 
         the script before assigning a hot key to it and using it.
         The magicNumber HAS TO TO BE THE SAME ON ALL SCRIPTS if you change it 
         here make sure to change it on all scripts!!!
         Do not forget to click on COMPILE once your changes have been made!!!
      +-------------------------------------------------------------------------+*/
         int      MaxRetry = 10;     // If the Order Fails - How many time do we retry?
         int      Slippage = 10;  
      string    Commentary = " IBFX - Close ALL orders";
      
      //+-------------------------------------------------------------------------+
      //|               DO NOT MODIFY ANYTHING BELOW THIS LINE!!!                 |
      //+-------------------------------------------------------------------------+   
      Comment( Commentary + " | Closing All Orders, please wait ..." );            
      CloseAll( "None", 0, OP_ALL ,MaxRetry, Slippage, Commentary );
      Comment("");
      return;
}
The include file is attached but could easily be imported directly into the EA. From my reading of the script it looks like it spams the server with close commands until they're accepted. Could the problem be that some brokers will ignore these commands? If not it might be an alternative to the existing close function.
Attached File(s)
File Type: mqh IBFX - Quick Scripts.mqh   16 KB | 313 downloads
  • #726
  • Feb 1, 2011 4:21am Feb 1, 2011 4:21am
I was thinking about the margin level problem in a different way. What if, instead of viewing each basket as a group of trades, we viewed each basket as a single trade? So we view profitable basket, followed by profitable basket, followed by profitable basket, followed by margin call basket as win, win, win, loss. Provided the loss basket is managed effectively you have a system with good expectancy and we don't need to worry about the losing basket. The latest EA seems to be spitting out baskets quite quickly, and perhaps the losing baskets could be closed (and treated as a losing trade) if they (a) have too many trades, (b) are open too long, (c) or reach a % loss level (or a combination of all 3). Cut your loss quickly, and move on to the next winning basket.
  • #727
  • Feb 1, 2011 4:31am Feb 1, 2011 4:31am
Quoting TheMaxx
I was thinking about the margin level problem in a different way......
We are all here trying different approaches to try improve the ea, and make it more palatable for live trading situations

So I suggest you set up your idea on a demo try it and report your results and settings etc

It's the only way to prove or otherwise a theory
  • #728
  • Feb 1, 2011 4:31am Feb 1, 2011 4:31am
Quoting TheMaxx
I was thinking about the margin level problem in a different way. What if, instead of viewing each basket as a group of trades, we viewed each basket as a single trade? So we view profitable basket, followed by profitable basket, followed by profitable basket, followed by margin call basket as win, win, win, loss. Provided the loss basket is managed effectively you have a system with good expectancy and we don't need to worry about the losing basket. The latest EA seems to be spitting out baskets quite quickly, and perhaps the losing baskets could...
Yes, we can make a start on providing a solution by making sensible use of the modifications to the EA suggested in my post 702, at page 47. It will be a start.......dont you guys think?
  • #729
  • Feb 1, 2011 4:45am Feb 1, 2011 4:45am
Quoting jcs
We are all here trying different approaches to try improve the ea, and make it more palatable for live trading situations

So I suggest you set up your idea on a demo try it and report your results and settings etc

It's the only way to prove or otherwise a theory
You're right. Everyone will have a different tolerance to risk, reward, drawdown, etc. My current thought is to start opening baskets aggressively (every 15 or 30 mins) from 7GMT to 19GMT, then closeall if loss is greater than MMTU * 6 or the end of the US session. I'll see if I can play around with the EA to test that and report back.
  • #730
  • Feb 1, 2011 11:17am Feb 1, 2011 11:17am
Hi All,

Reporting on the 2 accounts with the Reverse feature - ie Phan6_01xR
Tues 1st Feb 2011


Account 1:
MMTU 2.1
Leverage 100:1

2 Baskets closed:-
a) One basket openend at 9.15 GMT and closed at 15.51 GMT - 11 trades and no reversals
b) Second basket opend at 16.15 GMT and closed 24 minutes later. 4 trades and no reversals*

*For the second basket, seeing what JCS is reporting, I increased the MMTU for Sub-basket A to 3.4 and Sub-basket B to 5.5 as a means of emulating a higher leveraged account. These settings were wild guesses.

Account No 2
As JCS and Fraser are testing on a 500:1 demo, I am now using this demo to run a new EA, Going Home, available from:-
http://www.forexfactory.com/showthread.php?t=278476
  • #731
  • Feb 1, 2011 12:41pm Feb 1, 2011 12:41pm
Quoting charvo
results will be definitely different, even if two identical trades on one same broker.

MT4, now i believe is designed to be flawed in real-time trading....
Hi charvo,

I agree with you completely, because my tests already demonstrated it to me.

Summarizing: It's very difficult to gain because of the Forex peculiarity and we must fight against other hidden problems, such as honesty, delay, margin call procedures always different, etc..
Now I am thinking that using a VPS will fix most of these little problems and there is a Broker (FXCM.com and .it) that offers a VPS for free if your deposit is more than $5,000.

I know only this one, actually. VPS shouldn't be a very good reason for choosing a Forex Broker for real trading?

Good evening.
/achab
  • #732
  • Feb 1, 2011 1:38pm Feb 1, 2011 1:38pm
I have a VPS with www.swvps.com and I'm very happy with them. I pay around $200/year
  • #733
  • Feb 1, 2011 2:05pm Feb 1, 2011 2:05pm
Quoting TheMaxx
Couldn't the trade simply be closed, but retained in memory for the purposes of calculating the PP?
I'm not sure what you mean by this. The losses that are a result of cutting losers are already taken care of and included in in the profit when the EA closes a basket. Since PP is a percent of Last Flat Equity the EA cannot reach Equity target without making up for the losers that were cut. Did I misunderstand your post?
Frazer
  • #734
  • Feb 1, 2011 2:17pm Feb 1, 2011 2:17pm
Quoting frazerd
I'm not sure what you mean by this. The losses that are a result of cutting losers are already taken care of and included in in the profit when the EA closes a basket. Since PP is a percent of Last Flat Equity the EA cannot reach Equity target without making up for the losers that were cut. Did I misunderstand your post?
Frezard,

I am using 01x version. I set CLM as 1.5 and profit pct is 1.0 It means any of the loss trade reach 1.5 times pr.pct, it will cut that particular trade or when the loss of all loosing trades go over the 1.5 Profit pct?

Thanks
Intraday only.
  • #735
  • Feb 1, 2011 2:32pm Feb 1, 2011 2:32pm
Quoting frazerd
I'm not sure what you mean by this. The losses that are a result of cutting losers are already taken care of and included in in the profit when the EA closes a basket. Since PP is a percent of Last Flat Equity the EA cannot reach Equity target without making up for the losers that were cut. Did I misunderstand your post?
Ah, I didn't realise that. I thought that when a loser was cut, it wasn't included in the PP calculation.

If that's the case, I don't see the need for hedging losing trades. Why hedge a trade and incur the additional costs of the hedging trade, when you can just close it?
  • #736
  • Feb 1, 2011 2:36pm Feb 1, 2011 2:36pm
I did change TradeCountForRecovery (TCFR) to 3 yesterday and last night I had a basket close with a problem I have never seen before. During the closing (same hour & minute), possibly an instant before the closing, two reverse trades were opened and then closed again for good size losses. There was a GBPUSD sell for 1.3 lots (6.5 times my normal .2) and a USDJPY buy for 1.55 lots (7.75 times normal.

What in the world could have caused this? I must be missing something here. All of the normal trades on those 2 pairs were closing for very large gains so there should have been no reason for recovery trades and certainly not with those size lots. Is there anything in the code that could cause this?

The gains from that basket were so large that it still had a .5% gain. Had those 2 trades not been taken the gain would have been more than 2% of Last Flat Equity. The market must have been moving very fast in my favor at the time of closing.
Attached File(s)
File Type: xls TD_Phan6_01xR.xls   42 KB | 335 downloads
Frazer
  • #737
  • Feb 1, 2011 3:47pm Feb 1, 2011 3:47pm
I just looked at the comments and those are both listed as recovery trades.

The timing is what I cannot understand. Both were opened and closed at 02.01 1817, the same time that the basket started closing. I suppose they could have been opened as much as 30 seconds before the profit target was reached. But in those 30 seconds could the losing trades they were offsetting have become big winners? Doesn't seem likely to me.
Frazer
  • #738
  • Feb 1, 2011 8:17pm Feb 1, 2011 8:17pm
Quoting Nicastro
Yes, we can make a start on providing a solution by making sensible use of the modifications to the EA suggested in my post 702, at page 47. It will be a start.......dont you guys think?
yes. I would agree
  • #739
  • Feb 1, 2011 9:39pm Feb 1, 2011 9:39pm
Quoting frazerd
I just looked at the comments and those are both listed as recovery trades.

The timing is what I cannot understand. Both were opened and closed at 02.01 1817, the same time that the basket started closing. I suppose they could have been opened as much as 30 seconds before the profit target was reached. But in those 30 seconds could the losing trades they were offsetting have become big winners? Doesn't seem likely to me.
Had the same problem. I was away from comp so didnt see it happen live. But looking at time stamp the EA open a recovery trade when there were already 3 trades in profit for the pair. closed 2 hours later with a 58 pip loss. I have stopped testing the EA at this point, since That one mistake wiped out all the profits from 2 basket closes.
  • #740
  • Edited Feb 2, 2011 5:49am Feb 1, 2011 10:24pm | Edited Feb 2, 2011 5:49am
Cutting Trades

After a good deal of multi demo accounts testing ( albeit only a short period ) I am summarising here what I have found to date
I will be repeating myself from previous posts, but wanted to get this together in one post to make it clear what I have been doing

The results I am reporting are for one account only ( the most productive ) though I have had success with all different account leverages I have tried it on

I am using Phantom6_01xR for no other reason than it often places several trades at each minute check, as opposed to other versions which place only one trade, which speeds up the process to closure .... this has proven so far to be a positive factor

There is absolutely no reason this will not work on any of the Phantom ea versions, different account leverages, including restricted 50:1 USA accounts

The Idea

A quote from my first post ( post 567 )

“ This latest test started out quite nicely ( as many of my tests have ) closing 7 baskets with minimal DD and margin use and only a small number of cut loss closures per basket ..... but currently is in a basket where it has 32 open trades and has so far had 23 cut loser closures. Margin has been as low as 310%, current balance is some 60% down, max floating DD 10%

As far as recovering from seemingly hopeless situations is concerned Frazerds demos have shown this is possible .... but these are ‘ don’t care what happens really ‘ demos ... in all honesty would anyone trading this in a live situation be able to sit, watch and let this happen ..... I doubt it, and other posts on this thread seem to confirm it

To use the broker’s auto margin closure as part of the strategy was I believe never intended or envisaged as even possible
As we know not all brokers treat margin calls the same way, so allowing margin to reach 100% and letting the broker close out biggest losing positions for us is not always an option
Having a broker close all losing positions at 100% margin is simply not a plan
In any event reaching the above situations would mean the trade has been allowed to get out of control and we would all likely be in intensive care !

But to use the ea as currently coded and intended the whole point is to let it run its course to reach an outcome .... bust or small profit ..... risking everything for a small gain in balance
The only absolute fact I have ever realised from the forex market ..... if you can imagine it, it will eventually happen, if you can’t imagine it , you are doomed before you start ! ...... leads me to say it is a certainty your account will go bust at some point with this/these ea’s in their current form .......................

To continue to let a basket trade itself out to a profit and have some ‘ comfort ‘ ( huh ! ) so as not to panic and close a basket at loss, depends on maintaining sufficient balance, margin availability and of course having big balls !
It seems an obvious starting point is to better protect these areas ( especially your balls J ) at an earlier stage in the trade rather than wait for things to get out of control “

I have since that post being looking for a way to make the ea more palatable for use in real world, real emotions LIVE trading situation

Quote from my post 608

“As I have said before, I believe the need to preserve margin availability is essential if we are to ensure we can continue to trade during the extended basket periods
This to me suggest we either stop adding biggest winners at some point .... not in the best interests of the basket
Or we remove ‘ redundant ‘ trades from the basket at some point
In a prolonged basket we will always reach a point where we have multiple trades of a same pair

What do I mean by ‘ redundant ‘ ?
I question the need to keep multiple open positions of the same pairs within the basket when they have not produced the ‘ pop ‘ at the time they were expected to ... ie when they were obviously the strongest pair

It has been said here previously that closing positions at some point may be the way to go, but the difficult part of this is which pair ( or pairs ), or combination of, would need to be closed so as not to disturb the ' balance ' of the basket
Well I do not think in the first place we ever have a ‘ balanced ‘ basket, so maybe this is not something to worry over
I also doubt it is in any way possible to answer which pair / pairs to cut as we simply do not know which of the pairs will eventually make the required move to close the basket, so again maybe this is something not to worry about “

Quote from my post 668

“ If you look at the screenshot of my current 500:1 basket, it is sorted by symbol to make it easy to see how many trades there are in each pair
( because recovery is set to true for testing here there are a couple of hedge trades in there )
I know this is an extreme test as far as MMTU etc, but just ignore that here and concentrate on the pairs and Margin

the Margin Level is at 175%
I will get a margin call at 100% and with this broker ( Alpari UK ) they will close ALL my losing trades .... not the best broker to run this ea with
OK, if this happens I will not lose the whole account, just all profits and a slice of balance

As it is now the Balance is fine, Equity is not dangerously depleted, Free Margin is available .... overall account is not yet in any real danger , EXCEPT because of the Margin Level %
I have said before I believe to make these ea’s safer and prolong the amount of time we have for it to do its thing we need to preserve the margin % level ( my original post 567 )

There are only 17 trades open ( discount hedge trades ), I think we have all experienced baskets with 30,40,and many more in play at any one time
Even with this small amount of trades there are open positions in all the 6 pairs, more in some than others

Firstly, do we need all these trades to produce the relatively small ‘ pop’ we need to reach the profit target ?
Many of the basket we close do so with only a small number of trades
If you look at the trades with the same symbol pairs there are instances where there is a profit and a loss trade
If you look at all trades there are more instances of one in profit and another in loss

If we agree we don’t need 30 or 40 trades to get the ‘pop’ why not reduce them when there is opportunity .... cut 2 trades when one is in profit and one in loss, ensuring a slightly higher profit, so we are always adding to the balance
I had thought originally cutting from the same symbol made sense, but having watched how this would work I now think there will be far more opportunities if we cut from any pair symbol

This way the account balance always remains proportional and increases slightly but Margin Level is replenished to ensure we do not get the margin call and ensure we have margin for adding further biggest winning trades which because they are currently strong we expect to contribute most towards the ‘ pop ‘
If they don’t they may become trades to cut at a later stage “

I have since been concentrating on a way of maintaining the Margin Level
I am now of the opinion the need to selectively cut certain symbols together is not important


The method

To simplify the requirements for a cut and hence make this easy to code I have been doing the following manually :-

At 250% Margin Level I am cutting the smallest loss trade and the smallest profit trade regardless of symbol ( can be same symbol ) providing that the last added winning trade( trades ) is not cut unless there is no alternative

If there is no profit trade cut the 2 smallest losing trades ( never been the case yet )

In the posted results account the high MMTU combined with the 500:1 account results in ( relatively ) large lot sizes, this means it only takes a small price movement to reach the ProfitPct target
Of course this in turn also leads to the Margin Level reducing quicker, but as we then start to cut trades to prevent any further reduction this is not an issue.
New trades are taken every hour which are currently the best performing and hence should work best towards closing the basket
At 250% Margin Level there are still a good number of trades in the basket to contribute to a closure

By not using the Cut Loser trade parameter we do not reduce the account Balance / Equity and therefore do not need a larger overall basket profit to get a closure ... a positive factor
By not using Recovery we do not ‘ freeze ‘ a pair at a predetermined loss and hence not have it contribute to a closure and at the same time we do not reduce the Margin Level further by adding this hedge trade .... a positive factor
Not using a hedge strategy also means USA accounts are not restricted from utilising this method .... a positive factor

Settings

Alpari UK 500:1 standard account ( with 0.01 minimum lot sizes )

Phantom6_01xR
Check Minute 15
Recovery False
Cut Loser Trades False
Trading Hours True ... start 5 finish 17
MMTU 2
ProfitPct 1


Current Results

5 x 12 hour trading sessions

Closed Baskets 27
Account Profit 36%


I will continue to post updated results in the hope some capable and willing coder will modify the ea for this strategy in order it can be more intensively tested ( manual testing on a one hour system 12 plus hours every day on multiple accounts is not easy )
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