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Brijon Concept of Threes auto trading robot by Steve Hopwood

  • #501
  • Mar 2, 2011 1:53am Mar 2, 2011 1:53am
Quoting hndymann
Steve,

Why are buy and sell triggers looking at the month candle close in relation to the previous high?

if (Ask > Phigh && iClose(NULL, PERIOD_M1, 1) > Phigh && tradedirection == up && TradeLong && Copen > Popen)

Maybe I'm confused...
PERIOD_M1 is the 1 minute chart. Monthly is PERIOD_MN.

I cannot remember why I included this check. Probably to ensure a clean break of the previous hi/lo on the M1 chart. This is probably irrelevant and can be stripped out.

  • #502
  • Mar 2, 2011 2:09am Mar 2, 2011 2:09am
Quoting hndymann
Please correct me if I'm wrong but in the GetTradeDirection() function we have:

[code]
if (UseVolume)...
Cheers. That is one of my logic failures.


Quote
And after playing with it some more, i think the middle && statement should be removed to read like this:

Inserted Code
if (UseVolume)
   {
      if (tradedirection == down && DownTicks - UpTicks < MinTicksDifference) tradedirection =  none;
      if (tradedirection == up && UpTicks - DownTicks < MinTicksDifference) tradedirection =  none;
   }//if (UseVolume)
As coded, this allows users to have a MinTicksDifference and simply demand that UpTicks should be greater than DownTicks for a buy and vice versa for a sell.

Luke has spotted an error in the code. The fix is in post 1.

  • #503
  • Mar 2, 2011 2:22am Mar 2, 2011 2:22am
Quoting dryclean
Steve or anyone

I'm looking for a setting that will set the SL to the opposite square line

What does the setting in the ea mean
sli="----Stop loss----";
extern bool UseStopLoss = false;
extern string slii="Leave at...
This was impossible, so I have added the function.

You will see that I have changed the name of the input so it is more descriptive, and added one to the stop loss section - UseSquareForStopLoss. This will allow you to do what you want.

Update in post 1.

  • #504
  • Mar 2, 2011 2:34am Mar 2, 2011 2:34am
Quoting hndymann
Let me explain this better. I want to store 15 minutes of ticks. All I need is TickUp[0min, 5min, 10min, 15min] and TickDown[0min, 5min, 10min, 15min]. Once the 0min candle is finished, the sum of 0, 5 and 10 would then continue on as the new tick count for the next candle open. This way we will not loose the value of ticks at each new candle.

Does this make sense? Maybe not.. but its just something I noticed and possibly a way to fix the issue.

Luke
It makes sense and is a great idea. Multi-dimensional arrays confuse me whatever language I am using to programme - logic again.

I am out today and have no time for coding. Given this and the fuzz my brain goes into when confronting mda's, do you fancy adding the relevant code yourself?

If you can, upload it here and I will replace the post 1 version when I get home tonight. If not, I will bat my eyes at squalou.

  • #505
  • Mar 2, 2011 3:11am Mar 2, 2011 3:11am
Quoting astral77
HI Steve

[color=black][font=Verdana]Please do not do that, there are a large number of us (the silent majority) who are benefiting from the developments here. Unfortunately, some people can not comprehend how trading successfully comes so naturally to some traders such as Brain and they react in an inappropriate manner. Instead of emulating the successful approach (which is quite hard and takes lots of effort), they choose to ridicule it and be sarcastic (which is very easy and effortless). You have a reputation...
I was a bit irritated last night. Posters of rubbish forget that the OP has to read it; I wanted to give the drivel posters chance to quieten down rather than ban them outright. If they did not stop, I was going to open a new thread to make a fresh start. This does not appear to be necessary.

  • #506
  • Mar 2, 2011 4:08am Mar 2, 2011 4:08am
Will post more tommoro going to sleep up over $400 for the day drawdown under 2% current

thank you steve great semi auto
Attached Image (click to enlarge)
Click to Enlarge Name: cylic time 3mw acd now.jpg Size: 128 KB
  • #507
  • Mar 2, 2011 5:04am Mar 2, 2011 5:04am
Quoting SteveHopwood
This was impossible, so I have added the function.

You will see that I have changed the name of the input so it is more descriptive, and added one to the stop loss section - UseSquareForStopLoss. This will allow you to do what you want.

Update in post 1.

Thanks Steve
will give it a whirl
  • #508
  • Mar 2, 2011 6:42am Mar 2, 2011 6:42am
Quoting SteveHopwood

If you can, upload it here and I will replace the post 1 version when I get home tonight. If not, I will bat my eyes at squalou.

Array's make my head spin as my coding skills are very weak. Maybe it has something to do with my ability to be creative. I will have to say my skills are not good enough for this task.

Luke
  • #509
  • Mar 2, 2011 6:45am Mar 2, 2011 6:45am
Quoting SteveHopwood
PERIOD_M1 is the 1 minute chart. Monthly is PERIOD_MN.

I cannot remember why I included this check. Probably to ensure a clean break of the previous hi/lo on the M1 chart. This is probably irrelevant and can be stripped out.

Oops, sorry. I was thinking M1 was month for some reason... Brain fart.
  • #510
  • Mar 2, 2011 6:47am Mar 2, 2011 6:47am
Quoting SteveHopwood
Cheers. That is one of my logic failures.



As coded, this allows users to have a MinTicksDifference and simply demand that UpTicks should be greater than DownTicks for a buy and vice versa for a sell.

Luke has spotted an error in the code. The fix is in post 1.

I think you copied and pasted the wrong box in your update.
  • #511
  • Mar 2, 2011 7:14am Mar 2, 2011 7:14am
Quoting castlebrook
Do you have any open trades?

If not what is your criteria for closing losers?

Thanks
Hi Brian,
Thanks for your reply but the question was for Arbinka not you as you can see in the post. You had already provided your replies elsewhere. It was just a question of how he closed trades and what kind of open DD does he have. It is the first time I'd seen him post results so I thought I'd ask him. He did not reply anyway. It would have been good research though.

This is useful information to move forward with.
  • #512
  • Mar 2, 2011 9:28am Mar 2, 2011 9:28am
Quoting SteveHopwood
If not, I will bat my eyes at squalou.
Hello my Dear

Thanks Luke for bringing this up.
That was a nice little coding challenge...

So the idea is to handle the Ticks as an "Indicator buffer":
an Indicator "buffer" is basically a array on which each new bar "pushes" the oldest bar out of the "buffer" so that buffer[0] is always the "current" value;

I have coded that indicator buffer logic as a generic function -- UpdateBuffer().

The Up and Down Ticks are now counted into simulated "M1 buffers" of VolumeTickCountPeriod minutes depth (60 as default);
Each entry in the buffer holds the tick count for 1 minute.
buffer[0] contains the currently "building" minute count (and therefore "repaints" );
buffer[1] holds the passed minute count (and does NOT repaint ),
etc.

UpTicks and DownTicks are now simply the sum of all "M1 bars" in the buffers, i.e. it is always the sum of Ticks over the last 60 minutes (when VolumeTickCountPeriod is 60).
Every new minute will push out the oldest minute of buffer data, so we only loose the oldest minute of "ticks history".

Other changes:
- i have updated the upticks/downticks filter as per Luke suggestion;
- the "comment" now shows the currently open trade TicketNo and upl.



Coding note:
- the generic buffer function logic could allow to use a buffer granularity shorter than M1: we could actually handle a buffer of per-second or per-10-seconds counts instead of per-minute for instance;
This way we could simulate 10-seconds "bars" like Oanda provides (and perhaps MT5?)...
UpdateBuffer() uses the regular MT4 "PERIOD_XX" values, where 1=PERIOD_M1.
We could easily change the "timeframe" argument to handle shorter periods (expressed in seconds rather than minutes).
That way we could have a much more precise granularity than just M1.
I don't think we need this for the current use, but that was just to let you know it is possible.


Sq
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File Type: mq4 Brijon Concept of Threes auto trading robot by Steve Hopwood.mq4   70 KB | 441 downloads
  • #513
  • Mar 2, 2011 10:36am Mar 2, 2011 10:36am
Hi Guys, just a observation, i have been running the ea and the various evolvments of it for 2 weeks now, when i see Brijon's trades i think wow winner after winner and from his dd relitivley little under 10% OK to the point when looking at his trading i notice the majority trades are 1 hr or less with many 30min or less - this is in line with what is essentially a scalping system - I am aware of the cycle of loss-profit-loss and some trades will need to develop but my owm large drawdown trades are open for days -

Is it an idea to filter trades and close them after a preset time ie 59min - i understand this willl cut back on the winning trades but will also from my own observations cut down significantly the big lossers. Just a thought perhaps we can do more data review of this
  • #514
  • Mar 2, 2011 11:09am Mar 2, 2011 11:09am
Quoting squalou
Hello my Dear

Thanks Luke for bringing this up.
That was a nice little coding challenge...

So the idea is to handle the Ticks as an "Indicator buffer":
an Indicator "buffer" is basically a array on which each new bar "pushes" the oldest bar out of the "buffer" so that buffer[0] is always the "current" value;

I have coded that indicator buffer logic as a generic function -- UpdateBuffer().

The Up and Down Ticks are now counted into simulated "M1 buffers" of VolumeTickCountPeriod minutes depth (60 as default);
Each entry in...
Wow, great work Sq! I think reading every second would be going overboard for what we are looking at with the ticks
  • #515
  • Mar 2, 2011 12:19pm Mar 2, 2011 12:19pm
super input ill try it out later when i have time

remember today at 5pm newyork time the run up can generate sales on high interest currencys so the day before the roll over is a time for looking into this

eg now puy the pull back of price on AUDUSD OR THE SELL ON EURAUD EG

GO TO YOUR MT4 MARKET WATCH CURRENCY /SYMBOL/ PROPERTYS

THERE YOU WIKLL SEE INTEREST ON LONGS AND SHORTS OF EACH CURRENCY PAID BY YOUR BROKER

FROM BRIAN
  • #516
  • Mar 2, 2011 12:27pm Mar 2, 2011 12:27pm
al ready took scalp on pull back audusd waited till pull back put another long on audusd

i ea trade taken already sell usdchf over night profit &121.97

mechanical trading audusd for run up long for tripple swap

busy time today

plenty of easy quick trades now on i think

have fun

from BRIAN
  • #517
  • Edited 1:37pm Mar 2, 2011 1:13pm | Edited 1:37pm
I have just find out about High-frequency-trading in forex (and all others markets) !!!!
"golden network " etc......

so what do you think about it !!!
how we can respond to the banks/brokers = criminals and their super computers ( dark pools) ??? put it simple all of them will trade against retail traders (us) HFT+ banks+ brokers

btw....bot had black day just DD....

cheers

ps/ but The Beast is always cool and Nanningbob V5



A new report from Aite Group entitled, “High-frequency trading in FX: Open for Business” examines the presence of high-frequency trading in the global FX market, providing details on the changing market dynamics of the last three years and analyzing the evolving bank-to-high-frequency-trading relationship.
The introduction of EBS Prime and Ai into the non-bank community triggered the floodgate to high-frequency trading in FX. Despite the influx of high-frequency trading flow, the banks still maintain enough market clout to hold onto their competitive edge. In fact, the FX market remains very much a two-tiered market; single bank platforms tend to interact against customers who can be perceived either as less sophisticated or less sensitive to explicit transaction costs (i.e., willing to take wider spreads to get the trades done). On the other hand, most high-frequency trading is occurring on FX ECNs. While the liquidity ultimately comes from banks, this two-tiered approach has enabled banks to be more efficient in trading against different types of end customers.
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Another important thing to note is that high-frequency trading in FX is not driven entirely by independent low latency proprietary shops or hedge funds. In fact, most of the global FX banks have either acquired or developed robust low latency FX prop desks to compete in the marketplace and account for a significant percentage of the overall high frequency market share.
While the banks have gone through a series of consolidations, leading to fewer banks making markets, the FX market continues to evolve with new types of customer segments beyond the traditional corporate and asset manager customer base. Since 2002, actively trading hedge funds and proprietary trading firms have made a huge impact in the FX market, driven by a robust IT infrastructure and development of automated trading strategies.
In fact, some would argue that the large FX banks learned a painful lesson between 2002 and 2006, driven by latency arbitrage strategies in the first wave of high-frequency trading firms. As a direct consequence of this experience, the banks initiated massive overhaul of their trading infrastructure, not only focusing on drastically lowering latency levels within the single bank platforms, but also on developing more efficient pricing engine and internalization capabilities to better manage their risk books against different types of customer segments. It was also during this time that the banks decided to kick out those high-frequency trading firms whose relationships they deemed unprofitable.
Since 2008, however, banks and certain segments of the high-frequency trading community are attempting to peacefully co-exist. As banks continue to increase their internalization efforts, potential liquidity from high-frequency trading firms has become more attractive. On the other hand, high-frequency trading firms have come to realize that banks have a vital position in the FX market; in order to ensure continued success, co-opetition has become a competitive necessity.
FX high-frequency trading is poised to grow quite rapidly over the next few years, as the first-generation high-frequency trading firms are joined by an influx of next generation equity and futures high-frequency trading firms looking to capture uncorrelated alpha in FX. At the end of 2009, high-frequency trading accounted for approximately 25% of overall trade volume. This figure is expected to hit more than 40% by the end of 2012.
In recent months, several traders from major banks have left to start their own firms, taking with them not only their quantitative skills, but also their market structure knowledge, which could potentially pave the way for the next phase in high-frequency trading, in which non-bank trading firms play a larger role in liquidity provision. The first round may be over in FX high-frequency trading, but many more remain before the real winners can be determined in this rapidly evolving marketplace.
  • #518
  • Mar 2, 2011 1:44pm Mar 2, 2011 1:44pm
High Frequency Trading in FX: Open for Business
High Frequency Trading Accounted For Approximately 25% Of Overall Trade Volume At The End Of 2009, And Will Rise To More Than 40% By Year-End 2012.

Boston, MA, April 26, 2010 – A new report from Aite Group examines the presence of high frequency trading in the global foreign exchange (FX) market, provides details on the changing market dynamics of the last three years, and analyzes evolving bank-to-high frequency trading relationships. It also profiles leading execution venues that play a vital role in facilitating high frequency trading in the FX market.



FX high frequency trading is poised to grow quite rapidly over the next few years as first-generation high frequency trading firms are joined by an influx of next-generation high frequency trading firms looking to capture new opportunities in FX. In addition, new high frequency trading firms have emerged in recent months, formed by FX quants and traders who have left large banks looking to capture new opportunities on the other side of the market. High frequency trading accounted for approximately 25% of overall trade volume at the end of 2009, a figure that is expected to hit more than 40% by year-end 2012.

"To date, the industry has mostly focused on high frequency trading in the equity market, often ignoring the fact that high frequency trading has moved well beyond trading cash equities," says Sang Lee, managing partner with Aite Group and author of this report. "After close to a decade of existence characterized by novelty, euphoria, anger, denial, and acceptance, high frequency trading has carved up an important presence in the global FX market, creating more competition and efficiency."

The execution venues profiled in this report include CME Group, Currenex, FXall, Hotspot FX, ICAP (EBS), and Thomson Reuters.
  • #519
  • Mar 2, 2011 1:57pm Mar 2, 2011 1:57pm
Quoting squalou
...
I have coded that indicator buffer logic as a generic function -- UpdateBuffer().
Sq

Thanks for this, it's huge for me a mql4 copy/paste user. It could lead to understand the direction of any price/indi to confirm the trade decisions. Where is that mtf rsi ea, it's somwhere...
  • #520
  • Mar 2, 2011 1:58pm Mar 2, 2011 1:58pm
nice article confirms to me logic trading lots of trades iis fast low profits lots of trades

mamagement of accounts is the way to go the ea is only for me an entry possiblity

the real trading starts from there

with logic trading dont know what yiou mean high drawdown over night
maybe im lucky having non us bro help if you know how to use the advantage


FROM BRIAN

PS US NON US BROK HAVE MASSIVE ADVANTAGES
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