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Phantom 6 System

  • #1,321
  • Apr 16, 2011 9:02am Apr 16, 2011 9:02am
0.075 PP is +6.15%, but floating loss is $1952, max DD is 38.6%
http://www.myfxbook.com/members/them...b-041-pp/99464
http://i56.tinypic.com/2wnsfew.jpg

2.0 PP is +24.19%, but floating loss is $2201, max DD is 37.79%
http://www.myfxbook.com/members/them...b-041-pp/99466
http://i55.tinypic.com/111uvsk.jpg

I'm sorry but I'm shutting down these tests I'm running out of resources on my VPS. I think we can all agree that 38% drawdown is too much to trade live. It's interesting that PP is directly linked to profitability and doesn't change risk or drawdown at all. If you want to lower risk/drawdown, you need to lower MMTU/ lot size.

Quoting TheMaxx
0.075 PP is +5.07%
http://www.myfxbook.com/members/them...b-041-pp/99464
http://tinypic.com/r/4vssvt/7

2.0 PP is +17.09%
http://www.myfxbook.com/members/them...b-041-pp/99466
http://tinypic.com/r/90rqs6/7
  • #1,322
  • Apr 16, 2011 11:34am Apr 16, 2011 11:34am
Hello guys,

sorry for my question, but my background is more on programming and much less on Forex (I started few months ago)

Despite the fact I have spent a lot of time studying forex, I never step in this "pure synthetic hedge" things.

I've got an overall idea about what it is reading part on this thread (still on page 18....but I'm catching up) but I'd like to have a deeper understanding on the topic.
Can you address me to a website/pdf/book where this topic is clearly covered? (or if you feel lik you can explain it and it does not cause you troubles you can send me a private msg).

Second question: 4 Eas are attached to first post...but I've seen many other versions in this thread. Are those the "official ones" you guys are using for tests? When you refer to 02a is that the "addsix_02a" or is there a 02a version without "addsix" options somewhere in this thread?

Sorry for the questions, I normally read the entire thread befor asking any question but I feel like I will not have a full understanding untill I totally understand what exactly a pure synthetic hedge is, and about the second question I'm keen to start testing it monday, what to start it with the right one.

A super thankyou to MT for this EA, the more I read the more get excited and what to try it. I will now go back to my readings and will pop-out only when I'll finish.

Best
Francesco
  • #1,323
  • Apr 17, 2011 12:44am Apr 17, 2011 12:44am
Quoting TheMaxx

It's interesting that PP is directly linked to profitability and doesn't change risk or drawdown at all. If you want to lower risk/drawdown, you need to lower MMTU/ lot size.
Your observation is very true. We have to squeeze maximum profit out of it when conditions are favorable as drawdown seems unavoidable and 38% is just too much.
We need some volatility indicator to know when to switch this EA on or off.
"Put all your efforts in becoming effortless"
  • #1,324
  • Apr 17, 2011 3:04am Apr 17, 2011 3:04am
Quoting IamTHAT
Your observation is very true. We have to squeeze maximum profit out of it when conditions are favorable as drawdown seems unavoidable and 38% is just too much.
We need some volatility indicator to know when to switch this EA on or off.
Uf, a volatility indicator for every pair?
  • #1,325
  • Apr 17, 2011 4:18am Apr 17, 2011 4:18am
Quoting thorn
Yes, but you would have to close it manually as well. The EA will only close the trades that it has opened.
Not only: the EA manages any trade that has the EA's same magic number.
  • #1,326
  • Apr 17, 2011 4:41am Apr 17, 2011 4:41am
Quoting morepipspls
Hi Achab,

Reading this post I´m not sure if you think it´s better to add a Trailing stop for profits. I think it is a very good idea, Do you think so?.
Hi,
yes, I do think that a trailing stop coded for the entire basket would increase the performances with same DD.


Quote
I realize that you have to set you MMTU to your investment, you usually use 0,10 lots when your investment is 8,000€, thus if you investment is for example only 1,000€, will you use only 0.01-0.02 lots? (risk adjustment)

This is the same for PP, your 0.2 PP with investment of 8,000€ is 16€, for only 1,000€ is 1.6 PP, isn´t it?.

I am not sure I have understood you properly, so I can only answer that my settings are not always the same. My setup changes on different starting balance (the more it is, the less I risk), on different leverage and on my mood, sometimes.

I also add that, even if I am already trading live, I continue to test and will continue to. The variables are so many that it's imperative to test for understanding his behavior as much as possible, imho.


Quote
And what is your opinion about new version 4.0.3. Do you think we are going to have the same results if we compare it with 2a of your test (Max DD and Profits)?

The main variations are about the graphical interface, minor about the behavior. My opinion is that the performances will be similar. But I will have a complete opinion after I will test them sufficiently, and now I have to close the old tests to make space for the new ones.


Quote
Thanks and Have a good weekend!

Good weekend to you too!
/achab
  • #1,327
  • Apr 17, 2011 5:32am Apr 17, 2011 5:32am
Quoting achab
Hi,
yes, I do think that a trailing stop coded for the entire basket would increase the performances with same DD.




I am not sure I have understood you properly, so I can only answer that my settings are not always the same. My setup changes on different starting balance (the more it is, the less I risk), on different leverage and on my mood, sometimes.

I also add that, even if I am already trading live, I continue to test and will continue to. The variables are so many that it's imperative to test for understanding his behavior as much...
Sorry for my awful explanation Achab.

I´m trying to explain my idea with my short English vocabulary. When you (Achab and TheMaxx) are talking about DD around 20-30%, it means 1500€-2000€ and you are playing with 0.08-0.10 lots. Could we think if you change your MMTU for using 0.01 lots, the MAX DD will get down to 100€-250€ levels then?.

And let think about PP, using 0.01 lots, almost all pairs pips value is more and less 0.07€. If you set up your PP to 16€ you need 228 pips in order that your basket take profits, in the other hand if you are using 0,1 lots you need only 22.8 pips for take profits!. I guess you know this issue very well but I want to adjust this setting to a reasonable value according to the volatility of every pair/basket traded.

Kind Regards
  • #1,328
  • Apr 17, 2011 3:40pm Apr 17, 2011 3:40pm
Quoting morepipspls
When you (Achab and TheMaxx) are talking about DD around 20-30%, it means 1500€-2000€ and you are playing with 0.08-0.10 lots. Could we think if you change your MMTU for using 0.01 lots, the MAX DD will get down to 100€-250€ levels then?.
If you decrease lots traded from 0.08-0.10 to 0.01, you might want to decrease PP by the same factor, say from 2% to 0.2-0.25%. Then this will be fully symmetric and DD will decrease by the same factor.

Quoting morepipspls
And let think about PP, using 0.01 lots, almost all pairs pips value is more and less 0.07€. If you set up your PP to 16€ you need 228 pips in order that your basket take profits, in the other hand if you are using 0,1 lots you need only 22.8 pips for take profits!. I guess you know this issue very well but I want to adjust this setting to a reasonable value according to the volatility of every pair/basket traded.
Correct. Regarding reasonable values - somewhere deep in this thread is a 'rule of thumb' that for 0.01 lot size you need US$3000 on deposit. Having US$30,000 it is OK trade lot 0.1. My calculations and all demo and real account experience show the same.
I'd say that US$3000-0.01 is even a moderate risk. For this MM ratio I use PP of 2%, but it might be too high. For PP, I think, it is better to use basket equity trailing stop rather than fixed level.

On my real account intended for experiments I started a modified version of Phantom_AddSix_02a exactly a month ago. I only added trailing stop of individual pairs in the basket (as described on page 73 of this thread) and changed MM system to be able to specify lot size precisely.
Started from about US$16,000 with a lot size of 0.1 and PP of 2% (a bit too risky, but anyway), it got +28% with a maximum DD of 24%.
With a moderate risk setup of lot size 0.05 and PP 1% it would be 14% profit and 12% DD.

I've just added basket equity trailing and now experimenting with it.
  • #1,329
  • Apr 17, 2011 6:44pm Apr 17, 2011 6:44pm
Quoting mcs
If you decrease lots traded from 0.08-0.10 to 0.01, you might want to decrease PP by the same factor, say from 2% to 0.2-0.25%. Then this will be fully symmetric and DD will decrease by the same factor.


Correct. Regarding reasonable values - somewhere deep in this thread is a 'rule of thumb' that for 0.01 lot size you need US$3000 on deposit. Having US$30,000 it is OK trade lot 0.1. My calculations and all demo and real account experience show the same.
I'd say that US$3000-0.01 is even a moderate risk. For this MM ratio I use PP of 2%, but...
Hi. can you post your EA version with trailing stop so we can test the performance .
Thanks in advance
Vit
  • #1,330
  • Apr 17, 2011 10:01pm Apr 17, 2011 10:01pm
Quoting xere
Uf, a volatility indicator for every pair?
Not necessarily since some days back someone posted a statistic of each pair's contribution to the profit overall and since we have only 6 pairs to consider, it may not be that difficult track it. I am trying to use offline chart from T101 method here and I will post if there is anything worthwhile.

We have a problem when the direction of market changes suddenly due to fundamental factors and we have many positions open in the opposite direction. Manual intervention is needed in such cases I suppose.
"Put all your efforts in becoming effortless"
  • #1,331
  • Apr 19, 2011 5:11pm Apr 19, 2011 5:11pm
Hi to all,

I've noticed in Phantom6_01a that the reset happen after the send of the order. So, the order, is chosen with old data.


JJ
  • #1,332
  • Apr 20, 2011 12:14am Apr 20, 2011 12:14am
Merged some of my changes to Phantom_AddSix_4.0.3.mq4. Called it version 5.

Features added:

1. Trailing stops of individual pairs (EURCHF, USDCHF and CHFJPY - 25pips, GBPUSD, GBPCHF and EURJPY - 35pips). This feature is well tested. Using
zeros for those trailing stop levels disable the trailing.

2. Trailing stop of overall account equity. TrailStopStartsPercent = 0.25 - the minimum trailing stop level in percent (0.0 would be breakeven), TrailStopPercent = 0.5 - the actual trailing stop in percent (0 would mean no trailing at all). With the default values, trailing starts when the account equity reaches +0.75% of last flat equity (0.25% + 0.5%, trailing stop will be set a +0.25%).
ProfitPct is still in use, so if you want to rely only on equity trailing stop, use an arbitrary high value for it (25% by default).
This is reasonably well tested, but not too thoroughly

3. Time when to open a new basket (doesn't affect adding trades to an already opened basket). Driven by TradeOnFriday, HourStartTrade, MinuteStartTrade, HourStopTrade and MinuteStopTrade external values. Disabled by default. Reasonably tested.

4. Alternative MM. Driven by external variables UseOriginalMMTU and MMK. Enabled by default. MMK means how many dollars to have on deposit for each dollar of the lotsize. MMK = 3.0 by default, which means every 3 dollars on deposit gives us 1 dollar of a lot used, which is 3,000.00 account = 1,000.00 = 0.01 lot (this is moderate risk, expect DD of 15% with this setting).
Well tested for standard accounts. Never tried it on mini account, but should work OK.

PrintChartComments() function is modified to show trailing stop size/level. I haven't touched GraphicalUI, so it will not show this information.

Quoting vit007
Hi. can you post your EA version with trailing stop so we can test the performance .
Thanks in advance
Vit
Attached File(s)
File Type: mq4 Phantom_AddSix_5.mq4   89 KB | 224 downloads
  • #1,333
  • Apr 20, 2011 2:59am Apr 20, 2011 2:59am
Quoting mcs
Merged some of my changes to Phantom_AddSix_4.0.3.mq4. Called it version 5.

Features added:

1. Trailing stops of individual pairs (EURCHF, USDCHF and CHFJPY - 25pips, GBPUSD, GBPCHF and EURJPY - 35pips). This feature is well tested. Using
zeros for those trailing stop levels disable the trailing.

2. Trailing stop of overall account equity. TrailStopStartsPercent = 0.25 - the minimum trailing stop level in percent (0.0 would be breakeven), TrailStopPercent = 0.5 - the actual trailing stop in percent (0 would mean no trailing at all). With...
Thanks for sharing it MCS. I´ll test it now.

Regards
  • #1,334
  • Apr 20, 2011 3:33am Apr 20, 2011 3:33am
Quoting mcs
Merged some of my changes to Phantom_AddSix_4.0.3.mq4. Called it version 5.

Features added:

1. Trailing stops of individual pairs (EURCHF, USDCHF and CHFJPY - 25pips, GBPUSD, GBPCHF and EURJPY - 35pips). This feature is well tested. Using
zeros for those trailing stop levels disable the trailing.

2. Trailing stop of overall account equity. TrailStopStartsPercent = 0.25 - the minimum trailing stop level in percent (0.0 would be breakeven), TrailStopPercent = 0.5 - the actual trailing stop in percent (0 would mean no trailing at all). With...
Hi,

I have already started the first test with this EA, unfortunately only on my laptop for now.

The settings are the same with only one change: ResetPhantomAtBasketClose=true.

I'll post the results as soon as possible.

/achab
  • #1,335
  • Apr 20, 2011 3:57am Apr 20, 2011 3:57am
Quoting achab
Hi,

I have already started the first test with this EA, unfortunately only on my laptop for now.

The settings are the same with only one change: ResetPhantomAtBasketClose=true.

I'll post the results as soon as possible.

/achab
Hi Achab,

Have you tested that "ResetPhantomatBasketClose" value is better to set it "true"?. I don´t understand the reason of use it.

I´m not using trailing stop for every pair, only for overall account. StartTS=0.2+TS=0.2 and 1.2 PP. We are playing with a basket, I think It has not sense to manage pair by pair our profit.

My test with version 4.0.3.: Max DD 9% (115,85€)-> amazing recovery.
Start Balance. 1250€. Lots. 0.01. Leverage 1:500. (Micro)

Have a nice day.
  • #1,336
  • Apr 20, 2011 4:04am Apr 20, 2011 4:04am
Quoting morepipspls
Hi Achab,

Have you tested that "ResetPhantomatBasketClose" value is better to set it "true"?. I don´t understand the reason of use it.

I´m not using trailing stop for every pair, only for overall account. StartTS=0.2+TS=0.2 and 1.2 PP. We are playing with a basket, I think It has not sense to manage pair by pair our profit.

My test with version 4.0.3.: Max DD 9% (115,85€)-> amazing recovery.
Start Balance. 1250€. Lots. 0.01. Leverage 1:500. (Micro)

Have a nice day.
Well, I agree with you because don't like the idea to trailing every pair, but I just wanted to leave untouched the MCS's settings, for a kind of respect.

The next week I'll analyze the results and will change the settings.

/achab
  • #1,337
  • Apr 20, 2011 5:11am Apr 20, 2011 5:11am
Quoting achab
Well, I agree with you because don't like the idea to trailing every pair, but I just wanted to leave untouched the MCS's settings, for a kind of respect.

The next week I'll analyze the results and will change the settings.

/achab
I would like to know your opinion about "ResetPhantomatbasketclose"= True. Why do you think it is good for this system?. Have you checked the results with this feature and it is better activate it?

Grazie
  • #1,338
  • Apr 20, 2011 6:13am Apr 20, 2011 6:13am
Quoting morepipspls
I would like to know your opinion about "ResetPhantomatbasketclose"= True. Why do you think it is good for this system?. Have you checked the results with this feature and it is better activate it?

Grazie
My opinion is that this feature is better on, but no, I didn't test it at all. At the beginning of this thread, or in the basket14 one, I remember that the coders already discussed on it and their opinion was totally for having it on.

Prego.

/achab
  • #1,339
  • Apr 20, 2011 2:40pm Apr 20, 2011 2:40pm
Ive been testing Phantom 2a version with good profit for the last 2 month
I think its has more potential If we can cod trailing stop for the last wersion Phantom_AddSix_4.0.3. Very often good profi just disapired .
If any one can cod trailing stop its will be very apresiated and we can do more testing.
Thanks in advance
Vit
  • #1,340
  • Apr 20, 2011 2:49pm Apr 20, 2011 2:49pm
Quoting vit007
I think its has more potential If we can cod trailing stop for the last wersion Phantom_AddSix_4.0.3. Very often good profi just disapired .
If any one can cod trailing stop its will be very apresiated and we can do more testing.
Look at my post #1332, please. It has Phantom_AddSix_4.0.3 with trailing stop(s).
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