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Hanover: an auto-trader using Recent Strength

  • #221
  • Nov 1, 2011 1:22pm Nov 1, 2011 1:22pm
A bit of topic but i wondered is it possible to use the buy/sell outputs from 1 ea lets say hanover and those to trigger another ea maybe via global variables or some other way

if anyone can help that would be great
  • #222
  • Nov 1, 2011 4:43pm Nov 1, 2011 4:43pm
Quoting magft
No problem, Steve had put in most of the effort i just adapted for the system.

I have written one for LawGirl's 3-8 system, current just checking it does what it is supposed to do. I have it so we can use Hanover or AA for the trend direction and the user can choose tfs to use and all MA settings as usual.

I have also got all the MPTM features in now, i have added to the jiva34 EA as well. I have also included lot sizing, set Lot to 0 and set Risk percent.

Check them out and let me know if i have managed to introduce any bugs, i am still testing...
Thanks Magft. Will take it out for a spin

Sandy
  • #223
  • Nov 1, 2011 6:10pm Nov 1, 2011 6:10pm
Quoting Carsten
Done! I have attached the new version.
After hitting the "Start!" button or closing the program (whatever happens first) you should see a file "config.xml" appear in the same directory as the program.
A gazillion thanks. I have replaced the post 1 version with this on.

Cheers

  • #224
  • Nov 1, 2011 7:11pm Nov 1, 2011 7:11pm
Time to take things to the next level.

Newbies here rapidly become aware of the impact that major news events can have on the markets. What they are usually not aware of, is the impact that Central Bank Intervention has, and that this effect tends to be cataclysmic.

We are extremely fortunate at FF to have the benefit of advice and enlightenment from scooby-doo. Scoobs is a former trader with one of the big banks. A couple of years ago, he introduced us to the reality of intervention by the Bank of Japan. Read some details at http://www.forexfactory.com/showthread.php?t=204646, where we attempted to develop a trading robot to trade the intervention. The robot ultimately failed, but the insight a lot of us gained as part of the process was invaluable.

Put at its simplest, when a national central bank decides it is time to strengthen or weaken its currency, it has the financial clout to do so. The BOJ is especially prone to this; BOJ intervention always moves the market by hundreds of pips.

BOJ intervened yesterday morning. See the attached pic and judge for yourselves the power of the movement. We never see this kind of movement coming. If we are on the right side of it, great. If not, yuk.

Ths Swiss decided the Swissy was too strong a few weeks ago and intervened by selling gazillions of dollars worth of the Franc; the market moved about 1200 pips in a couple of hours. Go back on, say, a gbpchf chart to 5th Sept to see the candles.

News events rarely have such a strong impact, but they can sometimes cause quite a spike. Less so than when I first started trading, but still occasionally.

It just so happens that astral sent me a pm yesterday morning about the potential for detecting such a spike in code, just as I was gawping in disbelief at the GJ overnight chart. His comments gave me an idea, so I reproduce one of my replies here to give you a feel for where my thoughts are going:

"I know you are not a coder, but am sure you can understand the logic behind building up a rolling table of tick values.

What I am thinking is this: An array holds x different values in the same variable. If TickValue stores the Bid, then TickValue[] is an array with the same name that can hold multiple values, so:

  1. TickValue[1] = 1.3978
  2. TickValue[2] = 1.3979

and so on.

So:

  1. we build up an x sized tick array. Supposing that we chose a 20 tick array stretching from the most recent tick, TickValue[20] back to TickValue[1].
  2. when the array is populated, we subtract theTickValue[1] from TickValue[20]. If the result of the calculation is > a set threshold, this fires whatever actions re require.
  3. at the 21st tick, we push TickValue[1] out of the table and move the remaining 19 back a box to make room for the latest tick.

That way, we keep a full table once it has been fully populated the first time, that can react to fast-moving changes in the market.

And then have the platform tell us that the trade context is busy.

I feel a Central Bank module coming on.

Any thoughts?

Cheers"

The attached Tick Table is a quick indi I cobbled together to perform the above calculations. Once the table is fully-populated, the indi calculates the difference between the furthest back and the most up-to-date.

From here, we can say that if the difference is > x or < -x, then something dramatic is happening in the market and some sort of action is required by our robots. This can be:

 

  1. Opening a new trade if there are none open at the moment - or even if there are open trades
  2. Closing an open and losing trade
  3. Hedging a losing trade

Knocking together a module that can go into all our ea's is easy to do. I have two questions for you guys:

 

  1. Do you have any further thoughts about all this.
  2. If we say that a massive move is underway if the market has moved by x pips over y quotes, what should the defaults be?

Attached Image (click to enlarge)
Click to Enlarge Name: first pic.gif Size: 14 KB
Attached File(s)
File Type: mq4 Tick table.mq4   3 KB | 585 downloads
  • #225
  • Nov 1, 2011 8:04pm Nov 1, 2011 8:04pm
OK. I have upset allot of poeple on FF including my friend Steve H.

The easiest way to know if a CB or the big boys are going to intervene is........

Dont srend a trade if ATR(1) > ATR)(60) on PERIOD_M1

Scoobs.
  • #226
  • Nov 1, 2011 8:37pm Nov 1, 2011 8:37pm
Quoting SteveHopwood
Knocking together a module that can go into all our ea's is easy to do. I have two questions for you guys:

 

  1. Do you have any further thoughts about all this.
  2. If we say that a massive move is underway if the market has moved by x pips over y quotes, what should the defaults be?

Yes.
First, I have a technical remark: You can implement that tick-table way more efficient. The way you do it now, you need to write (N-1) entries each time a tick comes in (where N is the number of ticks stored in the table).
If, instead of shifting, you treat the first element of the table as coming "after" the last one. The ticks here is the modulo operator (%).
The following page should explain how these circular buffers work (although what they're doing is tiny bit different):
http://www.vias.org/javacourse/chap16_04.html
Writing 20 array entries is not much, but when the ticks come in fast, it's nice to be faster.
I will post a sample mq4 file tomorrow, because I'm too tired right now.


As for the default values: we have lots and lots of data available for this to test things. Dukascopy offers tick data going back a few years.
We could let a computer run over all that data for different table sizes and thresholds, and for each set of input variables test for a few events.
For example, if the price went up (or down) afterwards for at least XX pips within YY minutes. (I cannot think of another one right now. Any ideas? If not, this alone has two variables that I could scan through. )
It's quite a lot of data, but computers a fast, so this isn't impossible. And we would have a nice matrix of statistics to use.
  • #227
  • Nov 1, 2011 8:56pm Nov 1, 2011 8:56pm
I have been looking at RoC (rate of change) indy (or volatility) for a while, low tf (eg 5min) some price movement normally occurs if RoC (1) is at least 2-3x > RoC (3) - this is empirical as I am not an accomplished programmer.... lol

But naturally I defer to scoobs, as he is a professional.... Scoobs, come on, suck it up, apologise if you feel like (though I still don't understand why everybody got upset), we all appreciate the knowledge you share!
  • #228
  • Nov 2, 2011 12:20am Nov 2, 2011 12:20am
Quoting Carsten
Yes.
First, I have a technical remark: You can implement that tick-table way more efficient. The way you do it now, you need to write (N-1) entries each time a tick comes in (where N is the number of ticks stored in the table).
If, instead of shifting, you treat the first element of the table as coming "after" the last one. The ticks here is the modulo operator (%)....
I second the notion of a circular buffer. You can update any size buffer within the same time.

I wonder if the time it takes to see N ticks might also be useful. The slope of the tick value change might tell us something. Using Dukas tick data to collect stats on both rate of change in time and rate of change in ticks would not be difficult if one can define a suitable target price change.

Also the orderbook might give a hint. But it may be that the intervening bank keeps its orders hidden..probably does. In any case, I don't think there is much historical orderbook data around to use to collect stats.
  • #229
  • Nov 2, 2011 12:29am Nov 2, 2011 12:29am
Quoting magft
No problem, Steve had put in most of the effort i just adapted for the system.

I have written one for LawGirl's 3-8 system, current just checking it does what it is supposed to do. I have it so we can use Hanover or AA for the trend direction and the user can choose tfs to use and all MA settings as usual.

I have also got all the MPTM features in now, i have added to the jiva34 EA as well. I have also included lot sizing, set Lot to 0 and set Risk percent.

Check them out and let me know if i have managed to introduce any bugs, i am still testing...
Thanks Mike. The breakeven function doesn't appear to be working.. jiva34 open close...
  • #230
  • Nov 2, 2011 3:48am Nov 2, 2011 3:48am
Quoting Carsten
Yes.
First, I have a technical remark: You can implement that tick-table way more efficient. The way you do it now, you need to write (N-1) entries each time a tick comes in (where N is the number of ticks stored in the table).
If, instead of shifting, you treat the first element of the table as coming "after" the last one. The ticks here is the modulo operator (%).
The following page should explain how these circular buffers work (although what they're doing is tiny bit different):
http://www.vias.org/javacourse/chap16_04.html
Writing...
Fantastic again. Thanks very much.

  • #231
  • Nov 2, 2011 3:50am Nov 2, 2011 3:50am
Quoting mobthehop
I have been looking at RoC (rate of change) indy (or volatility) for a while, low tf (eg 5min) some price movement normally occurs if RoC (1) is at least 2-3x > RoC (3) - this is empirical as I am not an accomplished programmer.... lol

But naturally I defer to scoobs, as he is a professional.... Scoobs, come on, suck it up, apologise if you feel like (though I still don't understand why everybody got upset), we all appreciate the knowledge you share!
Scoobs has nothing to apologise for.

Would you care to post that RoC indi?

  • #232
  • Nov 2, 2011 6:00am Nov 2, 2011 6:00am
Quoting scooby-doo
OK. I have upset allot of poeple on FF including my friend Steve H.

The easiest way to know if a CB or the big boys are going to intervene is........

Dont srend a trade if ATR(1) > ATR)(60) on PERIOD_M1

Scoobs.
Scoobs, thanks for the input. I have just been looking at last Friday using this and it definitely looks promising and every easier to include as a filter. I am sure we can use this as a way to stay out of bad trades.

I have been looking into CB intervention and there are alot of academic papers on the subject that have come up with methods to determine if secret interventions occur, though the maths is very heavy and i am not sure it would help as it seems to be very subjective. Google makes finding research so much easier than when i did my PhD, in fact i was one of the first people i knew that used google at uni 10-11 years ago.

I will look to implement this in the currency index ea i am working on at the weekend.

jiva34 i have pm'ed you about the ea.

Mike
Attached Image (click to enlarge)
Click to Enlarge Name: cb intervention.gif Size: 21 KB
  • #233
  • Nov 2, 2011 7:06am Nov 2, 2011 7:06am
Quoting magft
Scoobs, thanks for the input. I have just been looking at last Friday using this and it definitely looks promising and every easier to include as a filter. I am sure we can use this as a way to stay out of bad trades.

I have been looking into CB intervention and there are alot of academic papers on the subject that have come up with methods to determine if secret interventions occur, though the maths is very heavy and i am not sure it would help as it seems to be very subjective. Google makes finding research so much easier than when i did my PhD,...
Hi Magft,
After reading and digesting everything Scoobs has written here on FF for the last couple of years, I’m sure he would agree that this is not just a filter but also an excellent scalpers news event trade trigger on charts up to H1….

Have a great day

whip
  • #234
  • Nov 2, 2011 9:26am Nov 2, 2011 9:26am
Latest update to the Hanover EA in post 1. Details in the Updates not in the user guide section.

  • #235
  • Nov 2, 2011 9:56am Nov 2, 2011 9:56am
Quoting scooby-doo
OK. I have upset allot of poeple on FF including my friend Steve H. The easiest way to know if a CB or the big boys are going to intervene is........Dont srend a trade if ATR(1) > ATR)(60) on PERIOD_M1
Scoobs.
Thank you very much indeed Scoobs. You have always guided us and given us an insight into the commercial world of forex.

Thanks very much for the above information, I have loaded the ATR settings on the chart and for sure it does highlight CB interventions as well as other temporary spikes in the price action. The above formula can have wide use in variety of trading systems and EAs. However, it is a bit too general for what we were discussing. The general idea was to have a mechanism to identify CB interventions as well as other super and high impact news stories which lead to big spikes in the price. The only way I can think of how this could be done is by identifying price moves by X amount of pips (say above 30 to 50 pips) in M1 TF.

Kind Regards
  • #236
  • Nov 2, 2011 10:09am Nov 2, 2011 10:09am
Quoting tebis
Hi Mike,
I started EA this afternoon. 3 trades 3 winners in 2 hours!
Hi, What timeframe are you getting do you get your hanover confirmation from? are you using 1:4?
  • #237
  • Nov 2, 2011 10:42am Nov 2, 2011 10:42am
Quoting magft
No problem, Steve had put in most of the effort i just adapted for the system.

I have written one for LawGirl's 3-8 system, current just checking it does what it is supposed to do. I have it so we can use Hanover or AA for the trend direction and the user can choose tfs to use and all MA settings as usual.

I have also got all the MPTM features in now, i have added to the jiva34 EA as well. I have also included lot sizing, set Lot to 0 and set Risk percent.

Check them out and let me know if i have managed to introduce any bugs, i am still...
Hi magft. Are the LAWGIRL EA defaults for M15:H1? I'm getting a bit confused by the MA's TFs inputs

Setting it up with Hanover filter H1 with slope2
  • #238
  • Nov 2, 2011 11:57am Nov 2, 2011 11:57am
Quoting acostafulano
Hi magft. Are the LAWGIRL EA defaults for M15:H1? I'm getting a bit confused by the MA's TFs inputs

Setting it up with Hanover filter H1 with slope2
They look to me to be :

MaTf is set for what timeframe chart you have placed the ea on,( MaTf=0) he said drop it on the (longer) 1 hr chart so it would be 1 hr if setting is 0. (which means current chart timeframe) and you have placed the EA on a 1 hr chart.

the MaTF2 is set for 15min.. MaTF2 = 15
  • #239
  • Nov 2, 2011 1:08pm Nov 2, 2011 1:08pm
New toy, guys. http://www.forexfactory.com/showthre...34#post5096034

  • #240
  • Nov 2, 2011 2:00pm Nov 2, 2011 2:00pm
Quoting acostafulano
Hi, What timeframe are you getting do you get your hanover confirmation from? are you using 1:4?
Hi,
I use it OOTB - TF M5. I installed it in the same MT directory, where I use Hanover EA.
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