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Daily Break Strategy

  • #161
  • Jun 13, 2012 7:25am Jun 13, 2012 7:25am
Quoting lemna
Thanks Deathbait, I will check it out.

I don't know much about EAs. Are you hoping to improve it eventually so it position sizes automatically?
Position sizing is easy to do. I'm more concerned about the EA following the rules properly.
  • #162
  • Jun 13, 2012 7:27am Jun 13, 2012 7:27am
Great, I'll set it up tonight and report back soon.
  • #163
  • Jun 13, 2012 11:11am Jun 13, 2012 11:11am
Don't have time to go through the code to fix it now, but here's the current TODO list

1) fix lot sizing. Lemma's right, that's just lazy/sloppy
2) slight error in boxing the day's high/low. Shift error
3) code doesn't take into account bars generated over weekend. Overall, Monday trading is iffy. That's why its disabled. Suspect even the manual order placing via global variable is very wrong.
4) close orders on Friday before close. Need confirmation on whether to let it ride the weekend. Currently unsure of basber's stance on this point.
5) create array to track trades that carry over next day. Need clarification with what to do with them. For eg, if tp 1 is hit on day 2, do I still move sl to be, or just exit whole trade?

Will see what I can do about these things tommorrow. In meantime, if bashed can chime in on points 4 and 5, it would be very helpful.
  • #164
  • Jun 13, 2012 1:05pm Jun 13, 2012 1:05pm
Dear All,

Some time ago I posted a back test which Basber linked to on the front page.

Please accept my sincere apologies, but I just found that there was an error in the excel I used that inflated the size of the winning trades.

Therefore, although my revised test shows the system has still been profitable over the last 4 years, the profitability, expectancy, % of winning months etc. are all significantly less than as stated in the backtest I posted.

I have calculated some revised numbers but I realised I also made another error. Basber said that when TP2 is hit, you cancel the reversal trade. What I had not thought through about this is, suppose you make BE on the breakout trade, but then the price goes back to hit TP2. It is now my understanding that you cancel the reversal trade, even though you did not actually get that TP2. I realised this today when it happened.

I am not going to manually go through 4 years of data again to find the days where this happened. If anyone wants to tell me the days when this happened, I will happily publish an amended back test.

Once again, I apologise, though I think the system has made money since I published the back test.
  • #165
  • Jun 13, 2012 10:42pm Jun 13, 2012 10:42pm
fixed some stuff:

//v0.11 changelog
//1)added trading_in_progress to track open trades and disable manage_orders() when no more trades are pending/open
//2)fixed shift error in calculating previous day high/low
//3)fixed lot sizing
//4)fixed 2nd entry orders so they don't duplicate


//TODO:
//-monday orders
//-close trades on friday close
//-track orders that carry over to next day


If any of you tried the demo today, you will no doubt see that the EA tries to delete orders that don't make sense, and duplicate some. Hopefully this has been fixed.

You can test the demo by setting the daystart variable to the current hour and let it start taking orders immediately. That's what I've been doing, but I don't really have much time to test it(at work lol). What this will do is, the EA will take the current hour as the start of the day, and bracket out the high and low of last 24 hours, and take trades from there.
Attached File(s)
File Type: mq4 daily breakout by basber v0.11.mq4   8 KB | 290 downloads
  • #166
  • Jun 13, 2012 11:30pm Jun 13, 2012 11:30pm
some of you must be puzzled why it does wacky stuff when you're putting it on your charts. Short answer is, I goofed, and it only worked on 1H timeframe. Fixed that, now it draws a box for good measure.

V0.12 changelog
1) added box for ease of visual confirmation of prev 24 hour high/Low
2) fixed bug so now it can be used in any time frame
Attached File(s)
File Type: mq4 daily breakout by basber v0.12.mq4   9 KB | 347 downloads
  • #167
  • Jun 14, 2012 12:07am Jun 14, 2012 12:07am
Quoting deathbait
some of you must be puzzled why it does wacky stuff when you're putting it on your charts. Short answer is, I goofed, and it only worked on 1H timeframe. Fixed that, now it draws a box for good measure.

V0.12 changelog
1) added box for ease of visual confirmation of prev 24 hour high/Low
2) fixed bug so now it can be used in any time frame
Your effort is immensely appreciated and I am keeping an eye on your EA.
  • #168
  • Jun 14, 2012 12:54am Jun 14, 2012 12:54am
basber, can you confirm for me 2 rules in your system?

1) do we close all trades at end of friday?
2) when our first entry hits(for eg, buy), do we remove the opposite first entry(the sell)?
  • #169
  • Jun 14, 2012 1:22am Jun 14, 2012 1:22am
Quoting deathbait
I JUST wrote an EA for this.

It's probably full of bugs, and won't be ready to trade live for a while. Still, if any of you would mind helping me test this on demos, I'm sure I can sniff those bugs out much faster.


inputs:

maxrange : maximum daily range that we will trade. default : 1700(170 pips)

lots : size of lots to trade. If you want to trade 1 lot, please put in 0.5 as this EA opens 2 orders.

magicnumber : self explanatory. make sure it's unique.

daystart : this is the hour showing on your broker at 0GMT.

buffer : default is 30. This...

Quoting deathbait
basber, can you confirm for me 2 rules in your system?

1) do we close all trades at end of friday?
2) when our first entry hits(for eg, buy), do we remove the opposite first entry(the sell)?
Hi DB,

Thank you for putting your time into this. I will test the EA ASAP. About your questions, the answer to both is "no". But sometimes I remove the orders when the volume goes very thin after US session, but in the basic form of this strategy, you should keep the orders till the next day.

Regards,
Basber
Trading methods are designed to put the odds in our favor, not predicting.
  • #170
  • Jun 14, 2012 1:26am Jun 14, 2012 1:26am
Quoting lemna
Dear All,

Some time ago I posted a back test which Basber linked to on the front page.

Please accept my sincere apologies, but I just found that there was an error in the excel I used that inflated the size of the winning trades.

Therefore, although my revised test shows the system has still been profitable over the last 4 years, the profitability, expectancy, % of winning months etc. are all significantly less than as stated in the backtest I posted.

I have calculated some revised numbers but I realised I also made another error. Basber...
No worries Lemna,

Is it possible that you share the results so that I could put it in first post so others could use it ? I want someone else test it too, instead of just my comments on results ...

Regards,
Basber
Trading methods are designed to put the odds in our favor, not predicting.
  • #171
  • Jun 14, 2012 1:39am Jun 14, 2012 1:39am
Quoting deathbait
some of you must be puzzled why it does wacky stuff when you're putting it on your charts. Short answer is, I goofed, and it only worked on 1H timeframe. Fixed that, now it draws a box for good measure.

V0.12 changelog
1) added box for ease of visual confirmation of prev 24 hour high/Low
2) fixed bug so now it can be used in any time frame

Few things till now :

1) Second Entries did not applied.
2) After TP1 hit, SL should be placed at openning price (SL @ BE)
3) Is it possible that if price opened within the high and low of friday, then orders on monday will be placed ? I mean is it possible for the software to detect the gap ? (I think it's possible)
4) Some errors are in the picture.
5) Does it adjust the volume of trade to SL and %Risk or it still trade with consistant volume ?

I still didn't check the levels. I will soon.

Thanks again.

Regards,
Basber
Attached Image (click to enlarge)
Click to Enlarge Name: ea1.jpg Size: 150 KB
Trading methods are designed to put the odds in our favor, not predicting.
  • #172
  • Jun 14, 2012 1:54am Jun 14, 2012 1:54am
Quoting Basber
Few things till now :

1) Second Entries did not applied.
2) After TP1 hit, SL should be placed at openning price (SL @ BE)
3) Is it possible that if price opened within the high and low of friday, then orders on monday will be placed ? I mean is it possible for the software to detect the gap ? (I think it's possible)
4) Some errors are in the picture.
5) Does it adjust the volume of trade to SL and %Risk or it still trade with consistant volume ?

I still didn't check the levels. I will soon.

Thanks again.

Regards,
Basber
haha you're right

you found some errors before i could publish the new code to cover my ass=)

here it is:

V0.13 changelog
1) using experimental trade context catches from steve to send orders to avoid trade context errors when placing trades using multiple pairs with this EA
2) changed global var name to be more intuitive.
3) fixed range bug
4) fixed high low bug introduced in v0.12
5) changed rules to follow basber's clarification


Alot of the bugs have been silly and a direct result of the rushed work yesterday. Hopefully from here on out, only the really weird ones are discovered.
Attached File(s)
File Type: mq4 daily breakout by basber v0.13.mq4   18 KB | 324 downloads
  • #173
  • Jun 14, 2012 2:06am Jun 14, 2012 2:06am
Quoting deathbait
haha you're right

you found some errors before i could publish the new code to cover my ass=)

here it is:

V0.13 changelog
1) using experimental trade context catches from steve to send orders to avoid trade context errors when placing trades using multiple pairs with this EA
2) changed global var name to be more intuitive.
3) fixed range bug
4) fixed high low bug introduced in v0.12
5) changed rules to follow basber's clarification


Alot of the bugs have been silly and a direct result of the rushed work yesterday. Hopefully from here on...
No worries DB, your work is appreciated. It'll become bug free soon

In version 0.13 orders are not placed right. I think you changed some lines in codes in wrong way. Still no second entries, no changing SL to BE , constant volume , ...

Regards,
Basber
Attached Image (click to enlarge)
Click to Enlarge Name: ea3.jpg Size: 142 KB
Trading methods are designed to put the odds in our favor, not predicting.
  • #174
  • Jun 14, 2012 2:07am Jun 14, 2012 2:07am
you are absolutely correct sir.

I changed the way some modifies are made and now i've broken what worked. Working on it
  • #175
  • Jun 14, 2012 2:16am Jun 14, 2012 2:16am
Quoting deathbait
you are absolutely correct sir.

I changed the way some modifies are made and now i've broken what worked. Working on it
Trading methods are designed to put the odds in our favor, not predicting.
  • #176
  • Jun 14, 2012 2:41am Jun 14, 2012 2:41am
v0.14 changelog
1) removed previous day rectangle that was used for testing and left in unintentionally
2) fixed major bug where orders are cancelled right after they are placed
3) fixed(hopefully) moving stoploss to BE after TP1 hits

crossing my fingers!
Attached File(s)
File Type: mq4 daily breakout by basber v0.14.mq4   19 KB | 329 downloads
  • #177
  • Jun 14, 2012 2:55am Jun 14, 2012 2:55am
Quoting deathbait
v0.14 changelog
1) removed previous day rectangle that was used for testing and left in unintentionally
2) fixed major bug where orders are cancelled right after they are placed
3) fixed(hopefully) moving stoploss to BE after TP1 hits

crossing my fingers!
Picture ...

P.S. : Keep up the good work DB.

Regards,
Basber
Attached Image (click to enlarge)
Click to Enlarge Name: ea4.jpg Size: 179 KB
Trading methods are designed to put the odds in our favor, not predicting.
  • #178
  • Jun 14, 2012 3:24am Jun 14, 2012 3:24am
Quoting deathbait
fixed some stuff:

.
.
.
.

You can test the demo by setting the daystart variable to the current hour and let it start taking orders immediately. That's what I've been doing, but I don't really have much time to test it(at work lol). What this will do is, the EA will take the current hour as the start of the day, and bracket out the high and low of last 24 hours, and take trades from there.
You can easily test it with "strategy tester". It shows you the bugs in short time and you can have access to all kind of entries and check them.
Trading methods are designed to put the odds in our favor, not predicting.
  • #179
  • Jun 14, 2012 3:27am Jun 14, 2012 3:27am
kinda stuck in the office with a netbook that almost burst into flames the last time i tried it.
  • #180
  • Jun 14, 2012 4:00am Jun 14, 2012 4:00am
Quoting deathbait
kinda stuck in the office with a netbook that almost burst into flames the last time i tried it.
No rush, make it done when you have time DB.

Regards,
Basber
Trading methods are designed to put the odds in our favor, not predicting.
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