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Quick and Dirty EOD

  • #501
  • Aug 19, 2012 9:48am Aug 19, 2012 9:48am
Quoting juliuy
I think you did a more advanced version than I,

Not sure if you mean an advanced version of the EA or what. If so, then no advanced version here. I don't use an EA for this, nor have I tried one. I have used EA's for other strategies, I just don't think it will be as effective as manual trading for this system.

But maybe you can make it work out for you.
  • #502
  • Aug 19, 2012 10:14am Aug 19, 2012 10:14am
Quoting spyderman
Not sure if you mean an advanced version of the EA or what. If so, then no advanced version here. I don't use an EA for this, nor have I tried one. I have used EA's for other strategies, I just don't think it will be as effective as manual trading for this system.

But maybe you can make it work out for you.
Sorry, I had in mind ExForX version of EA. I also think this strategy should be more effective as manual trading than EA. Just originally basic rules sounded quite simple, so why not to test that as an EA.
  • #503
  • Aug 19, 2012 12:07pm Aug 19, 2012 12:07pm
Quoting juliuy
I think you did a more advanced version than I, so maybe I could take yours and do some backtesting, afterwards posting the results here?
Sure have a look at it. Mine produced some profits but could be better. I downloaded the standard EURUSD history prices from my broker and has 90% modeling quality. Not 99% but that should provide us with an idea if this strategy is any good or not. The fact that it's profitable already means something to me, but as I said, could be optimized.

Not sure over-optimisation is always a good thing to do though. I also agree that some "discretion" is needed in trading but strangely enough that's frowned upon by a lot of people who believe you should always stick 100% to your trading plan. Little bit of a contradiction there, but I do whatever works for me and that's fine.

Nobody tells you to work with this EA without adding/deleting some of the positions it creates by using "discretion", right? At least that's how I like to trade: getting some system to enter the trade for me, and then I manage it from there. Some kind of semi-automatic idea.
  • #504
  • Aug 19, 2012 1:41pm Aug 19, 2012 1:41pm
Quoting ExForX
I took the liberty to take the old EA of yanyungui5 in this thread and I adapted it. Added many improvements:
[list][*]added breakeven option (true/false)[*]enable breakeven after reaching X percent of profit target[*]minprofit: when placing breakeven stop: account for spread/commission by adding "minprofit" number of pips to the stop[*]Improved readability of code, changed code structure, added comments[*]Bugfixed several logic errors[*]Run logic only once every new bar (not every new tick)[*]close order prematurely (when daily trend...
Excellent, thank you. I think at some stage I am going to get my old friend FerruFx to looks at this one. He is an awesome coder and if it can be automated exactly to the rules then he can do it.I do of course gratefully appreciate your efforts.
  • #505
  • Aug 19, 2012 1:43pm Aug 19, 2012 1:43pm
Quoting spyderman
So when you guys are testing your EA's are you running across all pairs or what?

The challenge I foresee with implementing an EA for this is the lack of trader discretion.

We're starting are trade with a favorable monthly cross to signify a trend. Problem is, in my opinion, just getting that cross doesn't equate to a trade worthy trend. You can have a pair that's in a tight range and just bouncing back and forth month-to-month.

For me I don't look to trade that pair. I guess the user could still decide whether or not to place the EA on a given...
I agree it is possible that some discretion would still be necessary.
  • #506
  • Aug 19, 2012 1:47pm Aug 19, 2012 1:47pm
Quoting spyderman
If you're using MT4's strategy tester I would be very skeptical about the results, it's notoriously inaccurate. Perhaps you could post the results for others to see and interpret.
Why? I have manually backtested lots of eod systems and then run an ea through the strategy tester and got very similar results. I think with eod data it is more reliable.

Can anyone suggest a more reliable way to back test systems? Amibroker? Tradestation? Someone else?
  • #507
  • Aug 19, 2012 1:53pm Aug 19, 2012 1:53pm
Quoting Hugh Briss
Why? I have manually backtested lots of eod systems and then run an ea through the strategy tester and got very similar results. I think with eod data it is more reliable.

Can anyone suggest a more reliable way to back test systems? Amibroker? Tradestation? Someone else?
I hear Forex Tester is good, if you don't mind shelling out the money...

http://www.forextester.com/
Get money, don't let money get you. @kauaiforex
  • #508
  • Aug 19, 2012 2:20pm Aug 19, 2012 2:20pm
Quoting Hugh Briss
Why? I have manually backtested lots of eod systems and then run an ea through the strategy tester and got very similar results. I think with eod data it is more reliable.

Can anyone suggest a more reliable way to back test systems? Amibroker? Tradestation? Someone else?
My recommendation is known, Amibroker. You can download a free introductory book of some 200 pages (in addition to the online manual) at http://www.introductiontoamibroker.com/book.html

Kind regards and thanks
  • #509
  • Aug 19, 2012 3:37pm Aug 19, 2012 3:37pm
Quoting Hugh Briss
Why? I have manually backtested lots of eod systems and then run an ea through the strategy tester and got very similar results. I think with eod data it is more reliable.

Can anyone suggest a more reliable way to back test systems? Amibroker? Tradestation? Someone else?
I haven't done a tremendous amount of backtesting myself but when I've tried with MT4 I can almost never get the blasted thing to work well. I know Steve Hopwood hates MT4 strategy tester and has discouraged people from using it to test his EA's.

But if you've gotten good results with it then that's great. It might well depend on the complexity of the EA.
  • #510
  • Aug 19, 2012 5:19pm Aug 19, 2012 5:19pm
Quoting spyderman
I haven't done a tremendous amount of backtesting myself but when I've tried with MT4 I can almost never get the blasted thing to work well. I know Steve Hopwood hates MT4 strategy tester and has discouraged people from using it to test his EA's.

But if you've gotten good results with it then that's great. It might well depend on the complexity of the EA.
Yes, I suppose so. I have never yet found an intra day ea that worked but something that follows an eod entry method faithfully can be profitable so maybe we can finalise the rules for this system so it can be fully automated? Maybe not...
  • #511
  • Aug 19, 2012 5:57pm Aug 19, 2012 5:57pm
Quoting spyderman
I haven't done a tremendous amount of backtesting myself but when I've tried with MT4 I can almost never get the blasted thing to work well. I know Steve Hopwood hates MT4 strategy tester and has discouraged people from using it to test his EA's.

But if you've gotten good results with it then that's great. It might well depend on the complexity of the EA.
Thinking about it that's odd. A bloke who specifically writes expert advisors for mt4 doesn't want them tested on mt4?! I have come across him before in my travels and I believe he is an upfront and honest person but how can you write an ea that can not be backtested on the same platform that you wrote it for? I believe the data is reliable enough so where is the problem? Also I do prefer to use the manual trading simulator unless it is something that can definitely be automated like my donch channel system test I am running now.
  • #512
  • Aug 19, 2012 6:26pm Aug 19, 2012 6:26pm
Quoting Hugh Briss
Thinking about it that's odd. A bloke who specifically writes expert advisors for mt4 doesn't want them tested on mt4?! I have come across him before in my travels and I believe he is an upfront and honest person but how can you write an ea that can not be backtested on the same platform that you wrote it for? I believe the data is reliable enough so where is the problem? Also I do prefer to use the manual trading simulator unless it is something that can definitely be automated like my donch channel system test I am running now.

Lol, yeah I know what you mean. It's weird, he absolutely hates MT4. Although I think a lot of coders do. Very paranoid about the platform being written to benefit the brokers, which may be true. But he realizes it's still the main player in town. A little like not liking Microsoft, whattya going to do.

I think a lot of coders test on tradestation, but again not in my area of expertise. I can usually hack my way around an EA and change some variables and what not but that's about it.
  • #513
  • Aug 19, 2012 8:14pm Aug 19, 2012 8:14pm
Hi guys,

I threw together a (very) quick EA of this method ... a few backtests show OK results with some settings.

Feel free to play ... I may not be available to make too many changes, so please don't get too excited about this

The code isn't the greatest, but it seems to work

There's a few options .. you can set stoploss, takeprofit, etc manually, or leave at 0 to auto set based on the high-low range of the last few candles. The range is controlled by the 'BarCount' option

ATR_Stops enables stops based on 1000 bars of the lower time frame ATR

Buffer can be set manually or leave at 0 to autoset ... it will then use half the high-low range

p1 & p2 are the time periods to use, set as 240 & 1440 by default

slm & tsm are the "stop loss multiplier" & "trailing stop multiplier". These take effect only if autoset is enabled. They will multiply by these values. You can use for autoset trailingstop & stoploss set either by range or atr method. They do nothing if stoploss and trailing stop are set manually

Expiration ranges from 1-7. 1, 2, 4, 8, 24, 48 hours (1-6) and 5 days (7) are the corresponding values.

CBC is the 'closing bar count'. 0 to disable. A value of 100 would close orders in profit if they are above/below the last 100 bars high/low

Ok, hope this makes sense, sorry for any confusion, etc.

The code is hard set to use 8 ema open/5 ema close


Sorry for confusion, bugs, etc. I just wanted a quick play with this method, threw together the code, and thought I'd share

Cheers
Attached File(s)
File Type: mq4 danw2 - pending + 5-8 mtf v0.1.mq4   19 KB | 234 downloads
  • #514
  • Aug 19, 2012 10:48pm Aug 19, 2012 10:48pm
Here's the same EA with some settings optimized for EURUSD, 4 hour time frame, at least according to a back test from 1-1-2011 to 1-1-2012.

It's showing a $900 profit through the year on my Metatrader at least
Attached File(s)
File Type: mq4 danw2 - pending + 5-8 mtf v0.11.mq4   19 KB | 268 downloads
  • #515
  • Aug 20, 2012 4:42pm Aug 20, 2012 4:42pm
Quoting forexdan
Here's the same EA with some settings optimized for EURUSD, 4 hour time frame, at least according to a back test from 1-1-2011 to 1-1-2012.

It's showing a $900 profit through the year on my Metatrader at least

Hey dan,

What was your starting account size.
  • #516
  • Aug 20, 2012 8:00pm Aug 20, 2012 8:00pm
$10,000.
  • #517
  • Aug 20, 2012 8:04pm Aug 20, 2012 8:04pm
Here's a screen shot of the back test results, EURUSD, 1-1-2011 to 1-1-2012.

There could be something wrong with my history data, or maybe it's just Metatraders backtester. IDK. Results are often iffy.

Still, I tend to use positive back test results as a starting point to forward demo testing
Attached Image (click to enlarge)
Click to Enlarge Name: 2012-08-21 - 5-8ema mtf - results2.jpg Size: 48 KB
  • #518
  • Aug 20, 2012 8:21pm Aug 20, 2012 8:21pm
Quoting forexdan

Still, I tend to use positive back test results as a starting point to forward demo testing
Probably better then my system...put it on a live account and see if it blows up.
  • #519
  • Aug 20, 2012 9:12pm Aug 20, 2012 9:12pm
I have a cross to the upside on the monthly chart and a pull back candle on the recent daily uptrend on the CADJPY. My broker's daily candle closes at GMT -5. I'll have a buy stop order placed above the swing high candle just to the left of the pullback candle. There might be a little resistance right there. The stop is 48 pips away at the bottom of the signal candle. The TP is 100 pips. 1:2

I like the original 1:2 TP idea. In any good 3 week trend you see 3 or 4 trades in there that become successfull. Taking profit out of each one of those is pretty profitable.

Spyderman, you seem to have been pretty successful using just the 1:2 R/R ratio with this. I'm also curious if that 30 pip trailing stop you've been using isn't too tight?
  • #520
  • Aug 20, 2012 9:57pm Aug 20, 2012 9:57pm
Quoting mikeh3855

Spyderman, you seem to have been pretty successful using just the 1:2 R/R ratio with this. I'm also curious if that 30 pip trailing stop you've been using isn't too tight?

It may well be. Unfortunately, with this flat market it's hard to know what will and won't be viable. I'll have to wait and see.

I'm not trailing until the 2xATR is hit though.
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