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Still Basketting

  • #521
  • Oct 31, 2012 11:31am Oct 31, 2012 11:31am
Quoting ananthhh
Most people are having difficulty with running the script.
I will review the code to make it easier to run and will provide you soon

Thanks for your patience
The indi did not gave a buy arrow, a stoploss and BE would be usefull in the ea.
Attached Image (click to enlarge)
Click to Enlarge Name: kos.jpg Size: 125 KB
  • #522
  • Oct 31, 2012 11:32am Oct 31, 2012 11:32am
Quoting Paradox
If there is any interest I can cleanup and post my indicator (screen shot comparison below) It is nice since it doesn't need the offline charts. But still needs the history and can be picky to get up.

I also have a script that can open close and scale positions in the basket. It directly emulates the bask return by adjust to tick values. If you just open equal position you don't actually trade the basket since the index is made from pips and not all pips have the same dollar amount.
I would be very interested in seeing both your indicator and your script. If you decide not to post I'd be grateful if you PM'd it to me. Thanks.
  • #523
  • Oct 31, 2012 11:42am Oct 31, 2012 11:42am
Quoting ananthhh
Most people are having difficulty with running the script.
I will review the code to make it easier to run and will provide you soon

Thanks for your patience
  • #524
  • Oct 31, 2012 11:43am Oct 31, 2012 11:43am
Quoting Paradox
Good to see an active basket thread here. I have off and on worked on basket analysis and indicators. It seems most of the idea was to use hedging and mean reversion, cointegration etc to make a profit. I have never been able to get it to work with transaction costs in backtesting or forwardtesting.

This idea seems very different. More of a portfolio to diversify and play momentum of Risk On Risk Off.

I have brushed off some of my code and am trying to get it working to analyze this strategy but I am actually not sure what the strategy is....
hey man can you post those two things the indicator and trading with variable lot sizes to emulate the tick chart performance?

Would be helpful!

Thanks
  • #525
  • Oct 31, 2012 11:51am Oct 31, 2012 11:51am
Quoting Paradox
Good to see an active basket thread here. I have off and on worked on basket analysis and indicators. It seems most of the idea was to use hedging and mean reversion, cointegration etc to make a profit. I have never been able to get it to work with transaction costs in backtesting or forwardtesting.

This idea seems very different. More of a portfolio to diversify and play momentum of Risk On Risk Off.

I have brushed off some of my code and am trying to get it working to analyze this strategy but I am actually not sure what the strategy is....
This indi will be really helpful if it eliminate the need for offline chart.
Please post it.
Thanks
  • #526
  • Oct 31, 2012 11:57am Oct 31, 2012 11:57am
Quoting Paradox
Good to see an active basket thread here. I have off and on worked on basket analysis and indicators. It seems most of the idea was to use hedging and mean reversion, cointegration etc to make a profit. I have never been able to get it to work with transaction costs in backtesting or forwardtesting.

I also have a script that can open close and scale positions in the basket. It directly emulates the bask return by adjust to tick values. If you just open equal position you don't actually trade the basket since the index is made from pips and not...
Hi Paradox, I am interested in your script and basket indicator.

Thank you very much for your help.

regards
  • #527
  • Oct 31, 2012 11:57am Oct 31, 2012 11:57am
Quoting rr 518
The indi did not gave a buy arrow, a stoploss and BE would be usefull in the ea.
It got my attention.
You will get this clean on next EA update.
  • #528
  • Oct 31, 2012 12:27pm Oct 31, 2012 12:27pm
Quoting effluvium
Hi BashBrothers,

Your dream becomes reality:


How to create your basket as you want, just by typing in the parameters of the indi, the list of any currency pairs separated by a comma.
( without editing each time the code of your indi to change the pairs).

So I was modifying the basketv6 indi, to implement this idea. And here is my small contribution to this trhread, a basket as you want to follow the pairs that matters to you We call it BasketAnyPair_v6

You could...
SERIOUSLY AMAZING!!!
  • #529
  • Oct 31, 2012 3:00pm Oct 31, 2012 3:00pm
Hi Kos

Congrats on your new thread, well done.

DryClean thanks for the heads up.
  • #530
  • Oct 31, 2012 4:08pm Oct 31, 2012 4:08pm
Quoting ananthhh
This indi will be really helpful if it eliminate the need for offline chart.
Please post it.
Thanks
Here it is.

It really depends on what you want to do with it. I like self contained code that I can test and build upon. But there are also advantages to a real chart even if it is offline. With this chart you cannot attach custom indicators. For example the EA written by xlitang uses iCustom on the offline chart, which is a convenient and useful thing to be able to do.

I include a couple example pictures. I made the default setting to be what KOS is actually trading I think. As you can see it is different than the normal 14 basket chart since reversing the USDCHF and the GBPCHF trades would change from 2 EURO weights to 6 EURO weights. I think this much systemic risk in the EURO might mess with the flow.

I also included a picture of the weights I think I will start with for testing. These are made too emulate a RORO portolio based on this paper. I guess really the GBP should be completely pulled but I want it in there. This basket has similar volatility as the original one but with less transaction costs and smoother flow.

http://www.research.hsbc.com/midas/R...C&n=327415.PDF


EDIT:
Getting this to work like anything that pulls history from many pairs can be tricky.

Load the file and then maybe reload it in the indicator window
You can open the code and recompile.
You can look in expert tab and see if there are some mismatch messages. If there are alot of them for a pair then load that pair in your timeframe and hit refresh or maybe just go to history download for that pair.

In general if your offline charts are up this shouldn't be too bad but in a new MT4 account it can be a serious pain to get all the history.

Please try and understand and try these ideas twice fully before asking for help.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: basket.jpg Size: 76 KB
Click to Enlarge Name: basketroro.jpg Size: 77 KB
Attached File(s)
File Type: mq4 BasketChart.mq4   17 KB | 890 downloads
  • #531
  • Oct 31, 2012 4:33pm Oct 31, 2012 4:33pm
Thank you so much!!! Is it possible to get your buy/sell scripts too? I like the fact that they auto-balance.
  • #532
  • Oct 31, 2012 4:38pm Oct 31, 2012 4:38pm
Hi

I run the script of Buy & sell ...it can open all the 14 trades (Buy & sell). Now I run to close the trade using Close All script. The trades does not run automatically. Infact, I have to close the 14 trades manuale.


Msg given under experts:-
2012.10.31 22:35:15CloseAll #kos#14,M15: removed
2012.10.31 22:35:15CloseAll #kos#14,M15: uninit reason 0
2012.10.31 22:35:15CloseAll #kos#14,M15 inputs: option=3; magic_number=0; comment_text="";
2012.10.31 22:35:07CloseAll #kos#14,M15: loaded successfully

How to solve this ....thank u for the kind help .
  • #533
  • Oct 31, 2012 4:57pm Oct 31, 2012 4:57pm
Quoting AmberX5
Hi

I run the script of Buy & sell ...it can open all the 14 trades (Buy & sell). Now I run to close the trade using Close All script. The trades does not run automatically. Infact, I have to close the 14 trades manuale.


Msg given under experts:-
2012.10.31 22:35:15CloseAll #kos#14,M15: removed
2012.10.31 22:35:15CloseAll #kos#14,M15: uninit reason 0
2012.10.31 22:35:15CloseAll #kos#14,M15 inputs: option=3; magic_number=0; comment_text="";
2012.10.31 22:35:07CloseAll #kos#14,M15: loaded successfully

How to solve this ....thank...
You have to set them all to the same magic number. Probably just set the close all to 419 like in the default scripts should do it.
  • #534
  • Oct 31, 2012 5:32pm Oct 31, 2012 5:32pm
Quoting Paradox
Good to see an active basket thread here. I have off and on worked on basket analysis and indicators. It seems most of the idea was to use hedging and mean reversion, cointegration etc to make a profit. I have never been able to get it to work with transaction costs in backtesting or forwardtesting.

This idea seems very different. More of a portfolio to diversify and play momentum of Risk On Risk Off.

I have brushed off some of my code and am trying to get it working to analyze this strategy but I am actually not sure what the strategy is....
Dear Paradox
I'm waiting your very interesting staff

My best regards
Dan
  • #535
  • Oct 31, 2012 6:03pm Oct 31, 2012 6:03pm
thanks before for sharing your system
I wanna try your system, but in kos 15m, why my VQzz2 just give me one color?
just blue and always 0.000?

thanks before kosomolate
Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot_18.png Size: 49 KB
  • #536
  • Oct 31, 2012 6:10pm Oct 31, 2012 6:10pm
Quoting AmberX5
Hi

I run the script of Buy & sell ...it can open all the 14 trades (Buy & sell). Now I run to close the trade using Close All script. The trades does not run automatically. Infact, I have to close the 14 trades manuale.


Msg given under experts:-
2012.10.31 22:35:15CloseAll #kos#14,M15: removed
2012.10.31 22:35:15CloseAll #kos#14,M15: uninit reason 0
2012.10.31 22:35:15CloseAll #kos#14,M15 inputs: option=3; magic_number=0; comment_text="";
2012.10.31 22:35:07CloseAll #kos#14,M15: loaded successfully

How to solve this ....thank...
you can use one of these scripts....

Attached File(s)
File Type: mq4 CloseAll.mq4   6 KB | 469 downloads


Attached File(s)
File Type: mq4 AEMERGENCYClose All.mq4   7 KB | 464 downloads
  • #537
  • Oct 31, 2012 6:30pm Oct 31, 2012 6:30pm
Here is the script for dynamically scaling or re-weighting a basket efficiently and accurately.

Basically you can fudge around with the PositionWeighting to get the exposure you want or to scale in and out.

Set ReverseTrades = true if you want to sell the basket.
Set PerformTrades = true in order to actually place the orders. Otherwhise you will just see the intended action in the experts tab.

Here is an example of what you should see in the experts tab.


2012.10.31 17:15:11BasketAdjustScript EURJPY,M15: Cost: 5.52 Total Final Lots: 0.24 Total Current Lots: 0.12
2012.10.31 17:15:11BasketAdjustScript EURJPY,M15: Symbol: USDJPY Lots: 0.016 RealLots: 0.02 CurrentLots: 0 Open: 0.02 Type: Buy Cost: 0.40
2012.10.31 17:15:11BasketAdjustScript EURJPY,M15: Symbol: USDCHF Lots: -0.0186 RealLots: -0.02 CurrentLots: 0 Open: 0.02 Type: Sell Cost: 0.47
2012.10.31 17:15:11BasketAdjustScript EURJPY,M15: Symbol: NZDUSD Lots: 0.02 RealLots: 0.02 CurrentLots: 0.01 Add: 0.01 Type: Buy Cost: 0.55
2012.10.31 17:15:11BasketAdjustScript EURJPY,M15: Symbol: NZDJPY Lots: 0.016 RealLots: 0.02 CurrentLots: 0.01 Add: 0.01 Type: Buy Cost: 0.69
2012.10.31 17:15:11BasketAdjustScript EURJPY,M15: Symbol: GBPUSD Lots: 0.02 RealLots: 0.02 CurrentLots: 0.01 Add: 0.01 Type: Buy Cost: 0.21
2012.10.31 17:15:11BasketAdjustScript EURJPY,M15: Symbol: GBPJPY Lots: 0.016 RealLots: 0.02 CurrentLots: 0.01 Add: 0.01 Type: Buy Cost: 0.60
2012.10.31 17:15:11BasketAdjustScript EURJPY,M15: Symbol: GBPCHF Lots: -0.0186 RealLots: -0.02 CurrentLots: -0.04 Close Partial: 0.02 Type: Buy Cost: 0.00
2012.10.31 17:15:11BasketAdjustScript EURJPY,M15: Symbol: EURUSD Lots: 0.02 RealLots: 0.02 CurrentLots: 0.01 Add: 0.01 Type: Buy Cost: 0.14
2012.10.31 17:15:11BasketAdjustScript EURJPY,M15: Symbol: EURJPY Lots: -0.016 RealLots: -0.02 CurrentLots: 0.01 Reverse: 0.02 Type: Sell Cost: 0.65
2012.10.31 17:15:11BasketAdjustScript EURJPY,M15: Symbol: EURJPY Lots: -0.016 RealLots: -0.02 CurrentLots: 0.01 Close: 0.01
2012.10.31 17:15:11BasketAdjustScript EURJPY,M15: Symbol: EURGBP Lots: 0.0124 RealLots: 0.01 CurrentLots: 0 Open: 0.01 Type: Buy Cost: 0.21
2012.10.31 17:15:11BasketAdjustScript EURJPY,M15: Symbol: CHFJPY Lots: 0.016 RealLots: 0.02 CurrentLots: 0 Open: 0.02 Type: Buy Cost: 1.20
2012.10.31 17:15:11BasketAdjustScript EURJPY,M15: Symbol: AUDJPY Lots: 0.016 RealLots: 0.02 CurrentLots: 0.01 Add: 0.01 Type: Buy Cost: 0.39
2012.10.31 17:15:11BasketAdjustScript EURJPY,M15 inputs: Pairs="AUDJPY,AUDUSD,CHFJPY,EURCHF,EURGBP,EURJPY,EURUSD,GBPCHF,GBPJPY,GBPUSD,NZDJPY,NZDUSD,USDCHF,USDJPY"; Weights="1,0.25,1,0.25,1,-1,1,-1,1,1,1,1,-1,1"; ReverseTrades=false; PerformTrades=false; PositionWeighting=0.02; MagicNumber=419;
Attached File(s)
File Type: mq4 BasketAdjustScript.mq4   13 KB | 617 downloads
  • #538
  • Oct 31, 2012 6:37pm Oct 31, 2012 6:37pm
you must open a H1 tf offline chart like you did to 15m to feed the 15m vqzz



Quoting brainanda
thanks before for sharing your system
I wanna try your system, but in kos 15m, why my VQzz2 just give me one color?
just blue and always 0.000?

thanks before kosomolate
  • #539
  • Oct 31, 2012 6:39pm Oct 31, 2012 6:39pm
Made some nice pips on the uptrend. The HAS has just read downtrend on the 8 & 6 pair basket. However, the VQ has yet to change color.

http://i1175.photobucket.com/albums/...ps1f694075.gif


So, what are you doing?

Personally, once the VQ changes color I am going to sell.


Also, if the HAS changes back and VQ stays the same, it would make a re-entry right?
  • #540
  • Oct 31, 2012 8:25pm Oct 31, 2012 8:25pm
Paradox - thanks for sharing that it some very interesting coding!

Mop
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