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Reverse6

  • #1
  • First Post: Edited Sep 19, 2013 2:51pm Sep 3, 2013 4:51pm | Edited Sep 19, 2013 2:51pm
First, please read my FAQ: http://www.forexfactory.com/showthread.php?t=252690

___

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File Type: mq4 Reverse6_01.mq4   37 KB | 841 downloads | Uploaded Sep 5, 2013 10:11am
or
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File Type: mq4 Reverse6_01a.mq4   37 KB | 817 downloads | Uploaded Sep 7, 2013 11:01am
or
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File Type: mq4 Reverse6_01b.mq4   37 KB | 667 downloads | Uploaded Sep 19, 2013 2:46pm
to any chart, any timeframe. Do not attach to more than one chart.

Version 01a and 01b have the condition MathAbs(BiggestLoserPL) >= 0.5 * BiggestWinnerPL to filter out the reversals that occur shortly after a phantom reset in the midst of strong action that quickly groups the two sets of phantoms pairs on opposite sides.

Version 01b resets the phantom trades every day at hour 0, minute 0.

Read this post http://www.forexfactory.com/showthre...69#post6947369 to see the additional reversal condition in version 01a.

These are the pairs we trade:

Group 1, The Buys
1. GBPUSD
2. USDCHF
3. EURJPY

Group 2, The Sells
4. GBPCHF
5. CHFJPY
6. EURCHF

These 6 pairs constitute a synthetic hedge.

Lot sizes are not all the same for every currency pair. They are calculated to provide a well-behaved hedge. The hedge isn't perfect because poor lot size granularity doesn't allow for perfect hedging, just well-behaved hedging.

---

Summary:

Initially open real trades and phantom trades unconditionally; reverse the biggest losing trade when phantoms become all winners or all losers within their designated groups.

Close all when current equity exceeds 1% of last flat equity.

---

More detail:

Initially, buy the designated buy group of pairs and sell the designated sell group of pairs. Also, open phantom trades in the same direction as the real trades. Track the virtual profit-loss of the phantom trades.

Reverse the biggest losing trade when the phantom trades group together such that all phantom buys are all winners or all losers, and the same for the phantom sells. Reset the phantom trades immediately after reversing the biggest loser.

___

I have the bicycle analogy for the system.

What does riding a bicycle consist of?

Balance. What does balance consist of with this trading approach? It consists of opening trades two groups of three pairs; three buys and three sells. The direction of all currencies is perfectly balanced, and the lot sizes are as well balanced as the available lot size precision allows.

Pedal to go forward. What does it mean to pedal in terms of trading actions? Pushing on the pedals translates to closing the biggest loser, as long as it's at least half of the magnitude of the biggest winner, and trading that same pair in the opposite direction of the trade just closed.

When do I push on the pedals? When it is natural to do so of course. How does this translate to the market? I am going on the theory that it's "natural" to push on the pedals when the phantom trades ("fake trades") align opposite to each other on the two sides of the hedge.

There are only two states of alignment. They are:

Alignment State Number One

Group 1, The Phantom Buys
1. GBPUSD - Winning
2. USDCHF - Winning
3. EURJPY - Winning

Group 2, The Phantom Sells
4. GBPCHF - Losing
5. CHFJPY - Losing
6. EURCHF - Losing

Alignment State Number Two

Group 1, The Phantom Buys
1. GBPUSD - Losing
2. USDCHF - Losing
3. EURJPY - Losing

Group 2, The Phantom Sells
4. GBPCHF - Winning
5. CHFJPY - Winning
6. EURCHF - Winning
Open to new approaches.
  • #2
  • Sep 3, 2013 9:52pm Sep 3, 2013 9:52pm
Hi MetaCoder,

It's been a long time, hope everything is well.

I have a question:
Why are you opening real trades when you are opening Phantom trades?
Since the real trades form a synthetic hedge, along with proportional lot sizing, the initial 6 real trades will always have small DD, never profit.

Plus, you are tracking the grouping with the Phantom trades only, so another reason for not opening the real trades

Am I missing something obvious with the concept?
  • #3
  • Sep 4, 2013 2:09am Sep 4, 2013 2:09am
Quoting MetaCoder
First, please read my FAQ: http://www.forexfactory.com/showthread.php?t=252690 ___ Attach {file} to any chart, any timeframe. Do not attach to more than one chart. These are the pairs we trade: For InterbankFX --------------- Group 1, The Buys 1. GBPUSD 2. USDCHF 3. EURJPY Group 2, The Sells 4. GBPCHF 5. CHFJPY 6. EURCHF These 6 pairs constitute a synthetic hedge. Lot sizes are not all the same for every currency pair. They are calculated to provide a well-behaved hedge. The hedge isn't perfect because poor lot size granularity doesn't...
Isn't it should be ...all winners OR all losers instead ...all winners AND all losers
  • #4
  • Sep 4, 2013 11:08am Sep 4, 2013 11:08am
Quoting zhirgal
{quote} Isn't it should be ...all winners OR all losers instead ...all winners AND all losers
Sure, I'll go with 'or'.
Open to new approaches.
  • #5
  • Sep 4, 2013 11:10am Sep 4, 2013 11:10am
Quoting the-game
Hi MetaCoder, It's been a long time, hope everything is well.

I have a question:
Why are you opening real trades when you are opening Phantom trades? Since the real trades form a synthetic hedge, along with proportional lot sizing, the initial 6 real trades will always have small DD, never profit.

Plus, you are tracking the grouping with the Phantom trades only, so another reason for not opening the real trades

Am I missing something obvious with the concept?
You're missing this: "...reverse the biggest losing trade..."; so, we don't just stay in a hedged state no matter what.

Phantoms are used only to detect the event where all pairs the two sides align against each other. It will be this event that triggers a trim-and-reverse; not something arbitrary like a time interval.

Opening trades immediately is to have winners that will be well underway once the trim-and-reverse action is taken. We have already seen this tactic cause profit many, many times; it's documented in old threads.

Anyway, things are well, thanks! Hope they are with you, too.

There are other ideas I have for this, including:

  1. Using the original 14 pairs
  2. Trimming but not reversing
  3. Not opening all pairs in real trades immediately

Lots of combinations of these and other ideas that can be tried out.

One big difference is that now we will be using correct lot sizes to keep the basket more stable.

Open to new approaches.
  • #6
  • Sep 4, 2013 6:46pm Sep 4, 2013 6:46pm
Quoting MetaCoder
{quote} You're missing this: "...reverse the biggest losing trade..."; so, we don't just stay in a hedged state no matter what. Phantoms are used only to detect the event where all pairs the two sides align against each other. It will be this event that triggers a trim-and-reverse; not something arbitrary like a time interval. Opening trades immediately is to have winners that will be well underway once the trim-and-reverse action is taken. We have already seen this tactic cause profit many, many times; it's documented in old threads.
Be that as it may, this is what I see from the onset:
1. Opening real trades that will result in instant small DD.
2. Trimming the biggest loser of the real trades (when conditions are met), resulting in small loss of balance.
3. Opening a trade in the opposite direction of the trimmed trade, resulting in a little more DD compared to point 1 because of point 2 (less balance = less equity = more DD).

Basically, you're already starting with a small loss, or many small losses depending on market movements, and the EA has to make up for it.
My idea is why not start without the real trades so the EA doesn't start with a loss.

Quoting MetaCoder
{quote}
There are other ideas I have for this, including:
Using the original 14 pairs
Trimming but not reversing
Not opening all pairs in real trades immediately
Lots of combinations of these and other ideas that can be tried out. One big difference is that now we will be using correct lot sizes to keep the basket more stable.
Now that's what I'm talking about!

In fact, I've already tinkered with your EA and modified it to be able to not open the real trades, by user choice.

See attached...
I've introduced a new EA parameter InitialRealTrades, set to false in the attached.
If you want, use WinMerge or a similar text file comparing tool to see the changes.
Attached File(s)
File Type: mq4 Reverse6_01_mod.mq4   40 KB | 570 downloads
  • #7
  • Sep 4, 2013 10:10pm Sep 4, 2013 10:10pm
Quoting MetaCoder
{quote} You're missing this: "...reverse the biggest losing trade..."; so, we don't just stay in a hedged state no matter what. Phantoms are used only to detect the event where all pairs the two sides align against each other. It will be this event that triggers a trim-and-reverse; not something arbitrary like a time interval. Opening trades immediately is to have winners that will be well underway once the trim-and-reverse action is taken. We have already seen this tactic cause profit many, many times; it's documented in old threads. Anyway,...
Could you explain... Is this the position after which we should reverse biggest loosing trade... But i don't understand how to define one. Need your help
Attached Image (click to enlarge)
Click to Enlarge Name: alpari nz mt4.png Size: 128 KB
  • #8
  • Sep 4, 2013 10:42pm Sep 4, 2013 10:42pm
In the original EA, it also waits until the absolute value of the biggest loser dollar loss is more than the ProfitPct.

So, in your case it would trim and reverse the biggest loser when all buys and sells have grouped AND the biggest loser dollar loss < (Last Flat Equity * ProfitPct / 100)

Last Flat Equity is a global variable. Press F3 to figure out what the EA thinks is your Last Flat Equity.
If it is incorrect, you'll need to correct the global variable value.
If you have trades already running, you should correct the global variable to your account's current balance.

In the modded EA I had uploaded, I have removed this restriction as I didn't see MetaCoder mentioning this in the strategy summary.
  • #9
  • Sep 5, 2013 10:13am Sep 5, 2013 10:13am
Quoting the-game
In the original EA, it also waits until the absolute value of the biggest loser dollar loss is more than the ProfitPct.
I spotted this today and I realized I don't want that feature in Reverse6.

I took it out. New version uploaded to the first post of this thread.
Open to new approaches.
  • #10
  • Edited 10:40am Sep 5, 2013 10:15am | Edited 10:40am
Quoting the-game
My idea is why not start without the real trades so the EA doesn't start with a loss.
Explain to me how we can be sure any trade we open might not immediately turn into a loss. But, I hear you. I will probably eventually implement an EA that adds in real trades one at a time. At the moment, though, I have a bias in favor of starting out in a nicely hedged state.

But, as you know, any trade we open is always initially sitting in a negative floating loss state due to the spread.

By opening a well-behaved hedge, yes there will be a floating loss (one that doesn't get out of control due to correct lot sizing) until we trim/reverse and get some wind in our sails, but by that time we will have some winning trades in the basket that could get us to profit soon.

The achilles heel would be if the market turns around every time we trim/reverse. But we will not trim/reverse excessively and we will not have disproportiately sized individual trades contributing to increasing negative float.
Open to new approaches.
  • #11
  • Sep 5, 2013 10:24am Sep 5, 2013 10:24am
Quoting zhirgal
{quote} Could you explain... Is this the position after which we should reverse biggest loosing trade... But i don't understand how to define one. Need your help {image}
You are probably understanding everything correctly.

However, there was a leftover restriction in my code that I removed today. This restriction was noticed by the-game, too.
Open to new approaches.
  • #12
  • Sep 6, 2013 9:34am Sep 6, 2013 9:34am
Ok, what have I done wrong? Should these not have closed with PnL going over $100?
Attached Image (click to enlarge)
Click to Enlarge Name: rev6.png Size: 52 KB
  • #13
  • Sep 6, 2013 11:43am Sep 6, 2013 11:43am
danjuma, profit didn't go over $100. The screen clearly shows that your target is $10,100.00.

Think equity, not balance.

But, of course you are free to close the trades manually. I suggest turning off the EA before doing that.
Open to new approaches.
  • #14
  • Sep 6, 2013 11:44am Sep 6, 2013 11:44am
I don't like excessive reversals.

Reverse6_01a has the condition MathAbs(BiggestLoserPL) >= 0.5 * BiggestWinnerPL to filter out the reversals that occur shortly after a phantom reset in the midst of strong action that quickly groups the two sets of phantoms pairs on opposite sides.
Open to new approaches.
  • #15
  • Sep 6, 2013 12:18pm Sep 6, 2013 12:18pm
Quoting MetaCoder
danjuma, profit didn't go over $100. The screen clearly shows that your target is $10,100.00. Think equity, not balance. But, of course you are free to close the trades manually. I suggest turning off the EA before doing that.

Hi MetaCoder,

I just closed the trades manually (EA turned off first) when the PnL in the terminal was about $40. However, after the trades were closed, the PnL became -$3.3! On checking the trade history, it would appear the manual closing led to the two biggest losers only being sold, with nothing else done to the other trades. I have attached a spreadsheet of the trade record. I am not sure how the trades are meant to be closed manually.
Attached File(s)
File Type: xls OrdersReport_rev6.xls   19 KB | 450 downloads
  • #16
  • Sep 6, 2013 12:49pm Sep 6, 2013 12:49pm
I don't understand. Did you not close all of the trades?
Open to new approaches.
  • #17
  • Sep 6, 2013 12:59pm Sep 6, 2013 12:59pm
Quoting MetaCoder
I don't understand. Did you not close all of the trades?
Yes I did using the following script
Attached File(s)
File Type: mq4 CloseAll.mq4   6 KB | 460 downloads
  • #18
  • Sep 6, 2013 1:02pm Sep 6, 2013 1:02pm
Fast market action during closure, then? That can happen.

Maybe the broker was widening spr-eads during the action. That can be a nasty thing.
Open to new approaches.
  • #19
  • Sep 6, 2013 1:07pm Sep 6, 2013 1:07pm
Quoting MetaCoder
Fast market action during closure, then? That can happen. Maybe the broker was widening spr-eads during the action. That can be a nasty thing.
Hmm, makes no sense. Why would about $40 PnL turn to -$3.30 PnL on closing that took literally seconds in a demo account?
  • #20
  • Sep 6, 2013 1:13pm Sep 6, 2013 1:13pm
Friday action can be very fast; we've seen this before, lots.
Open to new approaches.
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