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The Ladder System

  • #21
  • Nov 8, 2014 12:37pm Nov 8, 2014 12:37pm
Quoting abokwaik
{quote} I am home now so the wife will get angry, but whats the heck, I will check it.
Lol, let me know if I'm missing something.
  • #22
  • Edited Nov 9, 2014 12:28am Nov 8, 2014 1:39pm | Edited Nov 9, 2014 12:28am
Quoting Rm17557
{quote} Lol, let me know if I'm missing something.
You are right. I did a quick fix on the version I have at home (attached), and SL trailing should be OK now.

But I think the whole EA needs a serious review as I wrote it only today just to explain my idea.
Tomorrow I will review the whole EA and post a new stable version.


Apologies for any inconvenience.

EDIT : EA removed as I am working on a stable version. and will post as soon as I test it.
No guts, no glory
  • #23
  • Nov 8, 2014 1:46pm Nov 8, 2014 1:46pm
Quoting abokwaik
{quote} You are right. I did a quick fix on the version I have at home (attached), and SL trailing should be OK now. But I think the whole EA needs a serious review as I wrote it only today just to explain my idea. Tomorrow I will review the whole EA and post a new stable version. Apologies for any inconvenience. {file}
Thanks, I'll test it again. Also adding a version number to the EA as you update it will keep everyone on the same page.
  • #24
  • Nov 8, 2014 1:54pm Nov 8, 2014 1:54pm
Quoting Soros
ok i posted the attachment from the link, well luckily i saved his whole text on wordpad, here is what he said: place stop/limit orders in a trailing fashion.... trailing grids.... //---- as example, say your selling.... normaly sell limits are placed above and sell stops below.... if the market goes up hard, each of those selllimits activated will add to the draw down..... so instead don't use the selllimits above, or use them sparingly, and use trailing sellstops below that will rachet higher, ordermodify, as the price moves higher.... and when...
I got the general idea. However my system is a trend following system. Hence using stop orders only.
No guts, no glory
  • #25
  • Nov 8, 2014 1:57pm Nov 8, 2014 1:57pm
Quoting Rm17557
{quote} Thanks, I'll test it again. Also adding a version number to the EA as you update it will keep everyone on the same page.
Sure. I 'll do version control and keep the updates on the first post.
No guts, no glory
  • #26
  • Nov 8, 2014 3:59pm Nov 8, 2014 3:59pm
Quoting abokwaik
I am working on developing a new system EA based on Ladder concept. Which means adding new trades in a user-definable step size as long as previous trades are not stopped. All trades will have unified SL that moves with each new ladder step and a Final Profit Target for all orders. System Advantage: Limited Low Risk (always fixed = initial risk) Very High Reward based on number of ladder steps and final profit target As each trader has his own entry system, my inquiry is : Should I include the first entry in the EA based on some strategy, OR , I...
It is interesting idea, I think you can keep first order open by users because in that way all traders can start building ladder on the base of their concept or strategy. I am subscribed
Love for all; Hatred for none.
  • #27
  • Nov 9, 2014 12:29am Nov 9, 2014 12:29am
I removed all occurrences of the EA as I am working on a stable version and will post as soon as I test it. hopefully Today. Stay tuned.
No guts, no glory
  • #28
  • Edited 2:20am Nov 9, 2014 1:40am | Edited 2:20am
Kindly disregard all previous versions of the EA as they were developed quickly without proper testing.
And lets consider this as the first version, I will also keep all versions in the first post.

This is the simplest version, where we have :

  1. Fixed Ladder Step Size in Pips,
  2. Unified Stop Loss in Pips,
  3. Maximum Number of Open Orders,
  4. and Fixed Lot size for all orders.

The test was done on EUR/USD from May 1st, 2014 till today
with : Ladder_Step_Pips=100; Unified_Stop_Pips=200; Fixed_Lot_Size=0.1; Max_Open_Orders=10;

Attached Image (click to enlarge)
Click to Enlarge Name: LS_01.JPG Size: 94 KB
Attached File(s)
File Type: ex4 LadderSystemEA_v01.ex4   13 KB | 1,697 downloads
No guts, no glory
  • #29
  • Nov 9, 2014 1:56am Nov 9, 2014 1:56am
Quoting abokwaik
Kindly disregard all previous versions of the EA as they were developed quickly without proper testing. And lets consider this as the first version, I will also keep all versions in the first post. This is the simplest version, where we have : Fixed Ladder Step Size in Pips, Unified Stop Loss in Pips, Maximum Number of Open Orders, and Fixed Lot size for all orders. The test was done on EUR/USD from May 1st, 2014 till today with : Ladder_Step_Pips=100; Unified_Stop_Pips=200; Fixed_Lot_Size=0.1; Max_Open_Orders=10; {file} {image}
Great work and thank you for your sharing spirit!

Can you make this EA to be able to run faster on backtest? I tested the previous versions, they were fast.
Thanks in advance!
  • #30
  • Nov 9, 2014 2:05am Nov 9, 2014 2:05am
Quoting moncsicsi78
{quote} Great work and thank you for your sharing spirit! Can you make this EA to be able to run faster on backtest? I tested the previous versions, they were fast. Thanks in advance!
speed will depend on Maximum number of Open Orders, how many did you use ?
No guts, no glory
  • #31
  • Nov 9, 2014 2:09am Nov 9, 2014 2:09am
Quoting abokwaik
{quote} speed will depend on Maximum number of Open Orders, how many did you use ?
Deafault (5).
The test is running much more slow than the previous versions.
  • #32
  • Nov 9, 2014 2:11am Nov 9, 2014 2:11am
Quoting moncsicsi78
{quote} Deafault (5). The test is running much more slow than the previous versions.
5 should work fast, I will check it.
No guts, no glory
  • #33
  • Nov 9, 2014 2:21am Nov 9, 2014 2:21am
Quoting abokwaik
{quote} 5 should work fast, I will check it.
Yes, You're right, got it fixed and updated in post 26 and first page.
Attached File(s)
File Type: ex4 LadderSystemEA_v01.ex4   13 KB | 526 downloads
No guts, no glory
  • #34
  • Nov 9, 2014 2:37am Nov 9, 2014 2:37am
Quoting abokwaik
{quote} Yes, You're right, got it fixed and updated in post 26 and first page. {file}
Thank you!

I ran a backtest on CADJPY (with 99% tick data from Dukascopy).
I think something not so perfect...
Attached Image (click to enlarge)
Click to Enlarge Name: StrategyTester.gif Size: 8 KB
Attached File(s)
File Type: rar test.rar   92 KB | 332 downloads
  • #35
  • Nov 9, 2014 3:07am Nov 9, 2014 3:07am
Quoting moncsicsi78
{quote} Thank you! I ran a backtest on CADJPY (with 99% tick data from Dukascopy). I think something not so perfect... {image} {file}
Step size is very important depending on each pair. So in order to not get stopped so often I recommend using a step size of not less than ADR and SL of at least the same or bigger. It is also important that depending on the margin required for the lot size to be covered from the profit of the previous order's profit.More details on this when I'm back in the office. Regards,
No guts, no glory
  • #36
  • Nov 9, 2014 4:37am Nov 9, 2014 4:37am
Quoting moncsicsi78
{quote} Thank you! I ran a backtest on CADJPY (with 99% tick data from Dukascopy). I think something not so perfect... {image} {file}
OK. I saw your test details. Apparently your broker is a 5-digit broker (3-digits for JPY crosses). In this case when you put 300 as step size it means 300 points not pips where a point is equal to 0.1 of a pip. So in this case if you mean 300 pips (which is near ADR for CAD/JPY) you should put 3000 points in the ladder step size and SL.

Please re-try and update us with the results.
No guts, no glory
  • #37
  • Nov 9, 2014 4:44am Nov 9, 2014 4:44am
Quoting abokwaik
{quote} OK. I saw your test details. Apparently your broker is a 5-digit broker (3-digits for JPY crosses). In this case when you put 300 as step size it means 300 points not pips where a point is equal to 0.1 of a pip. So in this case if you mean 300 pips (which is near ADR for CAD/JPY) you should put 3000 points in the ladder step size and SL. Please re-try and update us with the results.
Thanks abokwaik, I knew this what you write.

I wanted to 30 pips step size, so I intentionally wrote 300 at the Ladder_Step_Pips.
But later I tried with 70 pips step size - the result was pure, too...
Maybe even more big step size would be better, but I don't think this would be the soultion.

However the previous versions had much more better test result - I will post some backtests, if you need.
  • #38
  • Nov 9, 2014 5:26am Nov 9, 2014 5:26am
Quoting moncsicsi78
{quote} Thanks abokwaik, I knew this what you write. I wanted to 30 pips step size, so I intentionally wrote 300 at the Ladder_Step_Pips. But later I tried with 70 pips step size - the result was pure, too... Maybe even more big step size would be better, but I don't think this would be the soultion. However the previous versions had much more better test result - I will post some backtests, if you need.
I don't usually trade this pair. The ADR is around 100 pips. So I ran the test for 2014 (I don't have data before 2014 for this pair), results was not impressive but profitable. Anyway I mentioned earlier that the Ladder System will experience poor performance in range market and will do much better in trending market as it is a Trend Following System. Looking at CAD/JPY for 2013-2014 I believe it was in a range.

As for previous versions they had errors (moving stop loss, deleting pending orders ... etc), so if they were profitable it was by chance not by proper design.
Attached Image (click to enlarge)
Click to Enlarge Name: LS_CJ_2014.JPG Size: 92 KB
No guts, no glory
  • #39
  • Nov 9, 2014 5:54am Nov 9, 2014 5:54am
I believe we have now a working version (for testing only - both back or forward).

Note For Forward Testing : If you'll use on multiple pairs (no duplicate pairs) you don't have to change the Magic_Number; However if you want to run multiple instance on the same pair with different input parameters then you have to change the Magic_Number for each instance.

The First trick in using this EA is to find the suitable step size and SL for trending pairs, my first guess that they should be at least the size of Average Daily Range.
The Second Trick is to use a Lot Size compatible with Required Margin and Step Size.

For example, lets take EUR/USD, assuming ADR is around 100 pips. So we'll have ladder steps and SL of 100 pips.
Using a lot size of 0.1, and when price moves in our favor on the first order for 100 pips it means we have a running profit of $100. Now I am using 1/200 leverage, so the margin required for EUR/USD is around $60, which is less than $100, so my numbers are OK.

If I used a step size of 50 pips, then my margin requirement will be greater than the running profit, which puts my free margin in danger.

I hope this is clear.
No guts, no glory
  • #40
  • Nov 9, 2014 6:15am Nov 9, 2014 6:15am
The Profit Target for all orders = Step Size x max number of orders + First Order Open Price. (+)for long trades (-)for short trades).
If you are using 100 step size, and 5 max orders. The TP for 1st order is 500, 400 for second order, 300 for third order and so on.

So the Third Trick is the Max Number of Orders, as this will depend on the usual (average) Swing Length in the pair.

If you use big number of orders you might never reach the profit target, and we loose the best scenario for this EA.
No guts, no glory
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