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Robot Lab Project

  • #401
  • Feb 2, 2015 5:30am Feb 2, 2015 5:30am
Few words on Grand_Son_01

 

  1. The robot will look for ONE TYPE of trades during Grand Father's life time. Since we are using previous bars, Grand Father actually refers to PREVIOUS Grand Father not the current one.
  2. Those trades will be in the same direction as his Grand Father.
  3. Those trades will be entered if the Father is in Opposite Direction to the Grand Father and the previous Son is in the direction of the Grand Father, and other conditions apply (Type Max Orders and Minimum Distance between orders)
  4. If stop loss is small compared to (the ATR of the timeframe used to cut losses), Robot will incur consecutive losses in case the current bar was a reversal bar, hence more draw down, which we absolutely don't like. I have two solutions to this problem:

    1. Stop trading in the direction of the Grand Father after a number of consecutive losses (Grand Father is faking us)
    2. Use Current Grand Father (the current bar), instead of previous bar, after the grand father reaches a certain age (i.e. mid age), I seem like talking Genealogy here

No guts, no glory
  • #402
  • Feb 2, 2015 5:53am Feb 2, 2015 5:53am
Quoting abokwaik
{quote} Yes, rukiver. In fact many filters can be added including ADX, which I suppose you will apply it on the Son (smallest) time frame. Or did you mean ADX for all time frames ?
yes i mean just for the lowest timeframe. Your system takes an entry when son is up, father is down and grandfather is up. based on candles, so this could be a countertrend easily.

But i know, when we have e.g 3 Timeframes pointing down with ADX Power we have possibly a save entry.

Therefore i would prefer a multi time frame trendfollowing system with indies and ADX confirmation. Entry when all TF allign with adx at the lowest ( but when ADX ist stron at the other TF even better.

Is something like that possible?

regards
  • #403
  • Feb 2, 2015 5:58am Feb 2, 2015 5:58am
Quoting rukiver
{quote} yes i mean just for the lowest timeframe. Your system takes an entry when son is up, father is down and grandfather is up. based on candles, so this could be a countertrend easily. But i know, when we have e.g 3 Timeframes pointing down with ADX Power we have possibly a save entry. Therefore i would prefer a multi time frame trendfollowing system with indies and ADX confirmation. Entry when all TF allign with adx at the lowest ( but when ADX ist stron at the other TF even better. Is something like that possible? regards
"... so this could be a countertrend easily"

No, in your quoted example, we will be taking better Buying Opportunities in the Direction of the Larger Trend.

Taking an entry in the direction of the three time frames is simply another system.
No guts, no glory
  • #404
  • Feb 2, 2015 6:05am Feb 2, 2015 6:05am
Quoting abokwaik
{quote} "... so this could be a countertrend easily" No, in your quoted example, we will be taking better Buying Opportunities in the Direction of the Larger Trend. Taking an entry in the direction of the three time frames is simply another system.
you trade the retracement thats fine. but would that be possible with adx?
  • #405
  • Feb 2, 2015 6:11am Feb 2, 2015 6:11am
Quoting rukiver
{quote} you trade the retracement thats fine. but would that be possible with adx?
Yes it is possible on the Son time frame, we buy when +DI > -DI and ADX is above 20.
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  • #406
  • Feb 2, 2015 6:14am Feb 2, 2015 6:14am
Quoting abokwaik
{quote} Yes it is possible on the Son time frame, we buy when +DI > -DI and ADX is above 20.
<-


and vice versa
That would be fine! It gives me more confidence. and increases the propability.

Could you add this please? That would be great! i will demo test this then.
  • #407
  • Feb 2, 2015 6:43am Feb 2, 2015 6:43am
Quoting rukiver
{quote} <- and vice versa That would be fine! It gives me more confidence. and increases the propability. Could you add this please? That would be great! i will demo test this then.
Well, you mean now?
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  • #408
  • Feb 2, 2015 6:52am Feb 2, 2015 6:52am
Grand Son Robot Version 2(With Son Filtered by ADX)

Robot attached.

Results with same parameters as in post # 285

Less profit but LESS DRAW DOWN

Attached Image (click to enlarge)
Click to Enlarge Name: GS_02_Res.PNG Size: 36 KB
Attached File(s)
File Type: mq4 Grand_Son_02.mq4   11 KB | 907 downloads
File Type: ex4 Grand_Son_02.ex4   23 KB | 603 downloads
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  • #409
  • Feb 2, 2015 6:59am Feb 2, 2015 6:59am
WOW !, look at the results by just changing the ADX range to 15-25 instead of 20-25. Which allowed for more trades and with minimum DD change.
Excellent contribution rukiver.

Attached Image (click to enlarge)
Click to Enlarge Name: GS_02_RES_2.PNG Size: 36 KB
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  • #410
  • Feb 2, 2015 7:29am Feb 2, 2015 7:29am
Quoting abokwaik
WOW !, look at the results by just changing the ADX range to 15-25 instead of 20-25. Which allowed for more trades and with minimum DD change. Excellent contribution rukiver. {image}
Thanks! And thanks for yours!! By the way your screenshots are backtests right? What do they say?? More gain than loss? Gross profit smaller than gross loss???

Sorry never did that get right. And i havent meant now. Hi Hi but thanks for the fast response!!
  • #411
  • Feb 2, 2015 11:35am Feb 2, 2015 11:35am
Quoting rukiver
{quote} Thanks! And thanks for yours!! By the way your screenshots are backtests right? What do they say?? More
gain than loss? Gross profit smaller than gross loss??? Sorry never did that get right. And i havent meant now. Hi Hi but thanks for the fast response!!

Yes those are back test results.

The different values reported are what MT4 offers. Of course there are other softwares that report more important values like sharpe ratio, expectancy ... etc.

If we want to evaluate a Robot or EA or even a manual system based on MT4 tester report, I focus initially on draw down percentage (DD%) over at least 30 trades. If the system DD% is acceptable and system is profitable, I try to increase the position size used or allow the system to take more trades ... etc.

This is an important subject that in addition to what I myself can contribute, it certainly needs input from senior members here at FF.
No guts, no glory
  • #412
  • Feb 2, 2015 12:42pm Feb 2, 2015 12:42pm
what about possible different fixed lot size for father son ect.. ?
  • #413
  • Feb 2, 2015 1:15pm Feb 2, 2015 1:15pm
Quoting zulufx
what about possible different fixed lot size for father son ect.. ?
Sorry I couldn't understand what you mean. Can you explain ?
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  • #414
  • Feb 2, 2015 1:23pm Feb 2, 2015 1:23pm
Quoting abokwaik
{quote} Sorry I couldn't understand what you mean. Can you explain ?
input int Son_TF = 240;
input int Father_TF = 1440;
input int Grand_TF = 10080;
input double Fixed_Lot_Size Son_TF = 0.01;
input double Fixed_Lot_Size Father_TF = 0.02;
input double Fixed_Lot_Size Grand_TF = 0.1;

spare me i am still new at this
  • #415
  • Feb 2, 2015 1:40pm Feb 2, 2015 1:40pm
Quoting zulufx
{quote} input int Son_TF = 240; input int Father_TF = 1440; input int Grand_TF = 10080; input double Fixed_Lot_Size Son_TF = 0.01; input double Fixed_Lot_Size Father_TF = 0.02; input double Fixed_Lot_Size Grand_TF = 0.1; spare me i am still new at this
It's ok. me too.

But I am sorry, you request does not fit with the Robot idea.
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  • #416
  • Feb 2, 2015 1:43pm Feb 2, 2015 1:43pm
Quoting abokwaik
{quote} It's ok. me too. But I am sorry, you request does not fit with the Robot idea.

Ok sir
  • #417
  • Feb 4, 2015 12:52am Feb 4, 2015 12:52am
Quoting abokwaik
{quote} Yes those are back test results. The different values reported are what MT4 offers. Of course there are other softwares that report more important values like sharpe ratio, expectancy ... etc. If we want to evaluate a Robot or EA or even a manual system based on MT4 tester report, I focus initially on draw down percentage (DD%) over at least 30 trades. If the system DD% is acceptable and system is profitable, I try to increase the position size used or allow the system to take more trades ... etc. This is an important subject that in addition...
expectancy is easy enough to work out with the results we get from MT4:

Expectancy = (Probability of Win * Average Win) – (Probability of Loss * Average Loss)

use decimal for "Probability of Win/Loss" i.e. 76% = 0.76.

we are ideally looking for a positive number as a result
  • #418
  • Feb 4, 2015 1:20am Feb 4, 2015 1:20am
Quoting TerryTibbs
{quote} expectancy is easy enough to work out with the results we get from MT4: Expectancy = (Probability of Win * Average Win) – (Probability of Loss * Average Loss) use decimal for "Probability of Win/Loss" i.e. 76% = 0.76. we are ideally looking for a positive number as a result
Thanks Terry,

I am aware of that, I have an early post in this thread about expectancy Here. I also compared few robots at the begging of thread based on calculated expectancy as in Here.

What I meant is that some important values and ratios are not automatically calculated by MT4, although they are easy to calculate.

As for MT5, although expectancy is not offered, other important evaluation factors where added as Sharpe Ratio, Recovery Factor ... etc. as in MT5 report Here.

Regards,
No guts, no glory
  • #419
  • Feb 4, 2015 1:23am Feb 4, 2015 1:23am
Quoting abokwaik
WOW !, look at the results by just changing the ADX range to 15-25 instead of 20-25. Which allowed for more trades and with minimum DD change. Excellent contribution rukiver. {image}
Will be testing this over the weekend.

Thanks for the great effort Abokwaik

All the best

Rooi
We miss 100% of the shots we don't take
  • #420
  • Feb 4, 2015 1:27am Feb 4, 2015 1:27am
Quoting abokwaik
{quote} Thanks Terry, I am aware of that, I have an early post in this thread about expectancy Here. I also compared few robots at the begging of thread based on calculated expectancy as in Here. What I meant is that some important values and ratios are not automatically calculated by MT4, although they are easy to calculate. As for MT5, although expectancy is not offered, other important evaluation...
ahh my bad Khalil mustve skimmed over those posts! forgive my patronisation!
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