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My EA Gift to Traders

  • #1,121
  • Apr 17, 2015 9:11am Apr 17, 2015 9:11am
Quoting Dave_C
I had quite a number of requests both by PM and on the forum for the MACD CDL strategy which I am reluctant to fulfil because it may have run it's course at this stage.
I am running five of the seven currency pairs using the MACD CDL strategy of yours (on a demo account using the same broker you are) and my experience (so far) is quite different. You can view the demo account via FXBlue (started Traders Gift on this account April 9). In this account are also two charts running a straight-up RSI strategy. This week, the MACD CDL strategy on five pairs produced a 4.8% return on equity which is a far cry from what the Strategy Optimizer report claims but it is not too shabby and certainly not indicative of the strategy 'run[ning] it's course. BTW, I have a review of your EA and SO going at Pipcop, which is my Forex home. It includes all the set files I am using on my demo account.

I am noticing very different trades on my account than what your account trades using the MACD CDL strategy.

Rick
  • #1,122
  • Apr 17, 2015 10:51am Apr 17, 2015 10:51am
Quoting Dave_C
It certainly says something about humanity when there are 536 downloads since Apr 1 and maybe 10 posters!
Dave,

Nonetheless, I would bet this thread will end up being one of the most popular ever on Forex Factory.

Keep up the amazing work!

drofwarc
  • #1,123
  • Edited 9:01pm Apr 17, 2015 7:09pm | Edited 9:01pm
Quoting drofwarc
{quote} Dave, Nonetheless, I would bet this thread will end up being one of the most popular ever on Forex Factory. Keep up the amazing work! drofwarc
I absolutely appreciate your encouragement. You have seen the times I get despondent and wake up the next morning and delete the post. However it is a great hobby to have and would never have got to this level without the constructive criticism. I'm looking at what others are doing regarding Forex on the web. Forex Factory appears to have the integrity edge. I remember always faithfully believing everything FPA had to say until I got alerted about corrupt behaviour. I would like to monetize my efforts but could very easily fall on my own sword in doing so.

There is some great work being done particularly in relation to dashboards and I believe that this may be the future. I sure you've seen the Dashboard Trading thread and this is impressive work and a thread growing exponentially. From my own point of view, we may be on to something in the money management area. Periodically I remove underperforming strategies from Trade Explorer but I am now finding that all the EA's have "bedded down" and even if the settings are outdated they are performing because of the money management techniques.

You may notice the source of the current downloads but I am running scared of taking anything to a new level whilst I am getting encouragement from the very few such as yourself but in any case there is a lifetime of unlimited downloads for the active posters.

Because at times the work is tedious, I'm using this weekend to evaluate how far the programming needs to go, As an example, I was stalled for about 4 days on the zigzag indicator. With most of my programming, I use TA.lib which is a library of formulas for the indicators but ZZ is not amongst them. So I had to reinvent the wheel. No matter how far I tested it, I was always hitting flat spots until I sorted out the problem one night in my sleep.

A big hurdle at the moment is the effort of programming for different timeframes. In MT4, it relatively easy because of the event driven scenario, but in VB.net, I have to work with 5 datasets and coordinate these to all work together. It's a substantial effort and prompted my post yesterday questioning the need for more work in the indicator area. There is also the question of newbies creating problems and you can see them going off on a tangent, but we all started somewhere. There are the fly by nighters who create havoc by dumb posts which cast doubts and then you never see them again.

Anyway, the way I stand, this thread is now event driven and I will do my best to field the questions. You no doubt have noticed the diminishing revisions to the EA and I'm hopeful Strategy Optimizer will bed down also. I don't know whether we are on to something but Alex surely stirred up the hornets nest when he raised the money management issues and that may be the future.
  • #1,124
  • Apr 17, 2015 7:37pm Apr 17, 2015 7:37pm
Quoting rsmereka
{quote} I am running five of the seven currency pairs using the MACD CDL strategy of yours (on a demo account using the same broker you are) and my experience (so far) is quite different. You can view the demo account via FXBlue (started Traders Gift on this account April 9). In this account are also two charts running a straight-up RSI strategy. This week, the MACD CDL strategy on five pairs produced a 4.8% return on equity which is a far cry from what the Strategy Optimizer report claims but it...
I can assure you that the EA's in Trade Explorer are not being manipulated. In fact I fielded a query yesterday about the difference in the graphs in MT4 and Strategy Optimizer and I said that I would respond after I investigated the difference.

It turned out the differences were rather insidious. Firstly the poster sent me a copy of his set file and his own data so we were comparing apples to apples. When I went into the trade list there was one opening trade in MT4 that Strategy optimizer did not take and this affected the whole outcome because the EA does not open any more than 1 trade at a time. So timing is the essence. Because MT4 had previous data the indicator had a value at start time but Strategy Optimizer did not have that data.

The other difference was lot size. I calculate lot size with regard to the exchange rate of the pair being traded. There is no sense in using an exchange rate of 1 in all scenarios, which MT4 does. If you look at the MT4 testing tab, you will notice that no matter what currency is selected, the lot size is always calculated without regard to the currency pair. This of course affects your bank balance, so if you nominate a SL of say the equivalent lot size of say 100 dollars or euros, you should reasonably expect to be down that amount. MT4 does not take this into account. So as part of this exercise yesterday, we had the scenario of .2, .4, .8, 1.6, 2.0 (20% ceiling) verses Strategy Optimizer using .12, .24, .48, .96, 1.92, 2 (one further progression). I have simplified the example because the multiple wasn't 2 but you get the drift.

The important thing was that the indicator values were aligned so the calculations were entirely correct and forward testing should produce identical results with identical lot sizes.

EA's do run their course but I'm reluctant at the moment to take them down because I really think you could bet on 2 files crawling up the wall and that money management is really the key!
  • #1,125
  • Apr 17, 2015 8:22pm Apr 17, 2015 8:22pm
Quoting Shawn29
Hey Dave I noticed when you click through the Optimization results it shows the previous one you had selected. Not sure if that was intended or a bug so just throwing it out there. {image}{image} Also just a suggestion for the clear all selections, maybe make that just reset everything to the default settings like when you first start the program. The reason I say that is because when I was testing somehow the ATR got set to 5 and I was going nuts trying to figure out why my results were weird even though I kept resetting between testing, it wasn't...
Both very valid comments. I shouldn't say this but to be brutally honest even though this Ver 1.0, Ver 2.0 when I get to that point after the various minor revisions will be much better. If you had been following this thread, the EA was being updated almost daily in the beginning and Strategy Optimizer is going through the same maturing period at the moment.
  • #1,126
  • Apr 17, 2015 8:54pm Apr 17, 2015 8:54pm
Quoting karolisl
{quote} I think like you, that settings could be enhanced more. I just change indicator settings. Here you go. Time frame 1H. {file}
Looking at your set file has raised a number of issues which are quite timely.

The extended back test period. Trading habits change as I have previously discussed. Wouldn't it be more relevant to say for example test Oct-Dec 2014 and Jan-Mar 2015 as 2 separate shorter independent time frames.

Fixed Stop Losses and Take Profit. There are much more effective ways to manage your money.

Use of the standard 12,26,9 settings for MACD. We give you the tools to challenge the conventional settings. When I optimized your settings I got the graph enclosed. If I were you I would remove the ADX from the calculation.

Then I ran a back test over the same period using the same data with the same optimizations with just RSI. The second graph.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: 2015-04-18 11_45_52-Strategy Optimizer.jpg Size: 282 KB
Click to Enlarge Name: 2015-04-18 11_51_28-Strategy Optimizer.jpg Size: 249 KB
  • #1,127
  • Apr 18, 2015 3:24am Apr 18, 2015 3:24am
good Saturday Dave!

I am among those who performed a download of your EA, but I did not at the time, tried the features, for lack of time.
I think that next week, try the operation of the EA, and intervene, despite the English language, is tricky for me

hug and thank you!
  • #1,128
  • Apr 18, 2015 5:27am Apr 18, 2015 5:27am
Quoting Dave_C
{quote} Looking at your set file has raised a number of issues which are quite timely. The extended back test period. Trading habits change as I have previously discussed. Wouldn't it be more relevant to say for example test Oct-Dec 2014 and Jan-Mar 2015 as 2 separate shorter independent time frames. Fixed Stop Losses and Take Profit. There are much more effective ways to manage your money. Use of the standard 12,26,9 settings for MACD. We give you the tools to challenge the conventional settings. When I optimized your settings I got the graph enclosed....

SL and TP multiplier in longer term will blow account )

And your optimization is just change break even from 20 to 30 and add Sl and TP multiplier.. which is very bad..
  • #1,129
  • Apr 18, 2015 1:23pm Apr 18, 2015 1:23pm
Quoting karolisl
{quote} SL and TP multiplier in longer term will blow account ) And your optimization is just change break even from 20 to 30 and add Sl and TP multiplier.. which is very bad..

The SL multiplier is capped off at 20% of your account. And would need a nice losing streak but eh it will happen at some point.

On the first grave is the optimization of the settings. He did add multiplier but also changed the break even and MACD settings. Second graph is completely different strategy with RSI.
  • #1,130
  • Apr 18, 2015 1:32pm Apr 18, 2015 1:32pm
Quoting maxss280
{quote} The SL multiplier is capped off at 20% of your account. And would need a nice losing streak but eh it will happen at some point. Dave took the time to go through your settings so you should take the time to go through his . He optimized the MACD from the standard settings in the first graph and in the second graph he completely used a different strategy.

i'm talking only about macd. Ant his optimization looks very small. I don't know how this strategy optimizer works, but when backtesting on good data on mt4 same settings same period you will get different results, i think you will see real picture, that mostly you will lose money with it.
  • #1,131
  • Apr 19, 2015 2:03am Apr 19, 2015 2:03am
Quoting karolisl
{quote} i'm talking only about macd. Ant his optimization looks very small. I don't know how this strategy optimizer works, but when backtesting on good data on mt4 same settings same period you will get different results, i think you will see real picture, that mostly you will lose money with it.
Both of you are miles off the mark and if you PM me, I will attempt to enlighten you. You are welcome to criticise but please make the discussion informed and intelligent instead of sweeping statements without any substantiation.

If you have issues with the Stop Loss Multiplier, I invite you to back up your claim on this forum. Regarding back testing methods, the same applies.
  • #1,132
  • Apr 19, 2015 5:11am Apr 19, 2015 5:11am
Quoting Dave_C
{quote} Both of you are miles off the mark and if you PM me, I will attempt to enlighten you. You are welcome to criticise but please make the discussion informed and intelligent instead of sweeping statements without any substantiation. If you have issues with the Stop Loss Multiplier, I invite you to back up your claim on this forum. Regarding back testing methods, the same applies.
If you can, attach my optimized set.
  • #1,133
  • Edited 6:51am Apr 19, 2015 6:35am | Edited 6:51am
Quoting karolisl
{quote} If you can, attach my optimized set.
My function is not to do your optimizations.

As I have mentioned, you are starting at the wrong point in more ways than one. Firstly the period of back test, secondly your choice of optimization factors. There are 28 example current optimisations at Post #1, 1132 related posts, and 5 Trade Explorers, all of which are performing under conditions which you claim will blow your account, having started with a balance of $10,000 within the last 3 months, so it is rather arrogant that you expect me to provide you with optimization figures for your own ideas.

You have my input in Post #1126. If that is not enough for you, I suggest you go and annoy somebody else.
  • #1,134
  • Apr 19, 2015 7:01am Apr 19, 2015 7:01am
Quoting Dave_C
{quote} My function is not to do your optimizations. As I have mentioned, you are starting at the wrong point in more ways than one. Firstly the period of back test, secondly your choice of optimization factors. There are 28 example current optimisations at Post #1, 1132 related posts, and 5 Trade Explorers, all of which are performing under conditions which you claim will blow your account, having started with...

But you backtesting is short, if next month conditions will change, it will blow all or part of money. I backtested your strategys of eur/usd without any changes, just my backtesting period. I think you need longer backtest, to see what will happen, Because on long backtest you can find almost all conditions of market. And if EA were profitable in future during all types of market, than this is big probability that it can be profitable in long term in future. Your settings are optimized just for period from this January where volatility increased.. But on backtest by e.g. on 2013 year where volatility was low, your settings only loose money. Sorry for my bad English.
  • #1,135
  • Edited 8:36am Apr 19, 2015 7:32am | Edited 8:36am
Quote
But you backtesting is short, if next month conditions will change, it will blow all or part of money. I backtested your strategys of eur/usd without any changes, just my backtesting period. I think you need longer backtest, to see what will happen, Because on long backtest you can find almost all conditions of market. And if EA were profitable in future during all types of market, than this is big probability that it can be profitable in long term in future. Your settings are optimized just for period from this January where volatility increased.....

If you read through the thread most of that has been answered allready.

It seems like you're trying to find some holy grail setting that you probably never will find. The whole point of his EA, and Optimizer is to be flexible so you can adjust to the market changes by changing your strategy or adjusting your current strategy to suit the current market conditions, and to speed up that process with his Optimizer rather then waiting 30 hours for MT4 to optimize it. So the best way to do that is to re-optimize at the start or end of the month, or if one of your sets start to perform poorly. To do that you need to back test more short term then long term, if you back test a year you're going through many different cycles so 1 strategy will probably give poor results.

What i would suggest if you want to test for a year Optimize for Oct-Dec 2013 then run that set for Jan 2014 and see what results you get. Then keep adding a month to the testing until it starts to burn out or you can re-optimize for Nov-Jan then test Feb 2014, and so on until you're done with the year. Also by doing it this way you can change your starting balance to account for your profits, and any withdraws you would have made over that time as well.
  • #1,136
  • Edited 8:44am Apr 19, 2015 8:31am | Edited 8:44am
I don't searching holy grail, because there isn't thing like this. And without dynamic settings any system automated or manual can't be profitable. Even free EA with all lagging indicators. Because EA trading indicators, human start to look what happening when indicators gives signal, but not trade immediately. This EA is like many other EA's just with all indicators in one.

And where is the logic of TP/SL multiplier ??? When trade closed by SL it opens bigger size position and when it gets SL too you will get much bigger loss..
  • #1,137
  • Apr 19, 2015 8:57am Apr 19, 2015 8:57am
Quote
And where is the logic of TP/SL multiplier ??? When trade closed by SL it opens bigger size position and when it gets SL too you will get much bigger loss..

You don't have to enable them if they bother you that much. Just uncheck those options and set it to 0.
  • #1,138
  • Apr 19, 2015 9:13am Apr 19, 2015 9:13am
Quoting Shawn29
{quote} You don't have to enable them if they bother you that much. Just uncheck those options and set it to 0.
I know what can i change and what i can't. That's not answer. This future only burn account

I'm doing now backtest with one of the 28 optimized sets on EUR/USD wit 99% data quality. You will how these settings are "optimized".
  • #1,139
  • Apr 19, 2015 11:49am Apr 19, 2015 11:49am
This is backtest from your 28 "optimized" strategies. Used set file "TG_EURUSD_60_150101_150417_Div_CS_". Nothing changed. Total 244 trades, and only 140 pips gained..

Average Win:36.54 pips / $11.09
Average Loss:-87.06 pips / -$30.31

Attached Image (click to enlarge)
Click to Enlarge Name: optimized.gif Size: 7 KB

Attached Image

Attached Image

Attached Image
  • #1,140
  • Apr 19, 2015 12:23pm Apr 19, 2015 12:23pm
This is "TG_EURUSD_60_150101_150417_RSI__" set.
Attached Image (click to enlarge)
Click to Enlarge Name: rsi.gif Size: 15 KB


and "TG_EURUSD_60_150119_150417_MACD_CS_"
Attached Image (click to enlarge)
Click to Enlarge Name: macd.gif Size: 16 KB
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