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trend catching with NonLagDot indicator

  • #261
  • Dec 29, 2015 6:10pm Dec 29, 2015 6:10pm
Quoting Dave_C
{quote} ​TradingMode should be 0 (zero) and unchecked. Check marks are for optimization purposes and only used in backtesting. 0 is autotrading (for EA to automatically trade and is the default value) 1 is advisory only (pop up message), 2 is discretionary (will trade on confirmation by user) If you just use the default values, the EA will trade automatically on 5% of equity value per trade with a 20 pip trailing StopLoss and 40 pip Profit (a pip for the major pairs (non JPY) is $0.0001, for JPY pairs is $0.01). No Breakeven setting and 20...

Hey Dave - I keep trying to run variations on the ea and I don't think the step function is working properly. It goes to breakeven and never steps. No matter how many pips it goes.
  • #262
  • Dec 29, 2015 6:19pm Dec 29, 2015 6:19pm
Quoting Fiddy
{quote} Hey Dave - I keep trying to run variations on the ea and I don't think the step function is working properly. It goes to breakeven and never steps. No matter how many pips it goes.
​I'm not sure you really understand.

The step function is a MT4 strategy tester function used for backtesting and has nothing to do with any variables within the EA. It represents the rate at which the value of any checked variable is iterated.

Maybe you need to PM me and explain your problem in more detail.
  • #263
  • Dec 29, 2015 6:21pm Dec 29, 2015 6:21pm
Quoting Fiddy
{quote} Hey Dave - I keep trying to run variations on the ea and I don't think the step function is working properly. It goes to breakeven and never steps. No matter how many pips it goes.
There is no step setting for breakeven. You may be looking at the optimization setting.

There is trailing stop. and you should see this "step" after price moves above the pip amount entered.

Hope that helps
Solutions ONLY!!!
  • #264
  • Dec 29, 2015 6:33pm Dec 29, 2015 6:33pm
Quoting BillYon
{quote} There is no step setting for breakeven. You may be looking at the optimization setting. There is trailing stop. and you should see this "step" after price moves above the pip amount entered. Hope that helps
​Just to clarify.

Stop Loss is set to zero (+1 feel good pip) at the SetStopLossToBreakEvenPips level and the stop loss will resume trailing when another 5% increase in profit is achieved.

5% is the preset rate for adjustment of the trail.
  • #265
  • Dec 29, 2015 6:37pm Dec 29, 2015 6:37pm
Quoting Dave_C
{quote} ​Just to clarify. Stop Loss is set to zero (+1 feel good pip) at the SetStopLossToBreakEvenPips level and the stop loss will resume trailing (if TrailingStopLoss is enabled) when another 5% increase in profit is achieved (that is the preset rate).

Ok
Thanks
Solutions ONLY!!!
  • #266
  • Edited 10:26pm Dec 29, 2015 6:58pm | Edited 10:26pm
Quoting Dave_C
The EA is updated to include a Set Stop Loss to Break Even. (EA at bottom of Post) With the following results EURUSD 30min chart 1/1/2015 to 29/12/2015, the best optimized settings were Trailing Stop Loss 10 (tested from 10 to 50 in steps of 5) Take Profit 10 (tested from 10 to 100 in steps of 10) Length (of Weighted MA) 20 (tested from 10 to 50 in steps of 5) SetStopLossToBreakEvenPips 20 (did not come into play with the best optimization result) All other settings were default. The most significant finding was the low Stop Loss which would tend...
Dave

Thanks greatly for your generosity in developing the EA mate for public use. You have what appears to be a pretty powerful trader mate. Great job.

I have been running a few quick and nasty tests on D1 over a suite of instruments between 1 Jan 2013 to 31 Nov 2015 and am having a degree of luck in finding a sweet spot for a range of instruments. I use 2013 to 2015 as a first test for all instruments as trend trading in 2013 was a bummer (particularly with EURUSD but a good period for mean reversion) and it is a good year to test whether an instrument bombs out or not during this period (as a first test of robustness of a trend trader or momentum trader). Your EA seems to handle it well with very limited drawdown. 2014 is when trend trading came back in full force so is a good year to test how a trader handles trending conditions. 2015 has had it's up and downs and so far has been pretty subdued for trend trading in general.

I always look for good systems for trend trading (at least as part of a suite of systems) and your EA appears at least on initial glance to be a good candidate. Particularly as a shorter term trader (momentum) that can fill the gaps (drawdown extremes) in the equity curves of other systems.

I comprehensively tested EURUSD but have also found some pretty powerful results applying the same settings across other instruments, so there is logic in the EA which can be further spelled out in terms of R (distance to stop) and ATR which could therefore be defined to make it instrument agnostic.

I find that when not setting a profit target and simply letting the trend momentum run, then a trailing stop (of initial distance from entry to stop) is the way to go ....but the better results appear to arise when I use a TP target of approximately 2.5x the distance to the initial stop and not using a trailing stop.

Unfortunately I was using you EA version from post 217 and not the later update included in post 219, but the results are still useful.

I am going away for a break with the family for the next week so unfortunately won't be able to contribute to this thread much further.

Note the use of the following settings and general guidance following a review of results:
1. MaximumRiskPC = 0.25 (simply a low risk threshold for testing allowing the results to be scaled to desired risk)
2. Duration = 20 (seems to be the most robust setting for D1 across all instruments so far to capture longer term trend momentum bursts/ impulse moves)
3. Trailing stop loss turned off. Seems to be the better setting when dealing with a TP target as opposed to letting it trail. This way, the EA therefore becomes a momentum trader/swing trader as opposed to a strict trend trader but heh....whatever works right.
4. Length = 140 (seems to be a good sweet spot for this MA on most instruments on D1)

The other settings are instrument specific and relate to pips that could be converted to R to get standardisation:
1. Define distance to stop in terms of ATR (30 period). eg. 1 ATR or 1.5 ATR etc.. This will allow for volatility sizing and consistency amongst instruments
2. Distance to initial stop = 1R
3. Distance to profit target = 2.4R


Results from your EA and chosen settings so far are below.

EURUSD
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The other results have not been comprehensively tested but serve as a guide that we are on the right track but need to be tweaked in terms of ATR and R so we can test the underlying assumptions better and conduct some more brutal testing over a large investment universe.

EURJPY
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USDJPY
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USDSGD
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XAUUSD (Spot Gold)
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Once again, thanks for your great efforts.

I hope this post helps a bit mate.

C

PS Thanks Lebaneese for hosting this thread and your input. Much appreciated. :-)
  • #267
  • Dec 29, 2015 7:12pm Dec 29, 2015 7:12pm
Quoting Copernicus
{quote} Dave Thanks greatly for your generosity in developing the EA mate for public use. You have what appears to be a pretty powerful trader mate. Great job. I have been running a few quick and nasty tests on D1 over a suite of instruments between 1 Jan 2013 to 31 Nov 2015 and am having a degree of luck in finding a sweet spot for a range of instruments. I comprehensively tested EURUSD but have also found some pretty powerful results applying the same settings across other instruments, so there is logic in the EA which can be further spelled out...
​Great insight!

In the past I have coded for ATR for TP and SL levels but made a deliberate decision to make this EA relatively straight forward. The values of all the variables are a subjective issue and I do agree with the basket method.

I can tie the EA to the CloseTrades EA if that is needed. This method just uses the CloseTradesEA to close all positions once the overall result is achieved and disables any active NonLagDotEA.
  • #268
  • Dec 29, 2015 7:25pm Dec 29, 2015 7:25pm
Quoting Dave_C
{quote} ​Great insight! In the past I have coded for ATR for TP and SL levels but made a deliberate decision to make this EA relatively straight forward. The values of all the variables are a subjective issue and I do agree with the basket method. I can tie the EA to the CloseTrades EA if that is needed. This method just uses the CloseTradesEA to close all positions once the overall result is achieved and disables any active NonLagDotEA.
No probs mate. I will check back in when I get back from hol's. I come from the school of long term robustness, no curve fit and applicable to all liquid instruments in my selection criteria and it appears that your EA and it's method might tick the boxes.

Have a great New Year Dave.
  • #269
  • Dec 29, 2015 7:33pm Dec 29, 2015 7:33pm
Dave,

Great job on this EA! Did you consider modifying it to look at the trend on multiple timeframes? Ex: If the trend (according to the NonLagDot indicator) is up on 4 hr, 1 hr, 30 min, and 15 min charts, then enter long ... trailing SL on either 60, 30 or 15 min charts? I think this would filter any whipsaws on lower TF's.

Regards,
EZcurrency
  • #270
  • Dec 30, 2015 2:15pm Dec 30, 2015 2:15pm
Backtested this one with basket exit. Used Standard PSAR for stop loss on each pair and closed ALL positions if 100 pips profit made. Trading during london and NY session.

All 18 baskets closed for profit so far.
  • #271
  • Dec 30, 2015 2:18pm Dec 30, 2015 2:18pm
L,

What do you do for entry if the retrace low/high is taken out immediately and you get additional opposite candles as shown below. Do you take the nearest entry to price or leave at the bottom/top of the original retrace candle?

Attached Image (click to enlarge)
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  • #272
  • Dec 30, 2015 2:58pm Dec 30, 2015 2:58pm
Quoting spyderman
L, What do you do for entry if the retrace low/high is taken out immediately and you get additional opposite candles as shown below. Do you take the nearest entry to price or leave at the bottom/top of the original retrace candle? {image}
spyderman we take the last retracement, we have to enter at best entry point with smallest SL, so entry will be at second signal and even first one wasn't executed so forget it and enter at higher point.
  • #273
  • Edited 4:24pm Dec 30, 2015 4:11pm | Edited 4:24pm
Enclosed nonlagdot indicator with alert. Alert is given at the open of the new bar when the previous bar is countertrend to the previous dot direction.

Set AlertOn to 0 to disable signal.

*Please check the datetime stamp of your download with this message*
Attached File(s)
File Type: mq4 nonlagdot_withalert.mq4   5 KB | 773 downloads
  • #274
  • Dec 30, 2015 4:13pm Dec 30, 2015 4:13pm
Quoting Dave_C
Enclosed nonlagdot indicator with alert. Alert is given at the open of the new bar when the previous bar is countertrend to the previous dot direction. Set AlertOn to 0 to disable signal. {file}
Thank you Dave

cheers
hannele
  • #275
  • Dec 30, 2015 8:14pm Dec 30, 2015 8:14pm
Quoting Dave_C
Enclosed nonlagdot indicator with alert. Alert is given at the open of the new bar when the previous bar is countertrend to the previous dot direction. Set AlertOn to 0 to disable signal. *Please check the datetime stamp of your download with this message* {file}
Excellent!

Thanks again Dave
Solutions ONLY!!!
  • #276
  • Dec 30, 2015 10:26pm Dec 30, 2015 10:26pm
What are the settings if I don't want a SL or TP and NO trailiing......have tried using setting of 0 and or 1 and it still does it's own thing...........Im not an ea guy,
so bear with me
  • #277
  • Dec 30, 2015 11:36pm Dec 30, 2015 11:36pm
[quote=kaiser soze;8666279]What are the settings if I don't want a SL or TP and NO trailiing......have tried using setting of 0 and or 1 and it still does it's own thing...........Im not an ea guy, so bear with me[/quoteJ

Change the SL and TP to your own requirements and ensure the highlighted input is set at 0(zero)​
Attached Image (click to enlarge)
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  • #278
  • Dec 31, 2015 1:37am Dec 31, 2015 1:37am
Hi Lebaneese,

I just want to confirm, where you gave the list of currency pairs that you trade with this system, does UC mean USD/CAD or USD/CHF and does CJ mean CAD/JPY or CHF/JPY?

Best Regards.
  • #279
  • Dec 31, 2015 4:14am Dec 31, 2015 4:14am
Hi guys , what a nice job here .. Well done...

I was testing both EAs and its seems that the first version gives better profit than the revised EA... You agree with me?

Thanks
  • #280
  • Dec 31, 2015 4:40am Dec 31, 2015 4:40am
Well I am not a fan of EA but was playing with some settings to see the best take a look for this result.
Settings was 1 lot per trade SL 100 pips with trailing 5% and TP was 120 pips with trailing 5%.
Date from 1-1-2015 till today. It tripled the account in 1 year.
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