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  • #381
  • Apr 14, 2016 2:18am Apr 14, 2016 2:18am
Goodmorning MR.D

Could you explain how stoploss is set on the ea?

Example if I would use highest price with in x bars, that would work fine when going short, but when going long that should be the lowest price with in x bars.

Should I then just let the ea on one chart only go short when using the highest price and open another chart and turn it around?

Best regards
  • #382
  • Edited 12:01pm Apr 14, 2016 2:27am | Edited 12:01pm
Todays discussion in the Backtesting and Optimisation series relates to trading Divergence.

Divergence occurs when the line joining peaks or troughs in the RSI or MACD moves in a direction opposite to the peaks or troughs of price action.

If you haven't downloaded the General Update posted today, please do so.

Divergence is a fairly reliable sign of an imminent Price turnaround particularly on 60 min or greater charts. For todays exercise I have included 2 other indicators as second conditions to provide further confirmation and have run optimizations on the Money Management factors. I would suggest that the Lookback bars be set to around 100 but you can optimize that figure also if desired.

Also a strategy is included based on Price moving up though the lower Bollinger Band with a confirmation of momentum with the ADX and price moving down through the upper Bollinger Band also with a confirmation of momentum with the ADX. Note that the ADX settings are the same in both cases as we are simply confirming that there is solid demand.

Rather than posting multiple charts as in the last 3 days, I will leave it up you to perform your own discoveries. Note that it is not always the best profit figure that should be selected, rather the smaller drawdown in some cases.

Later on I will post the updated set files from yesterday in view of the changed use of variables for more consistency with other indicators.
Attached File(s)
File Type: txt EURUSD_BB_ADX_60_Jan_Mar_2016.txt   43 KB | 238 downloads
File Type: txt EURUSD_Div_CCI_60_Jan_Mar_2016.txt   43 KB | 247 downloads
File Type: txt EURUSD_Div_CS_60_Jan_Mar_2016.txt   43 KB | 301 downloads
  • #383
  • Apr 14, 2016 2:32am Apr 14, 2016 2:32am
Quoting zhrg
Goodmorning MR.D Could you explain how stoploss is set on the ea? Example if I would use highest price with in x bars, that would work fine when going short, but when going long that should be the lowest price with in x bars. Should I then just let the ea on one chart only go short when using the highest price and open another chart and turn it around? Best regards
If you are using Highest or Lowest as Stop Loss criteria, different charts would be required because that Stop Loss otherwise would be common to both Buy and Sell trades.
  • #384
  • Apr 14, 2016 2:33am Apr 14, 2016 2:33am
Quoting Dave_C
{quote} If you are using Highest or Lowest as Stop Loss criteria, different charts would be required because that Stop Loss otherwise would be common to both Buy and Sell trades.
Thank you for fast reply.
  • #385
  • Apr 14, 2016 3:30am Apr 14, 2016 3:30am
Updates for yesterdays set files. (rename from .txt to .set) as a result of the General Update due to variable changes.
Attached File(s)
File Type: txt EURUSD_Channel_Continuous_60_Jan_Mar_2016 .txt   43 KB | 229 downloads
File Type: txt EURUSD_Channel_SL_TP_60_Jan_Mar_2016.txt   43 KB | 251 downloads
  • #386
  • Apr 14, 2016 9:24am Apr 14, 2016 9:24am
Dave you the Man .. I am finding the tickstory lite very very useful ...nice.. thanks am testing lots now
  • #387
  • Edited 2:43am Apr 15, 2016 1:18am | Edited 2:43am
Today's discussion completes the series on leveraging the power of Agility Trader through backtesting and optimization.

The emphasis during this series has been to provide a starting point to determine the best value of variables used for our investments.

As I have emphasized this week. these optimizations highlight the values that were efficient during the last 3 months. My recommendation is that this process be repeated on a monthly basis on the most recent 3 months data and these results form the basis of the next 1 months investment.

Today, I have chosen a custom indicator, the NonLagDot indicator. I have included the indicator as a download and it should be placed into the \MQL4\Indicators directory accessed through File, Open Data Folder.

This indicator uses a variation of a Weighted Moving Average to provide a series of dots which reside above or below the current candles. The appeal of the indicator is exactly as it name implies. There are 7 inputs for this indicator, and we are only concerned with input number 2 which is Length - the number of bars used for calculation. The number of buffers is 5 and we are only concerned with the value of Buffer #2 which is the value of the WMA.

These are the inputs whch are described in User Indicator #1. The second input is the Max number of bars to be considered for a valid buy or sell signal.

There are 2 conditions for Buy and Sell, the first condition is for an increasing value of the Buffer for a Buy and (reverse for Sell) and the second, a movement of Price contrary to the Buffer movement. The set file is enclosed.

The whole point about optimization is to determine whether a particular strategy is worth pursuing compared with other strategies. A smooth equity curve with minimal drawdown should be one of your most important determinations. I have emphasised Money Management as this should be where most of attention is focused. Some of the variables of the indicators themselves have also been optimized and you should determine your own focus.

Don't forget to keep in mind testing for particular trading times as shown with the Continuous Straddle strategy.
Attached File(s)
File Type: txt EURUSD_NLD_60_Jan_Mar_2016.txt   43 KB | 288 downloads
File Type: ex4 nonlagdot.ex4   15 KB | 278 downloads
File Type: mq4 nonlagdot.mq4   5 KB | 321 downloads
  • #388
  • Apr 15, 2016 11:31pm Apr 15, 2016 11:31pm
Quoting Dave_C
A smooth equity curve with minimal drawdown should be one of your most important determinations.
Hi Dave
Not sure about the "smooth equity curve" but this sure is a massive learning curve for me anyway ...
Thankyou!
When you are successful perhaps give a thought to others ... Kiva dot org
  • #389
  • Edited Apr 17, 2016 1:56am Apr 16, 2016 4:59pm | Edited Apr 17, 2016 1:56am
Hi all,

Just a quick update. I have setup Daves NLD EA and indicator on a demo platform.

After installing the EA I then placed the indicator across the 7 majors. The indicator then overlays a bunch of red and blue dots on each chart which the EA can then read.

Next step was to drop the NonLag EA onto each chart. I selected basket trading for each chart and defined the overall SL & TP for the basket as $500 and $1000 for my test. So Agility Trader manages the overall basket position and will close out all positions once the basket position is met. BRILLIANT!!

I am using a bunch of SET files for 7 majors that Dave previously posted here <http://www.forexfactory.com/showthread.php?t=573561>

On Fridays session I got trades triggered and I am across 7 positions. I'll report back later this week on the overall position and with any learning's!

Thanks to Dave as this is a great bit of kit!!

Cheers,

Mark
  • #390
  • Apr 17, 2016 7:04pm Apr 17, 2016 7:04pm
Hi Dave,

I have conducted some test scenario’s using ATR for SL & TP for the period JAN to APR 2016.

Example 1 = As a baseline I have used the EURUSD_RSI_60_Jan_Mar_2016 with Nominated values for SL & TP as supplied by you in a previous post.
Example 1 Result = Running this through the back tester everything is working correctly e.g. SL and TP are being generated

Example 2 = Modifies the same EURUSD_RSI_60_Jan_Mar_2016 SL & TP to use ATR instead of nominated values.
Example 2 result = TP IS being generated but NO is not being generated

I have attached set files, a word document with screen shots and Strategy Tester detailed reports.

Can you please check out the details and confirm your thoughts.

Kind regards,

MArk
Attached File(s)
File Type: docx Example of ATR Settings.docx   289 KB | 312 downloads
File Type: txt Example1_EURUSD_RSI_60_Jan_Mar_2016.txt   9 KB | 194 downloads
File Type: txt Example2_EURUSD_RSI_60_Jan_Mar_2016-ATR.txt   9 KB | 201 downloads
File Type: zip Example2_StrategyTesterResults.htm.zip   5 KB | 215 downloads
File Type: zip Example1_StrategyTesterResults.htm.zip   19 KB | 240 downloads
  • #391
  • Apr 17, 2016 10:06pm Apr 17, 2016 10:06pm
Quoting modo7777
Hi Dave, I have conducted some test scenarios using ATR for SL & TP for the period JAN to APR 2016. Example 1 = As a baseline I have used the EURUSD_RSI_60_Jan_Mar_2016 with Nominated values for SL & TP as supplied by you in a previous post. Example 1 Result = Running this through the back tester everything is working correctly e.g. SL and TP are being generated Example 2 = Modifies the same EURUSD_RSI_60_Jan_Mar_2016 SL & TP to use ATR instead of nominated values. Example 2 result = TP IS being generated but NO is not being generated I have attached...
I have found an error in my code for SL & TP ATR calculation and have sent you a PM with an update to test.
  • #392
  • Apr 18, 2016 3:00am Apr 18, 2016 3:00am
Hi Dave thanks for your last reply, very helpful.
You wrote previously: For trades at a specific time of each hour Leave Param1 at 0 and Param2 at 0 and just nominate Param3 (Minutes). Similarly for specific hours, leave Param1 at 0
This seems straight forward but I know i am not grasping an important point.
The first thing I would do is open the companion program & after setting up my management I would go to the first buy condition
and "Active" "yes"
"chart"
"Time"
parameter 1 = 0 parameter 2 = 1800 parameter = 0
If I wanted to have the EA trade between 1800 until 2200 and take all signals how would I place this into Agility?
Thanks
M
  • #393
  • Apr 18, 2016 3:48am Apr 18, 2016 3:48am
Hi Dave, Thank you for all the knowledge you spread around this forum.

I'm just curious about one little thing: why always optimizing and testing using loss-recovery settings such as a martingale? Being good enough, I'm pretty sure your system would show more of its capabalities without, and then why not running it with the loss recovery as a money management choice rather than a need?
You'll always miss 100% of the shots you don't take.
  • #394
  • Apr 18, 2016 3:56am Apr 18, 2016 3:56am
Hi Dave. There are two things I have been trying to do, but I need your clarification:

1. Is possible to have just one trade open per pair? This is because the EA keeps getting into trades as long as the condition is met, but I want it to ignore other setups for a particular pair, as long as there is an open trade going on.

2. My entries are made based on pending order at the high/low of the setup bar +/- a 2pip buffer. How do I go about creating the 2pip buffer condition?

Thanks, Peter.
  • #395
  • Apr 18, 2016 8:49am Apr 18, 2016 8:49am
Quoting intraining
Hi Dave thanks for your last reply, very helpful. You wrote previously: For trades at a specific time of each hour Leave Param1 at 0 and Param2 at 0 and just nominate Param3 (Minutes). Similarly for specific hours, leave Param1 at 0 This seems straight forward but I know i am not grasping an important point. The first thing I would do is open the companion program & after setting up my management I would go to the first buy condition and "Active" "yes" "chart" "Time" parameter 1 = 0 parameter 2 = 1800 parameter = 0 If I wanted to have the EA trade...
Buy Entry Condition1 -
Type1 - TimeFrame - No Parameters, greater than Type2 - Nominated Value, Parameter2 = 18

Buy Entry Condition2 -
Type1 - TimeFrame - No Parameters, less than Type2 - Nominated Value, Parameter2 = 22

See Post #363
  • #396
  • Edited 9:10am Apr 18, 2016 8:58am | Edited 9:10am
Quoting Edorenta
Hi Dave, Thank you for all the knowledge you spread around this forum. I'm just curious about one little thing: why always optimizing and testing using loss-recovery settings such as a martingale? Being good enough, I'm pretty sure your system would show more of its capabalities without, and then why not running it with the loss recovery as a money management choice rather than a need?
​Quite the opposite!

I am highlighting the Wager Increase Multiple as an invaluable tool in Money Management. All optimizations without its use, show considerably less return.

Please read this post so that you understand fully http://www.forexfactory.com/showthre...86#post8069386
  • #397
  • Edited 9:20am Apr 18, 2016 9:06am | Edited 9:20am
Quoting Wahnone
Hi Dave. There are two things I have been trying to do, but I need your clarification: 1. Is possible to have just one trade open per pair? This is because the EA keeps getting into trades as long as the condition is met, but I want it to ignore other setups for a particular pair, as long as there is an open trade going on. 2. My entries are made based on pending order at the high/low of the setup bar +/- a 2pip buffer. How do I go about creating the 2pip buffer condition? Thanks, Peter.
​The EA when attached to a chart, will only allow one active trade at a time. It will place 2 pending orders on a straddle trade however the other pending order will automatically cancelled when a pending order is filled.

A 2 pip buffer is too low and would not be accepted by MT4. I would need more infomation to provide an example set file.
  • #398
  • Edited Apr 19, 2016 2:08am Apr 18, 2016 10:04am | Edited Apr 19, 2016 2:08am
Pending feedback relating to Post #391​, I have enclosed an interim update. Please consult the PDF file for ATR inputs for Stop Loss and Take Profit.
Attached File(s)
File Type: zip AgilityTrader.zip   1.5 MB | 323 downloads
  • #399
  • Apr 18, 2016 10:38pm Apr 18, 2016 10:38pm
Hi everyone,

regarding Post #391 & 390

ATR for SL & TP - Issue NOW RESOLVED

I have worked with Dave and done a bunch of testing around this functionality. I can report back that all TPs & SLs were triggered correctly in my test scenarios. In addition I validated that the SL & TP placement levels are inline with the applied settings e.g. ATR multiple and averaging period were correctly interpreted.

This a really powerful piece of functionality. Hats off to Dave for building, supplying and supporting Agility Trader!!

Kind regards,
  • #400
  • Apr 19, 2016 2:36am Apr 19, 2016 2:36am
​Enclosed is a simple indicator to draw trend lines. At the moment I am in the process of updating the algorithm for Support, Resistance and Divergence and will incoporate the logic of this indicator with a general update after completion.

Thanks to modo7777 for his invaluable contributions and troubleshooting.
Attached File(s)
File Type: mq4 TrendlinesAT.mq4   2 KB | 302 downloads
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