Suggestions for EA (Loosing to Profit) - page 12

[[Deleted]]

c0d3:
How did you come to choose to trade these pairs? A random drawing, or based on strategy?

EURUSD for the spread, the other three were pretty much random.

[c0d3]

danjp:

EURUSD for the spread, the other three were pretty much random.

Got it!

Do you think it's a good idea to have this EA trade all available pairs? Instead of the 4,5,6 pairs that I'm testing with, or the 4 that you are testing with.

[[Deleted]]

c0d3:

Got it!

Do you think it's a good idea to have this EA trade all available pairs? Instead of the 4,5,6 pairs that I'm testing with, or the 4 that you are testing with.

I think you should run it on the EURUSD. Have you looked your results, is one other pair performing better then the rest? If so use that one two.

[c0d3]

New code:

• added standard deviation check from a slow moving average across all time frames.

• If closing price is 2 standard deviations from the MA, then comment with time-frame.
  
  
• Also, i added a true/false for trading and the checking of standard deviation as externs
  

• I added the new code for the reverse orders concept
  

• Potentially when the prices are 2 standard deviations away from the moving average, I want to reverse the orders
  

• Would this reversal make sense for this EA?
  

[[Deleted]]

c0d3:

New code:

• added standard deviation check from a slow moving average across all time frames.

• If closing price is 2 standard deviations from the MA, then comment with time-frame.
  
  
• Also, i added a true/false for trading and the checking of standard deviation as externs
  

• I added the new code for the reverse orders concept
  

• Potentially when the prices are 2 standard deviations away from the moving average, I want to reverse the orders
  

• Would this reversal make sense for this EA?
  

[[Deleted]]

I merged my lastest code into your code. I added the following:

A stack feature, if you want to trade 1 position just set stack to 1, the default is 5 in the code. DistanceApart is the distance between trades, if you change the default, which is 5 to 15 your win percentage will go up to 40-45% on a 5 stack

An AllowTradingHours bool to regulate which hours your EA trades. You can check the setting on one of the reports I am going to put up. I ran a bunch of tests those hours seamed about the average for best hours to trade for this EA.

I implemented your reversal code. I did a fast hack job just to do a quick test, If the 30 || 60 was 2 STD's then reverse the trades. Results were horrible. You may want to tweak that and run more tests. You can turn that off with your bool. Also, check to make sure I coded that right! I did it as an afterthought in a few minutes when I read this post again. To answer your final question, I don't think this make much sense in your case, but test it for yourself.

Added a bunch of code to deal with closing open and pending orders because of the stack feature.

Feel free to toss it, change it, make it better etc. I'm going to attach the code to this message, I'll put up some of the result. EURUSD seamed to be the best one I tested. You may want to pick another pair and do some testing on it see if you can get good result with another pair.

[[Deleted]]

danjp:

Here are some of the results from tests I ran. These were 9.5 month runs StandardDev was ON here, poor results. Also all runs were $1,000 and using fixes 0.02 lot(s).

Strategy Tester Report

MTFzMovingvAverage_v1.0

FXCM-Demo (Build 406)

Symbol		EURUSD (Euro vs US Dollar)
Period		15 Minutes (M15) 2011.01.03 00:00 - 2011.10.13 23:45 (2011.01.03 - 2011.10.14)
Model		Every tick (the most precise method based on all available least timeframes)
Parameters		enableSTDcheck=true; sMultiple=5; fMultiple=5; risk=0.3; reward=1.2; Stack=5; DistanceApart=5; tradingTimeFrame=60; entryTF=15; AllowTradingHours=true; OpenHour=11; CloseHour=17; lots=0.02; slowMovingPeriod=25; fastMovingPeriod=150;
Bars in test	13280	Ticks modelled	8851007	Modelling quality	90.00%
Mismatched charts errors	3
Initial deposit	1000.00
Total net profit	-680.11	Gross profit	961.59	Gross loss	-1641.71
Profit factor	0.59	Expected payoff	-3.74
Absolute drawdown	680.11	Maximal drawdown	703.91 (68.76%)	Relative drawdown	68.76% (703.91)
Total trades	182	Short positions (won %)	107 (14.02%)	Long positions (won %)	75 (28.00%)
		Profit trades (% of total)	36 (19.78%)	Loss trades (% of total)	146 (80.22%)
Largest		profit trade	44.10	loss trade	-22.58
Average		profit trade	26.71	loss trade	-11.24
Maximum		consecutive wins (profit in money)	10 (255.89)	consecutive losses (loss in money)	44 (-530.49)
Maximal		consecutive profit (count of wins)	255.89 (10)	consecutive loss (count of losses)	-530.49 (44)
Average		consecutive wins	6	consecutive losses	21

[[Deleted]]

Here are the results with StandardDev OFF

Strategy Tester Report

MTFzMovingvAverage_v1.0

FXCM-Demo (Build 406)

Symbol		EURUSD (Euro vs US Dollar)
Period		15 Minutes (M15) 2011.01.03 00:00 - 2011.10.13 23:45 (2011.01.03 - 2011.10.14)
Model		Every tick (the most precise method based on all available least timeframes)
Parameters		enableSTDcheck=false; sMultiple=5; fMultiple=5; risk=0.3; reward=1.2; Stack=5; DistanceApart=5; tradingTimeFrame=60; entryTF=15; AllowTradingHours=true; OpenHour=11; CloseHour=17; lots=0.02; slowMovingPeriod=25; fastMovingPeriod=150;
Bars in test	13280	Ticks modelled	8851007	Modelling quality	90.00%
Mismatched charts errors	3
Initial deposit	1000.00
Total net profit	1022.17	Gross profit	2442.91	Gross loss	-1420.74
Profit factor	1.72	Expected payoff	4.50
Absolute drawdown	125.69	Maximal drawdown	442.87 (19.29%)	Relative drawdown	23.18% (263.76)
Total trades	227	Short positions (won %)	79 (26.58%)	Long positions (won %)	148 (41.22%)
		Profit trades (% of total)	82 (36.12%)	Loss trades (% of total)	145 (63.88%)
Largest		profit trade	56.81	loss trade	-23.23
Average		profit trade	29.79	loss trade	-9.80
Maximum		consecutive wins (profit in money)	11 (143.97)	consecutive losses (loss in money)	17 (-168.94)
Maximal		consecutive profit (count of wins)	280.13 (10)	consecutive loss (count of losses)	-184.66 (14)
Average		consecutive wins	6	consecutive losses	10

[[Deleted]]

danjp:

This was the code you attached with the same lotsize that I tesedt the other runs with.

Strategy Tester Report

MTFqMovingbAverageorg

FXCM-Demo (Build 406)

Symbol		EURUSD (Euro vs US Dollar)
Period		15 Minutes (M15) 2011.01.03 00:00 - 2011.10.13 23:45 (2011.01.03 - 2011.10.14)
Model		Every tick (the most precise method based on all available least timeframes)
Parameters		enableTrading=true; enableSTDcheck=false; tradingTimeFrame=60; risk=0.9; reward=0.9; lots=0.02; slowMovingPeriod=50; fastMovingPeriod=100;
Bars in test	13280	Ticks modelled	8851007	Modelling quality	90.00%
Mismatched charts errors	3
Initial deposit	1000.00
Total net profit	113.76	Gross profit	417.55	Gross loss	-303.79
Profit factor	1.37	Expected payoff	2.28
Absolute drawdown	9.83	Maximal drawdown	110.95 (9.36%)	Relative drawdown	9.36% (110.95)
Total trades	50	Short positions (won %)	9 (22.22%)	Long positions (won %)	41 (63.41%)
		Profit trades (% of total)	28 (56.00%)	Loss trades (% of total)	22 (44.00%)
Largest		profit trade	31.55	loss trade	-30.76
Average		profit trade	14.91	loss trade	-13.81
Maximum		consecutive wins (profit in money)	8 (113.84)	consecutive losses (loss in money)	4 (-74.74)
Maximal		consecutive profit (count of wins)	113.84 (8)	consecutive loss (count of losses)	-74.74 (4)
Average		consecutive wins	2	consecutive losses	2

[[Deleted]]

danjp:

finally the besst win % could get.

Strategy Tester Report

MTFzMovingvAverage

FXCM-Demo (Build 406)

Symbol		EURUSD (Euro vs US Dollar)
Period		15 Minutes (M15) 2011.01.03 00:00 - 2011.10.13 23:45 (2011.01.03 - 2011.10.14)
Model		Every tick (the most precise method based on all available least timeframes)
Parameters		enableSTDcheck=true; sMultiple=5; fMultiple=5; risk=0.3; reward=1.2; Stack=5; DistanceApart=15; tradingTimeFrame=60; entryTF=15; AllowTradingHours=true; OpenHour=11; CloseHour=17; lots=0.02; slowMovingPeriod=25; fastMovingPeriod=150;
Bars in test	13280	Ticks modelled	8851007	Modelling quality	90.00%
Mismatched charts errors	3
Initial deposit	1000.00
Total net profit	914.29	Gross profit	2296.56	Gross loss	-1382.26
Profit factor	1.66	Expected payoff	4.62
Absolute drawdown	193.63	Maximal drawdown	416.22 (19.07%)	Relative drawdown	27.01% (298.47)
Total trades	198	Short positions (won %)	69 (33.33%)	Long positions (won %)	129 (51.94%)
		Profit trades (% of total)	90 (45.45%)	Loss trades (% of total)	108 (54.55%)
Largest		profit trade	56.81	loss trade	-31.23
Average		profit trade	25.52	loss trade	-12.80
Maximum		consecutive wins (profit in money)	12 (145.90)	consecutive losses (loss in money)	16 (-222.94)
Maximal		consecutive profit (count of wins)	277.80 (6)	consecutive loss (count of losses)	-222.94 (16)
Average		consecutive wins	6	consecutive losses	7