Cost Averaging System - page 33
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See an example of drawdown in the attached report. EURJPY is in a great trend and the system is under an open trade drawdown. If it can handle this, it will come out shining with bunch of pips. This shows the need for proper capitalization to handle these kind of systems.
Maji,
I am testing nanolots (0.01 min lot on IBFX). Yes, it can handle well such great trend. The position went from 0.01 to 32 minlots (for EUR/USD), and gained big pips finally. This is OK. On the other hand, if the market is ranging, the tiny lot size will only gain tiny pips, the account grews very slowly.
How can we make a good use of capitalization under a reasonable risk control?
Is it possible to use dynamic size and dynamic pipstep? My idea is, if the pair is under great trend, we would use a larger pipstep and smaller lotsize.
If it is in ranging, we would use smaller pipsteps, and larger lot size, and also take smaller profit. I know this is very difficult since it is not easy to determine when it is in range or trend. I tried to consider this with Average True Range and/or other indicator, but seems not work well due to my limit knowledge.
Thanks!
Scott
Scott,
Thanks for your analyses and insight.
In my mind, what is wrong with gaining small pips consistently. I am not looking for a get rich overnight type of EA, but something that will be successful in the long term. I think using proper lot sizing, you can expect the EA to produce decent returns on capital using nano lots.
As for varying the pipstep depending on trend, I will take a look at it. I am a big believer in keeping things simple, so am wary of that one. However, I think I owe it myself to take a look at what you proposed.
I think ranging ea's still have to pay attention to trends. Trends are a fact of the marketplace, to ignore them is to take a huge gamble.
The cost averaging is this EAs weapon against trends. If the trend is too strong, it will overpower the EA. If the trend is not so strong, the EA will make pips. The antitrend entries and exits will do well if the markets were just ranging and collect pips in the process.
Here is the aggressive version that I have been trading on nano lots. Let me see how long it can survive. It makes a helluva lot of trades and the returns are great, but so is the risk.
It will keep people who love to see a lot of trades and their brokers very happy.
Hi,
I've attached a statement for testing done with default settings, on M1.
There were several hours during the test period where the platform was inadvertently closed, which may have affected results somewhat. The EA was closed over the weekend.
EURJPY was the best pair during this time period.
Next tests will be done using a newer version on M15.
Thanks Maji!
I havn't heard anything about your progress on the support and resistance data management. I still believe that has a high probability of becoming emminently postive too. Please don't abandon the project. Ya know I'm hoping you will still follow thru on your solution to that programming. Please, stay with me on this ok?
I have done any MQ programming in several days. I have to do that development on my windows machine, and I do all my web programming (work) on my linux machine. I'm still with you, but I've been busy. Sometimes an idea will possess me and I need to write it down before I can resume work.
As for how I design and when I choose to write code, I like to have a clear design philosophy and algorithm planned before I start a single line of code. If I don't know what I'm writing, whatever I do put down will have a lot of bugs - hidden or otherwise. Some people write code by refactoring the same 50 lines of code 10 times and they come up with something that may/may not work. I found that if I did that, I wanted to refactor the whole thing to the new philosophy. I still write/rewrite code especially in a new language, but it is mostly finding different ways of expressing the clear algorithm.
Yes, I do like confirmation before I write code as well. I get dozens of ideas per month and I try to just write the best ones. I have friends where we just sit down and explain our recent ideas, and go over their relative strengths and weaknesses. I was well into implementing one of these ideas (a cryptographic currency) when the major flaw was revealed: I needed about 50k-100k in hardware to have a decent transaction thoroughput. Of course, I had to master things about cryptography that most advanced crypto programmers approach before this revealed itself well. I studied work arounds using special hardware chips, huge processors, many processors, upcoming processors, etc. There was no workaround, I just needed $50k-100k in hardware. I spent weeks on this, and more weeks finding out how secure the method would be, designing ways to attack it, comparing attacks vs specific algo vs the modified algo. This is due diligence. If I had not done this, I would have spent months building something I couldn't run.
Regarding the support/resistance level testing, I don't have a clear algo to test any line yet. (Edit: i might now.)
Here is a basic method to test the relative merit of several support/resist lines, that I have been refining while I write this message. Take the derivative of the line at the point the line was crossed. The number of times the line is crossed divided by the derivative tells you (relatively) how strong the line is. Test the same lines in M1 M15 H1 H4. The lower the number, the stronger the line is. The support/resist lines should come from a buffer or manual entry. Ideally we should also have a series of random numbers in the same range being tested to come up with relative merit as a baseline (as well as (min+max)/2)
EURJPY was the best pair during this time period.
Normalized Numbers for EURJPY
From Statement: 460327 - cost avging 1
Cost_Avg_-_RSI_w-Trend_v3.htm
Net profit 69.80
Gross profit 81.50
Gross loss 11.70
Percentage profitable 96.9%
Total number of trades 32
Number of winning trades 31
Number of losing trades 1
Average winning trade 2.63
Average losing trade 11.70
wow that totally lost me. The one thing I do relate to is that without a clear idea of the outcome and what I'm doing I can't seem to write code either. It has to be clear in my mind what the intent is or it just doesn't come together. I think you're very blessed to have a group of firends to run these ideas by and get their feedback, that must be an assist. I have a small but growing circle of such people (mostly people like you and a few others I've met on this forum) who'se presence in my developments I really appreciate. They all have busy lives and their own priorities so any attention I get from them on my projects I prize very highly. Perhaps the only real progress I seem to make depends on the degree of common purpose we can manage to achieve in this circle of friends.
As for an algo. to test the support and resistance? Well I figure the best test is how it performs when applied. I was simply going to use the logic I sent you and the most matches/level would be considered the strongest line. Then I would put that in a chart allow it to generate the lines and then look at them to see if in fact those lines proved to be influential and/or pivotal in any way to the current trading. I simply lacked the programming skill to manage that much data that would need to be collected and calcualted to derive the lines over a significant period. As for the different timeframes this support/resistance should be similar to the murray math which will establish support and resistance over any timeframe at pretty much the same levels regardless of timeframe.
Also I don't know how to take a line thus generated in an ea and display it on a chart, I've not mastered the create object functions. So I'm just not knowing enough to program this myself yet.
I look forward to continuing to develop this with you and seeing what you come up with. At very least I hope some of my input and/or influence is useful. Please keep in touch.
Maji,
Results for Cost AVG-RSI Trend v4 for this week
I ran this EA of next pairs:
- USDCHF
- USDJPY
- EURUSD
- GBPUSD
- EURCHF,
on M5 timeframe.
Settings where:
TP=20, SL=60, PipSte=25, MaxTrades=1, MM=True, MinPIP =10 and pLots = 1