Trading a portfolio of currency pairs - page 10

 
Reshetov:

I've been scratching my head about this too. It turns out that the smaller the plots, the higher the probability of fitting.


The fewer the sites, the rougher the calculation.

An example of this calculation is finding the positive direction for portfolio instruments. We have 2 time points. How the portfolio balance curve behaves between these points we don't know. More information is required. If we take, for instance, 10 time points, then the situation between the extreme points will be refined, i.e. we will get new extrema. The more such time points, the more the situation is refined. There comes a point when further refinement of the data is not needed and the error in the calculation is not significant.

 
kharko:

The smaller the number of sites, the rougher the calculation.

An example of this calculation is finding the positive direction for portfolio instruments. We have 2 time points. How the portfolio balance curve behaves between these points we do not know. More information is required. If we take, for instance, 10 time points, then the situation between the extreme points will be refined, i.e. we will get new extrema. The more such time points, the more the situation will be clarified. There comes a moment when further refinement of the data is not necessary and the error of calculation is not significant.

My point is that if the data is not taken at extremums, we get something averaged. For example, there is practically no information for portfolio analysis in small sideways, and there are a shitload of these sideways.
 
The TS is slowly being drawn out.
The task of the indicator Portfolio Currency v2 is to fix the group movements of the trading instruments of the portfolio.
The question remains, where to set the reference point and on what basis? I believe that the reason is its remoteness from the peak of the balance curve by the specified value. For example, the portfolio has 10 instruments. We select 100 pips for each instrument. Total distance of the extremum from the zero level is more than 1000 pips. In the optimization mode - searching for the positive movement direction for each instrument in the portfolio - we find the starting point.



The starting point is 29.06.11 18:00. The time may be specified if we switch to a lower timeframe. Peak value of the balance curve is equal to 1092 points. The current value is equal to 1057 points. The maximum movement is equal to 283 points, the minimum movement is equal to 4 points.

We open positions in the specified directions of the indicator. TP level is equal, for example, 60 points. The grid interval is equal, for example, to 200 points. The maximum grid width is equal to 1057 points. Now we have all the data we need to calculate the position volume for each instrument: the amount we risk, the maximum grid width of 105 pips and a grid interval of 20 pips.

If the indicator changes the trading direction during the trading process, the position is locked. For example, a sell position on USDJPY - 4 pips movement is the first candidate for locking.

Demo account.
Login : 1345962
Investor : akz4ysp (read only password)

Server - InstaForex-Demo.com


 
kharko:
I have adapted the Portfolio Currency indicator for the T101 trading system.
The original TS http://www.forexfactory.com/showthread.php?t=107119



This indicator has the original calculator for determining the general direction of the single portfolio of 14 currency pairs.


Made my own version of the indicator for T101

Id is a kind of set, each next one must have one more.

Then the first indicator counts the base point for the second, the second for the third, etc.

There is not much point in having more than three.

Files:
 

What is a 'base point'? A place to start optimising from? Do we turn over when we reach the maximum permissible drawdown?

Is it profitable, or is it always a drain after over-optimisation?

 
I have added another parameter to the Portfolio Currency v2 indicator:
Pips - minimum positive distance of the Balance curve in pips from the zero level at the end point of the time interval. This parameter finds the starting point for the Balance curve during optimization.


Files:
 

Checked it out.

It turns out that the more often you over-optimise, the worse the results.

You can play with it. Start with default settings.

Expert Advisor:EvgeTrofi_Portfolio (2.1)
Symbol:EURUSD
Period:Weekly (2010.07.01 - 2011.07.28)
Input parameters:FileName=Symbols.csv
Risk=50
OnlyOpenBar=true
MagicNumber=363111459
Lengh=150
NextOptimizeBar=200
Broker:MetaQuotes Software Corp.
Currency:USD
Initial deposit:10 000.00
Leverage:1:100
Results:
Story quality:99%
Bars:56Tiki:1575425
Net profit:2 680.10Total profit:9 103.39Total loss:-6 423.29
Profitability:1.42Expectation of winning:36.71
Recovery factor:2.16Sharpe Ratio:0.10
Balance drawdown:
Absolute balance sheet drawdown:63.74Maximum drawdown on balance sheet:3 221.45 (20.28%)Relative drawdown by balance sheet:20.28% (3 221.45)
Drawdown of funds:
Absolute drawdown of funds:222.45Maximum drawdown of funds:1 239.75 (10.33%)Relative drawdown of funds:10.33% (1 239.75)
Total trades:73Short trades (% of winners):26 (80.77%)Long trades (% wins):47 (59.57%)
Total trades:168Profitable trades (% of all trades):49 (67.12%)Loss trades (% of all):24 (32.88%)
Largest profitable trade:2 403.57Largest losing trade:-3 221.45
Average profitable trade:185.78Average losing trade:-267.64
Maximum number of continuous wins (profit):8 (629.18)Maximum number of continuous losses (loss):3 (-55.57)
Maximum number of continuous profits (number of wins):2 862.27 (2)Maximum continuous loss (number of losses):-3 221.45 (1)
Average continuous winnings:3Average Continuous Losses:1


 

In the meantime, the indicator in MT4 showed the following picture.

I remind you that optimization was done on 100 W1 candlesticks until 2010.07.01

 

You can now test the idea of optimisation. In the new version of my indicator, the period coloured yellow has been optimised. It is followed by a chart unaffected by the optimisation.

Indicator parameters:

extern int Lengh=100; //Length of analysis

extern int Shift=0; //Which candlestick to optimize from

extern string FileName="Symbols.csv"; //file with symbols and directions (-1 sell, 1 buy)

extern bool ConsiderSwap = false; //Count swaps

extern bool OptimizeProfit = true; //Optimize by profit(quick optimization)

extern bool OptimizeDrowDown = false; //Optimize by drawdown

extern color ColorOptimize = Yellow; //Color of rectangle, shading the optimized interval