AIS2 Trading Robot


Release number: 20005
Release date:   2009.03.25


Instruction


Content

1. Introduction
2. Installation
3. Control
4. Properties
5. Conclusion
Addendum 1
Addendum 2
Addendum 3


1. Introduction

1.1. AIS2 Trading Robot is MQL4 program for MetaTrader 4 Client Terminal.
1.2. Features:
     1.2.1. automatic trading;
     1.2.2. automatic risk management;
     1.2.3. fast on-the-fly preset change;
     1.2.4. monitoring function.
1.3. Requirements:
     1.3.1. for each terminal only one copy of AIS2 Trading Robot is allowed;
     1.3.2. in the same terminal MQL programs with incorrect global variables control are disallowed;
     1.3.3. in the same chart MQL indicators with incorrect graphical objects control are disallowed.
1.4. AIS2 Trading Robot and AIS1 Trading Robot use the same trading strategy.
1.5. AIS2 Trading Robot is tuned for intraday trading and requires continuous preset optimization.


2. Installation

2.1. AIS2 Trading Robot has following filenames:
     2.1.1. "AIS2TR.MQ4" is name of MQL4 code file;
     2.1.2. "AIS2TR.EX4" is name of executable file.
2.2. Download "AIS2TR.MQ4" file.
2.3. Find MetaTrader 4 Client Terminal directory that thereafter is denoted "%MT4%".
2.4. In most cases MetaTrader 4 Client Terminal directory is "C:/Program Files/MetaTrader 4".
2.5. Copy "AIS2TR.MQ4" file to "%MT4%/experts" directory.
2.6. Run MetaTrader 4 Client Terminal that thereafter is denoted "MetaTrader".
2.7. Press <F4> to run MetaEditor.
2.8. In MetaEditor press <Ctrl-O> to view "Open" dialog box.
2.9. Open "AIS2TR.MQ4" file in "%MT4%/experts" directory.
2.10. Inspect modification in line 7.
2.11. Inspect release date in line 8.
2.12. Press <F5> to compile code.
2.13. Press <F4> to return in MetaTrader.
2.14. In MetaTrader press <Ctrl-O> to view "Options" window.
2.15. In "Expert Advisors" tab of "Options" window:
      2.15.1. set "Enable Expert Advisors"="On";
      2.15.2. let "Disable experts when the account has been chanhed" be as is;
      2.15.3. let "Disable experts when the profile has been chanhed" be as is;
      2.15.4. set "Allow live trading"="On";
      2.15.5. set "Ask manual confirmation"="Off";
      2.15.6. let all other options be as is.
2.16. Push [OK] button of "Options" window.
2.17. Press <Ctrl-N> to view "Navigator" window.
2.18. Select "Common" tab of "Navigator" window.
2.19. Open "Expert Advisors" list.
2.20. Find "AIS2TR" item.
2.21. "AIS2TR" is short name of "AIS2TR.EX4" executable file.
2.22. Drag-and-drop "AIS2TR" on the "EURUSD" chart.
2.23. "AIS2TR" window with "Common" and "Inputs" tabs will appear.
2.24. In "Common" tab of "AIS2TR" window:
      2.24.1. in "Common" group:
              2.24.1.1. set "positions"="Long & Short",
              2.24.1.1. let alerts options be as is;
      2.24.2. in "Live Trading" group:
              2.24.2.1. set "Allow live trading"="On",
              2.24.2.2. set "Ask manual confirmation"="Off";
      2.24.3. in "Safety" group let all options be as is.
2.25. In "Inputs" tab of "AIS2TR" window:
      2.25.1. check that value of "aes.Symbol" variable matches to the symbol of the chart;
      2.25.2. check values of other variables.
2.26. Push [OK] button of "AIS2TR" window.
2.27. Smiling face with "AIS2TR" sign will appear at the top of the chart.
2.28. AIS2 Trading Robot is running.
2.29. Installation has been completed.


3. Control

3.1. In MetaTrader press <F3> to view "Global Variables" window.
3.2. There are 14 items:
     3.2.1. "AIS20005.Setup.1.1.AccountReserve" controls deposit reserve size;
     3.2.2. "AIS20005.Setup.1.2.OrderReserve" controls order reserve size;
     3.2.3. "AIS20005.Setup.2.1.Trading" controls automatic trading:
             3.2.3.1. value "1" enables automatic trading,
             3.2.3.2. value "0" disables automatic trading;
     3.2.4. "AIS20005.Setup.2.2.Timeframe.1" controls trading strategy parameter "Timeframe.1";
     3.2.5. "AIS20005.Setup.2.3.Timeframe.2" controls trading strategy parameter "Timeframe.2";
     3.2.6. "AIS20005.Setup.2.4.TakeFactor" controls trading strategy parameter "TakeFactor";
     3.2.7. "AIS20005.Setup.2.5.StopFactor" controls trading strategy parameter "StopFactor;
     3.2.8. "AIS20005.Setup.2.6.TrailFactor" controls trading strategy parameter "TrailFactor";
     3.2.9. "AIS20005.Setup.3.1.Monitor" controls monitoring function;
             3.2.9.1. value "1" enables monitoring function,
             3.2.9.2. value "1" enables monitoring function;
     3.2.10. "AIS20005.Setup.3.2.FontSize" controls font size of monitoring panel;
     3.2.11. "AIS20005.Setup.3.3.FontColor" controls font color of monitoring panel;
     3.2.12. "AIS20005.Setup.3.4.LineSpace" controls line space of monitoring panel;
     3.2.13. "AIS20005.Setup.3.5.PositionX" controls horizontal position of monitoring panel;
     3.2.14. "AIS20005.Setup.3.6.PositionY" controls vertical position of monitoring panel.


4. Properties

4.1. Automatic trading:
     4.1.1. automatic trading is possible with only one predefined trading symbol;
     4.1.2. working trading symbol is defined in "Inputs" tab of "AIS2TR" window;
     4.1.3. AIS2 Trading Robot works with only one order;
     4.1.4. order ID is modification number of AIS2 Trading Robot;
     4.1.5. orders with different ID in the same account are allowed.
4.2. Automatic risk management:
     4.2.1. automatic risk management prevents capital from eventual losses;
     4.2.2. risk management adjustment consists in setting of two following variables values:
            4.2.2.1. "aed.AccountReserve" - deposit reserve size, line 36 of "AIS2TR.MQ4" file;
            4.2.2.1. "aed.OrderReserve"   - order reserve size, line 37 of "AIS2TR.MQ4" file;
     4.2.3. there are 3 methods of risk management preset change:
            4.2.3.1. in "Inputs" tab of "AIS2TR" window at the start of AIS2 Trading Robot,
            4.2.3.2. in the same tab on <F7> pressing with reinitialization,
            4.2.3.3. in "Global Variables" window without reinitialization;
     4.2.4. variable "aed.AccountReserve" means deposit reserve;
     4.2.5. variable "aed.AccountReserve" determines limit of deposit relative drawdon;
     4.2.6. deposit reserve defends capital from market risk;
     4.2.7. variable "aed.OrderReserve" means order reserve;
     4.2.8. variable "aed.OrderReserve" limits market risk for each trade operation;
     4.2.9. order reserve defends deposit reserve from market risk;
     4.2.10. usage and size setting rules of the reserves are explained in the Addendum 1;
     4.2.11. standard risk management settings are:
             4.2.11.1. deposit reserve 20%,
             4.2.11.2. order reserve 4%.
4.3. Trading strategy preset change:
     4.3.1. there are 5 parameters for adjusting and control:
            4.3.1.1. "aċi.Timeframe.1" - defines period of main timeframes,
            4.3.1.1. "aċi.Timeframe.2" - defines period of auxiliary timeframes,
            4.3.1.1. "aed.TakeFactor"  - TakeProfit distance calculation coefficient,
            4.3.1.1. "aed.StopFactor"  - StopLoss distance calculation coefficient,
            4.3.1.1. "aed.TrailFactor" - trailing-stop distance calculation coefficient;
     4.3.2. there are 3 methods of trading strategy preset change:
            4.3.2.1. in "Inputs" tab of "AIS2TR" window at the start of AIS2 Trading Robot,
            4.3.2.2. in the same tab on <F7> pressing with reinitialization,
            4.3.2.3. in "Global Variables" window without reinitialization;
     4.3.3. values of "aċi.Timeframe.1" and "aċi.Timeframe.2" define following timeframe periods:
            4.3.3.1. 1,
            4.3.3.2. 5,
            4.3.3.3. 15,
            4.3.3.4. 30,
            4.3.3.5. 60,
            4.3.3.6. 240,
            4.3.3.7. 1440,
            4.3.3.8. 10080,
            4.3.3.9. 43200;
     4.3.4. trading strategy description is in Addendum 2;
     4.3.5. trading strategy adjustment sample is in Addendum 3.
4.4. Monitoring function:
     4.4.1. monitoring functions displays AIS2 Trading Robot's data;
     4.4.2. monitoring panel consists of following parts:
            4.4.2.1. header with modification number;
            4.4.2.2. message line in the header line;
            4.4.2.3. 6 data clusters:
                     4.4.2.3.1. "Client-Server",
                     4.4.2.3.2. "Balance",
                     4.4.2.3.3. "Open Position",
                     4.4.2.3.4. "Trading Strategy Rules",
                     4.4.2.3.5. "Trading Strategy Preset",
                     4.4.2.3.6. "Leverage/Contract";
     4.4.3. data of "Client-Server" cluster:
            4.4.3.1. "Client Time":
                     4.4.3.1.1. local time,
                     4.4.3.1.2. AIS2 Trading Robot's lifetime from last initialization,
                     4.4.3.1.3. number of successful attempts to open position in format"Buy+Sell=Total",
                     4.4.3.1.4. number of successful attempts to trail stop;
            4.4.3.2. "Client Name" - account owner name;
            4.4.3.3. "Server Name" - server nave;
            4.4.3.4. "Server Time":
                     4.4.3.4.1. server time,
                     4.4.3.4.2. last tick time interval,
                     4.4.3.4.3. number of AIS2 Trading Robot's main program runs,
                     4.4.3.4.4. number of order send attempts,
                     4.4.3.4.5. number of trail attempts;
     4.4.4. data of "Balance" cluster:
            4.4.4.1. "Capital":
                     4.4.4.1.1. capital value in account currency,
                     4.4.4.1.2. capital value in percents of deposit peak value,
                     4.4.4.1.3. absolute capital gain for period from last initialization,
                     4.4.4.1.4. relative capital gain for period from last initialization;
            4.4.4.2. "Reserve" - deposit reserve value:
                     4.4.4.2.1. in account currency,
                     4.4.4.2.2. in percents of deposit reserve peak value;
            4.4.4.3. "Peak Equity" - deposit peak value:
                     4.4.4.3.1. in account currency,
                     4.4.4.3.2. always is 100%,
                     4.4.4.3.3. lifetime of deposit peak value;
            4.4.4.4. "Drawdown" - drawdown from deposit reserve peak value:
                     4.4.4.4.1. in account currency,
                     4.4.4.4.2. in percents of deposit peak value;
            4.4.4.5. "Account Equity" - current deposit value:
                     4.4.4.5.1. in account currency,
                     4.4.4.5.2. in percents of deposit peak value,
                     4.4.4.5.3. absolute equity gain for period from last initialization,
                     4.4.4.5.4. relative equity gain for period from last initialization;
            4.4.4.6. "Free margin" - information about free margin:
                     4.4.4.6.1. current free margin value,
                     4.4.4.6.2. current free margin level,
                     4.4.4.6.3. "Stop Out" level in account currency units,
                     4.4.4.6.4. "Stop Out" level in percents of account equity;
     4.4.5. data of "Open Position" cluster:
            4.4.5.1. "Order" - open position data:
                     4.4.5.1.1. order ID "magic number",
                     4.4.5.1.2. ticket number,
                     4.4.5.1.3. order type,
                     4.4.5.1.4. open position size in lots,
                     4.4.5.1.5. standard lot size,
                     4.4.5.1.6. margin size in points,
                     4.4.5.1.7. point value;
            4.4.5.2. "Profit":
                     4.4.5.2.1. order profit in account currency/points,
                     4.4.5.2.2. order lifetime;
            4.4.5.3. "Target" - distance from order open price to TakeProfit price in account currency/points;
            4.4.5.4. "VAR"    - distance from order open price to StopLoss price in account currency/points;
            4.4.5.5. "Limit"  - current value of order reserve:
                     4.4.5.5.1. in account currency,
                     4.4.5.5.2. in percents of deposit peak value;
     4.4.6. data of "Leverage/Contract" cluster:
            4.4.6.1. first line "Leverage":
                     4.4.6.1.1. account leverage,
                     4.4.6.1.2. standard lot margin,
                     4.4.6.1.3. margin size in points,
                     4.4.6.1.4. point value of standard lot;
            4.4.6.2. second line "Contract":
                     4.4.6.2.1. standard lot size,
                     4.4.6.2.2. minimal contract size in lots,
                     4.4.6.2.3. stepping of contract size in lots,
                     4.4.6.2.4. maximal contract size in lots;
     4.4.7. data of "Trading Strategy Rules" cluster, see Addendum 2:
            4.4.7.1. line "Buy":
                     4.4.7.1.1. price "Ask",
                     4.4.7.1.2. price "ald.High.1 + avd.QuoteSpread",
                     4.4.7.1.3. price "ald.Close.1 + avd.QuoteSpread",
                     4.4.7.1.4. price "ald.Average.1 + avd.QuoteSpread";
            4.4.7.2. line "Sell":
                     4.4.7.2.1. price "Bid",
                     4.4.7.2.2. price "ald.Low.1",
                     4.4.7.2.3. price "ald.Close.1,
                     4.4.7.2.4. price "ald.Average.1";
     4.4.8. data of "Trading Strategy Preset" cluster:
            4.4.8.1. first line of values:
                     4.4.8.1.1. "Index.1" value,
                     4.4.8.1.2. trading strategy main timeframe period,
                     4.4.8.1.3. value of "aed.TakeFactor" parameter,
                     4.4.8.1.4. value of "aed.StopFactor" parameter,
                     4.4.8.1.5. "ald.High.1 - ald.Low.1" value,
                     4.4.8.1.6. computed TakeProfit distance,
                     4.4.8.1.7. computed StopLoss distance;
            4.4.8.2. second line of values:
                     4.4.8.2.1. "Index.2" value,
                     4.4.8.2.2. trading strategy auxiliary timeframe period,
                     4.4.8.2.3. value of "aed.TrailFactor" parameter,
                     4.4.8.2.4. minimal trailing-stop step in spreads,
                     4.4.8.2.5. "ald.High.2 - ald.Low.2" value,
                     4.4.8.2.6. computed trailing-stop step,
                     4.4.8.2.7. minimal trailing-stop step in quote units.


5. Conclusion

5.1. Always check that you are using latest modification of AIS2 Trading Robot.
5.2. Latest modification is stored in http://codebase.mql4.com/5420.




Addendum 1. Account manager and investor negotiation sample

1. AM. There are two trading systems A1 and A2. There are descriptions and statements of those systems.
2. I. Studied. I select À1.
3. AM. Select now: 1) deposit reserve size; 2) order reserve size.
4. I. More information, please.
5. AM.
   5.1. Size of reserve is measured in percents of deposit value.
   5.2. Let your initial deposit is $100000.
   5.3. Let you set deposit reserve size to 20%.
   5.4. It means that your capital is equal to $80000, deposit reserve is equal to $20000.
   5.5. Let trading position has opened.
   5.6. Let your deposit has grown to $110000.
   5.7. In this case your capital is equal to $88000, deposit reserve is equal to $22000.
   5.8. Let your deposit has lowered to $105000.
   5.9. In this case your capital is equal to $88000, deposit reserve is equal to $17000.
   5.10. Let your deposit has grown to $200000.
   5.11. In this case your capital is equal to $160000, deposit reserve is equal to $40000.
   5.12. Let then your deposit has only lowered.
   5.13. At deposit value $180000 your capital is equal to $160000, deposit reserve is equal to $20000.
   5.14. At deposit value $170000 your capital is equal to $160000, deposit reserve is equal to $10000.
   5.15. At deposit value $160000 your capital is equal to $160000, deposit reserve is exhausted, system stop.
   5.16. If trading is stopped by your command then deposit reserve will be restored.
   5.17. Deposit value at the trading stop is your capital.
   5.18. Let trading was stopped at the deposit value equal to $170000, then your capital is equal to $170000.
   5.19. Thus deposit reserve defends your capital value from possible losses.
   5.20. All our systems have automatic reserve control feature.
6. I. I see.
7. AM.
   7.1. Order reserve defends deposit reserve in above explained manner.
   7.2. Expected deposit reserve life time depends on order reserve size.
   7.3. Let order reserve size will be equal to 10% and deposit reserve size will be equal to 20%.
   7.4. Then system A1 can survive in approximately 2 losses consequence.
   7.5. A1 statements demonstrate that longer consequences arise approximately 4 times for one year of trading.
   7.6. Let order reserve size will be equal to 5% and deposit reserve size will be equal to 20%.
   7.7. Then system A1 can survive in approximately 4 losses consequence.
   7.8. A1 statements demonstrate that longer consequences arise approximately 1 times for one year of trading.
   7.9. On other hand, order reserve determines orders size, that is affecting to system profitability.
   7.10. Order size calculation is in lines 192-216 of system A1 code.
8. I. I see. Let deposit reserve size will be equal to 20% and order reserve size will be equal to 4%.
9. AM. For that order reserve size required deposit value is $50000 or more.
10. I. Server *******, login *******, password *******, deposit $100000, I have accepted account management agreement.
11. AM. Your master password will be changed, your read only password is À1234.




Addendum 2. Trading strategy

1. AIS2 Trading Robot's trading strategy consists of two parts:
   1.1. position opening block;
   1.2. position managenent block.
2. Position opening block uses 14 variables:
   2.1. input - 10 variables:
        2.1.1. "ald.QuoteAsk"    - Ask price;
        2.1.2. "ald.QuoteBid"    - Bid price;
        2.1.3. "avd.QuoteSpread" - spread;
        2.1.4. "ald.Low.1"       - Low   price of timeframe number 1 with "Timeframe.1" period;
        2.1.5. "ald.High.1"      - High  price of timeframe number 1 with "Timeframe.1" period;
        2.1.6. "ald.Close.1"     - Close price of timeframe number 1 with "Timeframe.1" period;
        2.1.7. "ald.Average.1"   - average price of timeframe number 1 with "Timeframe.1" period;
        2.1.8. "ald.Range.1"     - price range of timeframe number 1 with "Timeframe.1" period;
        2.1.9. "ald.QuoteTake"   - distance from current price to TakeProfit price level;
        2.1.10. "ald.QuoteStop"  - distance from current price to StopLoss   price level;
   2.2. output - 4 variables:
        2.2.1. "ali.Command" - operation type;
        2.2.2. "ald.Price"   - operation price;
        2.2.3. "ald.Stop"    - StopLoss   price level;
        2.2.4. "ald.Take"    - TakeProfit price level.
3. Buy rules:
   3.1. Close price "ald.Close.1"  higher than average price "ald.Average.1";
   3.2. Ask   price "ald.QuoteAsk" higher than High    price "ald.High.1 + avd.QuoteSpread";
   3.3. if both of the conditions are true then output variables will be calculated.
4. Sell rules:
   4.1. Close price "ald.Close.1"  lower  than average price "ald.Average.1";
   4.2. Bid   price "ald.QuoteBid" lower  than Low     price "ald.Low.1";
   4.3. if both of the conditions are true then output variables will be calculated.
5. Position managenent block uses 11 variables:
   5.1. input - 10 variables:
        5.1.1. "OrderType       ()" - ordet type for the currently managed position;
        5.1.2. "OrderProfit     ()" - net profit value for the currently managed position;
        5.1.3. "OrderTakeProfit ()" - TakeProfit price level for the currently managed position;
        5.1.4. "OrderStopLoss   ()" - StopLoss   price level for the currently managed position;
        5.1.5. "ald.QuoteAsk"       - Ask price;
        5.1.6. "ald.QuoteBid"       - Bid price;
        5.1.7. "ald.QuoteStops"     - minimal allowed distance for the stop levels;
        5.1.8. "ald.Range.2"        - price range of timeframe number 1 with "Timeframe.2" period;
        5.1.9. "ald.QuoteTrail"     - distance from current price to new StopLoss price level;
        5.1.10. "ald.TrailStep"     - minimal allowed step of trailing-stop;
   5.2. output - 1 variable:
        5.2.1. "ald.Stop"           - new StopLoss price level.
6. Trailing-stop rules:
   6.1. for Buy order are in lines 420-430 of "AIS2TR.MQ4" file;
   6.2. for Sell order are in lines 432-442 of "AIS2TR.MQ4" file.
7. Essentials of AIS2 Trading Robot's trailing rules are:
   7.1. "avd.Range.2" variable is computed as a range of bar number 1 of timeframe with size equal to "Timeframe.2";
   7.2. "avd.QuoteTrail" is computed as "avd.QuoteTrail = avd.Range.2 * aed.TrailFactor";
   7.3. order profit is compared with "avd.QuoteTrail".
8. Attempt to trail is made in case of "ald.Stop" value assignment.




Addendum 3. Trading strategy adjustment

1. Trading strategy parameters are adjusted for each "Timeframe.1" and "Timeframe.2" pair.
2. Trading strategy adjustment consist in selection of "best" value set of three following variables:
   2.1. "aed.TakeFactor"  - TakeProfit    distance calculation coefficient;
   2.2. "aed.StopFactor"  - StopLoss      distance calculation coefficient;
   2.3. "aed.TrailFactor" - Trailing Stop distance calculation coefficient.
3. Sense of notion "best" depends on adjustment goals and appraisement measure system.
4. The following trading strategy adjustment order is one of possible ones.
5. Trading strategy adjustment order:
   5.1. set "Initial deposit = 100000 USD" in dialog box "Expert Properties/Testing" of strategy tester;
   5.2. increase deposit reserve size by "double aed.AccountReserve = 0.99 ;" in line 36 of "AIS2TR.MQ4" file;
   5.3. turn off trailing stop by "double aed.TrailFactor = 0.0 ;" in line 49;
   5.4. compile code;
   5.5. run optimization of "aed.TakeFactor" and "aed.StopFactor" values simultaneously;
   5.6. assign selected "best" values to "aed.TakeFactor" and "aed.StopFactor" variables;
   5.7. compile code;
   5.8. run optimization of "aed.TrailFactor" value;
   5.9. assign selected "best" value to "aed.TrailFactor" variable;
   5.10. restore previous deposit reserve size "double aed.AccountReserve = 0.20 ;" in line 36;
   5.11. compile code.
6. Always remember to reset settings in "Inputs" tab of strategy tester after each extern parameter value change.
7. Trading strategy adjustment is completed.