Basket Trading BALUDA'S CSS Crossovers

[MathiasJ]

Thanks Mathias,

1) Just to understand correctly: If I set Multitrades Timeframe to 60, OR to =0 + set the EA in an H1 chart, trades will only open once per every H1 candle , as long as there is still a valid signal as per the rules, right?

2) I kind of understand the CSS Diff... but how would it translate from having CSS_Diff_1_Min=0 to CSS_Diff_1_Min=20.0, for example? Is this a threshold of some kind?

I'm trying to picture it how it would look on a chart in order to get an entry signal. Sorry if this is too basic of a question.

Diego

1. Correct.
2. Yes it is like that. But the diff value depends on the absolutevalues
Setting. Having Min 20 means that the difference between the currencies must be minimum 20 for a signal.
Br
Mathias

[Gertje]

Just like TJF, I happened to have a basket that wouldn't close since tuesday. On one account I changed the settings so, that it would open a trade every hour in the direction of last candle's CSS.
Less than an hour ago, it closed after a huge recovery.

image.png

I will let this demo run this way during next week.

EDIT: This basket contained 938 orders, playing a whopping totall of 81,64 lots......

[TraderJoeForex]

Just like TJF, I happened to have a basket that wouldn't close since tuesday. On one account I changed the settings so, that it would open a trade every hour in the direction of last candle's CSS.
Less than an hour ago, it closed after a huge recovery.


I will let this demo run this way during next week.

We do love a strong recovery

[TraderJoeForex]

No progress for me either past 48hours.... after such a good run last week and start of this one it's been a surprise to see this one basket struggle to close.. Drawdown has stayed low but it just ain't going anywhere. I have a feeling the restricted number of currency pairs may have something to do with this but drawdown may have been much bigger with all the pairs too..

Here is a new set file I have put together and have now put this on one of my accounts to see if it will get these positions closed. It may not offer the very fast quick win baskets that the previous did but trading only when H1 and D1 agree direction it stands more chance of pulling through by the end of this week. I have kept my other demo running with the same basket and settings so I can see which set digs out of the hole first.

Rules are simple with this one.. only trade when H1 is breaking out in the direction of D1 defined by diff and delta as before. This time using closed candles for the conditions to be true (diff shift 1), Delta > 0.2 and DIff > 2.0 for both. I have increased max trades to 3 per pair so that my existing trades can be hedged and/or added too whichever way price moves from here.

I have added back all the currency pairs and the basket SL as -100% so there is room to breathe until I know what a sensible SL will be.

If anyone wants to try this and add some early exit conditions that would be interesting to compare.

Tuesday basket closed earlier for me too finally in profit 3days later with the settings I updated yesterday as well as a couple of additional manual recovery trades to speed things along. It looks like allowing more than 1 trade per pair may be the way to go. With D1 as the filter the trade numbers were still sensible although drawdown did double to just over 16% this morning so I am glad I didn't keep the basket SL at -15% with the extra trades. All the same quite happy with + 11% for the week in the end.

The demo account with my original set file but unrestricted max trades (1 every M15) hit a margin call this morning so we do need to be careful with this. I think I will stick with 3 as a sensible maximum per pair for me.

Preparing now for next week I have put together what I think I have learned this week into a new set file using M5 H1 D1 delta and diff:

I now think daily direction is more important than H4 when looking at the week ahead and if a basket does take more than a day or so to close we have more chance of price eventually going our way. I was looking at some charts and I think restricting the Diff to >2 is too much with delta too so I have relaxed this to 0.02. This means D1 can still be ranging rather than breaking out. Coupled with H1 and M5 diff and delta should still ensure accurate entries.

I see no reason to include HGI now as diff and delta came out on top for entries compared with trend arrow with my little mini test mid week

Adding Boulders idea of early exit for trades definately going the wrong way I have put an exit if H1 diff crosses 0 against the trade.

Max trades 3 means every M5 candle that there is a fresh signal so either stacking or averaging into a trade to build the position either way

Since risk is limited to one H1 market cycle I have adjusted risk to 1% per H1 ATR which also gives more equal bias across the pairs with my small account. I have not added a basket SL for now.

This set file is not a trading tart. I have only had a handful of positons open on demo since this morning so I will keep all pairs in this for now. Every SL hit will probably need a whole basket TP to balance out. Hopefully we'll have more baskets than SL .... although I am not sure so this will be demo only for me next week.

Have a great weekend everyone.

[Gertje]

My 'Zennor' basket also closed this afternoon.

[saintalan]

T...
Preparing now for next week I have put together what I think I have learned this week into a new set file using M5 H1 D1 delta and diff:

I now think daily direction is more important than H4 when looking at the week ahead and if a basket does take more than a day or so to close we have more chance of price eventually going our way. I was looking at some charts and I think restricting the Diff to >2 is too much with delta too so I have relaxed this to 0.02. This means D1 can still be ranging rather than breaking out. Coupled with H1 and M5 diff and delta should still ensure accurate entries.

I see no reason to include HGI now as diff and delta came out on top for entries compared with trend arrow with my little mini test mid week

Adding Boulders idea of early exit for trades definately going the wrong way I have put an exit if H1 diff crosses 0 against the trade.

Max trades 3 means every M5 candle that there is a fresh signal so either stacking or averaging into a trade to build the position either way

Since risk is limited to one H1 market cycle I have adjusted risk to 1% per H1 ATR which also gives more equal bias across the pairs with my small account. I have not added a basket SL for now.

This set file is not a trading tart. I have only had a handful of positons open on demo since this morning so I will keep all pairs in this for now. Every SL hit will probably need a whole basket TP to balance out. Hopefully we'll have more baskets than SL .... although I am not sure so this will be demo only for me next week.

Have a great weekend everyone.

Great analysis and summary TJ.

It is appreciated by me, and I'm sure by many others.

I wish I was able to contribute more but at the moment have been struggling with the EA not working, now resolved, and the Sessions Time.

Anyway am making progress and its good learning here from many.

Cheers and a good weekend to you and yours.

Alan

[Zennor]

My 'Zennor' basket also closed this afternoon.

Gertje did you have a stop loss set on this? I hit a 25% SL yesterday now set to 15% and D1 + H1 to aid in the reduced amount of trades and today 3 baskets closed but what was surprising was the DD observed today, less than 0.5% on all 3 baskets. Will now continue with this for next week. Account currently sitting at +13.36% after 10 trading days. Not too bad considering a 25% SL hit...

[Gertje]

Gertje did you have a stop loss set on this? I hit a 25% SL yesterday now set to 15% and D1 + H1 to aid in the reduced amount of trades and today 3 baskets closed but what was surprising was the DD observed today, less than 0.5% on all 3 baskets. Will now continue with this for next week. Account currently sitting at +13.36% after 10 trading days. Not too bad considering a 25% SL hit...

No SL.

[MathiasJ]

Furthermore a question to you Mathias:

Imagine the new daily D1 candle opens after roll-over and the new trading day starts. At this point we boot up the EA with its basket functions. Imagine we also start with a starting balance of 3000 EUR. We also specify a basket TP of 1%. Thus we'd cap everything and start anew once we hit a profit of 30 EUR. Now we start taking trades with lot sizes and other characteristics based on this starting balance of 3000 EUR.

A few hours later imagine nearly all trades are cut out because their exit mechanism(s) gave the signal (e.g. the H4 diff on the opposite side was reached for all trades). The result is a loss of say -3%, which is 90 EUR at this point. I presume the EA in its current state would then take new trades based on a balance of 3000-90 = 2910 EUR. It would fire trades with slightly smaller lot sizes and set a basketTP at 87.3 (3% of 2910) and once open trades reach this profit we close out everything. Is this how it would happen? If so then another alternative working modus on a daily basis might be more desirable.

This 'daily modus' could go along the lines of:
1. At the new trading day, i.e. the moment the new daily candle opens, we register the balance at that point. This would need 1 parameter; e.g. DailyWorkingBalanceRegisterTime = 00:00 am (in local time or server time). So DailyWorkingBalance = X as registered at time 00.00 am. This is the reference balance to start and work with throughout the entire day.
2. The lot sizes, TP, SL and everything that is based on balance, will be based on this DailyWorkingBalance = X.
3. The first BasketTP profit level will always be (1+BasketTPRatio)*DailyWorkingBalance. So even if our balance shrinks, we'd still aim to capture a profit and close out above that first DailyWorkingBalance we registered at the start of the trading day (or any other time).
4. Once a basketTP is hit, we update our DailyWorkingBalance to (1+BasketTPRatio)*DailyWorkingBalance.
5. Likewise all open trades within the same day will aim to hit this new TP, even if some trades have been closed off and our balance falls under 3000 EUR again.
6. Keep repeating 4 and 5.
7. Reset this DailyWorkingBalance every day at DailyWorkingBalanceRegisterTime (or alternatively have an option to let this go indefinitely) and start afresh.

This way we ensure that our balance keeps growing. On the other hand it'll also mean that the open trades will have to work harder to get to that TP - though I'm fairly positive that this working modus would be very feasible and more of a value-adding thing to your EA Mathias than something of detrimental value.

If it's already there and I have missed it, please accept my apologies then

Cheers

Aram

Hi Aram!
In next coming version (5.20) I have adjusted "Calc Profit based on percent of Account Balance" for Basket so that it saves the account balance when first trade of a basket is opened and that value is then used until the basket is closed.
It is not exactly as you suggested but I think it will serve the same purpose.
It is not out yet, but it is on its way.
BR
Mathias

[Boulder]

Hi Aram!
In next coming version (5.20) I have adjusted "Calc Profit based on percent of Account Balance" for Basket so that it saves the account balance when first trade of a basket is opened and that value is then used until the basket is closed.
It is not out yet, but it is on its way.
BR
Mathias

Brilliant Mathias, thanks for keeping us up-to-date!

Here's a screenshot of the results of my latest settings.

Results.png

I thought 'Hmm not bad for a start..' Then looked over at the trade log and yet again these buggers keep occuring and causing the majority of those losing streaks.

Trading log.png

I've indicated GBPJPY and EURJPY there, let's concentrate on them for a second.

GBPJPY.png

EURJPY.png

I haven't been able to be in front of my computerscreen and follow this up closely, but it seems a bit weird that both the entry conditon and exit condition happen so quickly, one right after another.. It may really be that SuperCSSDiff{H4} is much more reactive than I suspected and thus that Min_SuperCSSDiff{H4} = 0.8 as a constraint for both entry and exit is simply too weak. Therefore I'm going to up this to 1.3 for both and hope that it holds. Can anybody confirm that he/she has seen superCSS{H4} being volatile enough to swing from positive to negative values in relatively short periods of time?

I have a good feeling this thing is going to be really good once we get it nicely sculpted..

Cheers,

Aram


EDIT:
Also playing with these settings should be very interesting indeed..

Multiple Trades Settings.png