Gridtrading from daily open

[kayaktri]

Or more likely is that you are seeing some draw-down and think that the system has no legs. On that point I would have to disagree, remember this is a testing system and I think that we all agree that DD with this system can be quite daunting.

Zennor,

I am in agreement with you that the greatest deterrent in using this type of system is the large drawdowns it is capable of. Especially in terms of R:R. I believe your idea has merit - some type of a SL or a reduction in the number of trades you are carrying that are going in the opposite direction is necessary if you do not wish to suffer the potential for high drawdowns. Since the thread appears to be collecting a bit of dust this week from non-use, one can presume the DD is getting a bit much for many participants testing this EA. I tested a similar SL system to the one you are proposing a few years ago that brought the SL closer to BE as price action went in my favor. It had the result of lowering the win rate quite a bit (from 50% to 37.3%), but the average losing trade had a lower loss compared to the average winning trade. To give an idea on how that system functioned over a large sample of trades, the win rate was only 37.3%, the loss rate was 49.4%, and the break even rate was 13.3%. Not anything to get excited about. However, the drawdowns were kept to 32.9% of initial risk (for the trades that were stopped at a loss or BE) - meaning that instead of taking a 1R stop loss on 50% of the trades for the non-adjusting SL system, this system took a .329R stop loss on 62.7% of the trades. On a basket of 100 trades, it meant instead of losing 50R it lost 20.62R - which is quite an improvement in regards to the drawdowns.

Now the reason I believe this may work is due to the huge amount of trades which hit TP with no problems, also there is a high probability that every trade will be closed either for a loss or win by the end of the day enabling fresh trades to recoup the small amount of losses.

As to this aspect, I am curious if we can get enough data to determine how your idea will affect the % of system winners vs losers. It will most certainly reduce the number of winners, since the trades being stopped out are not allowed to go on to become potential winners. After deploying your logic in a systematic way - meaning no discretionary aspect is allowed - we could get the numbers and see the win rate (vs loss rate) , and the avg of the winning trades (in dollars or your local currency) vs the losing trades, and begin to calculate the expectancy. Just a thought ...

[Heraclees]

Hi,
Here is my result for this week.
Settings are :
-grid 10 with atr 1.0.
-global profit are 0.5 ATR
I don't use daily open for sending grids. Instead i use ADX indi with period 14 TF 30M. I like ADX and choose TF 30Min because i notice most of time there is "preliminaire" time where Stops hunt in action before the real momentum starts. I've tweated a little bite the code to allow EA only send a new grid when ADX drops under 25level and cross back again.
So my entry are handfree, only the exits are monitored. When there are range period where more than 4 orders are triggered in both way. I close the side where there is profit or less lose or fundamental feeling and send again a new grid. Creating the unbalance in hope Price will turn in my favor and close the basket
Voila quit happy for this week, try to keep DD under 10%.

Have a nice week end all.
:hi:

[TraderJoeForex]

Hi,
Here is my result for this week.
Settings are :
-grid 10 with atr 1.0.
-global profit are 0.5 ATR
I don't use daily open for sending grids. Instead i use ADX indi with period 14 TF 30M. I like ADX and choose TF 30Min because i notice most of time there is "preliminaire" time where Stops hunt in action before the real momentum starts. I've tweated a little bite the code to allow EA only send a new grid when ADX drops under 25level and cross back again.
So my entry are handfree, only the exits are monitored. When there are range period where more than 4 orders are triggered in both way. I close the side where there is profit or less lose or fundamental feeling and send again a new grid. Creating the unbalance in hope Price will turn in my favor and close the basket
Voila quit happy for this week, try to keep DD under 10%.

Have a nice week end all.
:hi:

Good work Heraclees!!

[Gertje]

And I blew my demo....

One basket I tampered with (EURJPY) refused to close on the spike up yesterday, but opened a loooooot of buys. On the WHAM BOOM retrace, those buys went into DD causing a MC.

Started a new demo with less pairs and just closed the last pair manually for a grand totall of 970 pips for today.

I gave Zennor's idea some thought, and really like it.
I will go over today's trades and see which would have closed with his SL rules and which would have gone to TP.

Have a great weekend y'all! I know I will.....

[luke]

tweated a little bite the code to allow EA only send a new grid when ADX drops under 25level and cross back again.
So my entry are handfree,

Hi Heraclees - would you mind sharing the code snippet for that tweak?

[r1ch4rd]

Or more likely is that you are seeing some draw-down and think that the system has no legs. On that point I would have to disagree, remember this is a testing system and I think that we all agree that DD with this system can be quite daunting.

Zennor,

I am in agreement with you that the greatest deterrent in using this type of system is the large drawdowns it is capable of. Especially in terms of R:R. I believe your idea has merit - some type of a SL or a reduction in the number of trades you are carrying that are going in the opposite direction is necessary if you do not wish to suffer the potential for high drawdowns. Since the thread appears to be collecting a bit of dust this week from non-use, one can presume the DD is getting a bit much for many participants testing this EA. I tested a similar SL system to the one you are proposing a few years ago that brought the SL closer to BE as price action went in my favor. It had the result of lowering the win rate quite a bit (from 50% to 37.3%), but the average losing trade had a lower loss compared to the average winning trade. To give an idea on how that system functioned over a large sample of trades, the win rate was only 37.3%, the loss rate was 49.4%, and the break even rate was 13.3%. Not anything to get excited about. However, the drawdowns were kept to 32.9% of initial risk (for the trades that were stopped at a loss or BE) - meaning that instead of taking a 1R stop loss on 50% of the trades for the non-adjusting SL system, this system took a .329R stop loss on 62.7% of the trades. On a basket of 100 trades, it meant instead of losing 50R it lost 20.62R - which is quite an improvement in regards to the drawdowns.

Now the reason I believe this may work is due to the huge amount of trades which hit TP with no problems, also there is a high probability that every trade will be closed either for a loss or win by the end of the day enabling fresh trades to recoup the small amount of losses.

As to this aspect, I am curious if we can get enough data to determine how your idea will affect the % of system winners vs losers. It will most certainly reduce the number of winners, since the trades being stopped out are not allowed to go on to become potential winners. After deploying your logic in a systematic way - meaning no discretionary aspect is allowed - we could get the numbers and see the win rate (vs loss rate) , and the avg of the winning trades (in dollars or your local currency) vs the losing trades, and begin to calculate the expectancy. Just a thought ...

I agree with you both totally.
I will be running MPTM in the background with a basket stop as of next week.
Or would it be possible for one of you talented coders to add a hard $ or % SL to the EA please. (I have just tried without success )

Richard

[kayaktri]

I will be running MPTM in the background with a basket stop as of next week.

Richard

Richard,

It will be good to get your results with the stop. It is my belief that in its current iteration - with no stops - this system is one of those you read about in books - one that has a 95+% win rate, but one that most people will be unable to trade, because the losses can be catastrophic to their account.

However, that does not mean it is not a good concept to begin with - quite the contrary. If you take any system, and cap the wins (as this system does with a profit target of x pips) but have no cap on the losses, the equity curve would end up looking similar - a steep downward angle at the right edge of the equity curve.

Depending upon how you perform your stops for this system, one could expect reducing the win rate from 95+% to something substantially less (how much depends upon your idea of a stop). Then, if one were to apply an adaptive stop - where the stops moves closer to BE as price goes in your favor, the win rate would be even lower - likely similar to the one I posed in the above post. The system could still be a winning system in these cases - with a positive expectancy, but many people will not wish to trade this new version because the reduced return is not enough to get them interested (compared to the system when it was first created). However, this may be a bit short sided as it has also significantly reduced the drawdown - which could actually incentivize other traders who have larger accounts and wish to keep them 'safe' by practicing low risk money management techniques on systems shown to have smaller drawdowns.

[r1ch4rd]

I will be running MPTM in the background with a basket stop as of next week.

Richard

Richard,

It will be good to get your results with the stop. It is my belief that in its current iteration - with no stops - this system is one of those you read about in books - one that has a 95+% win rate, but one that most people will be unable to trade, because the losses can be catastrophic to their account.

However, that does not mean it is not a good concept to begin with - quite the contrary. If you take any system, and cap the wins (as this system does with a profit target of x pips) but have no cap on the losses, the equity curve would end up looking similar - a steep downward angle at the right edge of the equity curve.

Depending upon how you perform your stops for this system, one could expect reducing the win rate from 95+% to something substantially less (how much depends upon your idea of a stop). Then, if one were to apply an adaptive stop - where the stops moves closer to BE as price goes in your favor, the win rate would be even lower - likely similar to the one I posed in the above post. The system could still be a winning system in these cases - with a positive expectancy, but many people will not wish to trade this new version because the reduced return is not enough to get them interested (compared to the system when it was first created). However, this may be a bit short sided as it has also significantly reduced the drawdown - which could actually incentivize other traders who have larger accounts and wish to keep them 'safe' by practicing low risk money management techniques on systems shown to have smaller drawdowns.

Yes, I agree with your points Kayaktri

I opened a new account running 5 pairs with a hard stop of £20 with a TP of £10. I have had problems with the running speed due to memory usage with other ea's on the server, and have had to abandon. I would greatly appreciate a hard stop function added to the EA to help with the running speed and not having to have several MPTM on the same platform.

Richard

[Gertje]

This morning I woke up to some 600 banked pis, and -90 floating across 6-7 pairs.
I used the nucleair option to close all out, and be done for the day.

More time to watch RnR in awe....

[Bruster400]

Following up from my previous indicator that shows ATR and ADX, here's a different version that does the same thing but in a more useful way as a ribbon. It uses D1 timeframe for the ADX and ATR calcs but the periods and minimum values are user changeable.

I can't take much credit for this indi as it's adapted from an original matrix indicator by Xaphod who's done all the hard work. I've only pointed it at different inputs.

ADX and ATR Ribbon.ex4