Shelley's multi-pair basket trader

[SteveHopwood]

V 1h is in post 1, with adaptive stop loss - its use is the same as adaptive tp. I know I wrote that I had no plans to include one, but that was because I had no plans to include it not because I was dead set against it. I am dead set against using it, but that is a different matter.

I uploaded it for the coders and for anyone who has found a way of playing out in Strategy Tester with this. The rest of you may as well hang on for V 1i, which will have an adaptive jumping stop loss.

[SteveHopwood]

I think the discussion can't be about SL vs Small Lots. SL is an exit strategy and Small Lots a position decision. What happens with Small Lots is that this allows you to apply a different exit strategy than SL, for example the Recovery Method, impossible with big lots.
In my opinion SL is the best invention for crims, I prefer the Recovery, more sophisticated than a SL, and more profitable IMHO.
Anyway it would be great to have here a deep discussion about Recovery, if there is enough interest, since I have not found any detailed thread in any forum.

Regards

Why not start a thread, Roger? Recovery confuses the blazes out of a lot of people, so a deeper discussion might help them.

[Caillou]

I think the discussion can't be about SL vs Small Lots. SL is an exit strategy and Small Lots a position decision. What happens with Small Lots is that this allows you to apply a different exit strategy than SL, for example the Recovery Method, impossible with big lots.
In my opinion SL is the best invention for crims, I prefer the Recovery, more sophisticated than a SL, and more profitable IMHO.
Anyway it would be great to have here a deep discussion about Recovery, if there is enough interest, since I have not found any detailed thread in any forum.

Regards

Why not start a thread, Roger? Recovery confuses the blazes out of a lot of people, so a deeper discussion might help them.

Sure a good idea, and a better one if it's not me the person who starts the thread since my knowledge is really limited.
Anyway if there is no volunteers.....

Sergio.......

[SteveHopwood]

V 1i is in post 1, with an adaptive jumping stop.

This is my last planned update. Bugs may surface in the latest code, so it might not be the last actual update.

From here, we have to let Shelley do her thing and consider further developments in light of experience.

[vivaldi]

I want to warn for too much optimism with the use of Shelley's EA. What can be seen is this : Actually Shelley creates a super-currency, consisting of around 10 different basis-currencies. When we look at the chart (which we don't have) of this supercurrency (SC), we see probably an analogous behavior as in single currencies. This means , there will be bottoms and tops. At the moment , we are in negative territory and there are 10 downsized and 2 upsized currencies. On average, Shelley will take a short position now today in the morning. But let us look to the chart of the SC: where are we ? did we reach the trough already or not ? When we just passed it, there will be a number of days, that the SC will be recovering, but Shelley will daily advise us to shorten the SC. This will result in a number of severe losses for a certain number of days. I just want to warn you for the possibility of this event. When Shelley has not yet reached the trough, the profits will be huge , but there will also come reversal days and then some of the profits will have to be given back.
On the flipside, when reaching a top, a similar process may occur on the long side.

Vivaldi.

PS : What is the difference between an adaptive Stop Loss and an adaptive jumping Stop Loss ?

[garyfritz]

Adaptive Stop Loss says "I want a basket SL that is X pips per open trade." X = Adaptive stop loss. If you have 10 open pairs, your basket stop loss is 10*X. Some pairs will have less than X loss and some will have more, but the basket as a whole will exit when the open basket profit is -10*X.
Adaptive Jumping Stop says "I want a jumping stop on the entire basket, and I want the stop to jump Y pips per open trade." With 10 open pairs, your jumping stop on the entire basket will be 10*Y.

I don't think I agree with your supercurrency analysis. It's true that the basket of pairs could be considered a supercurrency, and that same basket would probably show trending behavior like any normal pair. But we don't keep the same basket every day. Every day the EA asks "what pairs are trending TODAY?" and goes long/short only those currencies. The basket might change every day. If the TMA indicator is an accurate measure of trend, then every day we should build a new supercurrency that only contains trending components. Every day we will take positions in the direction each pair is trending.

I very much doubt that the EA will return a win each day, but I don't see any reason for the basket of pairs to reverse and show losses over several days as you propose.

[feucht]

Anyone else had problems this morning with S 1i ignoring the minutes part of the time to trade parameter? I was set up for 7.45 but it traded at 7 instead.

[Zypip]

Morning gents,
Only had 3 sell trades kicking in this morning despite Shelley indicating 10 qualifying trades. Anyone with the same issue?

[SWG123]

Anyone else had problems this morning with S 1i ignoring the minutes part of the time to trade parameter? I was set up for 7.45 but it traded at 7 instead.

Yes - 8:45 opened at 8:00.

[feucht]

I had 3 sells as well, though was so confused as to why I had trades at all (and by chance I had 3 I had forgotten to close from Friday that stopped out overnight), I didn't notice how many should have been opened. The joys of trading with one eye open "fresh" from my slumbers...