Basket Trading BALUDA'S CSS Crossovers

[Zennor]

Hi All!
Now there is a new version of the EA available.
And you also have a simplified version that focus on the strategies in this thread!
Enjoy!
BR
Mathias

Thanks ever so much Mathias you are a star and your excellent work is greatly appreciated... :hi:

[Raj4x]

Hi All!
Now there is a new version of the EA available.
And you also have a simplified version that focus on the strategies in this thread!
Enjoy!
BR
Mathias

Awesome...thanks a lot Mathias for your great work and continued dedication to making things better. :hi:

[TraderJoeForex]

I received a question asking why I binned the CHF and NZD pairs for my live set file.. I thought it may help add some explanation to my logic for some people here too...


I want to use the most conservative settings for my live set .. if I have 28pairs each with 1% risk per ADR from 1st trade then that is max 28% risk combined.. now add a 2nd and 3rd trade on each pair and even though this strategy seems pretty robust (and by 'robust' I mean able to close a basket in profit with a minimum number of positions) this is more risk than I feel comfortable with and far too many potential positions for me to manually take over and trade my way out of if things go wrong.

15pairs feels much healthier to me... and even with 3 trades on each pair all moving this far against me that would be roughly 50% of the account at risk which leaves me the other 50% as room to manouvre and add some manual trades if ever needed.

Of course this is quite crude estimation because in theory all the positions will never all be losing so with this strategy the situation should never get quite this bad. I hope to keep drawdown comfortably under 10% in normal operation.

CHF pairs eat up a lot of margin because the lot size needs to be so much bigger to have equal weighting... on a £500 account I can't afford the equal weighting to make these pairs work so they make sense as the 1st to go. Plus I distrust CHF the most out of all currencies because this is where the 'Elite' hold their money and perhaps swiss national bank is most open to manipulation as a result. Just a theory!

NZD pairs have some of the widest spreads so are the most costly to trade. It is one of the least traded currencies by volume and one of the most volatile and perhaps unpredictable (whilst volatility is good within reason, unpredictability and excess trading cost is not).

My initial testing used all pairs and when I started testing the 15pair set there did not seem to be a proportionate difference in the number of baskets closed in a week. In theory using 15 out of 28 pairs would only bring 15/28 x the profit potential but this does not seem to be the case.

If the performance from this set becomes too slow for your liking then increasing the number of positions the EA can open per candle and/or increasing risk as you are doing should yield a better return than adding these pairs back in.

I would favour keeping the lot sizes small and increasing the number of positions the EA can open rather than just increasing risk per ADR because this should add weighting to the successful trades rather than to all of them equally.

In this set I have 1 per D1 candle as the minimum frequency for opening new trades. This can be increased to H4, H1 or even M5 to get lots more positions (and M5 would bring LOTS!). With a bigger account I feel this would be the way to go instead of increasing risk from ADR to H4 ATR or H1 ATR etc..

I have had my 2nd basket close since going live yesterday .. if this can average 1 per day like this then that is +5% per week safely which I will be very happy with. Thanks again Mathias for making this a reality.

[KeithM]

Ok.. so ignore what I posted above because it's all changed in the past 24hours

The 3 timeframe sets come out on top looking at all the data now and the drawdown is much lower than with the 2 timeframe sets. More profit, lower drawdown and lower margin requirements so can't argue with that.

I should also note that I reduced the number of pairs to just 15 for this test .. I have binned all the NZD pairs as well as the CHF pairs.

I will be putting this M5H1D1 (15pair) set on a small live account next week and this will be the reference point for me to try and beat with continued testing of various further options. I plan to turn the EA off every Friday during the day and manually bring any remaining positions to a close or hedge so I don't carry any risk over weekends.

Awesome work TJF. What version of the EA are you using now?

[toc17]

Just realized there were a couple of omissions in that live set file I just posted. I have now corrected and reuploaded so sorry to the 1st person that downloaded it. Please download again!

Wishing everyone a great weekend.

Thank you very much for sharing TJF!
I will put a couple of demos with your setting plus some changes and report the results next week

By the way, in your Live set file I see the period for calculating ATR is 240 x Week. Also, NY session close time is set to 20h instead of 22h. It is intended?

Best,
Jose

[TraderJoeForex]

Thank you very much for sharing TJF!
I will put a couple of demos with your setting plus some changes and report the results next week

By the way, in your Live set file I see the period for calculating ATR is 240 x Week. Also, NY session close time is set to 20h instead of 22h. It is intended?

Best,
Jose

Hi, thanks for testing. I have my ATR period set as D1.. perhaps it was incorrect again as W1 in the set file... on my £500 account (which is now at £530 from this week so far ) all the trades are 0.01 anyway so for now this doesn't make much difference. As the account grows the position sizes will start to increase and I think 1% risk per D1 is where I will keep it but perhaps allow more positions to open as per my post above. I know some others are also testing higher risk and higher basket TP to match so the choice is yours.

Yes I have the NY session set to an early close at 20:00 as don't see any benefit in opening trades on those session pairs after this time.

[Gertje]

After surviving last weeks DD due to VPS-problems I closed shop for the week.
This week I restarted the account, using the H4H1 setfile with risk of 1%@2ADR and basket TP@1%.

Profits are good....

CSS H4H1 1%.png

[TraderJoeForex]

Awesome work TJF. What version of the EA are you using now?

I am using the previous full version (5.23) on Live and testing the new simple version on Demo this week and will swap this onto live for next week all being well.

I am testing the simple version with a D1 diff and delta set but and with H1 Global Trend Filter to open AND close instead of basket TP .. I have posted and will update results about this test in the EA thread since it is not a basket strategy. I am also looking at trying an offsetting strategy like the previous Gridmaster as trade manager. Essentially I am happy with my M5H1D1 set for baskets and this is my reference now that any other testing has to beat to be considered.

[Vivforex]

Joe - are you using global prime?

[lionsden]

Awesome work TJF. What version of the EA are you using now?

I am using the previous full version (5.23) on Live and testing the new simple version on Demo this week and will swap this onto live for next week all being well.

I am testing the simple version with a D1 diff and delta set but and with H1 Global Trend Filter to open AND close instead of basket TP .. I have posted and will update results about this test in the EA thread since it is not a basket strategy. I am also looking at trying an offsetting strategy like the previous Gridmaster as trade manager. Essentially I am happy with my M5H1D1 set for baskets and this is my reference now that any other testing has to beat to be considered.

Hey TJFX,

Thanks for sharing and your attention to detail on the new toys Mathias and others are developing. With regard to the version (5.23). Is there any reason you are not using the latest version (5.25) on your live acct? I have been updating as they have been rolling out and results seem to be good. Just wondering.

TIA,
Lionsden