Trading the Basket Equity chart

jjaa · Post by **jjaa** » Wed Dec 05, 2012 11:04 pm

Thanks Monkeh. Gary is right the charts aren't as impressive in prior years but I think there is potential here....

I've been improving the indicator the last couple of days - fixing the email alert and working on a couple of ideas. I think I have found a way to backtest, despite the multipair limitation. I will post updates soon.

Jack

jjaa · Post by **jjaa** » Fri Dec 07, 2012 2:35 am

I have updated the indicator. It's working better now but you still might have to switch timeframes occasionally. Post 1 is updated and I'll put v1.1 here too.

Baskequi.mq4

jjaa · Post by **jjaa** » Sun Dec 09, 2012 7:50 pm

After looking at some charts with 3-4 years data. it was clear "always in" would not have worked in 2011. I decided to consider a BasketStopLoss, move to BreakEven, and move to ProfitLock. The updated indicator shows these lines as shown below:

Baskequi_v1.2.jpg

Since the BasketEquity is offset +-, the StopLoss lines are also offset, so that the StopLoss is hit if for a Long basket, the bottom green line touches the StopLoss line. For a Short basket, the StopLoss is hit if the top red line hits the StopLoss line.

I still believe we close a basket on a signal the opposite direction, and open the reverse. If the basket does not get Stopped at the SL, or BE or ProfitLock, we let it run until an opposite signal. If a chart goes parabolic, we could consider a close a top

: and wait for the next signal.

v1.2 attached

Jack

Baskequi.mq4

jjaa · Post by **jjaa** » Tue Dec 11, 2012 12:25 pm

Here's a look at CHF daily. The blue line is 200 ema. The other ma is a 21 ema applied to "First Indicator's Data" .

A possible trading plan:

Trade only in the direction of the trend, which is determined by the color of the basket equity lines.

Trade only if the 21 is above the 200 (for Long).

Wait for the bottom equity line to cross the 21 from below (for Long). To catch a pullback.

Exit when top equity line crosses the 21 from above (for Long).

Green arrow = Buy; Red = Sell, White = Exit.

b88-d1.jpg

garyfritz · Post by **garyfritz** » Tue Dec 11, 2012 10:38 pm

I'm not sure what you used for your bands in that experiment, but I tried whipping up a quick Tradestation test. I used 2.5*(average daily change) for my +/- offset.

Bands.gif

My entries & exits don't look as good as yours because I acted at the daily close. If the basket equity crossed the EMA21, I entered or exited at the close. That simple system made about $1200 in 2012, $5000 in 2011, $750 in 2010, $8700 in 2008 -- but it lost $12000 in 2009! Ouch. A couple of whipsaws and a bad trade killed it in 2009.

I started out with that simple system because you can't set stops on the offsets. And in fact you can't really set entry stops on a basket at all. So the arrows you drew on your chart are a bit misleading, because that's not where the price is at that time. Maybe you could simulate that with a watch-every-tick EA -- I'm not sure.

But I pretended I could do it. If the high band crossed under the EMA21, that means the basket equity crossed under EMA21 - band. So I tried setting a short entry stops at EMA21-band, long entry stops at EMA21+band, and exiting at EMA21. That fairly closely approximates your chart, though I found I got much better results with tighter bands:

Bands2.gif

It still got killed in 2009, but it looks more promising:

Bands3.gif

It also works great on EUR and NZD, so-so on GBP and USD, not well on the others. Several currencies had huge runs in the last half of 2008 and then went sideways.

jjaa · Post by **jjaa** » Wed Dec 12, 2012 11:37 am

Gary, thank-you for looking at this.

I have eliminated the StopLoss lines for now, and integrated the fastMovingAverageLine. Also a comment displays the settings., as shown below.

b9-1440.jpg

Version 1.3 attached, and a updated template.

Baskequi.mq4

baskequi.tpl

Jack

porseguro · Post by **porseguro** » Thu Feb 13, 2014 11:42 am

Hi Jack

Are you still trading this method?, I was going to give it a try but I can't get it to work on Empty4 build 600.

I was thinking of making up the basket of 5 pairs that have the most pips for the day at the start of London.
They normally retreat at London and you could pick up some good runs, worth watching for a few weeks if I could get it working. Ive updated all my files and they all work just fine.

jjaa · Post by **jjaa** » Tue Feb 18, 2014 12:51 pm

I looked at this for a while, but frankly lost interest.....I couldn't make money in demo or get the indicator to work properly. It would eventually get screwed up after several new bars and I would have to switch timeframes to fix it. I'm not a good enough programmer.

Jack

porseguro · Post by **porseguro** » Wed Feb 19, 2014 5:57 am

OK, its a shame, looked very interesting, good look with your new projects.
I wish we could have got that indicator working.