Bob and Shelley Again

[SteveHopwood]

it seems that we've to use Open/Close values, then the code would be:

Code: Select all

if (ClAtrPeriod > 0)
   {
      if (MathAbs(iClose(NULL, TradingTimeFrame, 1) - iOpen(NULL, TradingTimeFrame, 1)) > ClAtrVal) return(false);
   }//if (ClAtrPeriod > 0)

Please correct me if I'm wrong.
Thanks a lot for your great effort that you put in BASA development.

Marcin

Thanks Marcin. This sort of thingy is why I do the best I can to make my code freely available and readable by all.

Coders, you know what to do.

Hoi polloi, V1p with the requisite fix is in post 1.

[MrLong]

Andy (MrLong) shared an ADR Bands indicator he had a few months ago, I quite like the concept...basically similar to what Dave & Tom have discussed above, the main reason I haven't investigated further with this indicator is it seems to have strange behaviour (actually it's probably not strange at all, it's probably just my ignorance )

I have attached a chart below showing the ADR bands attached and you will see there's a nice smooth curve and then a sharp vertical drop to another completely different level. If I can figure out why that happens then this indicator could be a good filter to prevent trading well outside the usual range.

Any input would be appreciated...perhaps Andy can enlighten me/us??

adrbands.png

Hi Shelley,

I have hard coded this function into my EA, I quickly put the bands indi together for a visual view to guide the best setting across the board of all currencies.

The cross just means price is above or below the 240 line.

The calculation is the ADR (Average Daily Range) of a currency over 200 days and I found , ADR X 2.50 away from the 240 line works well, after that it's risky to enter.

The code can be easily taken from the indi and coded as a condition for entry.

Hope this helps

Andy

[fxozgirl]

Andy (MrLong) shared an ADR Bands indicator he had a few months ago, I quite like the concept...basically similar to what Dave & Tom have discussed above, the main reason I haven't investigated further with this indicator is it seems to have strange behaviour (actually it's probably not strange at all, it's probably just my ignorance )

I have attached a chart below showing the ADR bands attached and you will see there's a nice smooth curve and then a sharp vertical drop to another completely different level. If I can figure out why that happens then this indicator could be a good filter to prevent trading well outside the usual range.

Any input would be appreciated...perhaps Andy can enlighten me/us??

adrbands.png

Hi Shelley,

I have hard coded this function into my EA, I quickly put the bands indi together for a visual view to guide the best setting across the board of all currencies.

The cross just means price is above or below the 240 line.

The calculation is the ADR (Average Daily Range) of a currency over 200 days and I found , ADR X 2.50 away from the 240 line works well, after that it's risky to enter.

The code can be easily taken from the indi and coded as a condition for entry.

Hope this helps

Andy

Hi Andy,

Thanks for commenting...the ADR bands are set as you described, but sorry for being completely thick, I don't understand your comment (in bold above)? Would you mind explaining so a 2yo would understand? Sorry

Looking at my chart attached I don't understand why the adr bands suddenly have a vertical drop/rise...I can't find any correlation in the chart??
In this instance price is steadily trending up with no massive spikes, just a gradual increase with ADR bands tracking just to either side of the range. ADR bands drop straight down and now price is all well above the top ADR band. Assuming this was in an EA, trades would not be entered as price is above the bands and therefore outside the trading range?

This is the part I don't understand! Sorry if I have this completely misinterpreted this

adrbands.png

[fxozgirl]

I hope the last 24 hours has been good for you guys...BASA went on a trading frenzy last night taking 7 trades
1 loser (closed after 2nd candle), 5 other trades all half lots closed and sitting at BE, 1 trade currently in floating drawdown. Live account currently up 1.25% since open trading this week

[fxozgirl]

Also, I'm sure (hope ) Gary will jump in here with his mathematical genious and share some more insights he may have gleaned from these results

The only things that come to mind are:

* Your ATR filter is knocking out about as many winning trades as losers, resulting in almost identical win %. That's not ideal but it IS helping overall. You might want to consider looking for some slightly different filter approach that might zero in on losers better? But with 80% wins you're already doing pretty darn great.
Yes I agree...possibly not the best filter to use in this instance, but it was no worse and it did improve the $ profit for virtually the same number of trades which is a good thing.

* All other things being equal (and they pretty much were), making $X profit in Y trades is much better than making $X profit in 2*Y trades. The larger average trade size means you're much less sensitive to slight shifts in spread, slippage, etc. You also pay less in commission/spread & so on. For that reason I'd say #1 would be my choice.

* You did a great job of back-checking this. This is MUCH MUCH better than watching it for a week or two and making decisions based on what you see in realtime. More data gives you more certainty that the change you're making actually holds up over time. Still, the different tests only change the result by a few dozen trades. That's a smaller sample than I like to use. But given that it has to be based on the live trades in your account, this may be the best you can do.
Yes, this is something I will keep an eye on...I will probably re-analyse in January to see if the results hold.
Gary

Thank you for your insights...you always bring a level of realism to what we're trying to do here

[SteveHopwood]

I hope the last 24 hours has been good for you guys...BASA went on a trading frenzy last night taking 7 trades
1 loser (closed after 2nd candle), 5 other trades all half lots closed and sitting at BE, 1 trade currently in floating drawdown. Live account currently up 1.25% since open trading this week

It all depends on the quality of the oil you feed the bot. You clearly understand this.

Nice results Shelley.

[MrLong]

Andy (MrLong) shared an ADR Bands indicator he had a few months ago, I quite like the concept...basically similar to what Dave & Tom have discussed above, the main reason I haven't investigated further with this indicator is it seems to have strange behaviour (actually it's probably not strange at all, it's probably just my ignorance )

I have attached a chart below showing the ADR bands attached and you will see there's a nice smooth curve and then a sharp vertical drop to another completely different level. If I can figure out why that happens then this indicator could be a good filter to prevent trading well outside the usual range.

Any input would be appreciated...perhaps Andy can enlighten me/us??

adrbands.png

Hi Shelley,

I have hard coded this function into my EA, I quickly put the bands indi together for a visual view to guide the best setting across the board of all currencies.

The cross just means price is above or below the 240 line.

The calculation is the ADR (Average Daily Range) of a currency over 200 days and I found , ADR X 2.50 away from the 240 line works well, after that it's risky to enter.

The code can be easily taken from the indi and coded as a condition for entry.

Hope this helps

Andy

Hi Andy,

Thanks for commenting...the ADR bands are set as you described, but sorry for being completely thick, I don't understand your comment (in bold above)? Would you mind explaining so a 2yo would understand? Sorry

Looking at my chart attached I don't understand why the adr bands suddenly have a vertical drop/rise...I can't find any correlation in the chart??
In this instance price is steadily trending up with no massive spikes, just a gradual increase with ADR bands tracking just to either side of the range. ADR bands drop straight down and now price is all well above the top ADR band. Assuming this was in an EA, trades would not be entered as price is above the bands and therefore outside the trading range?

This is the part I don't understand! Sorry if I have this completely misinterpreted this

adrbands.png

Ha, If price moves below the 240' the bands will flip from top to bottom, I only did the indi for a visual guide, the correct thing to do would be to have bands below and above the the 240 line, if you would like me to do this for you I can..

The main idea is if current price is outside the band it's risky, the bands wil be on the same side. as current price.

Andy

[TonkaTuff]

MrLong,

Any chance you could provide some details on your Direct-Trader v1.08 please?

Thanks,
TT

[spotdespot]

I think the problem was Andy, that in Shelley's screenshot price is still well above the 240LWMA when the band flips.

Anyway I ran a test today looking at the past few weeks' losers to see if having a "distance control" option would have saved us any pips. I didn't use your ADR Bands Andy, as I was having similar issues to Shelley at times, but I used TMA bands (specifically the indi attached from FF if anyone is interested) and I think the results would be similar as the principal of distance from the norm is the same.

What I looked at was basically:
- if price at open of a trade is closer than the BE point from the outer band then do not take the trade

What I found is that, although very good for a lot of manual entry systems, would have saved us nothing with H4 BASA. The simple reason being that BASA is dependent on pull backs to provide a setup. As such price has always (certainly in all the failed trades I have) moved away from the outer band by the time the trade is triggered so such a filter is redundant.

What I did find somewhat interesting is that if you have an H4 TMA band applied to the BASA H1 trades, using the same filtering criteria, then quite a few failed trades could have been avoided.

What I didn't have time to check yet was the impact on winning trades. Obviously if it also filters a lot of winning trades then it is of no use.

FWIW I then tried a D1 TMA band applied to the BASA H4 setups but it was of no use.

I will try to have a look at the BASA H1 filter further tomorrow.

Cheers,
Dave.

[RxCape]

Here's an example of one the trades we have been discussing. I am running BASA with 4H settings on a 1H chart. Turquoise MA line is the H1 960 (H4 240) and the gold MA is the H1 240 (H4 60). I just got a BASA signal to sell the AUDUSD. However, current price is 282 pips away from the H4 240 MA line. the green line connecting the two recent lows is a divergence indi based upon RSI and Momentum. So, these circumstances diminish my confidence in the short trade. Given the strong down trend, I am not willing to take a long on the divergence, but neither am I thrilled to take a short. So, I have compromised, placing a sell trade below the recent low and therefore making the price prove to me that it wants to go lower. I could be giving away 50 pips by not taking the short here.

Comments are welcome. Please excuse my poor drawing skills.