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Very simple EA for programming
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Author:  garyfritz [ Thu Apr 19, 2012 8:40 pm ]
Post subject:  Re: Very simple EA for programming
SWG123 wrote:I will say that garyfritz is one of the most thorough analysers (OK, analyzers for you Gary :) ) on this forum.
Actually I'd say analysts. :lol: But thank you.
Author:  wictorius [ Thu Apr 19, 2012 10:02 pm ]
Post subject:  Re: Very simple EA for programming
garyfritz wrote:No, I'm not sure I understand your description. Let's say you run it on M5, or M15, or H1, whatever. You specify X-pip SL and Y-pip TP. At the open of a bar you flip a coin and say "I'll start out going long." If it hits the TP, you go long again (same size) on the next bar. If it hits the SL, you go short on the next bar with 2x size.

That's it? That's all?
Yes. Easy. That's all. :roll:

Gary let´s see results. We can talk years about theory. So my question is:

Do you know somebody who can program it???

P.S.: By the way I think you are "overanalyzed" Gary... ;)
Author:  garyfritz [ Thu Apr 19, 2012 10:11 pm ]
Post subject:  Re: Very simple EA for programming
Maybe. I think you're UNDERanalyzed. You're very casually proposing something that has, in most people's experience, been a very dangerous trading approach. You seem to have no fear of Martingales. You should.

I can program it, though not in Empty4. (Empty4's backtesting is very suspect anyway.) I might, just to demonstrate how the beast behaves. But I'm swamped with work and won't get to it immediately.

You didn't answer this question:
If it doesn't hit the TP or SL in the first bar, do you just leave the trade open until it hits the TP or SL? Or do you close it in the same bar, and open a new trade on every bar?
Author:  wictorius [ Thu Apr 19, 2012 10:30 pm ]
Post subject:  Re: Very simple EA for programming
garyfritz wrote:Maybe. I think you're UNDERanalyzed. You're very casually proposing something that has, in most people's experience, been a very dangerous trading approach. You seem to have no fear of Martingales. You should.

I can program it, though not in Empty4. (Empty4's backtesting is very suspect anyway.) I might, just to demonstrate how the beast behaves. But I'm swamped with work and won't get to it immediately.
Gary I´m using Equity protection on EVERYONE account where I have EA since I lost 1000´s USD on Martingale. (That´s my secret, don´t say it nobody) ;)

Gary I see you are on "antimartingale" mission but that´s no point of this thread.

I JUST WANT TO TEST IT. That´s all for me. I don´t want to talk about Martingale. This is just theory and I want to test it.
garyfritz wrote:You didn't answer this question:
If it doesn't hit the TP or SL in the first bar, do you just leave the trade open until it hits the TP or SL? Or do you close it in the same bar, and open a new trade on every bar?
It´s about SL and TP. I don´t care about candles... ;)
Author:  garyfritz [ Thu Apr 19, 2012 10:46 pm ]
Post subject:  Re: Very simple EA for programming
OK. The trade stays open until it hits the TP or SL. Then you enter a new trade at the open of the next candle. (Personally I would leave it open and move the SL to where it would have been if you opened a new trade, but I'll start with your design.)

That's pretty simple. I'll see if I can knock it out soon.
Author:  wictorius [ Thu Apr 19, 2012 11:17 pm ]
Post subject:  Re: Very simple EA for programming
garyfritz wrote:OK. The trade stays open until it hits the TP or SL. Then you enter a new trade at the open of the next candle. (Personally I would leave it open and move the SL to where it would have been if you opened a new trade, but I'll start with your design.)

That's pretty simple. I'll see if I can knock it out soon.
Gary, forget candles please! New trade is open IMMIDIATELY when SL or TP is hit. I said - I don´t care about candles. I want to use it with my fast ECN brokre with 1 pip spread but I need Empty4 version...

This EA will start to trade fundaments like NFP, US session opening or in NYE opening time. This is one harvester for big movements and in volatility time.
Author:  garyfritz [ Fri Apr 20, 2012 1:48 am ]
Post subject:  Re: Very simple EA for programming
wictorius wrote:Gary, forget candles please! New trade is open IMMIDIATELY when SL or TP is hit. I said - I don´t care about candles. I want to use it with my fast ECN brokre with 1 pip spread but I need Empty4 version...
So why close and then re-open!? You're just throwing away money...

(Your interest in Martingales suddenly makes more sense! :lol:)
Author:  garyfritz [ Fri Apr 20, 2012 3:13 am ]
Post subject:  Re: Very simple EA for programming
OK, I threw together a simple Tradestation system to test this. To keep it simple I ran it on 1 tick charts. This limited the length of the test I could run without crashing TS. ;) From 1 Apr to now, less than 3 weeks, EURUSD has over 1 million ticks.

It actually worked better than I expected. I ran it with 10 pip TP and SL, and it looked quite nice:
W10pip.gif
It made 1000 pips per week! There were a few scary times when it went into recovery and bought or sold 128x the base lotsize, but it all worked out in the end, right?

Then I tried tweaking the TP and SL to 12 pips:
W12pip.gif
That tiny change meant it ran up to 512x the base lotsize on 19 April. You had a closed-trade drawdown of over $6000 (6000 pips, with a base lotsize of 0.1), and an open-trade drawdown of over $10,000.

And it was nothing unusual that triggered this -- just a period of trading sideways for less than a day:
Wkaboom.gif
So the typical winning trade in this example was $12 -- and in just a 3-week test, I ran into a series of losses that ran up a drawdown over 800x larger than my normal wins. God only knows what you might run into in a longer test. Seemingly trivial changes change it from a money-maker to a soul-eating demon, and there's no way to know which you've got.

I don't know about you, but that scares the $#|+ out of me.

BTW I also experimented with panic exits if the trade got too deep into recovery. That lets you limit your maximum risk. Unfortunately it tends to lose all the profits gained by the times when you *didn't* go so deep.

A simple Martingale like this can work reasonably well if you have a high-win% system, so you virtually never go deep into recovery. But for a 50% coin-flip like this system, it's deadly.
Author:  blahn [ Tue Apr 24, 2012 6:30 am ]
Post subject:  Re: Very simple EA for programming
seems to me that we see strategies like this all the time that work great during trends and bomb with ranging, especially martingales. So why not just disable trading every time a trend stops? there's tons of code like squalous breakout indi to detect ranging and then wait for a breakout and new trend. might reduce the deep recovery trades by reducing the bad entry points.
Author:  Alpenkorps [ Tue Apr 24, 2012 12:36 pm ]
Post subject:  Re: Very simple EA for programming
blahn wrote:seems to me that we see strategies like this all the time that work great during trends and bomb with ranging, especially martingales. So why not just disable trading every time a trend stops? there's tons of code like squalous breakout indi to detect ranging and then wait for a breakout and new trend. might reduce the deep recovery trades by reducing the bad entry points.
If you can somehow manage to filter out the ranging market then any indicator or reverse martingale (like this one) based strategy would be The Holly Grail. Do this for trending market, Martingale based strategies will be unstoppable.

I think we should discuss this fact more, about filtering trending and ranging periods as accurately as possible.
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