stevehopwoodforex.com
https://www.stevehopwoodforex.com/phpBB3/
Print view

Gertje: a hedged grid trader
https://www.stevehopwoodforex.com/phpBB3/viewtopic.php?t=424		 Page 15 of 24
Author:  SteveHopwood [ Mon Apr 02, 2012 10:11 pm ]
Post subject:  Re: Gertje: a hedged grid trader
SWG123 wrote:My concern too, I have seen margin blown in backtesting (OK, I know) so I think there is a balancing act between lot sizes, steps and TPs. I still think this EA can work with effective MM but there needs to be some form of GEC/shirt protection for when it all goes wrong.
No there doesn't. All it requires is for the trader to refrain from being an utter moron.

In the face of the kind of dimwit able to blow an account with this EA in actual trading rather than playing out with ST, the coder is helpless. Said cretin will find a way of defeating every single idiot check included.

Scoobs knows how to protect the stupid from themselves, but a lot of people dislike his approach. Fact is, if the coder wants to present an EA that truly protects the sad, demented and cretinous from their determined endeavours to blow their accounts, Scoobs' approach is the only way to go; mm is governed entirely by the EA.

You want freedom of choice to experiment with inputs? Then don't be stupid with them. Only an idiot blows an account with this EA.

Actually, let's revise that last paragraph. Blowing an account with this EA would be an achievement that would win said blower the accolade of Most Stupid Human Being Ever. It would be unable to gain employment as a Middle Ages Village Idiot. It would only barely be recognisable as a sentient being.

And yes, I use 'it' deliberately.

:D
Author:  SteveHopwood [ Mon Apr 02, 2012 11:50 pm ]
Post subject:  Warning
Ehup guys

I juse received this pm from Alpenkorps:

"I have a question about Gertje's lot multiplier option. Basically it makes sense if the bot multiply the lot size for the next trade in the grid, but starts new grid with base lot size. But Gretje continues increasing lot size after finishing the existing set of grid.

Its probably another epic settings hazard by me, but if not, could you please do a fix?"

It is not an epic setting hazard. It is a thingy that appeared whilst I was coding the multiplier thingy that I thought I had solved. Clearly not. It will be a simple bloop that will take me all day tomorrow to find. :lol: For now, I am off to beddies.

In the meantime, just be aware of the problem.

Nice one, A.

Cheers

:D
Author:  nubika [ Tue Apr 03, 2012 4:05 am ]
Post subject:  Re: Gertje: a hedged grid trader
Hello Nubika,

How does the Gertje version you're using closes baskets when you get a highly ranging market? With the balance you're mentioning (around 2000 USD), lotsizes (0.3) and NoOfTrades your using (30), in a wildly ranging market you would surely get margin called once you get to enough positions opened! (your maximum positions would be 60! 30 buy+30 sells! @ 0.30 lots that's way too much for 2000 usd accounts to handle!)

I hope you can shed some light on this! Thanks![/quote]
My concern too, I have seen margin blown in backtesting (OK, I know) so I think there is a balancing act between lot sizes, steps and TPs. I still think this EA can work with effective MM but there needs to be some form of GEC/shirt protection for when it all goes wrong.[/quote]


Guys,

One thing needs to be said. When I get a new EA I always stress test the EA, what is the worst it can handle, and then I can start setting my safe lot size and TP targets. That is what I am showing you here, that this EA so far in LIVE DEMO and 1 year backtest did handle all thrown at him and survived.

I will post later some nice results. If the need arrives to intervene because of too many open orders I will do that manually and close out at the best (smallest loss) position. It never happened to me so far, but if it comes, I will only allow a max of 3 trades per side and then I will manually look and wait for the best time to close. And start again from fresh. Occasional small losses are OK, compared the large profits it can produce. During a yearly back test on AUDUSD it happened 6 x that the EA had 4 x open trades on both sides and it still managed to close out all in profit. It needed 10 x opposing trades to close the basket.
That was the worst scenario. In 90% of the time the EA needed only 1 x extra trade to reach TP.

Another thing is that so far I only used one currency pair per account. No basket of pairs.
This EA is still only 2 weeks old and we are just at the beginning to tweak the settings and see what works best.
My settings are not intended to be a 100% guide, and I am not saying to anyone to follow them.
Just to show what it can do. ;)


Frank
Author:  SWG123 [ Tue Apr 03, 2012 6:30 am ]
Post subject:  Re: Gertje: a hedged grid trader
SteveHopwood wrote:
SWG123 wrote:My concern too, I have seen margin blown in backtesting (OK, I know) so I think there is a balancing act between lot sizes, steps and TPs. I still think this EA can work with effective MM but there needs to be some form of GEC/shirt protection for when it all goes wrong.
No there doesn't. All it requires is for the trader to refrain from being an utter moron.

In the face of the kind of dimwit able to blow an account with this EA in actual trading rather than playing out with ST, the coder is helpless. Said cretin will find a way of defeating every single idiot check included.

Scoobs knows how to protect the stupid from themselves, but a lot of people dislike his approach. Fact is, if the coder wants to present an EA that truly protects the sad, demented and cretinous from their determined endeavours to blow their accounts, Scoobs' approach is the only way to go; mm is governed entirely by the EA.

You want freedom of choice to experiment with inputs? Then don't be stupid with them. Only an idiot blows an account with this EA.

Actually, let's revise that last paragraph. Blowing an account with this EA would be an achievement that would win said blower the accolade of Most Stupid Human Being Ever. It would be unable to gain employment as a Middle Ages Village Idiot. It would only barely be recognisable as a sentient being.

And yes, I use 'it' deliberately.

:D
Ouch. Thanks, Steve, for that...erm...explanation :lol:
Author:  Guest [ Tue Apr 03, 2012 9:37 am ]
Post subject:  Re: Gertje: a hedged grid trader
nubika wrote:Hello Nubika,

How does the Gertje version you're using closes baskets when you get a highly ranging market? With the balance you're mentioning (around 2000 USD), lotsizes (0.3) and NoOfTrades your using (30), in a wildly ranging market you would surely get margin called once you get to enough positions opened! (your maximum positions would be 60! 30 buy+30 sells! @ 0.30 lots that's way too much for 2000 usd accounts to handle!)

I hope you can shed some light on this! Thanks!
My concern too, I have seen margin blown in backtesting (OK, I know) so I think there is a balancing act between lot sizes, steps and TPs. I still think this EA can work with effective MM but there needs to be some form of GEC/shirt protection for when it all goes wrong.[/quote]


Guys,

One thing needs to be said. When I get a new EA I always stress test the EA, what is the worst it can handle, and then I can start setting my safe lot size and TP targets. That is what I am showing you here, that this EA so far in LIVE DEMO and 1 year backtest did handle all thrown at him and survived.

I will post later some nice results. If the need arrives to intervene because of too many open orders I will do that manually and close out at the best (smallest loss) position. It never happened to me so far, but if it comes, I will only allow a max of 3 trades per side and then I will manually look and wait for the best time to close. And start again from fresh. Occasional small losses are OK, compared the large profits it can produce. During a yearly back test on AUDUSD it happened 6 x that the EA had 4 x open trades on both sides and it still managed to close out all in profit. It needed 10 x opposing trades to close the basket.
That was the worst scenario. In 90% of the time the EA needed only 1 x extra trade to reach TP.

Another thing is that so far I only used one currency pair per account. No basket of pairs.
This EA is still only 2 weeks old and we are just at the beginning to tweak the settings and see what works best.
My settings are not intended to be a 100% guide, and I am not saying to anyone to follow them.
Just to show what it can do. ;)


Frank[/quote]

Excellent post. Remember, what makes a CEO worth $20MM a year is his ability to make crucial choices that benefit the shareholders. This is the same thing that makes the difference between a trader who does this as a hobby to tell others he is a trader and one who lives THE LIFE. Human intervention is crucial in automated systems, especially in CRAPT4land!

Instead of cheering your winners, analyze your losers and you'll really learn something.

BTW, thanks for the scripts, Steve. They make things A LOT easier.
Author:  SteveHopwood [ Tue Apr 03, 2012 10:21 am ]
Post subject:  Re: Gertje: a hedged grid trader
Latest update in post 1. I have fixed the lot incrementer not resetting thingy. If you do not use this feature, you do not need the update; just bear it in mind.

I forgot to mention that I added trading days filters; the sharp-eyed will already have spotted them.

:D
Author:  miruvacapital [ Tue Apr 03, 2012 10:53 am ]
Post subject:  Re: Gertje: a hedged grid trader
Nubika

If the bot has 4 open positions on both sides of the grid - what I am afraid of is losing massively on the daily swap differential that the broker will charge you.

Not sure whats the best course of action to close out with minimal pain
Author:  spotdespot [ Tue Apr 03, 2012 11:03 am ]
Post subject:  Re: Gertje: a hedged grid trader
miruvacapital wrote:Nubika

If the bot has 4 open positions on both sides of the grid - what I am afraid of is losing massively on the daily swap differential that the criminal will charge you.

Not sure whats the best course of action to close out with minimal pain
If I have understood correctly then you need to set LookForBreakevenAfter total to 8 (in your current position) if you want to get out as quickly and painlessly as possible.

From P1 "Once there are > LookForBreakevenAfter trades open and the difference between total open buys and total open sells is 1, the bot will look to close out at breakeven."
Author:  miruvacapital [ Tue Apr 03, 2012 11:12 am ]
Post subject:  Re: Gertje: a hedged grid trader
I think escaping a ranging market has to be quick - else you will get swamped with swap differentials

Maybe i should take a small TP, and open faster lots,

That basically takes advantage of volatility to earn rebates and small penny profits along the way

Markets are ranging quite a bit this month
Author:  Guest [ Tue Apr 03, 2012 11:32 am ]
Post subject:  Re: Gertje: a hedged grid trader
miruvacapital wrote:I think escaping a ranging market has to be quick - else you will get swamped with swap differentials

Maybe i should take a small TP, and open faster lots,

That basically takes advantage of volatility to earn rebates and small penny profits along the way

Markets are ranging quite a bit this month
Markets are getting very edgy, something big is about to happen in next 7-10 trading sessions. The equity markets have melted up since late last year into a nice ascending wedge (SP VIX at 15), tax season selling is upon us. First warning sign is usually given by ferocious moves in yens pairs and we're starting to see that.

*Edit* This system is so stupidly absurdly simple that it is BLOOOOOOODYYYYY genius!! I feel stupid for not thinking of it sooner.

Guys, the point of this is that we are ALWAYs in the market. Set the inital buy/sell to the smallest trade possible .01. Set the grid to be 10x the initial lot, have a small tp so only 3-4 ticks into your first grid you tp. The point of this is you are ALWAYS in the market and your risk is very very small (-swap differential).

Example.

Long and short .01 EURUSD -- .9 spreads so say you are floating at worse .25, set the grid to 5x your .01 long short and set your tp to 1.50-2.00. 2-3 pips into that first grid you tp, Rinse repeat.

We must also be careful with FIFO.

This system is why hedging should be illegal (is in the USA). The regulators aren't trying to save us from ourselves, they are trying to help the brokers.
All times are UTC Page 15 of 24

Powered by phpBB® Forum Software © phpBB Limited