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The Flow plus ALR
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Author:  royal [ Thu Apr 23, 2015 10:41 am ]
Post subject:  The Flow plus ALR
Hi Dewey!
I also have been playing around with the ALR concept a bit and something that occured to me is that the gbyjpy is some kind of a false friend. It is very volatile, but not always in a trending way but also in an ranging way, so it was the pair that produced the most ALR turns over the long term.
Way too early to declare victory but so far so good. Let's hope it continues.


Please don't take this as an offence, but the testing is some kind of useless, because either the maximum of 15 turns breaks or not and as this could happen anytime, we have to live with the risk or trade something else. ;)
Author:  Dewey McG [ Thu Apr 23, 2015 12:50 pm ]
Post subject:  The Flow plus ALR
royal » Thu Apr 23, 2015 6:41 am wrote:Hi Dewey!
I also have been playing around with the ALR concept a bit and something that occured to me is that the gbyjpy is some kind of a false friend. It is very volatile, but not always in a trending way but also in an ranging way, so it was the pair that produced the most ALR turns over the long term.
Way too early to declare victory but so far so good. Let's hope it continues.


Please don't take this as an offence, but the testing is some kind of useless, because either the maximum of 15 turns breaks or not and as this could happen anytime, we have to live with the risk or trade something else. ;)
I don't take offence; I just find your comment on testing being useless to be rather silly. I do extensive testing on any strategy before using it on my live account which has served me rather well but you are certainly free to go by your gut feelings instead. The issue isn't whether it can or will hit SL at 15 turns but how often that happens versus the amount we are making. For instance if it happens once a year and costs 1 months worth of profits then I think most would be happy with the results.

My plan for testing is this:

1. Test the live strategy for a short time to make sure it is viable first and secondly for possible improvements before asking one of our programmers to code it.

2. Use the EA to test certain variables on specific pairs to determine best settings.

3. Test again on demo

4. If the demo results match expectations then I will go live with reduced risk.

5. if that goes well then do a modest increase in risk.
Author:  royal [ Thu Apr 23, 2015 2:45 pm ]
Post subject:  The Flow plus ALR
Sorry I missed the point that you can't backtest already. Of course testing is neccessary, but a forwardtest would not be more "confident" as a backtest, because the 15 turns SL comes randomly. So with a backtest you can only estimate how often per year it was hit and hope that the distribution stays equal in live trading, but you will never know for sure :cry:

Over the past 5 years the curve with 40/120 would look something like that:
Author:  Dewey McG [ Sat May 02, 2015 5:46 pm ]
Post subject:  The Flow plus ALR
royal » Thu Apr 23, 2015 10:45 am wrote:Sorry I missed the point that you can't backtest already. Of course testing is neccessary, but a forwardtest would not be more "confident" as a backtest, because the 15 turns SL comes randomly. So with a backtest you can only estimate how often per year it was hit and hope that the distribution stays equal in live trading, but you will never know for sure :cry:

Over the past 5 years the curve with 40/120 would look something like that:

Your graph looks like one of Zorro's. Did you program this system into their format? If you did can you please share?
Author:  Dewey McG [ Sat May 02, 2015 5:48 pm ]
Post subject:  The Flow plus ALR
The Flow with ALR system had a very good first month. What’s not to like about a system that shows 12.29% per month with only 3.77% drawdown?

Well don’t quit your day job just yet. There are a couple bugs that need to be worked out. Earlier in the week there was a gap with the GBPNZD trade basket. My guess is that the gap caused the problem. A trade closed at SL, but a new trade did not open. According to the EA's display, the trade was still open and the other trade was pending yet this was not the case. The last trade closed in just 8 seconds.



Another PIC with my notes is below. Gaps like that usually don’t happen during the week but they can easily happen on weekends. The trade manager will need a way to handle those.
The other problem is with ECN brokers. Many of them have a minimum trade size of .1 lots. Well f your first trade is .1 lots then the first couple of ALR trades will be smaller and then refused. A simple way to hand that is to make the first couple ALR trades larger but with smaller TP’s. It may sound simple but I am sure that will take a bit of coding.

I will spend some time over the weekend analysing the different pairs so may add a couple and take out a couple.

If you want to analyse the system from the myfxbook link I recommend sorting hstry by symbol so you can a picture of the whole trade basket, how many turns etc.
Author:  AnotherBrian [ Sun May 03, 2015 3:33 am ]
Post subject:  The Flow plus ALR
Dewey McG » Sat May 02, 2015 12:48 pm wrote:The Flow with ALR system had a very good first month. What’s not to like about a system that shows 12.29% per month with only 3.77% drawdown?

Well don’t quit your day job just yet. There are a couple bugs that need to be worked out. Earlier in the week there was a gap with the GBPNZD trade basket. My guess is that the gap caused the problem. A trade closed at SL, but a new trade did not open. According to the EA's display, the trade was still open and the other trade was pending yet this was not the case. The last trade closed in just 8 seconds.



Another PIC with my notes is below. Gaps like that usually don’t happen during the week but they can easily happen on weekends. The trade manager will need a way to handle those.
The other problem is with ECN brokers. Many of them have a minimum trade size of .1 lots. Well f your first trade is .1 lots then the first couple of ALR trades will be smaller and then refused. A simple way to hand that is to make the first couple ALR trades larger but with smaller TP’s. It may sound simple but I am sure that will take a bit of coding.

I will spend some time over the weekend analysing the different pairs so may add a couple and take out a couple.

If you want to analyse the system from the myfxbook link I recommend sorting hstry by symbol so you can a picture of the whole trade basket, how many turns etc.

There is already code (functions) for ensuring the order is sent without going below the minimum. It's not a big deal to add that ( I haven't looked at this code to see if is in there....). But did you mean that the ALR won't work if your starting lot is too small and close to the minimum?
Author:  royal [ Sun May 03, 2015 10:48 am ]
Post subject:  The Flow plus ALR
Hi! The entry logic for the first trade is held simpler than yours, but the ALR part should be equal :)
Author:  Dewey McG [ Sun May 03, 2015 2:40 pm ]
Post subject:  The Flow plus ALR
AnotherBrian » Sat May 02, 2015 11:33 pm wrote:
There is already code (functions) for ensuring the order is sent without going below the minimum. It's not a big deal to add that ( I haven't looked at this code to see if is in there....). But did you mean that the ALR won't work if your starting lot is too small and close to the minimum?
The standard sequence would be:

.1 initial trade
.06 ALR 1 trade
.08 ALR 2 trade

So unless this is addressed in the code, the 2nd and third trades won't trigger because the lot size is too small on some ECN brokers.

I am not a coder so don't know how to fix this.
Author:  Dewey McG [ Sun May 03, 2015 2:41 pm ]
Post subject:  The Flow plus ALR
royal » Sun May 03, 2015 6:48 am wrote:Hi! The entry logic for the first trade is held simpler than yours, but the ALR part should be equal :)
Thanks!

Can you give a brief description of the entry logic so I know what is different?
Author:  royal [ Mon May 04, 2015 9:20 am ]
Post subject:  The Flow plus ALR
It is very simple ;) It allows only 1 open trade per asset at the same time and sells if price is below the close price 20 bars (appr. 1 month) before and buys if above.
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