Basket Trading BALUDA'S CSS Crossovers

[KeithM]

Hi Joe (and greetings to the rest of you too of course )

I'm joining in the party here too! So first thing I did was to take your set file yesterday. For the sake of comparison I only took the HGI M5-condition out of it. This is the result right now:


Quite a bit of DD there but recovered nicely and now on a hell of a winning streak.

Now some analysis shows something to think about:


This is a perfect example of a very unfortunate SELL trade. Poor old fellow.. The thing is it didn't have to go through all that surging to the upside. Instead - and I think this is the only thing to improve on, Joe - is that really bad trades should be exited at some point so that the reverse trade can be taken which will result in less DD (of course a decrease in balance) but faster caps of basketTPs. I've already set up an identical instance (this time including the M5 HGI) which will exit these kinds of trades and take the reverse trade on H4 (super)CSS Diff. More precisely got Exit_CSS_Diff_Min on - 0.3.


Incidentally, did anyone have this trade too on EURCHF?



Cheers,

Aram

EDIT: this new instance has basketTP = 3%, basketSL = 7.5% (i.e. 15% cut in 2) and MaxLossBasketPerDay = 2. Let's see how that turns out!

Hi Aram

I like where you are going with this as there are usually one or two trades which drag the basket off track and to be able to hedge these earlier or close them and reverse would be ideal. Do you mind sharing your set file for the new instance with the trade exit enabled?

Cheers

Keith

[Boulder]

Hi Aram

I like where you are going with this as there are usually one or two trades which drag the basket off track and to be able to hedge these earlier or close them and reverse would be ideal. Do you mind sharing your set file for the new instance with the trade exit enabled?

Cheers

Keith

Sure thing mate please find it attached at the bottom here.

The odd thing kept occurring though, have a look at these guys:

Screen Shot 2016-10-12 at 03.54.12.png

Screen Shot 2016-10-12 at 04.35.49.png

The first BUY there and the subsequent SELLs don't make much sense except for the higher time frame superCSSs going up and down in those points in time - effectively triggering all entry conditions (and exit condition)... Anyone had that BUY or SELL too or any other idea as to what this might be due? HGI M5 on too here btw.

For the exit condition I'm using shift = 0 with superCSS{H4}_Diff. Not really fan of using shift = 1 for the H4 as that would mean we would potentially have to wait for a few hours until a decision is taken and therefore take-in a bigger loss than is really necessary. Using SuperCSS{H1} on the other hand may seem too reactive.. Hope that for the H4 Diff = - 2 suffices. Otherwise a few ideas to peruse may be some sort of combination with H1's Delta and/or Diff.

In any case I've upped the exit condition's Diff to -2.0 instead of -1.0 ... Let's see what happens.

I also have set-up an instance without all the the news filters for comparison. Curious to see where this goes. I haven't had much time to read up on the AvoidNews configs so don't have a feel for it at the moment. Will get through all that tomorrow. To avoid trading during some key news events certainly makes sense.

Cheers guys

Aram

EDIT:
Still something to work around, even with Diff = -2:

Screen Shot 2016-10-12 at 05.07.45.png

Screen Shot 2016-10-12 at 05.04.23.png

[KeithM]

Sure thing mate please find it attached at the bottom here.

The odd thing kept occurring though, have a look at these guys:



The first BUY there and the subsequent SELLs don't make much sense except for the higher time frame superCSSs going up and down in those points in time - effectively triggering all entry conditions (and exit condition)... Anyone had that BUY or SELL too or any other idea as to what this might be due? HGI M5 on too here btw.

For the exit condition I'm using shift = 0 with superCSS{H4}_Diff. Not really fan of using shift = 1 for the H4 as that would mean we would potentially have to wait for a few hours until a decision is taken and therefore take-in a bigger loss than is really necessary. Using SuperCSS{H1} on the other hand may seem too reactive.. Hope that for the H4 Diff = - 2 suffices. Otherwise a few ideas to peruse may be some sort of combination with H1's Delta and/or Diff.

In any case I've upped the exit condition's Diff to -2.0 instead of -1.0 ... Let's see what happens.

I also have set-up an instance without all the the news filters for comparison. Curious to see where this goes. I haven't had much time to read up on the AvoidNews configs so don't have a feel for it at the moment. Will get through all that tomorrow. To avoid trading during some key news events certainly makes sense.

Cheers guys

Aram

EDIT:
Still something to work around, even with Diff = -2:

Thanks Aram

I will take a look at the set file and run on demo and see if I can help. Maybe Mathias can comment too...

Cheers

Keith

[Boulder]

Thanks Aram

I will take a look at the set file and run on demo and see if I can help. Maybe Mathias can comment too...

Cheers

Keith

You're welcome Keith!
I tried shift = 1 and SuperCSS{H1}_Diff = - 1 and it seems to have done the trick..

TJF & Boulder including news.set

[KeithM]

I've ended this experiment now as the M5HGI Trend and Delta was just building huge drawdown and had only managed to close 1 basket. Interestingly M15 Diff and Delta managed 15.

I wanted a reality check on how much difference the extra timeframe filters make and this was a fun test to see. The fact is the as expected the filters make a big difference.. and when the market is just ranging going knowwhere they stop the basket growing which is what we need.

My M15,H1,H4 diff and delta with M5 HGI all signals as trigger is performing well. It has kept the drawdown a bit lower this week so far which is what I was looking for.

Already +8% for this week so looks like we could be on for +20% again by the end

How is everyone else getting on?

Hey TJF

Just wondering if you have seen any drawdowns like this one? I am using your set file on a $10k account

Cheers

Keith

[KeithM]

You're welcome Keith!
I tried shift = 1 and SuperCSS{H1}_Diff = - 1 and it seems to have done the trick..

Awesome. I will give it a spin

[MathiasJ]

I was thinking of an alternative option along these lines too.. If we had lets call it a hedging option to do two things:

1. If Max trades per pair is >1 this only applies to hedge (opposite) trades. I.e not for stacking.

2. if hedging option is true the EA would open opposite trade at 2 x the size of the 1st trade. Any further trades (each opposite to the previous) would be the same size from this second trade. i.e. lot size does not increase any further.

This would ensure that there is always the initial lot size riding on the pair in whichever direction... i.e. 0.01, 0.02, 0.02, 0.02 etc. the overall lot size never increases it just means a hedge is a hedge + 1 and when price on this pair finds direction the positive lot size will help the basket close quicker.

Mathias if you find yourself with time on your hands in the coming weeks it would be fun to try this perhaps

Hi!
Don't expect too much on that one now.
I would rather like us to look at better filtering to find good trades than go for hedging.
Or simply Close the failing trade and go in the other direction if the trigger signals are good enough.
But let's see.
I think that a huge number of interesting variations are already cooking among us
BR
Mathias

[MathiasJ]

Furthermore a question to you Mathias:

Imagine the new daily D1 candle opens after roll-over and the new trading day starts. At this point we boot up the EA with its basket functions. Imagine we also start with a starting balance of 3000 EUR. We also specify a basket TP of 1%. Thus we'd cap everything and start anew once we hit a profit of 30 EUR. Now we start taking trades with lot sizes and other characteristics based on this starting balance of 3000 EUR.

A few hours later imagine nearly all trades are cut out because their exit mechanism(s) gave the signal (e.g. the H4 diff on the opposite side was reached for all trades). The result is a loss of say -3%, which is 90 EUR at this point. I presume the EA in its current state would then take new trades based on a balance of 3000-90 = 2910 EUR. It would fire trades with slightly smaller lot sizes and set a basketTP at 87.3 (3% of 2910) and once open trades reach this profit we close out everything. Is this how it would happen? If so then another alternative working modus on a daily basis might be more desirable.

This 'daily modus' could go along the lines of:
1. At the new trading day, i.e. the moment the new daily candle opens, we register the balance at that point. This would need 1 parameter; e.g. DailyWorkingBalanceRegisterTime = 00:00 am (in local time or server time). So DailyWorkingBalance = X as registered at time 00.00 am. This is the reference balance to start and work with throughout the entire day.
2. The lot sizes, TP, SL and everything that is based on balance, will be based on this DailyWorkingBalance = X.
3. The first BasketTP profit level will always be (1+BasketTPRatio)*DailyWorkingBalance. So even if our balance shrinks, we'd still aim to capture a profit and close out above that first DailyWorkingBalance we registered at the start of the trading day (or any other time).
4. Once a basketTP is hit, we update our DailyWorkingBalance to (1+BasketTPRatio)*DailyWorkingBalance.
5. Likewise all open trades within the same day will aim to hit this new TP, even if some trades have been closed off and our balance falls under 3000 EUR again.
6. Keep repeating 4 and 5.
7. Reset this DailyWorkingBalance every day at DailyWorkingBalanceRegisterTime (or alternatively have an option to let this go indefinitely) and start afresh.

This way we ensure that our balance keeps growing. On the other hand it'll also mean that the open trades will have to work harder to get to that TP - though I'm fairly positive that this working modus would be very feasible and more of a value-adding thing to your EA Mathias than something of detrimental value.

If it's already there and I have missed it, please accept my apologies then

Cheers

Aram

Hi Aram!
You are right in your explanation of how the basket calculation works today.
And it is possible to implement it.
But do you really Think that this would make a difference?
Because normally your setfile should produce a higher balance anyway...
I have used a combination of trade sl and basket tp sl and if basket TP is 1% then normally the trade losses are below 0.2%, so positive end result anyway.
If you can convince me that this is really needed then I can add it, but preferably in next round as I currently try to stabilize and document what we already have so far.
BR
Mathias

[lionsden]

Just got home and had a look.. the only thing I can see different is your sesssion times but if these are correct for your time zone then it should be working fine. The only thing I can suggest is to set your pc or vps to GMT time, setup a fresh Global Prime demo and then just use this set file exactly. I have just taken it straight off my VPS again now to ensure no magic monkey has been tampering.

.....+5% this afternoon in the time it took me to drive to the gym and back. This takes the total for this week to just over + 13% and we are not even halfway through!

This really is my dream EA and I am not sure I can improve on these settings. Max Drawdown this week has been 5.8% and that is on a 500GBP demo that has increased to just short of 700GBP now since a week ago. Happy Days.

TJF,
i have changed PC's added your set file as last attached and set the time locally to London's times zone. So basically a fresh start. I now can not place trades due to error "trade content busy - error 146". So it attempts to trade and bombs out and retrys once more but then quits and loops over and over as trades come available with the same error. Have you seen this before?

TIA
Lionsden

[Raj4x]

TJF,
i have changed PC's added your set file as last attached and set the time locally to London's times zone. So basically a fresh start. I now can not place trades due to error "trade content busy - error 146". So it attempts to trade and bombs out and retrys once more but then quits and loops over and over as trades come available with the same error. Have you seen this before?

TIA
Lionsden

Seems the EA is ready to fire a bunch of trades, getting too many signals at the same time perhaps.

MetaCrap4 is only able to handle 1 thread ("action or command") at a time. So when you try to fire 20 buy orders at a particular price, error 146 "Trade Context Busy" will likely be the result.

- Make sure you run only 1 Baluda CSS EA per terminal...!
- Restart Empty4 and try again to see if it happens again (lots of quirks in Empty4).
- Try to disable automated trading, and enable it later today when some of the signals have dissipated.
- If you know how to code you could add " if(IsTradeAllowed())" to the code prior to a market order being opened ("OrderSend()"). The boolean IsTradeAllowed() checks if Trade Context is free.

Cheers