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Basket Trading BALUDA'S CSS Crossovers
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Author:  patmontes [ Thu Oct 13, 2016 12:43 pm ]
Post subject:  Basket Trading BALUDA'S CSS Crossovers
Zennor » Tue Oct 04, 2016 5:47 pm wrote:
Gertje » Tue Oct 04, 2016 10:38 am wrote: WOW.

I had it running 24/5 on M15, made a killing yesterday, and got killed tonight. :arrrg:

Care to share your setfile so I can look where to start adjusting?
There you go...
Hi Zennor,
are you still trading this setfile?
Author:  acostafulano [ Thu Oct 13, 2016 12:50 pm ]
Post subject:  Basket Trading BALUDA'S CSS Crossovers
Hi Zennor! I'm also interested in seeing your 5.17Draft setfile. I tried to emulate your method and put this one together, I think it's faithful to your original method from back at the early stages of this thread.
ZENNOR 5.17Draft.zip
However I started demoing this a couple days ago and got killed. US$-300 in two days, US$1000 account (lot sizes are fine, around 0.01-0.03)

I'm particularly interested in figuring out the following:

- How can we space entries so that they don't get "too close" to each other? Im thinking Increasing TimeBetweenTrades.

- How does MultiTrades_TimeFrame=0 work? I've seen some setfiles (TJF's, for exmaple) that use 15 or 60 in this setting, but don't really understand what it is for.

-Regarding entry conditions, I see you use for CSSDiff

CSS_Diff_1_Min=0.0
CSS_Diff_1_Max=99.0

For both the 60 and the 240 setting.

Is this on purpose?

I'm just trying to get a group on how this works so that I can set up a couple of demos and let them run indefinitely, but still trying to catch up on how this thing works.

Thanks for the support.

Diego
Author:  MathiasJ [ Thu Oct 13, 2016 1:27 pm ]
Post subject:  Basket Trading BALUDA'S CSS Crossovers
acostafulano » 13 Oct 2016 14:50 wrote:Hi Zennor! I'm also interested in seeing your 5.17Draft setfile. I tried to emulate your method and put this one together, I think it's faithful to your original method from back at the early stages of this thread.



However I started demoing this a couple days ago and got killed. US$-300 in two days, US$1000 account (lot sizes are fine, around 0.01-0.03)

I'm particularly interested in figuring out the following:

- How can we space entries so that they don't get "too close" to each other? Im thinking Increasing TimeBetweenTrades.

- How does MultiTrades_TimeFrame=0 work? I've seen some setfiles (TJF's, for exmaple) that use 15 or 60 in this setting, but don't really understand what it is for.

-Regarding entry conditions, I see you use for CSSDiff

CSS_Diff_1_Min=0.0
CSS_Diff_1_Max=99.0

For both the 60 and the 240 setting.

Is this on purpose?

I'm just trying to get a group on how this works so that I can set up a couple of demos and let them run indefinitely, but still trying to catch up on how this thing works.

Thanks for the support.

Diego
Hi!
The idea of Multitrades Timeframe is that it will allow for max one new trade for a symbol per Candle on that timeframe, given that there is a signal. If you set a timeframe to 0 it is the same as use the current timeframe of the chart.

His settings on CSS Diff means that when the color change (direction change) then the signal change. The Max value is high because it is not actively used. So Min Diff should agree on both 60 and 240.
I am continuing to work on the documentation but this is probably already in current documentation.
BR
Mathias
Author:  acostafulano [ Thu Oct 13, 2016 1:41 pm ]
Post subject:  Basket Trading BALUDA'S CSS Crossovers
MathiasJ » Thu Oct 13, 2016 8:27 am wrote:
Hi!
The idea of Multitrades Timeframe is that it will allow for max one new trade for a symbol per Candle on that timeframe, given that there is a signal. If you set a timeframe to 0 it is the same as use the current timeframe of the chart.

His settings on CSS Diff means that when the color change (direction change) then the signal change. The Max value is high because it is not actively used. So Min Diff should agree on both 60 and 240.
I am continuing to work on the documentation but this is probably already in current documentation.
BR
Mathias
Thanks Mathias,

1) Just to understand correctly: If I set Multitrades Timeframe to 60, OR to =0 + set the EA in an H1 chart, trades will only open once per every H1 candle , as long as there is still a valid signal as per the rules, right?

2) I kind of understand the CSS Diff... but how would it translate from having CSS_Diff_1_Min=0 to CSS_Diff_1_Min=20.0, for example? Is this a threshold of some kind?

I'm trying to picture it how it would look on a chart in order to get an entry signal. Sorry if this is too basic of a question.

Diego
Author:  TraderJoeForex [ Thu Oct 13, 2016 2:20 pm ]
Post subject:  Basket Trading BALUDA'S CSS Crossovers
Raj4x » Thu Oct 13, 2016 12:33 pm wrote:
TJF,

Agreed...I see lots of small losses today.

Lemme think about sensible basket SL...I will put your latest setfile on new demo and set max DD per basket at 20% to start with...and see what happens. All other settings remain same.

Just to be sure we're comparing apples to apples, you're running the latest version of the EA...?

Cheers :cheer:
Yes.. latest version.. and here is my template (with the latest SS) showing the same visually in case it's useful...
Author:  Zennor [ Thu Oct 13, 2016 2:58 pm ]
Post subject:  Basket Trading BALUDA'S CSS Crossovers
patmontes » Thu Oct 13, 2016 1:43 pm wrote:
Hi Zennor,
are you still trading this setfile?
Yes still using this setfile on EA ver 5.16. I do have Ver 5.17 set up on another demo with similar settings but with fewer pairs to see how that goes. Nothing interesting to report on that at the moment.
Author:  saintalan [ Thu Oct 13, 2016 3:27 pm ]
Post subject:  Basket Trading BALUDA'S CSS Crossovers
TraderJoeForex » Thu Oct 13, 2016 3:20 pm wrote:
Yes.. latest version.. and here is my template (with the latest SS) showing the same visually in case it's useful...
Hi Joe, tried your H1D1 today and had a NZDJPY trade this afternoon which I would have thought Out of Session.

Thanks

Alan
Author:  patmontes [ Thu Oct 13, 2016 3:32 pm ]
Post subject:  Basket Trading BALUDA'S CSS Crossovers
Zennor » Thu Oct 13, 2016 10:58 pm wrote:
patmontes » Thu Oct 13, 2016 1:43 pm wrote:
Hi Zennor,
are you still trading this setfile?
Yes still using this setfile on EA ver 5.16. I do have Ver 5.17 set up on another demo with similar settings but with fewer pairs to see how that goes. Nothing interesting to report on that at the moment.
Nice! How's 5.16 going?
Author:  Boulder [ Thu Oct 13, 2016 4:27 pm ]
Post subject:  Basket Trading BALUDA'S CSS Crossovers
Ok guys so some ideas I'd like to coin here:

1. Rapid open and closes
Mathias has helped me with the quick open and closure problem issue. First off I had it completely wrong with setting Min Diff = - 1 as exit condition for the CSS{H4}_Diff_Min. He coded the reverse logic like this:
  • Entry for a BUY: CSS.XXX - CSS.YYY > Entry_Min_Diff
  • Exit for a BUY: CSS.YYY - CSS.XXX > Exit_Min_Diff
Therefore, the Min_Diff at both places should just be 1 et voila - fixed and ready.

Secondly, it'd also help if we upped the parameter 'Seconds until an Exit signal is stable & valid' from 30 seconds to 600 seconds (i.e. 10 minutes) in order to remedy this rapid open and closure thingy. I've started with setting this to 300 seconds (i.e. 5 minutes) for a start. Currently all is stable and will report soon to see if this helped. Ultimately I'd like to bring these Min_Diff (for both the entry and exit) and the exit stabilization parameters down to the tightest yet solid values. So far all fine and dandy.

2. Risk and money management
In order to stabilize and enhance margin-use and risk, two things come to mind:
  • Limit your exposure per currency
  • Stable yet dynamic lot-sizing
With regards to the first point, if you think about it: there's really no point in trading all 28 pairs (for 8 currencies, we have 28 combinations). There's a certain degree in unnecessary risk and transaction costs (i.e. commission, swap, etc.) present if we'd be trading all of them. If a move in a currency happens, then all the currency pairs in question should normally exhibit the same move. This HAS to happen, else there would be traditional arbitrage opportunities in the markets all the time and we really wouldn't be having markets at all actually (HFT robots do occasionally pick up super quickly arbitrage opportunities when they establish themselves and only the best and most competitive robots will be able to benefit from them first).

Now firstly we must ensure that we are involved in all 8 currencies, such that if a move happens for a particular currency we'd be ready and have a chance to benefit from it. Secondly, we must aim to trade a well-balanced set of symbols (trade all currencies in a balanced way). Thirdly in general our approach should work best for pairs that move relatively a lot. A sensible approach is to work from the top downwards, with every step excluding a currency at least and at most once!
  • full exposure to 8 currencies: every currency is traded 7 times -- trade 28 pairs
  • reduce exposure with 1 'unit': every currency is traded 6 times -- trade (28 - 4) = 24 pairs
  • reduce exposure with another unit: every currency is traded 5 times -- trade (24 - 4) = 20 pairs
Now to choose which pairs to actually exclude, I made use of Rene's nice VolatilityChart tool. I've set the ATR period to 125 and ordered the pairs on their Daily time frame. Why 125? We have roughly 250 trading days in a year and thus 125 would be exact a half year's worth of trading days. I use this also for the lot sizing component; short periods are a bit too volatile for me and prone to get skewed significantly when things such as brexit and a flash crash happen. Precisely because these ATR-values are the basis from which lot sizes and TPs and SLs are determined (via respective ratios), it doesn't make sense to me to have this basis value potentially swing too much and have for example 50 pips as a TP one day and 95 pips the next week on the same pair. Using 125 days works really well in that it enables to characterize pairs on a pair-specific (interpair) level, is averaged out nicely and YET is dynamic on a intrapair-level too by capturing slow but sure changes in a pair's character over time! As we all know, the way a pair behaves doesn't change overnight (nor over a fortnight), but if you'd compare EURUSD today with EURUSD in 2008 you'd see some serious differences in overall volatility.

That being said, I ordered all 28 pairs according to their Daily 125-period ATRs and picked out the lowest values of pairs to be excluded.
  • First set of 4 pairs to exclude with the lowest 125-period daily ATR: EURCHF,AUDNZD,USDCAD,GBPJPY
  • Second set of 4 pairs to exclude: CADCHF,AUDUSD,EURGBP,NZDJPY
So ultimately you'd have the 20 most volatile pairs to trade and be equally invested (to keep the balance) in all 8 currencies.

Cheers

Aram
Author:  fire580 [ Thu Oct 13, 2016 5:30 pm ]
Post subject:  Basket Trading BALUDA'S CSS Crossovers
Can someone tell me where 5.17 is located for down load ?

Thanks
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