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| Basket Trading BALUDA'S CSS Crossovers https://www.stevehopwoodforex.com/phpBB3/viewtopic.php?t=4910 |
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| Author: | Gertje [ Tue Oct 18, 2016 8:32 am ] |
| Post subject: | Basket Trading BALUDA'S CSS Crossovers |
Took less than half an hour today...... I had the EA start at 7.59 in order to be ready to open a new set of trades at 8.00 The EA opened a set at 7.59 and again at 8.00 (Duh), and closed just before 8.30 when the basket TP of 2% is reached. Done for the day. |
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| Author: | MathiasJ [ Tue Oct 18, 2016 9:15 am ] |
| Post subject: | Basket Trading BALUDA'S CSS Crossovers |
I assume you have a suffix as well. This seem to be a tricky area. |
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| Author: | TraderJoeForex [ Tue Oct 18, 2016 2:21 pm ] |
| Post subject: | Basket Trading BALUDA'S CSS Crossovers |
Nice to bank your profit in time for breakfast   |
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| Author: | Gertje [ Tue Oct 18, 2016 6:27 pm ] |
| Post subject: | Basket Trading BALUDA'S CSS Crossovers |
Yup. Makes the rest of the day a lot more peaceful.....  I've set the basket to TP@2% and close up shop than. No need to expose myself more than necessary. 2% a day for a few months makes a killing.... |
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| Author: | desi [ Tue Oct 18, 2016 10:03 pm ] |
| Post subject: | Basket Trading BALUDA'S CSS Crossovers |
Nope, I was talking about GP demo. |
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| Author: | Boulder [ Tue Oct 18, 2016 10:37 pm ] |
| Post subject: | Capital Protection |
Hey guys, I have 6 instances running and all 6 of them are killing it for now. Here's one with multi-trades and a news-filter to my own taste on. Mathias to answer your question, this particular instance was left alone after its initiation. As you can see in the screenshot, we have 3 basketTPs there. Given that BasketTP = 3% and our starting balance of 1800 EUR, we should actually (theoretically) have reached 1800*(1.03)^3 = 1966.91 EUR after 3 basketTPs (i.e. 3% compounded 3 times becomes 9.27%). In casu we have reached 7.1%. So there is definitely something missing at the moment. Furthermore some thoughts I’d like to share with you and everyone else as well. As I saw the “GBP flash crash” happen not too long ago I thought to myself: “These things are starting to happen too often for my taste”. It reminded me of a phrase of wisdom I read somewhere along the lines of “It’s not about how much you make in these markets, but how much you can protect over time”. Thus in order to protect our capital, 3 things come to mind. 1. Exits You need to get out when things are not going according to plan – i.e. you need an exit mechanism of some sort. Be it in the form of a SL, a basket-SL or other exit conditions. A recovery mechanism is also possible but there should be a point where it might be wise to consider bailing out in order not to risk blowing your entire account. However, what intruiges me most is the issue of markets moving so fast that even a SL is not strictly respected. I had a talk with Global Prime’s customer service yesterday and the nice sir/lady explained to me what exactly happens in such situations. Global Prime’s ECN structure has actually got a spread-protection mechanism in place that will kick in once the spread becomes larger than 100 pips. This has to do with liquidity providers pulling back etc. So as a market plummets and the spread goes wild and over 100 pips, your stop-loss won’t be respected as Global Prime wants to protect its clients by not having them get stopped out by such excessive spreads. You will however get taken out at the next-best price as soon as possible (due to liquidity providers coming in again and the spread calming down etc.). An idea I had was to have some sort of ‘flooding’-mechanism in place that OnTick() “brute forces” trades that went past their SL to get out asap. As it turns out, this is redundant as Empty4 and GP will take care of that to the best of their ability. In my case I’m using CSSDiff{H4} on the other side of a trade as exit mechanism. However apart from that, my plan for the upcoming weeks is to see how well this works and how soon on average bad trades are taken out. The idea is to acquire a good feel for a ATR-based stop loss ratio for individual trades. The ultimate goal then is to equip every single trade with a sufficiently big and far away SL such that we’ll barely see this SL get triggered by the market as the CSSDiff{H4}-exit condition should be triggered long before we reach this SL. Again, this just as another security mechanism in order to be ready should an extreme move happen and potentially blow our account to tiny bits. One can’t be prudent enough. Towards the end of our conversation the nice sir/lady on GP’s side kindly reminded me that we should watch our market exposure at all times! Being excessively exposed is what usually massacres an account (and not even necessarily only during these extreme moments). This brings me to my second point. 2. Market Exposure Especially because I'm intending to let this run 24/5, it is of the utmost importance to have an understanding of the level of exposure I'm getting myself into. Let's concentrate on the multi-trade instances for a second. I allow a maximum of 3 trades per pair per hour if the entry conditions are valid. This can get quite heavy and - especially with 1:100 leverage - quickly deplete margin such that one can't take any opportunities on pairs that are about to embark on nice trends and big moves. That's why I reduced my "pair exposure" with one more unit (i.e. trade every currency exactly 4 times instead of 5 times). This comes down to trading 16 pairs instead of 20, determined by the same method I described a few posts back (I opted to exclude AUDCHF,NZDUSD,EURJPY,GBPCAD). Furthermore we should keep a healthy MinTradeMarginLevel = 500 (this should be even higher perhaps) and a healthy lot sizing policy! Currently I'm probably going in a bit too heavy with these settings: If this proves to be indeed a bit too heavy I'll reduce the lot factor to 1.5 or even to 1. Currently my margin level is below 500% (i.e. won't be taking any more trades) and I have 0.43 lots active on a nearly 2000 EUR account. Also I'm exposed to 10 out of 16 pairs and must say pretty equally balanced out w.r.t. the 8 currencies too. I can live with this for now but if I feel the DD gets too uncomfortable I'll raise the MinTradeMarginLevel to about 700% and reduce the lot factor. 3. Black Swan Protection Mechanism (BSPM) This the main point I wanted to discuss with you guys and asked Mathias to post this here so we could see what the opinions are around this matter. It should be wortwhile to think about implementing a ‘Black Swan Protection’-modus. Once the EA detects a Black Swan happening, IMO it should be a sensible idea for the EA to go into a - as it were - different 'mindset'. How to go about this? A good start would be to research the 3 recent Black Swans we traders went through, i.e.:
Black Swan detection First declare the following parameters:
If either of these 2 things are happening, then unambiguously something's up. Now we also know that it'll happen simultaneously on all pairs that share the same currency. So during the CHF fiasco of 2015 for example, all CHF pairs would display 'Black Swan DETECTED' practically at exactly the same moment. So the algorithm should actually collect this common currency and declare it as a 'Black (Swan) Currency'. The moment we catch such a Black Currency, it is to be placed in a list (or array) for 'Black Currencies' which is visible in the EA configuration screen. At first initiation of the EA, we'd only see a blank line 'Black Currencies detected' here which is not to be played with as it is intended for the EA itself to add Black Currencies once they're detected. After the EA has detected and transferred this currency to this list, then only after manual removal by the user (as he/she deems that things have calmed down) regular trading on this currency resumes. As such, we would only be removing a currency from this list once we want to resume trading it again. Because this Black Currency made its pairs go into full volatility mode or the spread became outrageous, there are actually only a few scenarios to account for (Specifically for basket trading). Black Currency detected and open trades. Among open trades there is at least 1 Black Currency trade
In this case; stop taking trades on Black Currency pairs but keep trading on the non-Black Currency pairs. Black Currency detected and no active trades This would be the easiest scenario to handle; Stop trading altogether until Black Currency is removed from the list. As a nice extra it would be cool if we could opt for an email or push-notification that sends a message (e.g. in the case of CHF): "BLACK SWAN DETECTED on CHF! You still have active CHF-trades." or "BLACK SWAN DETECTED on CHF! Don't worry you haven't got any active CHF-trades." Then when one of the aforementioned scenarios happens, another message that goes: "You are not exposed to CHF anymore. Since the detection of the Black Swan you made XXXX EUR (profit or loss) and your balance is XXXX EUR." Hope I'm not pushing it with that last one hehe  In any case if we could get this last BSPM-module implemented too somehow along with all the other points I mentioned, then I really don't see any other measures anymore we could take to protect our capital apart from exercising discretion in anticipation of big and obvious events that should be avoided due to their potentially disastrous volatility (e.g. Brexit, upcoming presidential elections, etc.) It would truly become a most complete EA (not to forget that there are already some great protection measures in place already such as MaxSpread, Time (in seconds) between trades of the same pair, news-filter etc.) Of course I understand that it won't be an easy task at all coding such a complex beast and it'll be especially tricky due to the fact that we can't really test it until an actual Black Swan happens. But still hope you see the value in having such a thing in place..Cheers guys Aram |
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| Author: | MathiasJ [ Tue Oct 18, 2016 10:59 pm ] |
| Post subject: | Basket Trading BALUDA'S CSS Crossovers |
Can you send me the setfile? |
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| Author: | tomele [ Tue Oct 18, 2016 11:02 pm ] |
| Post subject: | Capital Protection |
Hi Aram, this scenario is a risk as well as a chance. There is always a retrace that you can ride. Assume you had a grid of pending sells in place when the GBP plunge happened. They got filled somewhere on the way down to peak low. Worst case, all at the peak low. Now if your EA is smart enough to place a huge grid of pending buys from the peak low back to the new price range, you will make a fortune. Your EA has to be fast as well as your broker has to be honest. Latter I take assured with GP. Rest is coding. My 2 cents. |
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| Author: | MathiasJ [ Tue Oct 18, 2016 11:09 pm ] |
| Post subject: | Capital Protection |
Hi Aram! You really give us a lot to digest! To your response now: Something happens after second basket. You have a big loss there. Could it be that one or more trades are closed by ExitCriteria and that actually was the only trades opened in that basket? In that case you actually had four baskets but basket number 3 was closed at a loss due to ExitCriteria and maybe News settings. After that a new basket was started and finished. Can you confirm if my analysis is correct? Edit: Another verification: Is this the only EA running on that account? BR Mathias |
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| Author: | Boulder [ Tue Oct 18, 2016 11:31 pm ] |
| Post subject: | Capital Protection |
Hey Thomas appreciate your input here! Yes indeed that would very much be a great outcome. You'd indeed also need your SELLs to be exited at some point if the retrace is about to come. However I'd imagine this to be a very hard task because of the sheer speed with which things happen during Black Swans. Also another trouble I imagine is the spread that can be of annoyance here. Since the spread gets ridicilously high here during these events and as the market plummets and collects these SELLs - and afterwards the BUYs as it recovers - it can get quite expensive in the end.. Not to mention the problems with slippage you could experience since these events happen extremely fast. Those are also arguments to rather suggest that one wouldn't be unwise to stay out of these rare events, after a certain contingent (e.g. a basketTP, basketSL, etc.) is achieved until things settle down a bit and normal trading conditions emerge again. Cheers mate Aram |
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