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Author:  1Direction [ Thu Aug 03, 2017 2:20 pm ]
Post subject:  Awesome

Need to forward test both side by side and observe differences in drawdown etc... +ve swap filter should be a big help for smaller accounts as a logical way to reduce pairs and for longer term strategies etc.
Yes, will start both true/false test next week and report back
Author:  celte83 [ Thu Aug 03, 2017 4:10 pm ]
Post subject:  Awesome
Hi,
Now the Max DD is 1176 pips.
It is due to major news on GBP and the consequences on the correlated parities. Hence the absolute necessity to manage automatically or manually the choice of the parities depending on the news (major) of the day

It's what I think ...

belle soirée :hi:
jf

Johann » Thu Aug 03, 2017 2:36 pm wrote:
Hi,

If you can't handle such drawdown, then I suggest you limit the number of pair to trade and the number of recovery trade. I have divided them by two regarding the original setfile from TJF.
In that way maybe you will have less profit because it would take more time to close the basket but you will limit the DD as well.
in some case DD would be inevitable but hey, we can't just trade without suffering some loss!
Author:  eaymon [ Thu Aug 03, 2017 5:44 pm ]
Post subject:  Awesome
ok guys I'm close to finishing the code for handling the news.

The inputs are as follows:

Code: Select all

extern string  avo="---- Avoid News ----";
extern bool    StopTradingNews=true;
// stop trading for high, high/medium or high/medium/low events 
extern int     Stop_Impacts_H_HM_HML_123=1;
//Stop trading XX minutes before the news event
extern double  NewsMinutesBefore=60;
//Stop trading XX minutes after the news event
extern double  NewsMinutesUntilResume=240;
It will pull the news from forex factory every 60 minutes and parse the saved file every 10 minutes.
It will then save all current events in memory that are within range.
There is a separate method :

Code: Select all

 IsNewsInRange(string cSymbol)
That will return true or false whether the news is nearby for a particular currency. So Awesome can still run on other pairs whilst the news plays itself out.
It still needs to be implemented where we choose to close and open trades.

Are there any other inputs, control or functionality you need?

Eaymon
Author:  eaymon [ Thu Aug 03, 2017 6:06 pm ]
Post subject:  Awesome
One thing i noticed....

I have the minimum margin % set at 1000 but it continued to create pending orders and open trades even after it was well below that limit.

I only see this behavior on the account with basket trading enabled. I am assuming that this is by design to fill out the baskets?
Author:  1Direction [ Thu Aug 03, 2017 6:46 pm ]
Post subject:  Awesome
eaymon » Thu Aug 03, 2017 6:44 pm wrote:ok guys I'm close to finishing the code for handling the news.

The inputs are as follows:

Code: Select all

extern string  avo="---- Avoid News ----";
extern bool    StopTradingNews=true;
// stop trading for high, high/medium or high/medium/low events 
extern int     Stop_Impacts_H_HM_HML_123=1;
//Stop trading XX minutes before the news event
extern double  NewsMinutesBefore=60;
//Stop trading XX minutes after the news event
extern double  NewsMinutesUntilResume=240;
It will pull the news from forex factory every 60 minutes and parse the saved file every 10 minutes.
It will then save all current events in memory that are within range.
There is a separate method :

Code: Select all

 IsNewsInRange(string cSymbol)
That will return true or false whether the news is nearby for a particular currency. So Awesome can still run on other pairs whilst the news plays itself out.
It still needs to be implemented where we choose to close and open trades.

Are there any other inputs, control or functionality you need?

Eaymon
This will help not to open new trades around the news events which is great.

What could be done to already open positions affected by the news.

Some ideas:
1. hedge 50% of the position
1.1 hedge only the residual portion of a currency basket eurgbp gbpjpy partially offset each other (no idea how to calculate that)
2. Close the position at small loss (current loss <= X)
3. Sit out the news and possible DD
...
Author:  SteveHopwood [ Thu Aug 03, 2017 6:51 pm ]
Post subject:  Awesome
eaymon » Thu Aug 03, 2017 6:06 pm wrote:One thing i noticed....

I have the minimum margin % set at 1000 but it continued to create pending orders and open trades even after it was well below that limit.

I only see this behavior on the account with basket trading enabled. I am assuming that this is by design to fill out the baskets?
Awesome will not initiate any new trading cycles once the margin % drops below the limit. New trades could easily take the margin % down below the desired level.

:xm:
Author:  SteveHopwood [ Thu Aug 03, 2017 6:54 pm ]
Post subject:  Awesome
eaymon is working on a news filter. I will cheerfully accept it once he does so - I am not one to turn down free code and will accept it with gratitude. :lol:

Do I think there is any point in doing so? Nope. News rarely even creates a spike that can respect itself these days. Angsting about new releases is a waste of energy.

:xm:
Author:  eaymon [ Thu Aug 03, 2017 6:57 pm ]
Post subject:  Awesome
1Direction » Thu Aug 03, 2017 1:46 pm wrote:
This will help not to open new trades around the news events which is great.

What could be done to already open positions affected by the news.

Some ideas:
1. hedge 50% of the position
1.1 hedge only the residual portion of a currency basket eurgbp gbpjpy partially offset each other (no idea how to calculate that)
2. Close the position at small loss (current loss <= X)
3. Sit out the news and possible DD
...
My intention is close all (open and pending) that are related to the currency without considering the size of the loss ( similar to your second option). As well as sitting it for 4 hours (idea 3).

I calculated the impact of today's news and my total DD is just shy of 10% with about 8% relating to GBP pairs.

it's still early but 10% DD isn't end of the world...
Author:  eaymon [ Thu Aug 03, 2017 6:58 pm ]
Post subject:  Awesome
SteveHopwood » Thu Aug 03, 2017 1:51 pm wrote:
eaymon » Thu Aug 03, 2017 6:06 pm wrote:One thing i noticed....

I have the minimum margin % set at 1000 but it continued to create pending orders and open trades even after it was well below that limit.

I only see this behavior on the account with basket trading enabled. I am assuming that this is by design to fill out the baskets?
Awesome will not initiate any new trading cycles once the margin % drops below the limit. New trades could easily take the margin % down below the desired level.

:xm:
got it ty
Author:  TraderJoeForex [ Thu Aug 03, 2017 7:05 pm ]
Post subject:  Awesome
eaymon » Thu Aug 03, 2017 5:44 pm wrote:ok guys I'm close to finishing the code for handling the news.

The inputs are as follows:

Code: Select all

extern string  avo="---- Avoid News ----";
extern bool    StopTradingNews=true;
// stop trading for high, high/medium or high/medium/low events 
extern int     Stop_Impacts_H_HM_HML_123=1;
//Stop trading XX minutes before the news event
extern double  NewsMinutesBefore=60;
//Stop trading XX minutes after the news event
extern double  NewsMinutesUntilResume=240;
It will pull the news from forex factory every 60 minutes and parse the saved file every 10 minutes.
It will then save all current events in memory that are within range.
There is a separate method :

Code: Select all

 IsNewsInRange(string cSymbol)
That will return true or false whether the news is nearby for a particular currency. So Awesome can still run on other pairs whilst the news plays itself out.
It still needs to be implemented where we choose to close and open trades.

Are there any other inputs, control or functionality you need?Eaymon
My thoughts on today is that it has been helpful to get an idea of what we are looking at in terms of drawdown for a big ish news event. Tomorrow will be another.

For me the total drawdown so far is at an acceptable level and does not cause any concerns or present any problem that needs to be dealt with. Around 1/3 of my profit for the last two weeks is not a big deal. However what is key is how quickly it recovers and tomorrow will be the true test of that. I suspect and hope that it will without any intervention.

I had two live manual positions open this morning in profit and I closed them. If I had been trading Awesome Live I would have closed it down too and restarted next week. But this is what testing is for, to test all eventualities and see how it copes. I still believe in the possibility of it running all pairs, 24/5 and self balancing after any big moves but only time will tell on this. Tomorrow will be fun to watch.

A news filter may be helpful or it may be unnecessarily complicated. Of course it will be great to test and see what difference it can make. Once Steve has added the daily/weekly profit controls then manual intervention to close before news or weekends will be very easy.
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