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Ole Hansen
Outrageous Predictions 2017 is out today and there could be a nasty correction facing copper in 2017 all the way down to $1.25/lb as hopes for a stimulus-led revival of demand are dashed..
Squawk / 10 October 2016 at 23:38 GMT
Financial Systems Advisor / Quantitative Investments Inc
Canada
A few revisions have been made to the EURGBP algo to better track the mathematics within the logs, hopefully this will help us optimize the performance in different time frames.
11 October
Feders Feders
Hello!, let me see if understand the picture. In the right you have the algo, checking how fast or faster the eurusd and gbpusd change against eurgbp.ok until here?
eurgbp were up faster than the other two were down and then you bought eurgbp at 0.90090, and you closed the trade almost exactly two hours later ( was this coincidence?) at 0.90160. Is my reading and interpretation ok?.
So you always put 70 pips as limit for profit and 100 as stop loss? or just with eurgbp?
And going back to the right screen , how many readings do you use to calculated the Delta Pips? and what's that P/L = 7?
Thanks and I'm sorry bothering you with all my questions...
11 October
Qi2 Qi2
Yes you are correct, the algo watches the price change, it looks for GBPUSD to move 2 times faster or slower than EURUSD, based on the 6 rules, it makes a decision of what trade to open.
11 October
Qi2 Qi2
I manually closed the second trade due to change in GBPUSD direction, soon I will add a trailing stop, so I won't have to mage the trade as I did today. But at 12:00 AM GMT there is usually a JPY move and so you have to be very careful of the yen move as it will impact GBPUSD, which in turn will impact your EURGBP trade
11 October
Qi2 Qi2
And now I have my 15 pips, I will let the yen shake out for the next 15 minutes to see what it decides to do.
11 October
Qi2 Qi2
Hi Feders, sorry I failed to answer some of your questions. The first trade is a very quiet session and so I had a 13 pips SL and 7 pips TP, which was filled at TP. Then the next trade was the same setting but I closed it manually, because of the 12:00AM GMT JPY move. I then changed the setting to 9 pip TP for last trade, leaving SL at 13 pips, but it was impacted by GBPJPY, so again I closed it manually and now I am waiting to see what happens with GBPJPY before I allow the algo to trade again.
11 October
Qi2 Qi2
To calculate the "delta pips" my algo calculates them every 250 milliseconds or 4 times a second, but once it is in a trade, then the SL and TP take over and it will not enter additional trades. I can set it to trade as much as I want to, but for now, I am have found it is better to not trade to much, as it will easily overtrade, the algo is capable of making 240 trades a minute, so I have to throttle it.
11 October
Feders Feders
Thanks!, what you are doing it's just beautiful!
11 October
Qi2 Qi2
My system trades on full lots and a pips, so 7 pips is probably 70 pips if you are on MT4. I learn to only trade pips, because when you have large positions, I do not want to think about money, only think in pips :)
11 October
kom75 kom75
On mt4 is 7 pips as well ;)
11 October
Qi2 Qi2
Hi Kom, on my MT4 (demo) 7 pips is 70, no idea why, but I see it is the same thing on my friends MT4 too. So it looks like I am making crazy pips :) LOL
11 October
kom75 kom75
it shows in points maybe, 5 digit price
11 October
kom75 kom75
Time to sleep, have a good evening
11 October
Qi2 Qi2
Sleep well, I am going to make dinner, the market is pretty quiet and I have squeezed 20 pips, on EURGBP and 10 on USDJPY, life is good!
11 October
Qi2 Qi2
I just keeps working and working, probably should be sending a few bottles of red over to fxtime
11 October
fxtime fxtime
LOL....as you say ''life is fun'' great trading Qi2 and KOM :-) It seems you have the six rules programmed perfectly so now you simply watch the profits build. You are now tracking more fx pairs than me Qi2 seeing one of your other postings...let me know how they perform.
11 October
fxtime fxtime
In the original article for the six line rules algo i also mentioned uncorrelated scenarios and i am wondering whether to post one of those algos as a weekly article item but they are (zb# fx)usa.(zb#/fx)uk or ec and not sure if you trade these?
11 October
fxtime fxtime
hmmm formula slightly wrong above but will fwd anyway to you.
11 October
Qi2 Qi2
I am working out a few settings, it traded a lot while I slept, but then again the market is choppy
11 October
zefy zefy
I have been working many days to understand why it trades a lot even 1min bars, but do not have anything to optimize yet...
11 October
Qi2 Qi2
Hi Zefy, my algo is based on pure math, so the reason mine trades a lot is because of the mathematics, so I need to find the best possible optimization and that is where I am having issues. If I were to introduce a timestamp and only calculate it from that timestamp, it would not trade as much, however, then I may as well use trends or Bollinger bands or any other indicator. So this is my challenge to try and figure out.
11 October
Qi2 Qi2
Mine current algo starts at a point in time, and then it calculates the rate of change from that point and time continuously, then once it enters a position, it allows the SL and TP to run the trade, when either the SL or the TP are triggered it starts the rate of change calculation again. This is why it works so well in the slower market time frame. But also I have to close it manually often as the price change per 5 minute candle on GBPUSD changes a lot in the busy timeframes.
11 October
zefy zefy
My implementation reads 1min bars from history and is ready to trade immediately. But my implementation has only ROC criteria and indeed I should also have SL and TP defined so to avoid unnecessary trades when ROC is meandering around trigger level...
11 October
zefy zefy
I saw your algo trades inside candle and that is what I am considering too instead waiting full 1min bars.
11 October
Qi2 Qi2
Yes mien will trade at any moment, it calculated the ROC every 250 milliseconds, it does not use bars at all. I do personally watch the charts, on 5 minute candles, but the algo doesn't use anything other than ROC. And this is an issue, because of the constant rate of change. And it needs to be a bit smarter, sometimes the ROC will change rules, but the EURGBP direction is still the same and so the algo needs to not change positions and re-enter... always more work to do when it comes to an algo
11 October
Qi2 Qi2
For example if we start with rule 1 "If EURUSD > 0 and GBPUSD > 0 (both are rallying) AND EURUSD >= 2 x GBPUSD (EURUSD rallies faster than GBPUSD) then Buy EURGBP", but then because of rate of change rule 4 "If EURUSD > 0 and GBPUSD < 0 (EURUSD rises and GBPUSD falls) then Buy EURGBP" comes into play, then it needs to stay with EURGBP long and right now mine closes and opens a new trade, but same direction. And so I need my algo to be smarter and so this will be the next step in coding
11 October
zefy zefy
Yes, that is what I already implemented. So it trades only when rule gives direction which is opposite to current position (or does not have position).
public void _doTrade(int direction, string cause)
{
if ( direction == 1 && (_position == 0 || _position == -1 ) )
{
That reduces amount of trades nicely but I am still looking for more to optimize.
11 October
Qi2 Qi2
I think using a position exit rule may work, here is what I am working on, sorry I can't post a word doc, but you can post your email and I will send it to you. Here's a screenshot
11 October
Qi2 Qi2
I have created my own ribbon so to speak, much like a Bollinger band or a donchian channel, but mine has a few special characteristics, but I think it may be the long lost answer.
11 October
zefy zefy
After Fxtime lessons I am thinking everything in Std devs LOL.... Very powerful.
You can reach me artonpostit@outlook.com if want to share doc.
11 October
Qi2 Qi2
Sent you an email :)
11 October
zefy zefy
Thanks, got it. Gives me a lot new ideas.
11 October
fxtime fxtime
Ref; ribbons....bollingers and donchian are a result of prior finite actions. The latter is more Turtle style where as the bollinger is a classic gaussian curve but only the real time outlier range is shown eg the 2 std dev and even that is time lagged and averaged so often lacks pertinence but the ribbon is style pertinent for a trading stance. Bollingers are usually preset at insanely long time frames and at its widest ''Norm'' settings eg 98% percentile movement. But a ribbon of overlayed long and short time frames of the bollinger extremeties can be made even on tight time frames such as your 1min or below. Setting the settings for display of extremeties and you a contrarian trade function....view it is ANOVA played against ANCOVA?
The traditional y=b1(x) = B(0) is not divergent enough and you require a metric that is predicted and highly correlated = reliable.
11 October
fxtime fxtime
Don't rely entirely on traditional model though as heirachical will be more real time and give a tighter control to micro second deviance and trade controls as will weight action priorities eg preset for open/close or hold or turn.
11 October
fxtime fxtime
Actually does this make sense as I can form a graphic if need be? My suspicion with the algo I posted is that there I need to post more on the sifting out of false signals as it seems a few here have rapidly progressed through the basics and have a very workable algo that generates income but i wonder if it is best to post another article purely for the very advanced traders like yourselves for synthetic trade controls/parameters? Not sure if the TF editors want such specifics but clearly this is one of the major topics onsite! What do you think guys? I can ask here as the comment should be pretty buried here by now?
11 October
Qi2 Qi2
I certainly would be interested and I can provide you with all analytics I have run if that is of any use, there is no doubt that purely on a mathematical basis it works, the question become one of entry, exit and direction momentum. Which is essence could be timeframe and/or timestamp that changes the performance results of the mathematics.
11 October
zefy zefy
In my opinion this would be great topic to your article series. And would be in line with philosophy that new articles add new details/angles to previous articles.
Perhaps it is better Qi2 comment that ribbons etc question. It did not open to me immediately...
11 October
kom75 kom75
I agree with zefy and Qi2 and wait for next Wednesday (if TF allow).
11 October
fxtime fxtime
This Wednesday is about being a casino ! A form of ANOVA described above but probably I should write the following week on a more detailed version ANOVA/ANCOVA modelling and predictive distribution. It seems everyone wants to move up from basics...lets see if this weeks article showing why the UK lottery had to change its game makes sense to readers first. But I suspect a seperate article for you guys may be better.
KOM you must be in profit now seeing the close on SP ? :-)
Have a good evening everyone...its been a good day for all of us.
11 October
kom75 kom75
Nearly hit my target:)
11 October
kom75 kom75
Have a good evening guys. Qi2 we'll talk later:))
11 October
fxtime fxtime
I know I can see LOL...great stuff probability :-)
11 October
kom75 kom75
I can call it a day. 145 pips on SP + 50 locked. All because of probability. Definitelly will have my beer:))
11 October
Qi2 Qi2
Nice trading Kom, I was on rebuilding my computer all morning so I have to confess I didn't get a lot of pips, and I can't run my algo's overnight as my engineer is using my data to run the algo, because he is supposed to help me optimize it. And so It's back to manual trading for me for the Asian session open

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