collapse

Author Topic: FX Autotrader Elite  (Read 132697 times)

Offline Humble Trader's Fx

  • Global Moderator
  • Hero Member
  • *****
  • Posts: 1531
Re: FX Autotrader Elite
« Reply #435 on: February 06, 2019, 12:33:24 AM »
I just want to make one final point that I think everyone understands now.

These EAs that we have been buying are built by developers who in most cases have never really been professional traders - they are retail based - think like retail traders and are restricted in how they approach things by that limitation.

while we are certainly not looking to reinvent the wheel - we are looking at something that they are not really aware of.

Also the time for making an EA putting up a 10 year backtest and selling it are over .. we are all aware that for the most part those EAs once they go on a real account head straight into DD.

it simply is time for a new approach and fresh thinking.

Stir the ship "'Mon Capitaine"; being able to read the stars in the darkness of night, will lead us to safety.   ;)


Regards,
HumbleTrader
We humbly approach the Forex Market and take only what is earned through our hard work and intelligence.

Offline diyforexskills

  • Verified Vendor
  • Sr. Member
  • ***
  • Posts: 1458
Re: FX Autotrader Elite
« Reply #436 on: March 25, 2019, 06:56:03 AM »
A new way of trading with the Autotrader

Have been working behind the scenes, having the EA modified as per some of the discussions above, and more importantly changing the approach to using the EA.

We end up having multiple sub-strategies each optimised to different volatility conditions over an 18 year period.

So instead of using the EA Controller to switch strategies on or off depending on profitability, we rely on the market dynamics to determine which strategy or strategies should be running at any one time.

This approach shows great promise but does require a lot of optimisation work. Will hopefully get some live trading under way with this new approach by June so we should know by end of year whether this is worth pursuing.

The image below shows the merged results for five sub-strategies based on a test period from 2010 and using fixed lot size. Current testing is being done on period from 2000 till 2019.
Information and product page - http://www.diyforexskills.com/forex-tools/




Offline diyforexskills

  • Verified Vendor
  • Sr. Member
  • ***
  • Posts: 1458
Re: FX Autotrader Elite
« Reply #437 on: April 15, 2019, 06:09:01 AM »
Update on new Trading Strategy

Work is progressing on developing the MA crossover strategies within ATR ranges. The results for merging the strategies for five currency pairs is shown below. Using 99.9% tick data. Some further enhancements are possible for these and work continues on other currency pairs

The second image shows the approach to optimising these strategies over a 19 year period, this time for USDCAD; bringing one MA crossover into play one at a time. In all, four alternate entry MA crosses and one exit MA cross. Note how the Profit, PF, DD and %Profitable trades improves which each additional MA cross.
Information and product page - http://www.diyforexskills.com/forex-tools/




Offline diyforexskills

  • Verified Vendor
  • Sr. Member
  • ***
  • Posts: 1458
Re: FX Autotrader Elite
« Reply #438 on: April 19, 2019, 05:22:36 AM »
Further Improvement

As noted in previous post, I have adopted a slightly different approach to the development of these strategies for three new pairs.

So now we have an even better merged performance curve as shown.

Work is now progressing on the other six pairs and will be redoing the initial five pairs with this new approach.

Then we will look at modelling the sixteen or so pairs (up to 60 set files) to maximise the Ret/DD ratio and best year on year performance and minimal stagnation with a view to offering a signal service from a portfolio of these strategies.
Information and product page - http://www.diyforexskills.com/forex-tools/




Offline diyforexskills

  • Verified Vendor
  • Sr. Member
  • ***
  • Posts: 1458
Re: FX Autotrader Elite
« Reply #439 on: April 26, 2019, 07:19:59 AM »
Further Improvement

As noted in previous post, I have adopted a slightly different approach to the development of these strategies for three new pairs.

So now we have an even better merged performance curve as shown.

Work is now progressing on the other six pairs and will be redoing the initial five pairs with this new approach.

Then we will look at modelling the sixteen or so pairs (up to 60 set files) to maximise the Ret/DD ratio and best year on year performance and minimal stagnation with a view to offering a signal service from a portfolio of these strategies.

Have now redone the first of the currency pairs with the new approach to optimisation, and we have a great improvement - profit up three fold and PF up from 1.5 to 2.9 with a much smoother performance curve.
Information and product page - http://www.diyforexskills.com/forex-tools/




Offline diyforexskills

  • Verified Vendor
  • Sr. Member
  • ***
  • Posts: 1458
Re: FX Autotrader Elite
« Reply #440 on: May 10, 2019, 01:31:34 PM »
Possible Portfolio

Have finished some 6 weeks of work to develop 57 set files/EAs across 16 currency pairs using the Autotrader.

Using Quant Analyser as portfolio modelling tool leads me to using 35 of these to run a portfolio, which on BT shows the results below.

1. It meets my KPIs for 100% pa return with < 20% DD (just 9%). In real trading I would allow for that return to be half as good and DD twice as big. That would still allow me to sleep at night.

2. The Ret/DD ratio (190), the Calmar ratio (10) and z-score (-1.5) are all excellent.

3. Return in 2019 to date is still on the lower side so we need to see how that develops over the coming months in forward testing; and the possible addition of two more strategies which did badly pre-2010 but in BT do really well from then on. All going well it could then be offered as a signal service. No marty, no grid and no scalping. Just a diversified portfolio with long term strategies tuned to market volatility conditions.
Information and product page - http://www.diyforexskills.com/forex-tools/




Offline diyforexskills

  • Verified Vendor
  • Sr. Member
  • ***
  • Posts: 1458
Re: FX Autotrader Elite
« Reply #441 on: May 16, 2019, 12:26:34 PM »
Multi MA strategy, no ATR filtering

In the last few Posts I shared some results of using a multi-MA approach within defined ATR bands; resulting in having four set files for each currency pair.

But I also tested this concept without using any ATR filtering, and in the process developed a set file for AJ on the H4 timeframe. I have let this strategy run on demo (a $1 million demo account), using mini lots per trade. There is one Initial trade and up to 4 scale-ins for this strategy.

Since 1 March there have been three trading sequences (ie 3 Initial trades and each time four scale-ins have been triggered; in a nice Sell Buy Sell sequence closely following price movement.

There is always a worry when you optimise a strategy up to a recent period, in this case end 2018, from start 2000, that the strategy will tank as soon as you start forward testing. In this case, that certainly has not happened! Every trade has been a winner. On a normal $10K account, we would be up 30%, or 10% pm...... I should have done this testing on my live account!!
Information and product page - http://www.diyforexskills.com/forex-tools/




Offline diyforexskills

  • Verified Vendor
  • Sr. Member
  • ***
  • Posts: 1458
Re: FX Autotrader Elite
« Reply #442 on: May 24, 2019, 06:46:57 AM »
Possible Portfolio

Have finished some 6 weeks of work to develop 57 set files/EAs across 16 currency pairs using the Autotrader.

Using Quant Analyser as portfolio modelling tool leads me to using 35 of these to run a portfolio, which on BT shows the results below.

1. It meets my KPIs for 100% pa return with < 20% DD (just 9%). In real trading I would allow for that return to be half as good and DD twice as big. That would still allow me to sleep at night.

2. The Ret/DD ratio (190), the Calmar ratio (10) and z-score (-1.5) are all excellent.

3. Return in 2019 to date is still on the lower side so we need to see how that develops over the coming months in forward testing; and the possible addition of two more strategies which did badly pre-2010 but in BT do really well from then on. All going well it could then be offered as a signal service. No marty, no grid and no scalping. Just a diversified portfolio with long term strategies tuned to market volatility conditions.

Forward testing on demo has now begun testing all 57 set files at this stage. We have called the portfolio Zephir and you can follow its fortunes on myfxbook as per below. The demo account is $1million but the lot sizing is based on being run on a $10K account. So % Returns and % DDs can be multiplied by 100 for a more realistic view of performance.

As you can see it is an active portfolio, ie many trades although they can be of a long duration. So swap rates will be a consideration in choosing the best broker, while spreads is not much of an issue given the largish TPs and SLs.
Information and product page - http://www.diyforexskills.com/forex-tools/




Offline diyforexskills

  • Verified Vendor
  • Sr. Member
  • ***
  • Posts: 1458
Re: FX Autotrader Elite
« Reply #443 on: July 03, 2019, 07:50:08 AM »
Back from holidays so time to get back to work.

The Zephir account is a set of 57 FX Autotrader Elite set files covering 16 pairs. BT results (16 years) are described in previous Post. Lot sizing is set for a $10K account but we are actually running on a $1million demo account. So a 0.12% DD is actually a 12% DD etc

So after some 7 weeks we are at -1% with a max DD of 12% at this stage of forward testing. But note also the $182 (2%) in swap costs to date (assumed to be included in the 12% overall DD) - as expected for long term trades. So I have two ideas for going forward.

I have noticed we generally have some 15 +/- 2 open trades and that quite often these open trades reach well over $200 to $250 and higher in profit; before falling back with several eventually closing in losses and dragging down the account balance. Which leads me to wanting to start a separate test in which we include a Close All when equity is in profit by say $250. I can use Equity Sentry for that.

Another option, and test, would be to use the new feature in Autotrader whereby only trades that have +ve swap rates will be traded. (I wonder if that can be BT with Strategy Tester?)

Setting up two MT4s each with 57 EAs/set files sounds like a bit of enjoyment for the weekend.   :)
Information and product page - http://www.diyforexskills.com/forex-tools/




Offline diyforexskills

  • Verified Vendor
  • Sr. Member
  • ***
  • Posts: 1458
Re: FX Autotrader Elite
« Reply #444 on: July 04, 2019, 01:13:36 AM »
Back from holidays so time to get back to work.

The Zephir account is a set of 57 FX Autotrader Elite set files covering 16 pairs. BT results (16 years) are described in previous Post. Lot sizing is set for a $10K account but we are actually running on a $1million demo account. So a 0.12% DD is actually a 12% DD etc

So after some 7 weeks we are at -1% with a max DD of 12% at this stage of forward testing. But note also the $182 (2%) in swap costs to date (assumed to be included in the 12% overall DD) - as expected for long term trades. So I have two ideas for going forward.

I have noticed we generally have some 15 +/- 2 open trades and that quite often these open trades reach well over $200 to $250 and higher in profit; before falling back with several eventually closing in losses and dragging down the account balance. Which leads me to wanting to start a separate test in which we include a Close All when equity is in profit by say $250. I can use Equity Sentry for that.

Another option, and test, would be to use the new feature in Autotrader whereby only trades that have +ve swap rates will be traded. (I wonder if that can be BT with Strategy Tester?)

Setting up two MT4s each with 57 EAs/set files sounds like a bit of enjoyment for the weekend.   :)

So looks like we can just re-run the Zephir set files on Strategy Tester using the new version of Autotrader with +ve swap only trades set to true. We won't see the value of any swap gains (but at least we know it will be +ve in live trading) and we can see the results of trading only +ve swap trades. The example shown is for one of the AJ set files. So for this pair, the +ve swap trades only perform slightly worse than running both +v and -ve swap trades together.
Information and product page - http://www.diyforexskills.com/forex-tools/




Offline diyforexskills

  • Verified Vendor
  • Sr. Member
  • ***
  • Posts: 1458
Re: FX Autotrader Elite
« Reply #445 on: July 04, 2019, 11:32:40 AM »
More on swaps...

Normally it is either the Buy or the Sell that provides a +ve swap. But sometimes both the Buy and the Sell have -ve swaps. And so depending on which broker we are trading with, filltering out negative swaps can result in quite different results in terms of how many trades are taken by the EA for each currency pair.

The image shows a small sample of swap comparisons from myfxbook.

So if I was using the swap filter for the Zephir portfolio, I would not be using the filter for pairs that have negative rates for both buys and sells (would result in too big a decreae in trading activity for this portfolio); unless these negative swaps really ruin the performance.
« Last Edit: July 04, 2019, 11:37:36 AM by diyforexskills »
Information and product page - http://www.diyforexskills.com/forex-tools/




Offline diyforexskills

  • Verified Vendor
  • Sr. Member
  • ***
  • Posts: 1458
Re: FX Autotrader Elite
« Reply #446 on: July 07, 2019, 08:25:22 AM »
Strategy Development and Optimisation Process

With the many features of the Autotrader it is relatively easy to automate many strategies if we just use a two to five year period for optimisation. Unfortunately most of these will fail going forward in the out of sample (OOS) period.

Consequently, with the Zephir portfolio of strategies, I used a 19 year period for optimisation from 2000 till end 2018, but that left me with only a 4 months OOS period for the BT. Hence we now have Zephir running on a demo account to see how well these strategies will perform going forward. (I was able to do 19 year optimisations relatively quickly by using Open prices with Strategy Tester since entries are set to occur only at close of bar.)

I am now trialing three other options.

1. Using dynamic exits with MAs, ie exits (and of course entries) occur only at close of bar and hence the Open prices results are pretty close to what we get with tick data back-testing.

2.  Using separate MA crosses for entries and exits rather than the exits being the reverse of the MA entry cross

3. Using three different time periods for each of the three optimisation runs.

Run 1 - from 1Jan2000 till 31Dec2005
Run 2 - from 1Jan2005 till 31Dec2011 (a one year overlap)
Run 3 - from 1Jan2000 till 31Dec2016 (covering the full optimisation period and leaving 2.5 yrs of OOS period)

Idea is then in 2024, to redo Run 1 from 1Jan2006 till 31Dec21
In 2029, redo Run 2 from 1Jan2011 till 31Dec26  etc to have a rolling sequential optimisation process every five years.

The image below shows three different approaches to developing a strategy for AUDUSD sells on the H4 TF. The OOS periods are highlighted.

1. Optimising over the period 2010 to 2015 - see how bad the OOS periods are! A 10 and a 4.5 yrs OOS periods.
2. Optimising over three periods sequentially and using the same MA crosses for entries and exits (reverse). A 4.5 yrs OOS period.
3. Optimising sequentially as described above, and using separate MA crosses for entries and exits. A 2.5 yrs OOS period.

From my point of view this last approach shows the most promise and I will now proceed with this method - creating strategies for positive swap trading only. Eg for AUDUSD this means Sells only.


Information and product page - http://www.diyforexskills.com/forex-tools/




Offline compujock

  • DonbonsPrivateGroup
  • Sr. Member
  • *
  • Posts: 1390
Re: FX Autotrader Elite
« Reply #447 on: July 07, 2019, 05:13:07 PM »
Further Improvement

As noted in previous post, I have adopted a slightly different approach to the development of these strategies for three new pairs.

So now we have an even better merged performance curve as shown.

Work is now progressing on the other six pairs and will be redoing the initial five pairs with this new approach.

Then we will look at modelling the sixteen or so pairs (up to 60 set files) to maximise the Ret/DD ratio and best year on year performance and minimal stagnation with a view to offering a signal service from a portfolio of these strategies.

I have been following closely all the hard work that you, Donbon, Flechdrop, and others have been doing.  I love the trading methodology and agree this is by far the best way to trade.  As soon as the signal service is available, I will be one of the first to sign up.  Also, just fyi, I am a programmer.  It sounds like you guys don't have a need in this area, but if you ever do, I'm willing to help.  Thanks for all the hard work you guys are doing in order to provide an honest and safe system for people to follow.

Offline diyforexskills

  • Verified Vendor
  • Sr. Member
  • ***
  • Posts: 1458
Re: FX Autotrader Elite
« Reply #448 on: July 08, 2019, 06:23:18 AM »
More on swaps...

Normally it is either the Buy or the Sell that provides a +ve swap. But sometimes both the Buy and the Sell have -ve swaps. And so depending on which broker we are trading with, filltering out negative swaps can result in quite different results in terms of how many trades are taken by the EA for each currency pair.

The image shows a small sample of swap comparisons from myfxbook.

So if I was using the swap filter for the Zephir portfolio, I would not be using the filter for pairs that have negative rates for both buys and sells (would result in too big a decreae in trading activity for this portfolio); unless these negative swaps really ruin the performance.

When I posted on this last week, Axi had negative swaps for longs and shorts for almost all the yen pairs. Unlike most other brokers.

I queried this with Axi, and their response was that there had been a mistake that day and the problem was now fixed. So it only leaves AUDNZD and AUDCAD with negative swaps for both longs and shorts. And they would remedy if any of my trades had been affected.
https://www.myfxbook.com/forex-broker-swaps/axitrader/285

Goes to show that we need to be vigilant at all times and raise any issues with the brokers we work with. Axi has always done that for me having trade with hem since i started 10 yrs ago.
Information and product page - http://www.diyforexskills.com/forex-tools/




Offline diyforexskills

  • Verified Vendor
  • Sr. Member
  • ***
  • Posts: 1458
Re: FX Autotrader Elite
« Reply #449 on: July 08, 2019, 08:21:15 AM »
More on swaps...

Normally it is either the Buy or the Sell that provides a +ve swap. But sometimes both the Buy and the Sell have -ve swaps. And so depending on which broker we are trading with, filltering out negative swaps can result in quite different results in terms of how many trades are taken by the EA for each currency pair.

The image shows a small sample of swap comparisons from myfxbook.

So if I was using the swap filter for the Zephir portfolio, I would not be using the filter for pairs that have negative rates for both buys and sells (would result in too big a decreae in trading activity for this portfolio); unless these negative swaps really ruin the performance.

Swaps to Date


Zephir has closed 78 trades so far and is in loss by $418 and $185 loss in swaps for a total loss of $603.

If we had traded positive swaps only, we would have traded only 41 trades with a slightly higher loss of $484 but with a gain from swaps of $17; yielding a net loss of $467.

In other words, we would have been better off by almost $140 over this period by trading only positive swap trades.

We will look at this in another few months time, and if this trend continues, we would run Zephir on live account with "Positive Swaps Only" set to true.
Information and product page - http://www.diyforexskills.com/forex-tools/




 

browse forum

* Recent Posts

Re: FX Autotrader Elite by diyforexskills
[Today at 08:38:43 AM]


Re: ForexGBPAvenger by bestscalper
[Today at 03:47:00 AM]


Re: Automated Trading System on TRUMP Symbol by compujock
[Yesterday at 10:26:40 PM]


Re: Frero system by compujock
[Yesterday at 10:23:50 PM]


economic news in MT5 by Astronautas
[Yesterday at 09:36:15 PM]


Re: Frero system by Nasdaq100
[Yesterday at 06:55:37 PM]


Re: Oportunis by oportunis
[Yesterday at 03:53:46 PM]


Re: Oportunis by 5ninefish
[Yesterday at 03:23:55 PM]


Re: Oportunis by reinerh
[Yesterday at 12:43:27 PM]


Re: Automated Trading System on TRUMP Symbol by Gyles
[Yesterday at 10:47:32 AM]