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Author Topic: FX Autotrader Elite  (Read 135678 times)

Online diyforexskills

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Re: FX Autotrader Elite
« Reply #465 on: September 19, 2019, 06:49:51 AM »
Flashback to FXAE Bollinger Band EA

As reported on the FXAE BB EA Set File thread back in July, only one of the three strategies developed as part of that BB series, the Revised strategy, 5716101 based on an ATR modulated BB setting, has been successful.

Trading began on 5 November 2018 and by today its performance is as shown. 86 trades, 81% winners, PF of 2.53 trading 0.1 lots.

Not bad for a simple BB strategy, albeit one where the BB Deviation is modulated by ATR. Just one of the many features available on the Autotrader.
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Online diyforexskills

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Re: FX Autotrader Elite
« Reply #466 on: September 21, 2019, 07:40:51 AM »
A Lingering KISS

I have been working for a little while on making an Autotrader EA with a simple strategy using MA crossovers (KISS - Keep It Simple Stupid). Keeping the bulk of the variables constant and then using one or two variables for short term optimisation. Initially I thought I would have to re-optimise every month over the previous 2 months.

But after some false starts I seem to have hit upon a basic suite of settings with just one variable for optimisation. And even though we can do the monthly re-optimsation routine quite easily, it appears that in 2019 that may not be necessary.

The image shows the BT from 1 Jan to 30 Aug with the Jan Feb period having been used to optimise. So all of March through to August is OOS. Monthly re-optimisations can give a slight improvement but not worth the effort. At some stage the strategy will no longer work, but we can make hay while the sun shines. Hence the Lingering KISS title!  :)

I am now repeating the experiment for 2018 to see how reproducible this method and strategy is. The current strategy/settings do not work so we start by doing a multi-variable optimisation requiring 1250 passes over 15 hours.

In terms of volatility (ATR), 2018 is more volatile for EURUSD than 2019 (Daily ATR averages 80 in 2018 compared to 50 in 2019); which might explain the difference in performance. If that were so, we could develop separate set files for differing ATR ranges (say 20 to 60 and 60 to 100), run them both concurrently and let the market decide which one will be trading at any one time.
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Online diyforexskills

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Re: FX Autotrader Elite
« Reply #467 on: October 11, 2019, 07:31:06 AM »
Reward to Risk trading - can we do better?

Trading with say a 2:1 reward to risk ratio is what the textbooks advise us to do. Makes sense mathematically but unfortunately market statistics often get in the way. Which is why so many automated, and manual, strategies based on that principle fail.

And so the temptation is to remove the SL and hope for a reversion to the mean. The basis of scalping and grid/marty type strategies. Profitable for a while until they crash.

But what if we did remove the SL, place some forms of protection while still allowing trades room to breathe, and continue trading and accumulating profit while some trades languish in an open DD? (Based on an idea from donbon2). We can do that with the Autotrader by utilising the re-entry feature so that we can have up to some specified number of open trades. This can get quite busy as shown in the second image.

The main point is in the first image where we can see the effect of having different exit strategies for losing trades. The 100 pip SL represents about a 1:1 reward to risk ratio, and is acceptable. But we can see how we can almost triple that performance by relying on a very long-term MACD exit in combination with a Close after 18 days.

« Last Edit: October 11, 2019, 07:35:35 AM by diyforexskills »
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Online diyforexskills

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Re: FX Autotrader Elite
« Reply #468 on: Today at 07:37:40 AM »
MACD Multiple Entry
(Folowing on from previous Post)

I now have three new set files based on this new approach using v57.03.19 of the Autotrader, optimised for entry conditions from 1Jan till end Sep 2019 with all other parameters having resulted from an optimisation from 1Jan 2016 till present. (And checking that a BT from 1 Jan 2016 using these new entry settings would still yield an acceptable return over the 3.9 years).

Entry is on MACD, filtered by ADX, buying low and selling high and using either fixed pip-based TP and BE or ATR-based ones. We can have up to 40 re-entry trades while the Initial trade is open and we also have marty type scale-ins at five -100 pip intervals. Trades do not have a fixed SL and instead are exited in one of several ways:
1. By TP or BE
2. By a longterm MACD exit
3. After a set number of bars (18 days)
4. On a basket CloseALL at $300 in loss (trading 0.01 lots)

Results with History Centre tick data are as shown for the AUDUSD. So even while open positions overall may be negative at times, we continue to close profitable trades.

I am going to run these on a $10K demo account and after a few weeks start copying (or trade directly) one of the pairs to a $1K live account. All going well I would start copying the other pairs adding another $1K to the account per pair.
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