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Author Topic: FX Autotrader Elite  (Read 176428 times)

Offline diyforexskills

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Re: FX Autotrader Elite
« Reply #555 on: May 19, 2020, 01:01:41 AM »
First (unconvincing) attempt

Using the new delta ATR feature of the Autotrader as explained in previous Post, I have come up with 4 set files that result in a portfolio as shown.

Pretty poor with many "no trading" periods and nowhere near enough OOS times to give any confidence.

So back to the drawing board with a different approach to how we can use the delta ATR feature. Has to be an answer somewhere.

But it's nice to know that we now have another trader who is willing to help with forward demo testing. Will be in touch soon.
« Last Edit: May 19, 2020, 03:44:22 AM by diyforexskills »
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Offline diyforexskills

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Re: FX Autotrader Elite
« Reply #556 on: May 19, 2020, 06:08:15 AM »
Another Option

If we plot several ATRs on the daily timeframe, with periods 20, 40, 60, 80 and 100 we see the following.

We see three different periods over which we might optimise a strategy. Given that we now seem to have moved into a period similar to the first period in terms of how the ATRs look, then maybe a set file optimised in that 2014 to 2017 period (period 1) should begin to work well now.

We'll test that out as soon as I finish my other approach.
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Offline diyforexskills

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Re: FX Autotrader Elite
« Reply #557 on: May 19, 2020, 07:05:23 AM »
Another Option

If we plot several ATRs on the daily timeframe, with periods 20, 40, 60, 80 and 100 we see the following.

We see three different periods over which we might optimise a strategy. Given that we now seem to have moved into a period similar to the first period in terms of how the ATRs look, then maybe a set file optimised in that 2014 to 2017 period (period 1) should begin to work well now.

We'll test that out as soon as I finish my other approach.

Not quite what I had intended to do, but this is encouraging. I optimised over the period 1Jan15 to 31Dec18 and using delta ATR on H1 timeframe. This turns out to virtually stop all trading over 2017 and 2018 and most of 2019, but kicks back in profitably in 2020.

So with reference to previous Post and image, this is a set file that is optimised in period 1, and does well again in the OOS period 4 (ie current) when the ATR pattern is starting to look similar to what it was in period 1.

Now it's time for some tennis - lockdown is over, at least for a while.
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Offline diyforexskills

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Re: FX Autotrader Elite
« Reply #558 on: May 19, 2020, 01:43:41 PM »
Another Option

If we plot several ATRs on the daily timeframe, with periods 20, 40, 60, 80 and 100 we see the following.

We see three different periods over which we might optimise a strategy. Given that we now seem to have moved into a period similar to the first period in terms of how the ATRs look, then maybe a set file optimised in that 2014 to 2017 period (period 1) should begin to work well now.

We'll test that out as soon as I finish my other approach.

Not quite what I had intended to do, but this is encouraging. I optimised over the period 1Jan15 to 31Dec18 and using delta ATR on H1 timeframe. This turns out to virtually stop all trading over 2017 and 2018 and most of 2019, but kicks back in profitably in 2020.

So with reference to previous Post and image, this is a set file that is optimised in period 1, and does well again in the OOS period 4 (ie current) when the ATR pattern is starting to look similar to what it was in period 1.

Now it's time for some tennis - lockdown is over, at least for a while.

Adding the second set file, optimised essentially over 2017 and 2018 (period 2) as per first image, and using delta ATR on H4, we can get the OOS performance from the two set files combined as shown in the second image.

So that leaves me with one more set file to produce, covering market conditions in period 3 in first image; and then seeing how that performs in OOS period.
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Offline diyforexskills

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Re: FX Autotrader Elite
« Reply #559 on: May 20, 2020, 07:07:53 AM »
Another Option

If we plot several ATRs on the daily timeframe, with periods 20, 40, 60, 80 and 100 we see the following.

We see three different periods over which we might optimise a strategy. Given that we now seem to have moved into a period similar to the first period in terms of how the ATRs look, then maybe a set file optimised in that 2014 to 2017 period (period 1) should begin to work well now.

We'll test that out as soon as I finish my other approach.

Not quite what I had intended to do, but this is encouraging. I optimised over the period 1Jan15 to 31Dec18 and using delta ATR on H1 timeframe. This turns out to virtually stop all trading over 2017 and 2018 and most of 2019, but kicks back in profitably in 2020.

So with reference to previous Post and image, this is a set file that is optimised in period 1, and does well again in the OOS period 4 (ie current) when the ATR pattern is starting to look similar to what it was in period 1.

Now it's time for some tennis - lockdown is over, at least for a while.

Adding the second set file, optimised essentially over 2017 and 2018 (period 2) as per first image, and using delta ATR on H4, we can get the OOS performance from the two set files combined as shown in the second image.

So that leaves me with one more set file to produce, covering market conditions in period 3 in first image; and then seeing how that performs in OOS period.

Task completed. Set file for 3rd period, most of 2019, has been prepared. Unlike the previous two, I have had to set an upper boundary of Daily ATR period 20 of 0.005 for this set file. Otherwise it trades virtually all the time from 2015 on and crashes; but we do get some short profitable periods in OOS 2017-18. So this ultra low volatility period in 2019 is rather special and requires special treatment. The last time all these ATRs were so low for short periods was in 2002-03.

In the second image I have combined all three but now of course the only OOS period for all three is 2020; other contributions to OOS profits are also shown. So overall I am reasonably happy with this approach using the new Delta ATR feature of the Autotrader.

So now we need to run these three set files on forward testing. Under current market conditions only one, maybe two of these set files will trade.
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Offline diyforexskills

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Re: FX Autotrader Elite
« Reply #560 on: May 23, 2020, 04:08:59 AM »
Selling is not the same as Buying

When I examined the AU set file optimised for 2015-16, I noticed that virtually all the profits (97%) were from Sells.

So I re-did the optimisation for that market period using the RSI feature on the Autotrader to exclude either Buys or Sells - so we now have two set files for that market period.

The comparison between doing Buys and Sells in the one strategy/set file vs doing two separate strategies/set files for Buys and Sells is shown below. We should focus on the OOS period from 2017 to 2020; so not a huge improvement as yet in 2020, but every improvement helps in the long term.
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Offline diyforexskills

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Re: FX Autotrader Elite
« Reply #561 on: May 23, 2020, 05:56:13 AM »
Time to Intervene

We have two tests running on M15 - Test and Test 5 with somewhat different strategies and different pairs.

Both appear to be stagnating as we were expecting because these strategies were developed/optimised over 2019 market conditions. And after the massive volatility spike in March, the market conditions in April and May 2020 are totally different than in 2019. Market conditions in terms of volatility behaviour are now more like they were in 2015 and 2016. Refer first image in Reply #558 https://donnaforex.com/index.php?topic=12561.msg399710#msg399710

So now we have the unenviable task of re-doing a lot of optimisations! But at least we know which period to use for this - 2015 -2016. Using the April/May 2020 period would be far too short a period for effective, statistically meaningful optimisation.
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Offline diyforexskills

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Re: FX Autotrader Elite
« Reply #562 on: May 24, 2020, 02:18:27 AM »
Time to Intervene

We have two tests running on M15 - Test and Test 5 with somewhat different strategies and different pairs.

Both appear to be stagnating as we were expecting because these strategies were developed/optimised over 2019 market conditions. And after the massive volatility spike in March, the market conditions in April and May 2020 are totally different than in 2019. Market conditions in terms of volatility behaviour are now more like they were in 2015 and 2016. Refer first image in Reply #558 https://donnaforex.com/index.php?topic=12561.msg399710#msg399710

So now we have the unenviable task of re-doing a lot of optimisations! But at least we know which period to use for this - 2015 -2016. Using the April/May 2020 period would be far too short a period for effective, statistically meaningful optimisation.

Taking a closer look at Test 5, it appears that the task may not be as bad as I first thought.

I had already stopped trading GBPUSD a week or so ago, and of the 8 remaining strategies, only EURAUD, EURUSD and perhaps AUDUSD are in need of re-optimisation. As shown in the image below where the EA Controller being used solely as an on-chart monitor of performance, shows the performance of each strategy.

The EURAUD strategy trades too much in my view and is rather erratic, so I will stop that one as well when the current open trades are closed.

Given the work I have done on the new AUDUSD strategies I will replace the current AUDUSD strategy with these new ones as per recent previous Posts.

That will leave me with just fixing the EURUSD strategy. I will do that by using the same approach that I have used for AUDUSD with the new version of the Autotrader incorporating delta ATR. That will mean I will have three to four set files for each of these two pairs with the market deciding which ones will be running at any one time depending on the delta ATR condition.

(And if all this is too confusing, I can't blame you. But by writing it down it helps me to keep track of what I am doing. My own DF Trading Journal. :)  )
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Offline diyforexskills

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Re: FX Autotrader Elite
« Reply #563 on: May 28, 2020, 04:54:27 AM »
Morphing Test 5 into DIY ActiveTrader

Test 5 started with 9 pairs. I stopped GU some weeks ago and waiting to stop EURAUD when open trades are closed.

As per previous Post, I feel I had to re-optimise AU (despite its initial stellar performance) and which I have done by replacing it with separate Buy and Sell strategies, now running.

I had hoped to do the same for EU, but that proved far more difficult so I am going to let the current version run a bit longer. We'll take a hit if price keeps going up - thanks to the new stimulus measures for Europe; which have trumped the technicals as fundamentals always do.

By accident I discovered that the UJ set file also works very nicely for EU in 2020, and so since we are dealing with a demo account, I am going to add that to see how long that lasts. Never had a set file optimised for UJ working so well on anything else.

My aim is to move this reformed portfolio running on M15 and with lots of trading to a live account as DIY ActiveTrader in a month or so and let it operate in conjunction with DIY Steady Trader which operates on H4 with a lot less trading activity. This live account is now back to a more reasonable trading result for May. Would have been nice to have finished the month with 20% profit, but that is a bit unrealistic.
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Offline diyforexskills

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Re: FX Autotrader Elite
« Reply #564 on: May 29, 2020, 08:40:28 AM »
Prudent Interventions

Automated strategies/EAs will trade according to the rules that have been set. And unless the market changes rapidly, it is best to let the EA do its thing.

But when we have an EA trading on a longer term timeframe, say H4 where trades can last for days and sometimes several weeks, there is benefit in monitoring the situation;  and taking the occasional prudent intervention.

With DIY SteadyTrader I have done that once with good effect for EURJPY but I decided not to intervene the second time; regrettably.

I was faced with the EURUSD chart as per image which clearly showed a pattern strongly suggesting a reversal. Had I closed that Sell trade I would have made a small profit. But I did not and today that trade closed out at a $220 loss fueled by the stimulatory actions in Europe. I have made some counter trades to claw back a quarter of that loss and hope to claw back some more tonight. Being wary of course of the Trump/Hong Kong pending action.

Lesson reinforced. Always better to take action ahead of time rather then wait and try to recoup losses. However the "signs" do need to be solid before intervening and it should be an infrequent occurrence. Otherwise we might as well do manual trading.
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Offline diyforexskills

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Re: FX Autotrader Elite
« Reply #565 on: May 31, 2020, 02:21:34 AM »
First Monthly Harvest

DIY SteadyTrader has just completed its first month of trading finishing with $300 in profit. As per my intentions with this trading strategy, I have submitted a withdrawal request for that amount. Now let's see what happens in June.

Of course we were up $1000 after the first week and so the start was far better than the finish for the month. But no use in crying over spilled milk. Better to just examine the spill and work out how to mop it up in future.

In that regard I will be adding a supplementary strategy for each of the three pairs. These will trade rarely and are primarily designed to counter any losing trades by having different entry and exit parameters. The ones for EU and EJ are ready to go and still working on one for UJ.

The image shows the impact of doing this for EURJPY.
« Last Edit: May 31, 2020, 08:42:22 AM by diyforexskills »
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Offline diyforexskills

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Re: FX Autotrader Elite
« Reply #566 on: June 03, 2020, 11:18:14 AM »
A manual interlude

Even as EA traders, it's always good I believe to do some manual trading from time to time to get to know the markets.

But MT4 is rather clunky when it comes to placing trades, SL, TP etc and to have BEs and TSs accompany the trades.

So I was pleasantly surprised when I came across the VR Stealth Pro https://www.forexfactory.com/showthread.php?t=584980

Makes it so easy to set either pending orders (Virtual) or place direct orders complete with TP and SL which you can customise  in the Inputs tab and/or easily drag up and down on the chart.

The Session time designations are also very helpful (I changed TF and some sessions seem to have disappeared but you can how they normally appear).  And it's all on the chart. Instructions are a bit scarce but a bit of clicking soon reveals what can be done.
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Online FLechdrop

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Re: FX Autotrader Elite
« Reply #567 on: June 03, 2020, 02:47:29 PM »
I am not sure you are right in your judgement that M15 strategies are stagnating. Short term it does look like it, sure, but I think it is too short term to really judge.

EDIT: Oh, by the way, test 1 does look like a bit of a disaster now.

https://www.myfxbook.com/portfolio/macd-test-1/4843809
« Last Edit: June 03, 2020, 03:10:50 PM by FLechdrop »

Offline diyforexskills

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Re: FX Autotrader Elite
« Reply #568 on: June 04, 2020, 07:35:16 AM »
I am not sure you are right in your judgement that M15 strategies are stagnating. Short term it does look like it, sure, but I think it is too short term to really judge.

EDIT: Oh, by the way, test 1 does look like a bit of a disaster now.

https://www.myfxbook.com/portfolio/macd-test-1/4843809

Would be nice if they were not stagnating but if you look at Test 5, which has the pip-based M15 strategies, it sure looks downhill. Just holding at the moment in terms of closed profit, but open DD is down to -$700 and at -$1000 those trades will be closed. So unless the market turns for the losing pairs.....

Test 1 always was a funny one. We are running strategies optimised for an AUD account on a USD account; and are using the AUDUSD strategy also for EURAUD by mistake. And of course EURAUD just happens to be the top performer! While it (AUDUSD) is tanking on AUDUSD itself.   :)
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Offline diyforexskills

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Re: FX Autotrader Elite
« Reply #569 on: June 04, 2020, 01:53:53 PM »
News/fundamentals trump technicals

EA strategies are based on technicals. And they can do a good job following those rules. The reason they so often fail is that we can never foretell what sort of news announcements/fundamentals will occur in the future.

In the example shown below from today on the H1, we had a perfect setup for a Sell trade on EURUSD; on the H4 we had a bearish pin bar/doji followed by four bear candles. The EA's parameter settings confirmed a Sell entry condition and the trade was moved into profit. But then the ECB announced a 600 billion euros increase in its PEPP so of course price shot up and will probably keep rising slowly and hit the SL.

So ultimately, it becomes a game of chance; a game of how well technical strategies can duck and weave between the news if and when they hit. Random markets, random success or failure.
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