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Author Topic: FX Autotrader Elite  (Read 180588 times)

Offline FLechdrop

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Re: FX Autotrader Elite
« Reply #570 on: June 04, 2020, 02:46:21 PM »
That is why technical strategies work a little bit better on higher time frames, in the long term. So daily, even weekly. Of course, news might cause a trend reversal as well. But not as often as it causes an intraday spike.

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Re: FX Autotrader Elite
« Reply #571 on: June 05, 2020, 01:03:13 AM »
Yes, more room to move on longer term strategies to absorb the spikes; as long as the spike does not change the fundamentals. Oh well. We now have a trend continuation on EU. So SL on the trend reversal strategy trade was hit and the secondary (trend following) strategy has taken two Buys going with the market. Heading for the 1.15 which looks like a R zone. May it reach there and clock some profits!
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Re: FX Autotrader Elite
« Reply #572 on: June 05, 2020, 07:57:52 AM »
Yes, more room to move on longer term strategies to absorb the spikes; as long as the spike does not change the fundamentals. Oh well. We now have a trend continuation on EU. So SL on the trend reversal strategy trade was hit and the secondary (trend following) strategy has taken two Buys going with the market. Heading for the 1.15 which looks like a R zone. May it reach there and clock some profits!

What to do?

Our two trend following Buy trades are now nicely in profit and if they continue we will more than wipe-out yesterday's loss caused by the ECB stimulus announcement which sent our Sell trade into SL yesterday.

But tonight is NFP in about 6 hrs time. If the number is worse than expected we should do well - weaker dollar. But the expected number has been set at very bad, about 8 million unemployed, so if the number is a bit better than these worse case predictions, the news traders will most likely hit their EURUSD Sell buttons (better number, stronger dollar), irrespective of how bad the unemployment situation is. Who said traders are rational?!

So I suspect I will move my SL for these trades later tonight so as to ensure that I at least make some profit or at lest break even from these trades should irrational behaviour prevail tonight. I just don't want these trades to also close in loss.
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Re: FX Autotrader Elite
« Reply #573 on: June 07, 2020, 06:34:25 AM »
Steadying DIY SteadyTrader

We have now had three weeks of losses in this portfolio and even on Friday, price on EU reversed before I had the chance to set up a BE.

With that in mind and a gentle suggestion from a good friend that maybe my risk setting was too high, I have reduced the mini lot sizing by halve to 0.05 lots for new trades. Hopefully two of three open mini lot trades will close in profit this week.

Test 5 demo avoided the $1000 closeall loss but is still heading down from its lofty heights. It is now also running two prospective H4 candidates for SteadyTrader - AU and USDCAD; nothing to report on these yet.
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Re: FX Autotrader Elite
« Reply #574 on: June 13, 2020, 09:17:29 AM »
Stocktake on DIY SteadyTrader

A stellar two week start from 1 May on a live account has turned into a steady downhill run from then on. Going downhill is fun when you are skiing but less enjoyable when trading. So it was time to take stock.

To cut a very long story short, I will be implementing quarterly re-optimisations starting from 1 July. Currently we are running set files that were optimised over all of 2019 and shown to have good performance on OOS period BT till end April. But after a week of retrospective 12 months optimisations and OOS back testing  (ie forward testing), I have come to the conclusion that optimised parameters for these H4 strategies have a limited live span of from 3 to 6 months. As borne out by my live trading results for May-June.

So at the end of June I will re-optimise all six strategies over the previous 12 months (ie from 1 July 2019 to 30 Jun 2020) and then run these new optimisations for three months starting 1 July 2020.

For those interested in a bit more detail, the following:

1. I set all TP, SL, BE and Basket Close TP and SL to ATR-based using Daily ATR Period 2 - so a very responsive ATR value; and then I also set that to dynamic meaning that the value is recalculated at the close of every Daily bar. Trades typically last several days.

2. I then discovered that there is now no need to change these parameters in any re-optimisation - these dynamic ATR-based values/parameters are responsive enough to changing market conditions.  That simplifies and shortens the whole optimisation process since I now need to only optimise the MA entry condition settings.

3. I have added the Delta ATR filter. It is not involved in determining the entry condition, it is not a trigger as such; it assesses the market dynamics and so filters when trading conditions are most likely to be suitable for this strategy.
( Delta ATR is described in Reply #549 https://donnaforex.com/index.php?topic=12561.msg399602#msg399602  )
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Re: FX Autotrader Elite
« Reply #575 on: June 21, 2020, 04:31:16 AM »
A breakthrough

After several sleepless nights and days of frustrating dialogue with my coder (both for him and me), because we could not get each other to understand what the issue was, we are finally getting what I have wanted for some time.

A change to how a trade is triggered using MAs of period 1, which of course means price.

In most EAs a trade is triggered when an indicator crosses from not having met the condition to having met the condition. Think of a MA cross of say 10/20 EMAs. But when you apply that entry logic to MAs of period 1, it means you only get trades entered on candle reversals. As per first image.

So changing that logic will now enable trade entries as shown in second image. So when price trends in a series of bullish candles we will ride that trend very nicely, adding to our position at successive candles. This is where we make the profits. We can stop the later entries in a strong trend by using an RSI OB filter settings. Similarly for Sells. And we have means in the Autotrader to limit the number of consecutive entries. In ranging markets we obviously won't do as well, with this strategy but the trending periods will now make up for that. So now we will have the best of both worlds.
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Re: FX Autotrader Elite
« Reply #576 on: June 27, 2020, 05:25:43 AM »
DIY SteadyTrader

We made $300 in May and promptly lost $850 in June. That's pretty bad. So some re-optimising and adjustments being made this weekend for trading in July.

But at least if this was a live signal service, you would not have paid any subscription fee for June; subs will be a % of monthly profit above high watermark.

My view is that losing capital is bad enough when following a signal. Having to also pay for losing is just not fair.

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Re: FX Autotrader Elite
« Reply #577 on: June 29, 2020, 08:46:33 AM »
DIY SteadyTrader

We made $300 in May and promptly lost $850 in June. That's pretty bad. So some re-optimising and adjustments being made this weekend for trading in July.

But at least if this was a live signal service, you would not have paid any subscription fee for June; subs will be a % of monthly profit above high watermark.

My view is that losing capital is bad enough when following a signal. Having to also pay for losing is just not fair.

Of course June does not finish till tomorrow, but the weekend seemed a good time to make the changes.

The EURUSD strategies have been replaced by two alternative strategies using the latest version of the Autotrader - one on Daily, the other on H4.

The UJ and EJ strategies still have open trades so are being left for now.

But I have added one re-optimised EJ H4 strategy, and new strategies on the Daily for AUDCAD and EURAUD using the new version of the Autotrader. In anticipation of stopping with the UJ strategies which are struggling once their open trades are closed.
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Re: FX Autotrader Elite
« Reply #578 on: July 02, 2020, 08:30:48 AM »
Towards DIY ActiveTrader

I am still hoping to begin a new live portfolio with the M15 strategies. I have two M15 test portfolios running at the moment as Test 5 and Test 1 and it looks as if I can take the best from each. That would be EURAUD and EURUSD from Test 1 and EJ, CADJ, NU and USDCAD from Test 5.

CADJPY has recovered nicely as shown below. Nice to see all those Buys closing in profit on the dynamic exit setting after going through some tough periods.
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Re: FX Autotrader Elite
« Reply #579 on: July 04, 2020, 08:24:33 AM »
Range Optimisation

A comment in the EURUSD Thread by Eliza Abrams reminded me of a feature I had added to the Autotrader many years ago but have rarely used. She wrote  "Is anyone else getting tired of this range? I hope the NFP tomorrow will end it."

Conventional thought is that most markets range 80% of the time and only trend 20%. But when we choose a period for optimising a strategy we rarely take that into account. And when trading on short time frames it is easy to see why we do that.

But now that I have started trading more on the Daily, we can see that ranges can last several months (as Eliza noted in frustration) and that usually we can see that a new range has developed after the first few weeks or so. So we can optimise over just those first few weeks of a new range and then let that strategy run as long as that range is in place. And then wait for the new range to be established and repeat.

With the Autotrader we can do just that, using the Price Control feature (second image).

True, optimisations are done over a small number of trades, so statistically supposedly not meaningful. But under these special conditions and considering we will only only use such optimised setting for a shortish period, it seems to work. As shown in the first image where I have applied this to the CADJPY.

(I can also deal easily with the intervening trending periods using the latest upgrade to the Autotrader by just shutting down one of the two entry conditions. But that is another story which would be too confusing to explain here.)
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Re: FX Autotrader Elite
« Reply #580 on: July 06, 2020, 05:54:35 AM »
From Trend to Range

Following on from the last Post, I have tested this concept of optimisation starting with a Trend, using the first month of that trend to optimise and then BT the remaining part of that trend, the OOS period. Then noting we have now moved to a range, so optimising on that, and then BT that optimisation when price was in that range the previous year.

Seems to work nicely.

The nice thing about trading on the Daily in this way, is that we can add the manual touch to the automated trading just by checking every few days or so and make adjustments as necessary. Eg if trading the Range and then seeing it breakout, we can adjust.

I can even use the trendline SL/TP exit feature of the Autotrader to set these just outside the Range; or on a slope if we are trending.
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Re: FX Autotrader Elite
« Reply #581 on: July 15, 2020, 07:21:08 AM »
Optimisation Frustration

With most of my strategies and those of others I have seen, we rely on a BT of the optimised strategy to give us confidence of going forward. But the BT is usually one that is done over the optimisation period used. So it is actually a "perfect" curve fitted performance graph, rather than a true BT over an OOS period.

The dilemma of course is that we want to optimise over the last available data, the more recent period, in the hope that market dynamics will not change too much for the next few months. But that of course means that the only OOS period we have for a true BT, is previous history, eg 2019.

And then when we do a BT over previous history, the strategy more often than not is shown to lose. As shown in example below.

But then of course we ignore that failure justifying our decision with the fact that market dynamics have changed, as per our optimisation "BT", and so we can ignore the poor performance of a 2019 BT.

But the harsh fact is that we cannot ignore. The reality is that optimisation is pure and simple a case of curve fitting; and we can only hope that the future will be as good as the optimisation result "prediction". Such hope is often met with failure because markets behave quite randomly.

At least with my new Daily TF strategies, ones with minimal parameter optimisation, the OOS BT performance indicates that losing periods are not dramatically bad - they tend to be around only a 5% or so DD over a year (as per example shown below). And when trading on the Daily, there is plenty of time to readjust and/or intervene.

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Re: FX Autotrader Elite
« Reply #582 on: August 01, 2020, 04:09:43 AM »
DIY SteadyTrader - still very much work in progress

Only half as a big a loss in July compared to June. I guess that is progress but it still sucks.

So another modification is in the works which hopefully will add to the green pips. It will yield much better results when the market trends; with current version we miss out on parts of these nice trend moves. We need these occasional boosts to augment the weak returns during ranging markets.

(The new version will enable a new trade to be opened at the close of every bar when entry conditions are met. Opens up a few more possibilities also using the Basket Close and CloseMinusbyPlus features of the Autotrader. So plenty of testing work coming up to relieve COVID imposed boredom).
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