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P2: A batch of FX market trades

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Kryzz said:
Methods from this thread have lead to some of my largest wins to date with some oil trades, entered into early March and stopped out last night...very ugly reversal bar on the weekly.
Click to expand...

I like that. Kudos to you for staying in the trend and earning those large wins.
 
Short entered with oil recently, trading on the daily time frame. Let's see if this uptrend starts to rollover now.
 
Thought I might add a snippet to your post.
Thoughts on AUD/USD after rate announcement Tuesday. I don't think they will drop just yet, but may jawbone down a smidge. There has been some talking about AUD climbing again, but being an Australian observing what is actually going on I can't see much of a climb taking place.
So the following are my thoughts of only three options if I am to trade.
M30 (still honoring the 30 min channel)


H1


H4 (bouncing off 4hr oversold)

 
I realised a little too late, I should have added the above post in AUDUSD, I sorta bombed your thread
 
Kryzz said:
Added further shorts recently, hoping I can catch a significant trend down as much as I did up.

View attachment 94503
Click to expand...
Still holding the oil short with a wide stop, prone to spikes. A strong close around the $64.00 region is my line in the sand. Waiting to see if this little ledge/consolidation breaks down further.

 

Hi Peter,

I have just checked up on this thread after a while. Did you end up finding the currency strength indicator?

This may be the one you are referring to. This is actually a binary file, so you need to change the extension to '.ex4'.

Plus, I have included an absolute strength indicator, (not currency related) which could be of interest.
 

Attachments

  • Currency Relative Strength.txt
    95 KB · Views: 4
  • Absolute-Strength_v1-indicator-for-MetaTrader-4.zip
    1.8 KB · Views: 5
Coming back to your pinbar coding and analysis from last year lol. Have you implemented an additional check/filter for double top with pinbars? Such as that displayed on your previous screenshot below, and another example.

 
Kryzz said:
Still holding the oil short with a wide stop, prone to spikes. A strong close around the $64.00 region is my line in the sand. Waiting to see if this little ledge/consolidation breaks down further.

View attachment 94659
Click to expand...

Oil rolling over again, disappointed with my second entry here. Didn't wait to enter once a pivot high with a series of weak closes took shape. All stops now at $64.30. Positive swap with this pair too, so easier to hold short for longer.

Entry 1: $63.29
Entry 2: $61.29

 
Kryzz said:
Whilst the oil short is stalling the silver position has tanked nicely over night. Second short added a couple of days ago, taking partial profits tonight with the remainder targeting $14 still.

View attachment 94738
Click to expand...

Stop moved to $14.72. Missed the chance to add to the short here with a series of weak closes on a pullback to the MA's.

Entry: $14.83

 
I keep an eye on the 4H FX charts occasionally (should be all the time P.). I did notice these pinbars on the EURUSD chart. The short ended at break-even, but the following long provided +1.5R.

 

Apologies for bringing up one of your old posts Pete (Oct 2018) but I was curious how you're going with this project?
 
It's quite all right to ask me anything. I spent a lot of time creating EAs (MT4 expert analyzers) and testing them. I was quite disappointed with the results. An EA that worked well in one year lost in another year. Almost all EAs experienced too many losers during times when the market conditions were unfavourable. I created EAs for trending markets, mean reversion strategies, normal break-outs, range break-outs and some price action EAs (pinbars, outside reversal bars etc).

All of them showed periods where they were profitable, but all of them had too many losers when market conditions were unfavourable. I couldn't filter out enough losers to satisfy myself.

I am concerned that I was hoping for something that was too good. I was looking for +20%pa with a 5% maxDD. I created plenty that earned 5%/5%, but I don't consider this good enough. Am I expecting too much?

I realise that the best approach uses a portfolio of systems. I insist that each system be profitable on it's own. Is this realistic if a portfolio of systems makes money? (ie 5%/5%).

I was very disappointed after all this work and have not done anymore for many months. I love the idea of having a portfolio of EAs working away in the background, buy only if they're consistently profitable. So far I've been unable to work something out.
 
Thanks for the detailed reply Pete.

I've been down a similar path over the last few years but with different software (Amibroker and Python). I've been fortunate enough to be mentoring someone in trading over the last couple of years who has a background in server management and is highly proficient in several coding languages. With my trading experience and his coding experience we've managed to get all my systems automated.


I don't trade FX Markets so not sure if it's of any assistance but all of my futures systems are designed to "adapt" to changing market conditions. Part of this is based on the work Howard Bandy has done regarding testing if your system is out of sync with the market. Howard focuses mainly on testing for when a system is broken. We've taken it one step further and test for when the current risk management component of the system is out of sync with the current phase of the market.

I posted in my thread last night about how messy the Bund was and how this was offset by strongly trending index futures. The code for each of these markets is the same, but it adapts to the current conditions of the market. The Bund was behaving like a mean reversion type of market for the first few hours and the system switched to a mean reversion type risk style. (It still lost money but no system is perfect). The same system on the index futures adapted to a trend following type of market and adjusted it's risk management style accordingly.

I'm sure you've read through Trembling Hand's futures threads from a few years ago and one thing he said that stuck in my head was that he adjusted his style of trading depending on the market conditions. Taking that idea and turning it into code has taken some out-of-the-box thinking and re-reading some of Howard's books several times. Such a shame both TH and Howard no longer post here
 
Thanks. I do the same thing. Manually/discretionally. If a market has not broken out of a range I avoid it and find a market that has and trade it using a pull-back or BO-NH setups to join the trend.

You're suggesting that I start the algo by classifying the current market conditions first then select the most suitable trading strategy for those conditions. If the conditions remain the same the algo trades profitably until the market changes, the algo has a few losses, recognizes the changed conditions then switches to a more suitable strategy.

In your case rather than switch strategies, the algo adjusts the risk management of the strategies when the market conditions change (decreasing risk for the unsuitable strategy and increasing the risk for the suitable strategy). ie All your strategies are running continuously and the algo monitoring the current market conditions modifies the trade risk, increasing the risk for the most suitable strategies and decreasing the risk for the unsuitable strategies.

Classify current market condition (range bound, trending up, trending down)
IF range bound . . . THEN use mean reversion strategy
IF trending UP . . . THEN use PB, BO-NH buy strategies
IF trending DOWN . . . THEN use retracement, BO-NL sell strategies

The difficulty of classifying the current market conditions is that the market conditions may be different in different time frames. Although if the algo does this consistently well, the algo is run on different time frames simultaneously.

An interesting line of thought. Thanks
 
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