51 (edited by hannahis 2017-12-19 05:59:47)

Re: Hannah's Trade/Portfolio Management Tips

Hi Steve,

Thanks for pointing out about the criteria of selection as a possible effects but I'm thinking that whatever criteria we use, we can't prevent curve fitting from ever occurring, it's a "natural process" that the system will keep searching and searching till it finally found a set of conditions that fit perfectly or well trained to fit the data in use (irregardless what criteria we use).  However, I may test it out one day to see whether if I were to use, let's say Profit Factor, would I observe a different behavoural pattern as I've observed in Net Balance, etc.

As for me, I use Net Balance as my criteria so that I don't just "limit" myself to certain pre-conceived criteria that I think is good.  Becos ultimately, whatever criteria we choose, if the strategies are good, it still boils down to it's ability to make money, ie. Net Profit/balance.  Hence there maybe some strategies that have multiple entries of win and loss (such as scalper) but ultimately, they make money and I don't want to cross out these different types of strategies by using certain pre-conceived criteria.  Because there can be some good criteria that I used and ended up with very limited trades because in order to have good statistical outcome, we may compromise by missing out profitable trade in exchange for a more "stable" EA. 

A risk taker may make many mistakes but he creates for himself many opportunities in return.  A risk adverse person may seem to make less mistake (thus better performance metric) but lose out missing many life experiences, lose out on opportunity cost.  So based on certain performance metrics, such EA may not have lots of losses but it have lots of missed opportunities to make money, which is another form of loses (opportunity cost).  Thus, a stable EA, in order to ensure good statistical results, the system only trade in extremely "sure" situations which may translated to entering too late and exiting too early.  Poor entry/exit conditions.  Thus for such cases, can one truly say such good EA metrics are really good EA in terms of having good trading rules?


Hence in my opinion, certain good criteria acceptance/selection would therefore cause the system/software to have certain selection "bias" to then choose "good performing metric" EA that have high opportunity cost.  In another words, given a 1 yr period of time, a good performance EA may earn much lesser than a "relatively poorer performance metric" EA. 

For example, a scalper EA would look very badly if one were to use win/loss criteria or profit factor or any stability metric, but it has good net profit returns.  A breakout EA may also have poor win/loss criteria because it may lose many times in between each breakout out.  But this 1 big win can cover many small loses.  So by using certain performance criteria, we may inadvertently cross out getting certain types of strategies being generated/selected.


Thus by choosing Net Balance as my criteria, I'm trying to avoid such selection bias.  By avoiding selection/statistical bias, I'm hoping to get a wider range of different types of strategies, i.e. strategies "diversification" instead of having a selection bias that limited the different choices/types of strategies.  Maybe Geometric HPR may also be a good alternative.

Re: Hannah's Trade/Portfolio Management Tips

To commence work with Donchian, open a spreadsheet and get ready to do some pain in the butt work.

You will end up with several EA's for each time frame, consider that when you start to set up the spreadsheet.

locate the breakout you want to trade..... count the bars..... count the distance it travels

do this for several of them

separate records for long and short

Keep in mind that long breakouts are often different from short breakouts, hence separate strategies.

now you can use the indicator as per the bar count and set your exits, break even and TP and SL

Generate the additional indicators...... only a couple.

The offset may have to be adjusted a few times to get the better number of trades. ie 2 or 3 or 4

To get the settings for the Channel, you can not use the generator, you will get weird numbers and miss many good entries, this is a manual task.

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

Re: Hannah's Trade/Portfolio Management Tips

Thanks Dave. 

Much appreciated

Re: Hannah's Trade/Portfolio Management Tips

hannahis wrote:

Thanks for pointing out about the criteria of selection as a possible effects...  As for me, I use Net Balance as my criteria so that I don't just "limit" myself to certain pre-conceived criteria that I think is good.

Of all the choices, Net Balance is probably the worst -- here's why.  Suppose one Tuesday, in October at 3p a strategy wins big -- but loses most of the other times.  Because of that big win then that strategy will be at the top of your list.  Net Balance does not distinguish between strategies that appear to win because of a few rare events versus those that are more reliable winners.  Some of the other metrics like SQN and Sharpe are not exactly "pre-conceived" criteria.  They have been around for awhile -- and I suspect there is a reason why.

55 (edited by hannahis 2017-12-20 11:06:28)

Re: Hannah's Trade/Portfolio Management Tips

sleytus wrote:

Of all the choices, Net Balance is probably the worst -- here's why.  Suppose one Tuesday, in October at 3p a strategy wins big -- but loses most of the other times.  Because of that big win then that strategy will be at the top of your list.  Net Balance does not distinguish between strategies that appear to win because of a few rare events versus those that are more reliable winners.  Some of the other metrics like SQN and Sharpe are not exactly "pre-conceived" criteria.  They have been around for awhile -- and I suspect there is a reason why.

Yes I agree, Net Balance is "worst" in terms that it doesn't distinguish how your strategy win.

It's the "best" in terms of allowing me to have a variety of different types of strategies (irregardless of how they win) to be selected in my portfolio so that I have a more "diversified" portfolio.

Cos I don't want my portfolio to all make up of a certain types of strategies but a mixture of scalper, breakouts, ranging, whatever could be their reasons for contributing to part of their winning methods.  Cos the end result is a profitable portfolio.  Of cos from the net balance, I will then further filter out some poor performance metrics for certain strategies that I think aren't very stable to have in a portfolio.

There a few factors to weigh to select EA.  Profitability, Stability/Reliability and Opportunity Cost (missed opportunities).  If in order to have a "stable" or Reliable EA, I missed out lots of good trading opportunity, then it is not really attractive to me, per se.

I'm not sure how good is Sharpe Ratio being applied to Forex trading.  I've the impression that forex trading is not like stock or shares with certain "normal return distribution" in terms of certain consistent percentage returns to investments.  And hence I wonder is it a good metric to use. 

BREAKING DOWN 'Sharpe Ratio'
The Sharpe ratio has become the most widely used method for calculating risk-adjusted return; however, it can be inaccurate when applied to portfolios or assets that do not have a normal distribution of expected returns

The Sharpe ratio also tends to fail when analyzing portfolios with significant non-linear risks, such as options or warrants

Read more: Sharpe Ratio | Investopedia https://www.investopedia.com/terms/s/sharperatio.asp#ixzz51nAPMzax
Follow us: Investopedia on Facebook


Van Tharp admits to some issues with SQN

He points out that if you have a system with a SQN of .4, and you add say a huge winner to the mix, it would actually lower the SQN score. This is because it effects the deviation more than it does the average size of winners.   

So my guess is, a breakout would then have low SQN since it 1 big win among many small loses (in between each breakouts).  Probably, SQN is good for looking for consistent winning strategies, which sounds to me, ranging EA or Intraday strategies that goes in and out of a trade with short duration to get those consistent profits.


Lastly, Van Tharp admits his metric does not account for trade opportunity (opportunity cost, ie. missed trades).

For example, if you have what Van Tharp terms a 'Holy Grail System' (SQN >.75), but you get very few signals over the course of your trading period, your opportunity to profit from the system is simply absent. Consider a very strong system, with an expectancy of 2, and a more average system with an expectancy of .5. If the first system trades just once per week, your monthly return is about 8R. But lets say the second system trades twice per day. That would be about 20R per month, more than twice the return.  Info taken from https://futures.io/psychology-money-man … tharp.html


So imagine if I'm a beginner with certain pre-conceived ideas about certain metrics and I'm searching for a good breakout system, thinking that SQN is a good metric, I may inadvertently, setting up myself for failure by putting certain minimum criteria acceptance for SQN metric, thinking the higher the better.  So in order to avoid such mistakes, I use Net Balance as a "safer" measurement and then examine the strategies behaviours from the demo results to determine which strategy's behavour patterns most suited my trading style/psychology.  Which kind of trading behaviours are the ones I can tolerate better (psychologically speaking) in terms of it's risk and returns behaviours, ie. taking the 3 factors into consideration (Profitablity, Stability and Opportunity Cost).

Re: Hannah's Trade/Portfolio Management Tips

All that you write may be so -- it is way over my head, so I can not comment further.

However, sorting on Net Balance does not give you a more diversified collection.  Rather, it gives you a collection of poor-performers that you then have to go through one-by-one to re-tune.  Think of all the great strategies you've missed because you are selecting *against* them.

I'd rather have a collection of high-performers as my starting point and worry about the details afterwards -- that is, let Popov's tool do the hard part.  I guess, for me, that seems a simpler approach.

57 (edited by hannahis 2017-12-20 13:15:04)

Re: Hannah's Trade/Portfolio Management Tips

Hi Steve,

1st of all, I suck in statistics, so you can discount most of what I written here (I'll leave it to those statistical experts in this forum to correct me).  Statistics is also way over my head too. 

So I go for simple ones that I can understand better and use.  Hence,  I use Net Balance mainly for my own EA's demo results comparison, not so much for using it as FSB's sorting or ranking.

Net Balance/Profit in my own limited experience, help me have an overview and I like it.  After Net Profit, I look at the EA's PF.  A good EA with a winning edge, will tend to have slightly improved PF over time.  Since it tend to win more than it loses, the Profit over Loss should reflect better and better results and hence better and better PF.  In addition, because I use FxBlue statistics, it doesn't show me metrics such as SQN or Sharpe ratio and hence it becomes a natural elimination process of not using these metrics that aren't available for me to make such comparison or analysis.

Re: Hannah's Trade/Portfolio Management Tips

Hi Hannah,

I understand.  We all carve out our own path -- there is no one, correct recipe.

And I do appreciate taking an approach that makes sense to us and that we understand.  I do the same thing -- I am not a sophisticated trader and find ways to avoid techniques that I don't yet understand.

I am not a statistical whiz, but am comfortable working with numbers and thinking about what they really mean and how they apply to forex.  No doubt there are a lot of stats in forex that are total BS -- and deciding which ones to pay attention to is not obvious.

If FxBlue does not report SQN or Sharpe then that makes it tough to reconcile their analysis with FSB -- so, I understand your hesitation to rely on those criteria.

Re: Hannah's Trade/Portfolio Management Tips

USING ACCURACY STATISTICS TO IMPROVE ONE'S TRADING STRATEGY

I link the post here for those who are interested https://forexsb.com/forum/post/48446/#p48446

Re: Hannah's Trade/Portfolio Management Tips

Myself, I trust the MT4 Tracker more than the statistical methods because it is measuring actual results that do not need interpretation.

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

61 (edited by hannahis 2017-12-31 04:58:49)

Re: Hannah's Trade/Portfolio Management Tips

I agree.   The best/accurate result to trust is in the following sequence, 1st being the best alternative.

1) Live

2) Demo

3) Backtesting

Nevertheless (for cost and time saving) we often start shortlisting EA with backtest results and then transfer them to demo testing and then ultimately to live trading.

That's why I do extensive demo testing because it's the next best (but not exact) results to live (provided the demo data feed is the same as live feed).  With backtesting results, there is still a big question of whether it will be profitable in Live but with demo testing, there is little doubt left (not completely but little).


Have a Happy New Year Dave and I hope this coming new year, you reached your dream target!

Best wishes
Hannah

62 (edited by hannahis 2018-03-28 07:12:47)

Re: Hannah's Trade/Portfolio Management Tips

What Kind of EA are you Looking for?

The problem in my case is not about searching for profitable EA.  The real problem is to search for quality EA that can win (overall) consistently (I don't mean win all the time without any loses) to "match" my psychological endurance. 

What kind of PF value do you get from the Generator?

EA with PF value 1.5 means you are going to lose (Gross Loss) a big portion from what you earned (Gross Profit)

PF 1.5 means Gross Profit = 1.5 x Gross Loss (Gross Loss = $500, Gross Profit = $750 (1.5x $500)

Net Profit is $250 (1/3 of Gross Profit) and Gross loss is 2/3 of Gross Profit.  Gross Loss is 2x of Net Profit. 

So to translate that into trading experience, it probably (but not accurately) means that 2/3 of the time you are losing.  And if you run your EA in demo for 3mths, you may be losing overall 2mths and win 1mth but that's not really the case, it probably would mean you will be losing 2.5 wks and then a breakout comes and you made a comeback.  ]

For eg you may be losing $1000 during this 2.5 wks and then a breakout comes and you made $1500 and hence overall you gained $500 (Gross Loss is 2x of Net Profit, that's what PF 1.5 means)

The problem with many is they can't endure this $1000 loss (psychologically) to have faith in their system that it will ultimately deliver that small gain (1/3).  So you need to lose that $1000 to hope you win that $500 in net returns.  That's tough for most people, psychologically. 

And hence, many in the midst of testing out their demo, will delete such EA prematurely.  When I 1st started out, I deleted any EA that don't make money in 2 wks time.  How silly to have such unrealistic expectations.  So I ended up churning out EA and throwing them endlessly. 

So before you start trading, kindly look at the EA's PF value to see whether it matches your psychological aptitude.  And develop realistic expectations.  Don't delete your EA after a short testing and then cry foul that FSB can't find you any winning strategies.  Of cos that doesn't mean all strategies churned out by Generator are all winning ones either.

If your EA has any PF value 2 and below, be prepared to lose most of the time and endure long enough to see that small returns.  PF 2 means your Gross Loss = Net Profit (Eg Gross Profit is $1000, you lose $500 and you gain $500)

The problem with me is that I have low psychological endurance and hence, I kept pushing myself to develop EA with higher PF.  But for those who aren't "in control" of what kind of quality EA you are getting, then you need to psychologically prepare yourself with a realistic trading experience/performance/outcome and have realistic expectations, otherwise you may be churning out low PF EA and yet have high expectations that doesn't match the PF value of your EA.  And you will ended up churning and deleting EA endlessly and think that FSB can't find you any winning formulas.

63 (edited by hannahis 2018-09-11 07:42:13)

Re: Hannah's Trade/Portfolio Management Tips

Portfolio Diversification and Risk Management

The benefit of using software to develop or generate strategies is that we ended up with tons of profitable strategies and we are left with the decision of how to manage these hundreds of strategies, which to choose, how to choose them.

A) Risk Management - the use of MAR and Sortino Ratio

In term of risk management, the MAR and Sortino Ratio are recommended because their take into account of the risk exposure of the strategy.  Though the Sharpe ratio has it's benefit, the MAR and Sortino Ratio put more emphasis on the downside standard deviation, ie. max DD.  The upside standard deviation doesn't pose any threat to the portfolio risk exposure and hence, the MAR and Sortino Ratio are more favored as the metric to use.



In order to diversify our portfolio, there at least 2 types of methods.

1. Diversification via different Markets/Symbols, and
2. Diversification via different strategies (namely Divergent Strategies and Convergent Strategies)


B) Diversification via Different Markets

Don't put all your eggs in one basket.  Hence, when choosing different markets to trade, pay attention to the correlation metrics of the currency pairs. 

Basically, the currencies are grouped into 2 different types

a) Consumer Driven - such as currencies traded in USD, JPY, CHF

b) Commodity Driven - AUD, NZD, CAD, GBP

Thus, if you are going to diversify, choose pairs that are in these 2 different baskets, otherwise, they are essentially the same (albeit, varied volatility)


C) Diversification via Different Strategies

Basically, most of us are either Breakout Traders (Divergent Strategies) or Range/Mean Reversion Traders (Convergent Strategies).  These two approaches are mirror opposite in their outcomes.

A convergent strategist believes that fundamental value approaches can be used to get an idea of the intrinsic value of an asset. The price will eventually converge to this intrinsic value, i.e. return to the mean.  The convergent strategy has many small gains and catastrophic losses.

A divergent strategist believes that past patterns can predict future patterns. He believes that past patterns are due to changing and adaptive actions by investors. These reactions are driven by investors’ emotions and irrational factor. 

In addition, a lot of factors non-quantitative effects due to government intervention, war or politics, are not quantifiable in fundamental analysis methods. Furthermore factors of adaptation, as well as behavioural biases, may influence prices which differ substantially from their intrinsic value and hence cause breakout.  The divergent strategy has many small losses and euphoric wins.  And it's weakness is, if there is a prolong period of ranging, the portfolio would be at a risk.

Though I tend to favor Divergent Strategies (cos I'm a breakout trader), most strategies—and investors’ portfolios, for
that matter—are convergent-focused.  Reason being, the market is ranging 75% to 80% of the time and thus the saying goes, make hay while the sun shines.

However, the market is irrespective of what you like or favor (whether you are a divergent or convergent trader).  The winner is the one who is most adaptive to what the market dictates.  Hence, balancing our portfolio with both Divergent and Convergent Strategies, is another form of risk management one need to consider during strategies selection for a portfolio.



Generator Bias?

a) Win/Loss Ratio Bias

If we were to understand the characteristics of Divergent and Convergent Strategies, we also realised that Convergent Strategies tend to be the easiest one to be identified/searched/generated.

A Convergent Strategies have many wins and a few catastrophic losses (due to breakouts period) and hence, if one were to use the Win/Loss Ratio, one would most likely ended up with Convergent Strategies. 

I propose that we have another type of Acceptance Criteria.  That is Maximum Win/Loss Ratio.  Whereby we want to search for strategies with Win/Loss ratio not more than 50% or 35%.  Divergent Strategies have lower Win/Loss Ratio and they tend to make many small losses in between the Breakouts, hence limiting the Maximum Win/loss ratio, we prevented the Generator to search for Convergent Strategies that tend to have higher Win/loss ratio.


b) Time Period/Data Horizon Bias

Since the market is ranging 75% to 80% of the time, at any given starting point, Convergent Strategies would be the one being identified as winning strategies (till a breakout come along) and hence, I'm curious whether the Generator somehow would be bias towards generating Convergent Strategies because once you click the Start button and the generator run through the data horizon (time line), which types of strategies would start making money first?

Therefore, it's no wonder whenever I run the Generator in both FSB Pro and EAS, I tend to have Convergent Strategies in my collection.  Often when I examine the trading rules of these Convergent Strategies, they contain (anti trending rules, ie. mean reversion rules).  Part of the reason why I don't really use the Generator (in the past) is that 1) I'm a breakout trader and 2) I don't believe that convergent strategies are good for the long run...you need only a black swan to one day blow up the account...which we seen many portfolio blew up during such events.

EA Studio has a max of 200k bar and if we were to use any time chart below H1, we would have very short period of data horizon and thus I believe with such short data horizon, the Generator may be exposed to Convergent Bias - has the tendency to generate Convergent Strategies (because how many black swan events occur within 3-4 yrs?).  If we want a more robust strategy/portfolio, we don't just hope such black swan event don't occur, we are always prepared for the worse.  Hence, convergent strategies do look better than Divergent strategies in the short run but if we were to examine them in a longer scope of time, the Divergent strategies are the one, most likely stand the test of time.

I once suggested to remove anti trending rules in the Generator, i.e do not use rules such as Falling, below than, change direction down, cross downward etc in Long/Buy position and vice versa, do not use rules such as Rising, higher than, cross over and change direction up for Short/Sell positions.

However, on hindsight, what I suggested would then make the Generator to be Divergent Bias, i.e. search for Divergent/Breakout/Trending Strategies.

Since we need to ensure our portfolio contain both Divergent and Convergent Strategies.  It would be good, we have greater control of the types of strategies we generate.

Hence I suggest that we have the option to check on a box, "Trending Strategies Only" or "Divergent Strategies Only" and "Convergent Strategies Only" whereby trending rules are eliminated in the search.

In another words, I hope Popov could add in the generator algorithm to search only trending rules if we tick the box "Divergent Strategies Only".  And the algorithm for the Generator would use only trending rules.  That would cut down the possible search number by half and speed up our process of finding Divergent/Trending/Breakout Strategies (cos the other half of the options such as Falling, cross downward, lower than etc would not be use at all in the search of Long/Buy rules).


Convergent and Divergent Strategies are exact mirror of each other in terms of

a) Trading rules, one uses mean reversion rules and the other uses trending rules,

b) in terms of trading period, one trade during ranging and calm market and another trade during breakout and volatile market. 

The whole idea of using Correlation Metric is to prevent our generated strategies in the Collection ending up with similar strategies. 

With the option of switching in between Convergent and Divergent Search/Generation (by removing either convergent rules or divergent rules from being generated), we would have a broader spectrum of different types of strategies that are non correlated.  I believe this method of sieving out strategies by trading rules would be a more efficient method than simply using correlation metric because we go straight to the source/cause of why strategies are not correlated, due to rules and not simply some statistics differences.  It's the strategies rules that contributed to the statistics but statistics don't make the rules, it's the rule that make the statistics cos we are measuring the strategy performance outcome based on their trading rules.

In conclusion, I propose that Generator (both FSB Pro and EAS) has the added function to opt out certain types of trading rules in our search and the option to choose when to turn on/off this function so that we are in greater control of the Generated strategies outcome/quality/types.  By clicking on the option to choose between generating Trending rules or not, I can therefore deliberately create both Convergent and Divergent strategies in my portfolio.  Currently, most of the time, I ended up mostly with Convergent strategies due to the possible Generator Bias as I mentioned above. 


Note: To read more about this option to turn on/off, read this post I put up "Increase Generator Success Rate"

https://forexsb.com/forum/topic/7293/in … cess-rate/

64 (edited by hannahis 2018-11-08 09:18:05)

Re: Hannah's Trade/Portfolio Management Tips

Hedging, is there a need for automated trading?

First of all, I would recommend users to read an article from FX Sumo on the misconception of hedging.


https://fxsumo.wordpress.com/misjudgeme … use-of-sl/

Here is an extract from the article:

What is hedging (guys, read this – 95% of You are interpreting this the wrong way)? – to hedge a specific position, trader must look for alternative asset (in our case – currency pair) through which to minimize risks of the existing position.


https://i.postimg.cc/476spsPg/hedging.png


Now we have clear the misconception of hedging, let's examine the disadvantages of the "conventional same pair hedging tactic"

1. Hedging often arise due to mis-calculation or wrong/mis-interpretation of the market.  Wrong prediction

2.  Wrong predictions can arise from a) "conflicting signals/indicators" due to market consolidation such as ranging markets or/and wrong trading theory/concepts, hence the fault lies in the trading theory, in another words, in whatever type of markets, the trader/theory simply repeating his mis-judgement of the market/trading conditions.

3. Wrong predictions means the original position is sustaining some level of floating losses that the traders aren't prepared to close and suffer the loss.  Cos no one really hedge when a position is having a small floating losses.  Most likely hedging occurred after a huge breakout in the wrong direction. 

If a trader is hedging in a ranging market, he shouldn't even be trading at all, since he is unsure of the possible breakout.  Wait till the trend is formed and then trade would be a better choice for those who aren't really good in predicting the breakout direction.

What's the real underlying cause of such a messy situation?

a) 1st of all, wrong trading concept/theory that cause mis-interpretation of the market as explained above,

b) 2nd possible reason is, no "reasonable" SL was applied (or none at all) and hence the floating losses went above comfort zone to close with a loss, i.e. huge floating losses.

c) the decision to act (close original trade) is too late and hence, hedging seem like a temporary solution to "prolong" your need to decide and the trader is stuck in this "paralysis" of decision making process.

d) the lack of ability to decide when to close the original position earlier would also caused the trader the same problem of not knowing when to "un-hedge" the position.  Hence the trader is in a psychological trading "paralysis", not knowing which direction to go.  His emotions and fear of losing ruled his decision instead of making trading decision based on market analysis.


Is Hedging necessary in automated trading?

Firstly, every EA consist of it's own trading conditions/theory.  So it is odd to have an EA that is activated because another EA is failing.

Imagine...enter into trade when a position is suffering a floating loss.  So this EA only has entry rules and what's the exit rule? (no exit rule but manually close the EA?)

Such hedging rule aren't really a trading theory, it is not entering the market due to certain market conditions signaled by indicators.  It is simply "rescue" EA/rule meant for "bad robots".

Even if you really want to hedge, it should be based on sound trading rules (not because an original trading position is at floating loss).

Now this is why in FSB/EAS, there is no need for hedging EA.  Every EA has to enter a trade/position due to certain trading concepts/conditions/theory, based on market analysis instead of emotional trading.

The solution is therefore to create a portfolio of EA that consist of various trading concepts such as ranging vs breakout, intraday vs positional trading etc.

Once you have a healthy pool of EA, these portfolio of EA becomes your "natural" hedging tools because these EA may open opposite directions based on their market cycle, especially during "uncertain" and ranging times and hence, they are effectively hedging automatically for you and the decision to "un-hedge" will be solely based on market conditions instead of driven by fear and psychological trading.

Lastly, I wrote this because I've often been guilty of the above hedging issues and have to learn the painful leasons of not repeating my mistakes.  My EA are now a better trader than me.  They act fast and accurately and not interfered by emotions.  Purely driven by market analysis.  Now the real challenge is to develop a really robust EA based on sound trading rules and your hedging woes will go away.

PS: There are highly experienced traders who know how to use hedging to their great advantage.  I'm not discounting these group of people who truly know how to use hedging tactic, together with their great wealth of trading experience to exploit the markets.  Hedging are more suitable for manual trading, not for automated trading as I've mentioned, every EA entry rules are independent of other EA's performance, i.e no EA enter into a trade because of another "bad robot" poor performance.  Thus in automated trading, hedging is unnecessary because a portfolio of diverse EA would automatically create hedging positions especially in uncertain market conditions.

Re: Hannah's Trade/Portfolio Management Tips

Wonderful post -- I enjoyed reading it and learning from it.  Thank you, Hannah

Re: Hannah's Trade/Portfolio Management Tips

Thanks Steve for your kind words.

67 (edited by hannahis 2019-02-05 22:32:17)

Re: Hannah's Trade/Portfolio Management Tips

Dear All,

I came across a very powerful and versatile trailing EA and would like to highlight it here.  By far, this is the most comprehensive trailing I've ever seen. 

I managed to negotiate with the developer to let FSB users have this Trailing EA FREE only for a limited time period (and on the condition that those who download it would give a fair and honest review on the Developer's MQL product review page.  The developer took 2 years to code this EA and I think it's only fair to give him the due credit and kindness for him to share with you his EA for free. 

Kindly go to https://www.mql5.com/en/market/product/35425 to download this FREE Trailing EA (limited time period ONLY).  Thereafter, if any users want to buy, kind contact the developer directly (not via me).



Here is a write up about the Trailing EA

What makes TrailOS unique?
8 TrailingEA´s for each Order - select up to eight different Specialists, of stalking your Order, all at the same Time

individual FliterSettings - each TrailingEA has an adjustible Filter, so that you can decide which Orders he shall handle

auto BrokerPoint - TrailOS detects the digits of your Broker, so you can forget about Pips, Points and Ticks

invisible SL/TP - you can decide whether you want invisible or hard SL/TPs or choose Virtual&Hard, then the hard is set as soon as possible, but the virtual will always close..

StopLoss -  10 different Methods for StopLoss in each TrailingEA (Distance,%,Pikes,Fractals,ATR,MA,SAR,Degrees,CandleBorder,Fractalborder)

TakeProfit -  10 different Methods for TakeProfit in each TrailingEA (Distance,%,Pikes,Fractals,ATR,MA,SAR,Degrees,CandleBorder,Fractalborder)

TimeFrames - each Method can be calculated on selectable TimeFrames

Agility- multiple Options for the SL- and TP-agilities (Fixed, Floating, Fixed if dominant, LossFixed&WinFloating)

Martingale - each TrailingEA can be advised to open new Orders when closing


InputParameters (most relevants)

Use Account protection?- disabled / only SaveStop / only EquityTrailing / SaveStop&EquityTrailing
Appearance - ShowInfos / PlaySounds / TextFonts / TextSizes / Colours
Style - Metatrader (horizontal Lines) / TrailOS (diagonal Lines)
ChartCleaner - show: Labels / Closeline / Label&CloseLine / Nothing
Results - in Points / in AccountCurrency
TrailingEA Names - give each activated TrailingEA a relevant Name
TriggerParameters - open Orders if..


Now the TrailingEA Parameters (there are eight TrailingEA´s Inside..)

enable TrailingEA - true / false

Visual - Colours for SL,TP / LineStyle / draw on all TimeFrames?

Method for SL - no StopLoss / Distance / % of OrderProfit / PikeOfCandles / Fractals / AverageTrueRange / MovingAverage / ParabolicSAR / Degrees / Candleborders / FractalBorders

Method for TP - no TakeProfit / Distance / % of OrderProfit / PikeOfCandles / Fractals / AverageTrueRange / MovingAverage / ParabolicSAR / Degrees / Candleborders / FractalBorders

TrailingEA Timeframe - currentTimeframe / biggerTimeframe / smallerTimeframe / M1 / M5 / M15 / M30 / H1 / H4 / D1 / Weekly / Monthly

Stalk - loosing&winning / only loosing / only winning

Agility - Floating / Fixed / FixedIfDominant / LossFixed&WinFloating

Set - Virtual / Hard / Virtual&Hard

when closing - just close / opposite OrderType / same OrderType

Martingale - LotFactor / maxLot

FilterComments - ALL / certain Comment

FilterMagics - ALL / certain Magic / only Manual Trades

Close - Buy / Sell / Long&Short

MinProfit - TrailingEA SL/TP wont be set, if calculated SL/TP, is closer to OrderProfitPoint than this Value

MinLoss - TrailingEA SL/TP wont be set, if calculated SL/TP, is closer to OrderProfitPoint than this Value
set MinLoss - if true, TrailingEA SL/TP will be set to MinLoss if calculated SL/TP is in MinLoss Area

MaxLoss - TrailingEA SL/TP wont be set, if calculated SL/TP, is farer to OrderProfitPoint than this Value
set MaxLoss - if true, TrailingEA SL/TP will be set to MaxLoss if calculated SL/TP is outside MaxLoss Area
adaptive Distance - possibility to set an addaptive Distance to calculated SL/TP

Method Details - insert Details for the SL/TP Methods you selected above..(e.g. 50% for OrderProfit)

68 (edited by hannahis 2019-02-12 12:10:10)

Re: Hannah's Trade/Portfolio Management Tips

Trailing EA with Breakeven Function

I've been searching the internet for the most versatile trailing EA and Breakeven and I've finally found one that incorporate both the trailing function and breakeven function into 1 EA and it's my favourite one smile

This Trailing cum Breakeven EA is unique as it allows your trailing to be activated ONLY when your position reached certain target.

Other Trailing EA has the following limitations/advantages:

1. The Trailing starts immediately irregardless whether your position is in floating profit or not (same as FSB Pro trailing, it starts trailing once a position is opened) and that forces you to choose a big trailing setting in order to give your EA "space" for market fluctuation but yet too large a space may eventually render your trailing setting to become redundant/ineffective. 

2. Others Trailing allows the option to trailing when in profit
This is slightly a better option than the 1st one.  You can have SL at 500 points but yet trailing at 250 points (activated only when position has a floating profit of 250 points.  However, such profit trailing setting is very rigid because if I want to activate trailing when position reached floating profit of 300 but with a trailing gap of 250 points.  This type of trailing EA can't offer the flexibility.

3. Lastly there are some Trailing EA that give you the option to tailor make your trailing according to the market volatility with different levels of trailing activation (trigger point) and different trailing gap.  And Vanesa Trailing EA offers traders 5 levels of trailing activation/trigger points (each level has it's own trailing gap).  In addition, it also has the added function for you to add in 3 levels of Breakeven activation points (with it's each level's own BE SL).

So for those of you who wished the EA Studio/FSB Pro EA has trailing functions (in addition to your closing rules) and Breakout options, you can consider adding this Vanesa Trailing/Breakeven EA as an additional tools to your trade management. 

Of cos ideally I would wish I can add in this codes into the Portfolio Expert itself so that I can run it in the MT4 terminal to backtest the effects of such extra trade management on my trading results.  That's the only limitation I can see as for now.

Kindly check this Vanesa EA out if you are interested to add it as part of your trade management tool. 

Here is the link https://www.mql5.com/en/market/product/10616

69 (edited by hannahis 2019-02-22 19:03:21)

Re: Hannah's Trade/Portfolio Management Tips

hannahis wrote:

Hi Popov,

I'm in favour of having more opening and closing rules.  Can you kindly increase the number of rules available for the EA Studio to generate the rules (with the option to choose how many max/min slots a user wants).

The reason I need more slots because I believe to build/search for robust EA, we need more slots for 2 types/components of rules.

Currently there are only max 4 opening rules and 2 closing rules available for EA Studio.

Over the years of building EA, I've come to realised that a good EA need 2 MAIN components for it to be robust.

A robust EA's rules need to consist of these 2 Main Components.

Component 1: Rules to Trigger a positions (Rules for making money)

These are the rules that identify the trends/conditions to enter.  These rules formed the broader framework in which it allows the EA to find as many opportunities to trade.  These are the signals that often play the part in helping the EA make profit.


Component 2: Rules to eliminate false signals (Rules for not losing money)

These are the rules to restrict/limit the 1st component rules to trade, in another words, it aims to eliminate trades during consolation/ranging/ambiguous trading conditions.  In another words, eliminate false signals, prevent your EA from losing money.

In a nutshell, a good EA is one that not only make money but also that doesn't lose (too much) money.  Often the main reason our EA fail is not because it didn't make money, but rather we having difficulties finding ways to stop it from losing money.

Of course lousy EA are those that not only losing money but can't even have a nice decent gross profit.

If we were to examine the EA's PF value, having a value of 2.0 and below simply means that our EA losing (Gross loss) majority of what it has earned (GP) and hence we ended up with a small Net Profit that resulted to having a PF value of eg. 1.3

Hence, having extra rules to stop the EA from losing what it earned is far more effectively ways to improve our trading rules than to constantly search for new EA and given a limited opening/closing slots, the type or quality of robust EA is hence limited.

I would like to continue my post above (https://forexsb.com/forum/post/54525/#p54525) here in my thread



Ideally, I hope to have at least 8 or more opening/closing slots cos we need different indicators to measure the market pulses.  In fact, I wish I can have as many as those in FSB Pro.

There are 4 aspects of market pulses to measure/gauge, namely

1. Price (moving average indicators)

2. Volume (volume indicators)

3. Time (use of multi time frame but for EA Studio cause, convert higher time frame parameters into low time frames parameters)

4. Movement (momentum indicators)

for even more in depth analysis, we would also have multi markets comparison (but not applicable for EAS/FSB).

Hence to read a market correctly, we need to consider using indicators from these 4 aspect to give us a better/clear signal of the market movement and hence eliminate false signals.  And having more open/closing slots for EAS to generate would enable us to build/generate more robust EA.


One of the best way to improve our trading performance (EA Studio) is to use an existing profitable EA and set it as a Preset Indicator.  You will often find that your next new batch of EA will have better trading results than it's original EA (Preset Indicator/EA).

The 1 round of search by EAS are generally made up of Component 1 rules.  Rules that generate profits.  Hence one of the ways to improve the EA trading performance is to use a profitable EA as preset indicator and let EAS (EA Studio) generate the 2nd round of new EA/Collection.

We are essentially directing the software/EAS, to search and add rules to this existing EA to improve the trading results and how does one improve an existing EA's trading results?  It's by reducing it's overall loses, i.e cut down losing trades due to "bad" signals.  In another words, when we use a profitable EA as a Preset indicators, we are essentially searching for Component 2 rules, Rules that prevent EA from losing money.

So for those who have poor performance EA, don't lose heart and discard away your EA. 

Put your EA back to EA Studio (EAS) as Preset Indicators.

Look for those EA (of yours) that has the highest of Gross Profit but because of it's losing trades (Gross loss), it's overall Net Profit/PF is low.  Use this profitable EA as Preset Indicator and let the EA Studio search and add more rules to it and you will soon get far more better results than if you were to solely rely on the EA studio to search for EA only through 1 round of search.  This 2nd round of searching via Preset Indicators would yield far better results than round 1 EA(s).

So if EA Studio has more opening/closing Rules, we essentially can turn every losing EA into a winning one, simply by adding rules to eliminate losing trades and putting the EA through several rounds of search/adding rules.  Note: assuming in the 1st place these EA at least have some trading edge.  With more opening/closing slots, we can put the EA through 2nd or even 3rd round of searching and eventually ended up with a very stable and robust EA.


Another method....

Choose one of your EA that has highest Gross Profit.  Optimise the EA and then choose one of these optimised EA as your Preset Indicator and let EAS go through a 2nd round of adding more opening rules.  Again, you will probably will get better results than the original EA's trading performance.

Ok folks, I hope these tips would help you to build better and more robust EA and hopefully Popov see my line of reasoning and add more opening/closing slots to EAS so that we can put our EA through a series of Preset indicator search method like the ones I described above.




Entry Rules = Determine Risk


Lastly, I understand my train of thoughts may run contrary from those conventional ideas of having minimal trading rules so that the EA has greater degree of freedom.  I personally defer from this line of argument.  I think that the greater the degree of freedom an EA has, same goes the margin of error. 

In another words, the broader/vague our trading rules are, the more margin of error (i.e. lower PF value) the EA will have.  Having just 1 opening rule would give the EA a very broad trading allowance/scope.  Imagine giving your children only 1 house rule, the kids will run amok because a lot of things/actions become permissible.  Likewise the same goes for an EA.

Less rules = Broader Scope = low entry accuracy

More rules = restricted scope = increase entry accuracy

Broader scope = Higher margin of Error (EA having low PF value).

Higher Margin of Error = Higher SL setting needed

With broader scope = Broader SL allowance.  Because the rules are few, there is greater margin of error, you need to give the EA more room for error (floating loses = bigger SL setting).




When an EA has vague i.e only 1 entry rule, it generally has a very broad rule, that means, a lot of market conditions are acceptable for this EA to trade.  Along comes with such degree of freedom to trade is the greater the margin of error. 

Good entry rule(s) reduce Risk.  It uses more rules/filters to reduce the risk of exposure by having good Entry accuracy.

Good entry rule(s) increase entry accuracy.  Entry accuracy means that EA enters into trade in a timely manner. 

In another words, Bad entry rules = EA enter wrong timing and hence sustain high floating losing (negative profit) and hence imposed greater risk.

I find it impossible and highly challenging to build a robust EA only based on 1 or 2 entry rules that can so well determine such good entry rule(s) and resulted to having high entry accuracy. 

Can anyone name me 1 super powerful indicator that can is so excellent to achieve good entry accuracy?

Thus, I believe good entry accuracy can only be obtained by having more rules to eliminate false signals so that essentially only those worthy market conditions that is worth the risk is considered as good trading opportunity.

70 (edited by hannahis 2019-04-30 12:40:39)

Re: Hannah's Trade/Portfolio Management Tips

FSB FOR MANUAL TRADERS

Hi Popov,

I understand the FSB doesn't create any pending orders.  Pending orders are more for manual tradings and I understand there are a number of trading theories that can't be conceptualized into indicators and therefore can't be automated.

Nevertheless, I'm thinking there is a way to create such Pending order so that manual traders can automate their orders and incorporate other algo/indicators rules into their trading theory to ensure a more timely/accurate entry.

There is an Opening Condition in FSB called, "Price Move" and I think this is a very useful condition/tool for manual traders.  However, currently this "Price Move" is only for Long orders.  If you can also allow users to choose "Price Move" with the options to Sell/Short, that would allow Manual traders to place their "pending order" by entering into either a buy/sell positions when price move by a certain number of points from the current price. 

With the above mentioned suggestions, you would open up FSB to a new group of potential buyers/users whereby these manual traders can incorporate some other automated rules into their manual trading, the best of both world. 

For example, if I want to place a pending order for Long when price hit my target price, I can use the "Price move" to enter Long when it move (more than) 1200 points, If there is another option to ensure it also didn't move beyond certain points such as move less than (1500 points) and in order to ensure that I have a greater chance of success/accuracy, I can use other indicators to ensure that other indicators are also pointing toward the same trend direction. 

In another words, it would be good to have an indicator whereby I can place Long/Short orders when price move up/down certain range (between 1200 - 1500 points).  Or a better option is to have an indicator whereby traders can enter the starting price or the target price. 

Eg.  Enter Long when price cross above 1.1200 but below 1.1300 and when Fast SMA is above Slow SMA and when CCI is above certain level etc.

If this suggestion can be done, it's the best of both world, especially for manual traders.

Re: Hannah's Trade/Portfolio Management Tips

No, Price move is not for long orders only, it opens both ways depending on the move, you can check it on chart.

72 (edited by hannahis 2019-04-30 15:19:29)

Re: Hannah's Trade/Portfolio Management Tips

footon wrote:

No, Price move is not for long orders only, it opens both ways depending on the move, you can check it on chart.

Thanks Footon, please enlighten me cos I may be blind sided....

There are only 2 options to choose

1) Enter LONG after an upward move, or

2) Enter LONG after a downward move.

Both options are for Long positions, how do I enter Short?  Can you show me where I have missed out?

Thanks

Re: Hannah's Trade/Portfolio Management Tips

Both options are for Long positions,

You set logic for the long positions in FSB pro in EA Studio. The programs automatically compose and apply the mirrored rules for the short positions.

74 (edited by hannahis 2019-04-30 17:08:38)

Re: Hannah's Trade/Portfolio Management Tips

Popov wrote:

Both options are for Long positions,

You set logic for the long positions in FSB pro in EA Studio. The programs automatically compose and apply the mirrored rules for the short positions.

Hi Popov,

What if....

1) I only want Short position because manual trading isn't quite like algo trading whereby the rules can be mirrored and reversed.  What setting should I use?  Cos the "Price Move" only has Long option to set.

2) And what if I only want Long positions, then I should add in another indicator "Long Only" so that it won't reverse and do a short isn't it right?

Note: I'm trying to use FSB to automate my manual trading based on certain price level not measured by indicators and hence this EA is not going to run perpetually, it's only valid once per trade and once the price target is reached and trade executed (open and closed positions), this EA is meant to "expire" or retire