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Posts: 15

Topic: new strategy .....

dear traders

In the spirit of giving as Mr Popov and his team selflessly demonstrate - here is my small contribution to this fine work  smile

i have a strategy for you to test - it has taken me maybe over a year to get it to this stage.

Use this for EURUSD 5M only

Some things you have to do before opening this file:

1. You need to use high quality backtest data otherwise results vary a lot. I have already left a post here on this forum to a link for high quality backtest data and instructions.
It's a bit of setting up to do, but it is worth it especially if you are backtesting EAs on Mt4. The quality shows 99%! If you have trouble using php scripts, later tonight i will upload the prepared csv files to my server which you can download - they will be EURUSD 1M & 5M files - (500,000 bars)

2. This strategy is optimized for 5 digit broker using standard LOT sizes (ie 100,000 setting) with 100:1 leverage. Starting balance can be anywhere from $2000+

3. You need to replace config.xml with the modified one attached here - not much is changed - just a few minor settings.


hmmm  hmm - it seems i can only add one attachment to each post - i will post the strategy file in my next post with download link for csv files

Post's attachments

config.xml 2.68 kb, 38 downloads since 2010-07-06 

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Re: new strategy .....

uploading the csv files may take some time - in the meantime, attached is the strategy file. Download HERE in a few hours - i think !


just remember - the results are profitable only with the hi grade csv files.

wink  enjoy

3 (edited by soladood 2010-07-06 12:18:50)

Re: new strategy .....

ok - try again tongue

*NOTE* - I created this strategy using older version FSB

Post's attachments

eurusd-5min17lo2d5.xml 8.27 kb, 37 downloads since 2010-07-06 

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Re: new strategy .....

It may look strange with 800 pip stoploss - but because it is optimized for 5 digit broker using standard LOT size, it is actually 80 pip stoploss.

Re: new strategy .....

FSB 2.50.2.1 couldn't open this fail.

Please could you provide a picture of the strategy smile

soladood wrote:

ok - try again tongue

Re: new strategy .....

I am still only using older version FSB -

Here are the settings - no custom indicators


Forex Strategy Builder v2.12.0.0
Strategy name: eurusd-5min17lo2d5
Exported on: 7/6/2010 12:11:12 PM




Market: EURUSD 5 Minutes
Spread in pips: 3
Swap Long in pips: 1
Swap Short in pips: -1
Commission per lot at opening and closing in pips: 0
Slippage in pips: 0

Use account % for margin round to whole lots
Maximum open lots: 0.6
Entry lots: 0.6% of the account for margin
Adding lots: 1% of the account for margin
Reducing lots: 1% of the account for margin

Intrabar scanning: Accomplished
Interpolation method: Pessimistic scenario
Ambiguous bars: 0
Tested bars: 116253
Balance: 23685 pips (24684.60 USD)
Minimum account: -791 pips (208.86 USD)
Maximum drawdown: 2902 pips (2902.20 USD)
Time in position: 99 %

A same direction signal - Adds to a winnig position
An opposite direction signal - Does nothing
Permanent Stop Loss - 800
Permanent Take Profit - None

[Opening Point of the Position]
Bar Opening
     Enter the market at the beginning of the bar
     Base price  -  Open

[Opening Logic Condition]
ADX
     The ADX is higher than the Level line
     Smoothing method  -  Exponential
     Base price  -  Open
     Period  -  15
     Level  -  17

[Opening Logic Condition]
MACD
     The MACD line is higher than zero
     Smoothing method  -  Simple
     Base price  -  Open
     Signal line method  -  Simple
     Slow MA period  -  14
     Fast MA period  -  11
     Signal line period.  -  8
     Use previous bar value  -  No

[Opening Logic Condition]
Parabolic SAR
     The price is higher than the PSAR value
     Starting AF  -  0.03
     Increment  -  0.06
     Maximum AF  -  1.95

[Opening Logic Condition]
Moving Average
     The Moving Average falls
     Smoothing method  -  Simple
     Base price  -  Open
     Period  -  5
     Shift  -  0
     Use previous bar value  -  No

[Closing Point of the Position]
Bar Closing
     Exit the market at the end of the bar
     Base price  -  Close

[Closing Logic Condition]
Envelopes
     The bar closes below the Lower Band
     Smoothing method  -  Weighted
     Base price  -  High
     MA period  -  33
     Deviation %  -  1.02
     Use previous bar value  -  No

[Closing Logic Condition]
ADX
     The ADX is lower than the Level line
     Smoothing method  -  Exponential
     Base price  -  Close
     Period  -  17
     Level  -  8

Re: new strategy .....

I am sorry to say, but this strategy seems to be perfectly fitted to YOUR data, on my own data, or the data from other brokers, it´s a loser unfortunately:( What we see here is the result of curve-matching. For other broker feeds it´s failing to produce any winning trades. Though thanks for sharing, much appreciated, but when we use your data it is profitable in the backtest, but not in live-trading since different brokers have different data-feeds by a few pips usually.

Re: new strategy .....

well - getting good quality backtesting is like finding a needle in a haystack I come to realise. The data you downloaded from my server originally comes from the dukascopy tick data binary library. To do it manually actually can take you weeks to do - but luckily I found a free php script that automated the process considerably.

What I found downloading data from about 10 different brokers, all of them did not have anymore than 6 months worth on file - the largest archive found from IBFX. The standard download for the mt4 is absolute rubbish and has huge gaps everywhere - especially between the period MAR 12-25 2010 - where there simply isn't any data !!

Of course I am only referring to EURUSD data - I didnt check for other pairs. I just wanted to find some solid data source worth more than 12 months to backtest this stategy - thats all.

Also, when you convert this data into FST and HST for MT4, you should find that it shows 99% on the backtester - and to be honest, I have never witnessed anything more than 90%.

I spent months researching to find this data and personally I don't think you will be able to find a better quality archive - without paying for it, to be honest.

Backtests in most instances do not mean anything if the data quality is no good - thats why so many commercial EA's show great backtests stats, but not so great going forward - you only have to watch the leaderboard on the FPA website to see in realtime, how consistently 'not' commercial EA's operate smile

If you can find a better quality data source - please let me know about it  neutral

9 (edited by geektrader 2010-07-06 16:54:40)

Re: new strategy .....

It really has nothing to do with the QUALITY of the data as long as it is gapless, that is absolutely fine. It is the problem that the data-feed of my broker, simply has been different than the one from Dukascopy.

Let me tell you a short story about that:

I was with Interbank FX when I started trading 2 years ago. I had a solid strategy that worked fine. Then I´ve switched to Activtrades (lower spreads) and out of sudden, altough the spreads have been better, my strategy started to generate losses.

What I´ve done then, is put aside the strategy on BOTH brokers and it came out that it was still generating profits on Interbank FX, but losses on Activtrades. Problem being, both brokers had good data-streams, but they simply were a bit different in there characteristics and while it was just a small difference, it was already enough to render my strategy usesless on Activtrades.

You see this a lot of times in the forum here, people post strategies, optimized for the data-stream of one broker and other people do load those strategies and wonder why they are "total crap" with their data.

This hasn´t to do anything with the quality of the data, but rather with that each brokers has different characteristic in their streams. You will notice that when comparing data-streams side by side, it´s just pips of difference, but that can break a strategy.

That being said, I´ve learned a long time ago that reliable backtesting, at least if you want to live-trade, has nothing to do with quality data, but with using data FROM THE BROKER YOU ARE GOING TO TRADE AT LIVE LATER ON! That is the most important aspect.

That being said, I have collected gapless realtime-data from my new broker Activtrades the last months and was able to develop a new strategy. And while this strategy works fine LIVE on Activtrades, it generates losses on Interbank FX.

So did you actually trade your strategy LIVE yet or did you just do backtesting on high quality data? I fear it will fail for you as well when traded live, except if you actually trade LIVE with Dukascopy, where you obtained the data from.

Remember, Forex is not like indexes that have the same price on each stock exchange. Each broker makes their own quotes, and while they are often close to other brokers, the differences still can make a strategy work perfectly on one broker and absolutely bad on another broker.

So lesson learned: collect the data from the broker you will be TRADING ON LIVE later on, and use only that data for testing strategies that you want to trade live there.

Re: new strategy .....

hmm interesting - ok then - why don't you give me your historic data and lets see if i can get this to work for you ?

then if that works, if you can organize for say 6 other broker feeds (gapless and 500,000 bars) for me - I'll do the same for that.

My work will be done then !

Re: new strategy .....

Good idea indeed. I am collecting live-data from my broker since February this year. Still I get no trades with your system on it. If you have any luck with making it work with my data, that would of course be much appreciated! Here is the data: http://www.sendspace.com/file/hoeem6

Thanks.

Re: new strategy .....

Dear geektrader
Regarding to the different brokers data results using one strategy i have a Question for you  Do you apply your strategies on smaller time frames like 5 mins or you use higher time frames like 1 hr or 4 hr ?

Re: new strategy .....

geektrader wrote:

Good idea indeed. I am collecting live-data from my broker since February this year. Still I get no trades with your system on it. If you have any luck with making it work with my data, that would of course be much appreciated! Here is the data: http://www.sendspace.com/file/hoeem6

Thanks.



ok - try this - assuming yr broker is 4 digits - 100:1 leverage - 1 LOT=(10,000)

you can use $1000 starting balance with this


let me know otherwise neutral

I had to use a different strategy with your data.

Post's attachments

eurusd-5min-ACTV-4d-lo1.xml 7.12 kb, 35 downloads since 2010-07-07 

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Re: new strategy .....

Hi Soladood,

thanks for the strategy. For me it shows a Net Profit of 25000 Euro with a drawdown of 16000 Euro, with only 20 trades at all. It don´t think this is tradeable live, because first off the drawdown is much to high and secondly with these few trades, there is no statistical signifance at all.

But big thanks anyway.

Re: new strategy .....

geektrader wrote:

Hi Soladood,

thanks for the strategy. For me it shows a Net Profit of 25000 Euro with a drawdown of 16000 Euro, with only 20 trades at all. It don´t think this is tradeable live, because first off the drawdown is much to high and secondly with these few trades, there is no statistical signifance at all.

But big thanks anyway.


hmm your figures dont sound right.

my figures show something completely different -

you need to tell me what leverage you have set and what LOT size is selected for your EURUSD data -

anyway - for this strategy to look normal - LOT size needs to be set (10,000) mini size - and price quotes are set to 4 digit. Leverage 100:1 - You can check this in menu....(MARKET/Edit Instruments on FSB software.)

as i said before above this post - let me know what your lot size is/etc......the figures you are seeing are way off the planet.....!

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