Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

Hi sleytus, attached portfolio file: consisting of three ea and all operate in percentage. Try it, thanks.

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Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

Hello D5QM54S7,

The aaa.mq4 file you sent won't help.  It's only one of dozens that are created by Portfolio Maker and which are required for building.  The aaa.mq4 is the top-level file you see, but it actually includes many additional files.

In order to fix this -- you can either send me the build errors from MetaEditor or the *.xml strategy files so I can attempt to build the whole thing from scratch.  I'd prefer the list of build errors since I suspect the problem may be something machine specific.  If you were to send me the *.xml strategy files and it turns out that I can build it on my machine, then we are back at the beginning.  Do you know what I mean?

Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

Sleytus, may you give me email address? I'm sending you the files. Thanks

Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

D5QM54S7 -- I'm sending you a PM (private message) with my email address.

30 (edited by Popov 2017-11-25 07:35:47)

Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

I have download and install twice,but it will still auto deleted/uninstall from my computer??
Please advice,thx

Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

Perhaps the security settings on your machine require you to have admin privileges to install a new application.  Or, perhaps, an antivirus program prevents it from installing.  I have never heard of Windows automatically uninstalling a program.

By the way -- your post uses only two lines.  But because you inserted my original post with yours, then your post alone takes up an entire web page.  If you have a question about Portfolio Maker I will know its about Portfolio Maker because that's the title of this topic.  There is no need to insert a previous post, especially one that is very large.  Hope you understand...

32 (edited by Popov 2017-11-25 07:36:05)

Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

Haha,alright noted.
I will try to check my antivirus system and see how it work..

Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

Windows tries to force the users to install only digitally signed software. It is generally good practice, but makes the development of software even more harder and expensive.

Steve you may consider taking a digital certificate. Here is the best place to do it: http://codesigning.ksoftware.net/
They also have a tool for easy signing the software kSign.

You may also consider using an installer instead of simply providing the exe. I use Inno Setup: http://www.jrsoftware.org/isinfo.php It is a very powerful.

Even after using installer and digital certificate, some anti-virus programs may complain that this is not a "frequently installed" software and may delete it by default.

I may say that 50% of the time and the  cost of providing software is taken by the licensing, deployment, updating, purchasing tasks - a very ungrateful and unproductive job because it is not directly useful to the users.

Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

Popov wrote:

Windows tries to force the users to install only digitally signed software

Thanks, Popov.  Yes -- I agree it is probably a signing problem.  I also use the Inno Setup installer.

Thanks for the link to the digital certificate for Windows applications -- I'll look into it.  As a side note, we also develop software for the MacOS and it is even a *bigger* pain.

Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

I had difficulty with my anti virus....... I was using Avast free version...... It kept deleting the program (MT4 Tracker)

I got the paid persion of Malware bytes........ quite a difference and no problems

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

Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

D5QM54S7 wrote:

I only work with percentages, it does not work in my case because errors appear in the compilation and if I modify line 68 70 71 the portfolio does not open any position in the mt4 test.

Thanks for sending the files.  To summarize -- everything works, but I did run into some problems that are related to mixing lot sizes with percentages.  Two important points:
(1) A portfolio can NOT be a mixture of strategies that use lots and percentages -- choose one.
(2) If using lots, the 4 input values should be in terms of lots.  If using percentages, the 4 input values should be percentages.

The problem I ran into was that I only changed 'Maximum Amount' to percent but left 'Entry Amount' as 0.01.  When using percentages the strategy code treats that value as a percentage -- and 0.01 is 100x too small.

I've modified Portfolio Maker's UI in a way to make this less confusing.  It now forces you to choose between Lots or Percentages, and depending on your choice will use appropriate defaults for the 4 input values.

I've updated Portfolio Maker -- so please give it a try and let me know.  The download link and license key remain the same:

Download:
http://nutsaboutnets-downloads.s3.amazonaws.com/PortfolioMaker_Setup.exe

License Key:
PORTFOLIOMAKER-BETA-20171101


D5QM54S7 -- earlier you reported a build problem, but I couldn't reproduce it.  I did notice your strategies use quite a number of "exotic" indicators, so I did have to load those into my FSB-Pro installation in order to create *.mq4 files for your strategies.  Also, your strategies did not use magic numbers for their filenames, which Portfolio Maker requires.

Given the *.xml strategy files you sent, below are the steps I followed to get everything to work.  Perhaps others would benefit from this as well:
1. Downloaded the 3 *.xml strategy files that were sent to me.
2. Renamed the *.xml strategy files as magic numbers.
3. When attempting to open the *.xml files in FSB-Pro then FSB-Pro complained about missing indicators.  So, I loaded the missing indicators from the FSB repository.
4. After loading the *.xml files I then exported the corresponding *.mq4 files.
5. Launched Portfolio Maker and 'Added' the *.mq4 strategy files
6. Adjusted the input values to use percentages.
7. Pressed the 'Create' button.
8. Launched "MetaEditor' and compiled the top-level *.mq4 portfolio EA file (i.e. the one you named aaa.mq4)
9. Browsed the build log to confirm the portfolio EA built cleanly.
10. Used MT4's Strategy Tester to run and test the new portfolio EA.

Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

Good job Sleytus! Now both compilation and tester work. Individuals' percentages of ea are not overwritten, if in portfoliomaker I write 10 on "entry amount" does not listen but follows the directions of the individual ea. true? Later I will do a long test in mt4 and load results.

Regards

Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

https://s7.postimg.org/r77yuj6sn/auto-filtering-proof-of-concept.png

I've added a new feature to Portfolio Maker I wanted to share.  Currently it is only a "proof-of-concept" and not yet available.

The way I've been testing strategies is to create a portfolio EA with 50-150 strategies and run them in a live micro-account for a couple of weeks and then use MT4 Tracker to separate the winners from the losers.  Sometimes the portfolio EA is a net winner, sometimes a net loser -- since it has a mixture of good and bad performers.

The new feature implements a very simple idea -- I set a threshold WinRatio as an input value (e.g. 0.60) and keep track of each strategy's most recent 10 trades.  If the WinRatio for a particular strategy drops below the threshold then it is disabled and no longer able to open a new trade.

Using MT4's back tester I ran the same portfolio EA twice under the exact same conditions -- except the first one did not use the WinRatio filtering, whereas the second one did.  You can see in the second case the total number of trades is much less, yet the overall net profit is the same.  This was a quick and dirty test run on one portfolio EA that I chose.  Results may differ with different portfolios -- I don't know. 

I think the idea makes sense.  What I have found in my experience is there is only so much effort I can put into creating strategies with great statistics -- in the end some strategies perform well and others do not.  Perhaps a better approach is to incorporate some empirical (i.e. performance) rules -- that is, while strategies are actually running then apply simple filters that turn them on/off based on their performance.

When Popov introduced this new concept of a portfolio EA it opened new doors -- not only from a trader's perspective but also in terms of what could be done in software.  In a portfolio EA all the strategies are now running within the same context of code and, therefore, simple policies can be applied that affect some or all the strategies.  This could not be done if each strategy was running in its own MT4 chart.

Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

Hey Steve,

Nice idea with the new feature.  unfortunately I run a combination of high accuracy (low Risk:Reward) , and low accuracy (high Risk:reward) systems. 

Are you also able to do the same idea with a % drawdown?   

Cheers,

PT

Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

Auto-filtering is great step!
Will test it after ur implementation of course

Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

Auto Filtering is great...I am all for it...please look at drawdown as that would be awesome.

Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

DoCZero wrote:

unfortunately I run a combination of high accuracy (low Risk:Reward) , and low accuracy (high Risk:reward) systems.

I'm not familiar with those systems -- or that terminology.  I suspect you are referring to systems that can tolerate a low WinRatio since their reward is high.  Perhaps a different type of filter would work or dividing your strategies into two, separate portfolios where WinRatio makes sense for one of them.

DoCZero wrote:

Are you also able to do the same idea with a % drawdown?

Technically, since all the strategies live within the same executable, then any type of filter you could imagine can be applied.  Whether the filter makes sense or how difficult it is to code, is a different issue.

I'm not sure that % drawdown makes sense.  % drawdown computes the delta between the previous high point and the current low point.  But in a portfolio with many strategies, there may be several strategies that contributed to the low point.  So, which strategy gets the blame?  Does the last strategy get blamed for the drawdown even though others contributed to it?

Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

sleytus wrote:

I'm not sure that % drawdown makes sense.  % drawdown computes the delta between the previous high point and the current low point.  But in a portfolio with many strategies, there may be several strategies that contributed to the low point.  So, which strategy gets the blame?  Does the last strategy get blamed for the drawdown even though others contributed to it?

Makes sense not to have a % drawdown. I see the logic...Is it possible to have a $ value. If a strategy reaches a loss value of x dollars..it should stop trading.

Regards

Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

1. What's the maximum number of strategies you have compiled into a portfolio?

2. Is there an optimum number of strategies to bundle into a portfolio EA?

3. I saw there is the option to choose the lot size for entry, max, addition and reduction.

3a) If my original EA is using 1 lot size but I choose 0.01 in the Portfolio Maker, which value would the portfolio be trading?

3b) The Portfolio Maker (PM) addition function will follow FSB's adding option?  FSB has 3 add function, Add, Winner, Loser so I assume the PM's addition function will follow according to FSB's selection.

4) I also assume that we can only use the same time chart for each Portfolio right?  In another words, a portfolio EA can not contain a mixture of EA with different time frames.

5) EA performance Statistics - I understand that I can use MT4 Tracker to monitor my EA's performance.

6) Does a single licence allow me to install Portfolio Maker on multiple machines?


To answer your questions:

1. The program is coded to allow up to 1000 strategies -- the most I've used so far is 130.  MT4 is rather CPU-intensive, so this might differ from machine-to-machine.  Also, MT4 is designed for each chart to run in its own thread.  If you have multiple charts open and certain ones require a lot more computation time than others, then there may be some unintended side-effects.  I've Googled, but have not found any more information on this.  More importantly, the problem I've run into is I am often surprised by the number of trades that get opened.  Since I'll use live micro-accounts, then sometimes it gets uncomfortable because a lot more trades get opened than what I had gotten use to when trading only stand-alone EAs in their own chart windows.  The bottom line -- it will require some experimentation to determine how many strategies to include in a single portfolio EA and how many portfolio EAs you can run within a single instance of MT4.

2. I don't know what the optimum number would be -- that would will require some experimentation.

3. In an updated version of Portfolio Maker, you can choose 'Lots' or 'Percentages'.
    a. The input values from Portfolio Maker are applied globally and will overwrite the strategy's original values.
    b. Yes -- Add, Winner and Reduce should all work as before.  Portfolio Maker doesn't alter Popov's code or logic -- it just
        rearranges the code so multiple strategies can be combined into one.
4. Correct.  The portfolio EA can NOT contain a mixture of symbols and time frames.  If you attach the portfolio EA to a EURUSUD H4 chart, then that is what is going to be traded.
5. Yes -- you can continue to use MT4 Tracker.
6. Technically, one license key per machine.  However, the licensing system I use permits some "wiggle room" and will allow 3 activations before the license server in the clouds begins to complain.  If you need more than 3 it is not a problem -- just let me know and I will send another.  The purpose of the license key is to protect the software -- not to keep charging someone who has already purchased the software.  The Beta version will be active for another week or so, and then I will release an official version that will require a license key.  For people who participate in this forum -- if they are interested -- they can send a PM (private message) and I will send a license key at no charge.  Again, this won't take affect for another week or so.

Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

I want to check with you, the Portfolio Maker allows me to compile nearly 500 EA into 1.  The question will it work properly with such large numbers?  Or is the maximum limited to 100?

So -- this is the million dollar question.  In theory we could bundle a million strategies into one EA -- but would it work in MT4?  I don't know -- probably not.  I chose a maximum allowable number of strategies of 1000.  I don't know if MT4 can actually handle that many calculations in a single chart, on each tick.  I just chose 1000 since it's a round number.

MT4 was designed with a certain architecture in mind and assumes each EA runs in its own chart window and thread.  What happens if you overload a chart?  I don't know.  What happens if your broker receives too many orders or modifications during the same OnTick?  I don't know.

We are in uncharted territory.  The portfolio EA generated by EA Studio would run into the same issues.  I'm not saying there are issues -- just that it is too early in the game to know if / what they may be.  No one has every done this before.

As more users of Popov's software begin using portfolio EAs then, hopefully, people will share some of their experiences and collectively we will have a better understanding what the limitations are -- or, perhaps, there won't be limitations.

46 (edited by hannahis 2017-11-29 03:50:28)

Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

Hi Steve,

Just to keep you posted.

I did a "Stress" test yesterday.  I tried to "load" the MT4 with as many EA (1412 EA in each Broker ) with 2 different Brokers.

In 1/2 day's of trading period, I noticed that in one broker, there were a total of 1,279 trades being transacted and 330 EA being activated

And another Broker has a total of 8631 trades and 531 EA being activated (in the same time period for these 2 Brokers with the same set of EA).

It seem like there are some Broker's server can't handle too many transactions or because of these Brokers place a limit in the total number of open positions at a given time to prevent overloading of the servers if there isn't any limit on all clients.

The Second Broker with high number of trades is from a more well established company and thus probably has a bigger server capacity to handle higher number of transactions at any given time.

The 1st Broker has a limit of 200 open transactions at any given time but one need to write in to request for the limit to be increased to 500 max.

Anyway, I think most people wouldn't have the kind of issues I'm facing as my EA tend to have very high frequent trades per day (average 30 to 50 trades per week/per EA or even 100 or more depending of the systems).  But I'm posting it just to highlight the possible issues others may encounter if they were to load each MT4 with many EA.

Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

Interesting -- thank you, Hannah.

In a live micro-account I've used a portfolio EA that included as many as 130 strategies and it seemed to work fine.  No doubt there will be some practical limitations due to machine, broker, MT4.

I've sort of gravitated to keeping the number between 20-40 strategies per portfolio.   Also, I will often have more than one portfolio EA running on a single MT4 terminal instance. I run 4 instances of MT4 on a VPS account and, collectively, those 4 MetaTrader programs cause the CPU usage to constantly be around 70-80% (as reported by TaskManager).

As an FYI -- MT4 allows a maximum of 100 charts to be open at the same time.  So -- maybe that is a clue as to the maximum EAs one should load onto a single instance of the MetaTrader terminal program.

Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

Hi Steve,

Yes, I do agree with you that it is better to keep it below 100 EA per MT4 instance.  In additional, I'm using the E-trailing to add trailing functions to all open trades and this E-trialing EA can't function properly (can't trail all open trades) when I've too many EA running.

I'm just doing the experiment to see to what extend I can cut down the number of MT4 instances.  If I'm going to keep 100 EA per MT4 instance (which the same in the past), I wonder how much computer capacity I'm "saving" or free up. 

Nevertheless, it is still way faster to set up 100 EA via Portfolio Maker than to manually set up these 100 EA 1 chart at a time.  With my 1400 EA, I only need to set up 14 MT4 EA as compared to 1400 MT4 Charts!!!!

49 (edited by hannahis 2017-11-29 10:28:53)

Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

Just to update,

Oanda Hedging account by default has 1000 Vol maximum limit.  So it would be good to use 0.01 to  maximize the number of EA in each MT4 instance, FYI.

Currently it has 2500+ open orders.

By default, when you open a demo account via the online website, these accounts are non-hedging accounts.  You need to write in or speak to the contact person to help you set up a hedging account.

Re: Portfolio Maker - create portfolio EA from FSBPro-generated strategies

As promised about a month ago, "official" release versions of MT4 Tracker and Portfolio Maker are now available.  Here are links to the web site where you can find more information:

http://mt4tracker.com/mt4-tracker/
http://mt4tracker.com/portfolio-maker/

http://mt4tracker.com/documentation/mt4tracker-documentation/
http://mt4tracker.com/documentation/portfolio-maker-documentation/

With the "official" releases the beta versions will no longer work.  If you find the software of value, then they can be purchased for the modest cost of $49 USD each.  For those who provided valuable feedback, please check your PM (Private Messages).

Please post questions / comments about the software here in the forum where others can also comment and benefit.  If absolutely necessary, you can also send email to support@mt4tracker.com.

I've also started an FAQ page which may be of some help and which I intend to keep updating as I learn more.  Here is a link:
http://mt4tracker.com/faq/

Initially I began developing the applications for my own use, but then realized others might benefit.  And out of appreciation to Popov and the forum moderators, shared them for free.  But as time went on then a lot more work has gone into them to include a variety of different features.  So -- though they are no longer free, considering the time and expense many of us devote to forex, I figured that $49 USD was a small price to pay and it does partly reimburse me for the time I spend developing them.  Hope you understand...