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Posts: 6

Topic: Trouble generating strategies with custom symbol settings

Hey folks!

I'm attempting the FTMO Challenge with nothing but EA Studio, mostly to see if it can be done. :-) Right out of the gate I'm struggling to create strategies however. My first hurdle is that FTMO uses LMAX as a liquidity provider, and their MT4 demo account only gives about 2 weeks of historical data. So I've had to download data from other brokers, like Dukascopy, and use custom symbols to try to get them to match. Once I do this, I can run the reactor for days and only get very few, if any, strategies. So, as a test tonight, I ran two browsers at the same time using MetaTrader-Demo, EURUSD, H1--one with custom symbol settings, the other with no changes. The only changes I made under symbol settings was swap long, swap short, and a $3 commission. After running both for about 45 minutes, here were the results...

Original:
Generator
Generated strategies    104006
Passed validation    51 (0.05 %)
Normalization
Calculated strategies    51 (3769)
Normalized strategies    49 (96.08 %)
Passed validation    51 (100.00 %)
Monte Carlo validation
Calculated strategies    51 (1020)
Passed validation    17 (33.33 %)

Custom symbol settings:
Generator
Generated strategies    104396
Passed validation    28 (0.03 %)
Normalization
Calculated strategies    28 (2105)
Normalized strategies    28 (100.00 %)
Passed validation    28 (100.00 %)
Monte Carlo validation
Calculated strategies    28 (560)
Passed validation    9 (32.14 %)

They run about the same speed, but one has half the results. It seems to be even worse if I upload data from another broker (since MetaTrader-Demo only has a handful of currency pairs). Is this maybe because of the $3 commission, where the other doesn't have one at all? Trying to figure out how to get better strategies faster...

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Re: Trouble generating strategies with custom symbol settings

Most probably adding the commission degrades the strategies performance to a level that makes it twice time more difficult to pass the Acceptance Criteria. It looks normal.

Re: Trouble generating strategies with custom symbol settings

OK, thanks! ;-)

Re: Trouble generating strategies with custom symbol settings

Hey Popov, I have two more technical questions:

1) When generating a portfolio of EAs and placing it on a chart, does it only open one trade at a time per embedded strategy? In other words, if I have 10 strategies in a portfolio, will it open a max of 10 trades at once, or can it open a great deal more? I'm trying to figure a way to limit my risk by estimating how many trades could possibly be open at any given time based on the number of portfolio EAs I'm running.

2) My portfolio EAs did NOT close out Friday trades properly at the time they were set. I double checked the EAs to be certain the code was correct and I didn't have incorrect settings in EA Studio:

// Session time is set in seconds from 00:00
const int sessionSundayOpen = 0; // 00:00
const int sessionSundayClose = 86400; // 24:00
const int sessionMondayThursdayOpen = 300; // 00:05
const int sessionMondayThursdayClose = 86400; // 24:00
const int sessionFridayOpen = 300; // 00:05
const int sessionFridayClose = 86100; // 23:55
const bool sessionIgnoreSunday = true;
const bool sessionCloseAtSessionClose = false;
const bool sessionCloseAtFridayClose = true;

The broker closed at 23:59 and trades are still open. Is this based on the computer clock, or the broker platform's clock? I was assuming broker platform.

Thanks again!

Re: Trouble generating strategies with custom symbol settings

Hi Aaron,

Any update on your broker close time issue?

Re: Trouble generating strategies with custom symbol settings

No update on that particular issue, it didn't seem to work and trades remained open. I use another EA to close out trades for news and weekends, etc.

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