Passing the FTMO Challenge

[aaronpriest]

Hi folks!

I would like to attempt the FTMO Challenge, using nothing but EA Studio, mostly to prove whether it can be done or not. 🙂 Has anyone accomplished this and do you have any advice?

The objectives are quite a challenge indeed (for a normal risk account):

• 30 days max to meet the rest of these objectives
• minimum 10 days trading (meaning at least 1 trade opened per day for 10 days out of 30)
• 5% maximum daily loss (this includes open trades and equity, not just closed trades)
• 10% maximum monthly loss
• 10% profit target in 30 days or less

If you pass the challenge stage and the verification stage (which has 5% profit target, but otherwise the same objectives), then you get a fully funded account to trade with. A fully funded account has added stipulations that you can ignore for the challenge stage:

• Indefinite trading period
• Same minimum 10 days of trading per month
• Same 5% maximum daily loss
• Same 10% maximum monthly loss
• No profit target, just don’t hit your max loss limits or you lose your account
• All forex trades must be closed before end of market on Friday, no Sunday trading
• All commodities and indexes (stocks, etc.) must be closed before end of daily session, no overnights
• Some crypto can be weekend traded during specific hours listed on the broker
• No news trading 2 minutes before to 2 minutes after during certain events, listed on the calendar

So, one of the challenges would be automating the news trading. You don’t have to close open trades, but you can’t open new positions or close existing ones during those time frames, and I don’t know how you’d automate that with EAs. EA Studio does let you specify trading session times and whether to close on Friday or trade on Sunday or close at the end of each daily session (for stocks), so this is convenient! When analyzing the “Position profit by position holding time” for each EA, I notice that there are quite a few trades per strategy that go into 5 days or more, meaning the calculations do NOT take into account whether you choose to close on Friday or not. I don’t know how big a deal this is…

My immediate struggle is trying to get enough EAs on enough currencies or timeframes to be diversified enough and yet attempt to make 10% profit with less than 5% drawdown (INCLUDING open equity) to pass the challenge phase. I have a liquid-cooled, overclocked quad core i7-7700K running @ 5.2GHz per core. With hyperthreading I can run about 6 browser windows at a time running the reactor without slowing down the other browser windows too much. I have let it go for about a week and generated very few strategies. The ones I ran live with failed miserably on a demo account. I tried speeding things up by using a smaller minimum count of trades, that doesn’t work. Haha! You REALLY need to be over 300, preferably 500, from what I can tell so far.

The broker they are using can’t get me any more than 2 weeks of data to download. So I’ve tried various methods of downloading data from MetaTrader directly, using an account demo with Dukascopy and other brokers, and using the historical data website (which doesn’t offer many symbols), and then going to symbol settings and entering the spread, swap, commission, etc. from the FTMO broker before generating strategies. It doesn’t seem to make much of a difference which of these three methods I use. Any suggestions or advice? I’ve tried anywhere from 50,000 bars (hard to get 300+ trades) to 500,000 bars (VERY slow to generate strategies, and requires data that is VERY old unless you are on 1M timeframe).

So… before I waste any more weeks generating strategies that don’t work, what should I focus my efforts on first for currency pairs and time frames? I’ve mainly been trying 15M and 1H, and sticking to pairs that are diversified (such as AUDCAD, CADCHF, CHFJPY, EURAUD, GBPJPY, and NZDUSD for the first set of six…. AUDCHF, CADJPY, EURCAD, GBPAUD, NZDCHF, and USDJPY for the next set of six, and so on). However, some of these are running days without finding more than 1 or 2 strategies, so maybe I’m going for the hardest ones first and there is a better method?

I’ll share some screenshots of my current settings in the next post…

[aaronpriest]

BTW, here is what one of the analysts on the FTMO team had for an experience with algorithmic trading, taking four months to generate strategies and then a year of trading them. They may have made several flaws with their methodology, including not constantly generating new strategies and swapping them out, but this is why I want to prove that it can be done successfully and long-term with EA Studio! 😉

A big test of Algorithmic trading. Does it work?

[aaronpriest]

So, here are my current settings. Happy to hear any advice on them!

I’m using MetaTrader-Demo as the data source, but going into Symbol Settings and making it match my broker. I’m going for 15M timeframe currently on the 28 major pairs. My acceptance criteria is:

• Minimum count of trades: 300 – 500 (I’m still experimenting)
• Minimum balance stability: 80 – 85
• Minimum profit factor: 1.2
• I’ve also tried Minimum r – squared of various numbers from 60 – 85 instead of balance stability. Any suggestions?

For both in sample and out of sample I’m using Minimum profit factor: 1.1

For Monte Carlo Validation I’m using the default of Minimum net profit: 10, and Minimum count of trades: 100. I might try Minimum profit factor: 1.1 instead, would love suggestions!

Under Reactor, my Strategy properties are:

• Entry lots: 0.1
• Stop loss: always use
• Type: Fixed
• Min pips: 10
• Max pips: 100
• Take profit: Always use
• Min pips profit: 5
• Max pips profit: 50 (I’ve tried 10 and 100, but I was hoping trades would close sooner this way, since they must close by Friday anyway)

Generator settings:

• Working minutes: 0 (I run until I get 10 or so good looking strategies for a portfolio–IF it finds any at all. I’ve let it go to 100 strategies with fewer minimum trades, but they were failures in demo accounts)
• Search best: Net balance
• Out of sample: 20% OOS (I’ve also tried 30%, not sure which is better)
• Max entry indicators: 4
• Max exit indicators: 2
• Generate strategies with preset indicators is NOT checked
• Use common acceptance criteria IS checked

I’m not using anything for optimize strategies. They took too long and rarely passed with less than 500 trades, and even then didn’t usually pass Monte Carlo afterward, but would pass Monte Carlo if they were not optimized. So I decided not to use optimization at all, unless someone has better insight?

The only thing checked under robustness testing is Monte Carlo, with the previously mentioned settings. Multi Market seemed to fail many strategies that otherwise looked good, and I’m barely getting 1 – 3 strategies in 48+hrs as it is. Sigh…

Any suggestions to any of the above?

[John]

Hey, good luck with the challenge. I’ve thought about doing this as well. I know as long as you have positive P/L and did not break any rules, your challenge will be extended so I guess don’t worry too much about time. I would start with trying out one of their 2 week demos and seeing if the strategies generated with MetaTrader-Demo data source is sufficient. They give you stats at the end of the demo so it’s a good way to see if your EAs break any rules and I believe you can keep requesting demo accounts so you can keep trying until you feel comfortable.

[aaronpriest]

Thanks John! You should try it too! I did try the 2 week demo and failed, the draw down was too much. For example, I’m running 5 portfolio EAs on 5 currencies, my equity is positive $369, but my margin is almost $1200 because so many trades are open with hedging. So that’s almost half way to my max daily loss of $2500 on the 2 week demo. Worse, I had a positive equity over $1000 yesterday, but it dropped to $300 something (still positive) and yet they consider that a $700 negative toward your max daily loss. So I’ve had to run another EA that gives a trailing stop on all open trades to avoid this in the future. At any rate, I failed my first attempt on a free 2 week demo. I also did not have very good EAs as I was only using about 100 trades to generate them faster. 😉

[aaronpriest]

Well… I see a lot of views here, but no responses… What are your thoughts folks? 😉

[Petko Aleksandrov]

Hey Aaron,

I am glad to see the topic in the Forum. Honestly, I was not familiar with that challenge. Did you guys checked if all that is legit? Maybe I am too skeptical with all the scam brokers around 🙂

Anyway, before I give you some tips, could you answer the following questions:

1. Why did you select these currency pairs and why don’t you trade the major ones? EURUSD, GBPUSD, EURGBP?

2. What are the symbol settings for these instruments? Spread, Swap, Commission?

[Petko Aleksandrov]

Before you give me the answers, I can say that you are getting a small number of strategies because their symbol settings are bad.

Next, how come they talk about algo trading, but their broker provides 2 weeks of data?

That is like a car race, where they give cars to the drivers without flat tires…

I think you can easily fit in their rules with the EAs from EA Studio but if you have fair trading conditions.

[aaronpriest]

Hey Petko!

FTMO is very legit, one of the most respected prop firms. Hence why their challenge is notoriously difficult, they are around for the long term and won’t fund a trader with bad risk management, haha! They aren’t a broker persay, they use LMAX.

I took all 28 major currency pairs and split them into diversified groups, and then started generating strategies on each group of six at a time, since I couldn’t do more than that at once with my CPU without slowing down the reactor. I’ve been trading on most of the 28–some I couldn’t get enough strategies for. So I did trade the ones you mentioned.

The spread, swap, and commission with LMAX look better than most other brokers I have used in the past. EURUSD for example currently has a spread of 2, commission is $3, swap long is -0.91 and swap short is +0.24. I’ve entered these figures into the symbol settings for each pair that I’m generating strategies for. I don’t know why these symbol settings would be bad, but maybe this is a key to why I’m getting so few strategies, I dunno…

On the demo account, FTMO is passing along data from LMAX, who is only providing 2 weeks of data for demo accounts. There is nothing they or I can do about it from the answer I received. Maybe I could purchase it directly from LMAX, but they don’t seem to want to deal with individuals. I tried getting more historical data from LMAX via MT5 because it is listed as a demo server on a native install (not from any broker, just direct from metatrader5.com), but the data they provide there is nowhere near the same or as good as what they give as a liquidity provider to large firms like FTMO (spread, commission, etc.). So I’m still stuck downloading data that’s not identical and trying to match it up via symbol settings. If I had an account with them long enough, I could use my own captured data over a longer time period, but I need to pass the challenge to get a real account to have that, LOL! 14-day demo accounts won’t give you more data than what I’ve got.

One problem I’ve had is opening too many trades at too high a lot (0.05 or higher is TOO much!) and easily going below 5% equity. So I’ve had to stick with 0.01 lots because the stop loss on most of these strategies is quite large, and if you have 50 trades open and 2/3 of them start going in the negative, you can very easily hit your daily maximum loss. Is there a way to limit how many trades each EA opens at once? Maybe having only 5 strategies per pair and limiting myself to 10 pairs would help limit max open trades at once and risk, allowing a larger lot size. If you get 10 strategies per pair, you are back to 0.01 lot size to avoid max daily limits. The hedging really cancels out a lot of winning trades. It’s really tough to hit +10% profit in a month without ever risking more than 5% total equity in open trades at once I’ve discovered. I started using a 3rd party EA to enable a better trailing stop on all opened trades to capture positive equity and close it out faster, since I wasn’t hitting the take profit very often without dropping into negative equity a lot. I’ve tried changing the reactor to accomplish this, either with a trailing stop, or with a stop loss smaller than take profit, but wound up with even fewer strategies.

I think I need to start all over generating strategies on another demo account with another broker just to be sure symbol settings is what is preventing me from finding good strategies. I’ve wasted about 2 weeks of CPU time so far. The strategies I’ve been generating are losing more than winning, even when they look good on the last 2 weeks of LMAX data before putting them on the demo account for forward testing.

[aaronpriest]

Oh, another observation, the EAs did NOT close out Friday trades properly at the time they were set. I double checked the EAs to be certain:

// 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.

[aaronpriest]

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?

[aaronpriest]

Popov says it’s normal for an added commission to degrade the strategies performance to a level that makes it twice as difficult to pass the acceptance criteria. I’m going to assume that’s the biggest reason why I’m struggling with custom symbol settings.

[aaronpriest]

Well, there is definitely something wrong with custom symbol settings. I ran two independent browsers for about 45 minutes on MetaTrader-Demo EURUSD H1–one with custom symbol settings to match LMAX, and one unchanged. The only things I changed between the two browsers was swap long, swap short, and commission under symbol settings. Here are the results…

Original:

Custom symbol settings:

It’s obviously not slower, there’s just half as many strategies found. I wonder if it is because MetaTrader-Demo assumes zero commission fees?

[Petko Aleksandrov]

Hey Aaron!

I am glad to hear from you. It seems that the Forum blocks the posts that have more than 1 image. Of course, we will solve it, but in the meantime, if you want to share screenshots just go for one per post.

Yep, quite normal that you get fewer strategies if the costs are bigger. So focus on the data you can get.

I would suggest you do the following:

Download the data from the Forex Historical data app, and insert the symbol settings for the broker you are about to use.

The data in the app is complete without missing bars.

Also, you can increase or decrease the number of trades that the strategies will open according to the number of bars that you use.

For example, if you use on H1 50 000 bars and you run another generator with 25 000 bars, but in both, you request min 300 counts of trades, It is obvious that the second generator will give you strategies that are 2 times more active.

[aaronpriest]

Thanks Petko,

More than 1 image per post would make sense with what I’ve seen regarding posts getting blocked or missing. Thanks for looking into it!

I’ve been using the Forex Historical data app with custom symbol settings, but there weren’t very many pairs listed there. I had my best results with gold using it though since the data was more complete.

So, to be sure I understand what you wrote, there is no way to limit the number of active trades each strategy opens at a time. But running the reactor on half the amount of bars will result in potentially twice as many trades being open at once by those strategies (all other things being equal)?

[Author]

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