Tagged: ,

Viewing 15 posts - 16 through 30 (of 33 total)
  • Author
    Posts
  • #58444
    Thapelo
    Participant

    Yes, I can confirm that the EAs open one trade at a time.

    I am interested to know more about that FTMO Challenge. Will be looking for more info from you…

    #58278
    aaronpriest
    Participant

    OK, apparently I was mistaken about the number of trades each strategy opens at a time. I probably reused a magic number or accidentally gave two portfolio EAs the same magic number making it appear that each strategy could open many trades at once. That is good to know, thanks!

    #58275

    Hello Aaron,

    actually you can limit the number of trades. In the Acceptance criteria, you have the min count of trades but you have the maximum as well.

    I am not sure what you mean by “there is no way to limit the number of active trades each strategy opens at a time”. The strategies open just one trade at a time. The EA will not open a second trade before the first one is closed.

    Let me know if that answers the question.

    #58130
    aaronpriest
    Participant

    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)?

    #57950

    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.

    #57796
    aaronpriest
    Participant

    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?

    #57818
    aaronpriest
    Participant

    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.

    #57797
    aaronpriest
    Participant

    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?

    #57795
    aaronpriest
    Participant

    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.

    #57794
    aaronpriest
    Participant

    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.

    #57791

    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.

    #57790

    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?

    #57745
    aaronpriest
    Participant

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

    #57656
    aaronpriest
    Participant

    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. 😉

    #57655
    John
    Participant

    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.

Viewing 15 posts - 16 through 30 (of 33 total)
  • You must be logged in to reply to this topic.