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  • #57651
    aaronpriest
    Participant

    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?

    #57649
    aaronpriest
    Participant

    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?

    #57648
    aaronpriest
    Participant

    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…

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