EA dump

[roar]

A simple scalping EA idea in case anyone is interested.

Lets compare the difference between 13-ATR and 13-Standard Deviation on EURUSD M30 chart.
When STD is significantly below ATR, market is making large candles but not moving anywhere.
Here's our opportunity to switch to 5-minute chart and buy/sell using fast RSI.


Backtest from 2007 yielded surprisingly good result for such a basic system.

[roar]

Here's the project: https://fxdreema.com/shared/YtCrSX5qb

This only works on mt5 with netting accounting.
I will not convert this to mt4, or even mt5 with hedging accounting, because:

• I'm feeling lazy
• I really recommend you to use mt5 with netting. Very often someone asks here in forum to calculate average entry, or close buys and sells together. Netting account does this automatically -> your EA developing is much more simple, multiplying your chances of success.

I'll continue to add some filters or otherwise fine-tune this system, may inform here or not.

[ramisignals]

This one with no SL it will margin the account

[roar]

@ramisignals said in EA dump:

This one with no SL it will margin the account

As I said, its for a netting type account. No need for SL (or TP), as long as your lot amounts are sensible.
https://hercules.finance/faq/what-is-netting-system-on-mt5-trading-platform-how-does-it-work/

[l'andorrà]

@roar Interesting, as always.

[kizerage212]

@roar What happens if you use a hedge account? Well, I know kind of but not sure if it applies since I'm not logged into the broker. I'm using high quality tick data I personally imported into mt5 and I'm not even logged into the broker but I did create a demo account that is hedged, just don't login. I tested the EA on the 5 minute timeframe strategy tester (default inputs you had) for just one month and lost half the account almost. Something must be wrong.

[roar]

@kizerage212 hedge accounts will not close the trades. The system relies on the netting method - new buys close old sells and vice versa. There is no other exit method specified.

[biztet]

Hmm... Something interesting in here. I'm still looking for indicator that can best define the ranging period. Maybe the combination of STD and ATR can do the trick. Will give a try.

[roar]

@biztet said in EA dump:

Hmm... Something interesting in here. I'm still looking for indicator that can best define the ranging period. Maybe the combination of STD and ATR can do the trick. Will give a try.

Go ahead, but I dont think its very comprehensive as a range identifier - it mainly detects the very very ugly patterns, close prices staying the same but large candle wicks...

[roar]

edit: nevermind

[biztet]

@roar , have you tried Damiani Volatmeter? An indicator which also filter ranging like chart. Can give it a try if it can gives better results.

[roar]

@biztet I never use custom indicators. I like to model my own things, so I know their strengths and weaknesses and I can fine-tune them exactly to my liking

[biztet]

Yes @roar .. I can understand that. Only if i could extract the mystery behind the custom indicators, easier to have an EA without an external link, and i think it can perform better.

[roar]

@biztet yeah, the main calculation in custom indis is usually just a couple lines (and they usually call the default indis and just combine them), the rest of the code is visuals, arrows, alerts and such.

[MrDaisyBates]

@roar

In the Adjustment field in the block that you have the STD and the RSI, I noticed you typed "*rel"

Does that standardize the two indicators to one another and mean "relative"?

Like, if I were to stack a MA on the ATR, for example, under the MA in the adjustment box, would typing "*rel" make the MA relative to the ATR?

Neat idea. Thanks for sharing it, bud.

[roar]

@cdwilder1 yes, it's "relative" or something like that.
For example, if rel is set to 0.7, I can read the conditon as "standard deviation is not more than 70% of ATR".

[seb 0]

Dang i missed this topic!
That actually is really cool, i didn't get the netting method right, i thought it was the fact to accumulate the trades of a same type... Now it opens up many perspectives to me. If I don't have a netting account I still can simulate it with a simple close trades(sells when buy signal) block right ?
Your strategy looks pretty simple and effective. On a higher timeframe wouldn't the PriceMouvement/Spread ratio still give better results ?
Talking about that i just found a simple configuration that also seems to give good results. Here is what it is :

The excessive value of the stochastic oscillator occurs when a price movement is significant compared to the recent range so
in a up trend ::::::
-the downward oscillation will not be overpassed by much by the recent range as soon as this trend is not too aggressive so the Stocha will be low. (fig 1)
-In this same situation the RSI will not go down by much because we are in a uptrend so the downward oscillations are hampered by the fact that we are in an up trend. (fig 1)
In a up trend :::::::
-the upward oscillations will make the Stocha oscillate as much(as the downward oscillations) (fig 2)
-however the upward RSI oscillations are gonna be amplified by the fact that we are in an up trend (fig 2)
Conclusion(mine) : The good signals should occur when the value of the Stocha is excessive, but not the one of the RSI.
The periods of the indicators need to be adjusted, and I added an minimum ATR value so the little price movements during flat market are not taken as signals.

The good thing about the strategy is that the trend taken in count by the indicators divergence, is a really recent one, so the lag is really low.
https://fxdreema.com/shared/cYklE3lHc

[roar]

@seb-0 yes, you can simulate netting:
when you get a "sell signal", check first if there's already some buy trades open -> if yes, dont open new sells, but instead close an equal amount of buy trades. And vice versa... Only complication would be varying lot amounts, not in this particular project though.

I didn't develop this idea any further, its just some interesting phenomenon that seems to work in certain market conditions.... maybe I'll return to this after some 5 years lol

If you think this stochastics setup is effective, go ahead and provide some backtest results for us ; )

[roar]

@seb-0 nowadays many mt5 brokers dont advertise their netting accounts very visibly, dont know why... maybe they get more swaps from the hedging trades.

Anyway, netting is the "default" method in mt5 (at launch it was the only option), every broker should be able to provide those accounts - just email them and ask nicely, thats how I get the accounts.

[seb 0]

@roar
It actually is more difficult to simulate than I thought. Cause in case of a prolonged down trend, the consecutive sell signals will make increase by much this no-stops short position, I guess that's why the lots sensitivity is needed ?
On a 3 years sample the results of my strat looks good but its probably not significant enough.
I am currently switching to FXTM, so i will be able to test the EA on a larger sample, and with this more relevant netting method. If the results are still good I will tell you