PacMan (my first hybrid) - page 7
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...My bipoler tests were almost always 52%, or something close to that. Now the PacMan tests are from 60-72%. So I am going to work on accuracy of signal first. The more accurate the signal the less it will need to use martingale. Maybe martingale can be more of a back up, then primary thing. And need less max trades....
Yes, we need to put more work into signals and filters. As my simulation shows, if we take into account spread and slippage, it becomes much harder and the signal needs to give use at least 10% edge, which translates into > 60% accuracy.
Now, how exactly do you measure your signal accuracy? I didn't measure it yet independently from the Martingale pyramid (counting winners/losers).
So an objective criterion to compare entry signals is needed.
I know I'm just jumping into a long standing thread, but there is something very serious alassio mentioned earlier that nobody has addressed. The 2nd 3rd and Nth trade *MUST* have an increased chance of success or martingale/pyramiding fails. All you do is earn swap and spread for your broker, and each time, you loose money on swap and spread. (Swap may eventually outpace spread, but it won't correct for the market.) Martingale/Pyramid structures *need* an increased chance of success on the secondary trades. To "Fix" this, all you really need is some sort of delay and enter intelligently on the Nth trade - or enter the 2nd trade in response to the first signal failing in a specific way. (like bounce sell -> trend buy or bounce buy -> bounce buy) ....
My simulation is based on the assumption that our signal gives us an edge, say 10% and that this edge still is there also when higher N trades are placed. If it would have disappeared already, we have the same situation as in the casino games where there are independent trials and martingale does not help you out of a negative expectation game.
So our signal must be good enough to give us an edge during the whole Martingale pyramid, otherwise it becomes much more difficult to overcome the negative edge of spread/slippage.
Daraknor, I am interested in hearing more about your insights you have found in your research.
Hey Dave, here are some great results for the few days I just had it running with settings default and TF M30. Even though I like to go crazy with all currencies loaded but I just like to know for myself what currencies this EA will bring a profit week after week. Currencies the EA isn't really designed for might surprise us. What I would like to know though is what settings would you recommend changing if lets say I wanted to run this EA on an account of $500 and be really safe against a big drawdown?
Thanks man
My simulation is based on the assumption that our signal gives us an edge, say 10% and that this edge still is there also when higher N trades are placed. If it would have disappeared already, we have the same situation as in the casino games where there are independent trials and martingale does not help you out of a negative expectation game.
So our signal must be good enough to give us an edge during the whole Martingale pyramid, otherwise it becomes much more difficult to overcome the negative edge of spread/slippage.
Daraknor, I am interested in hearing more about your insights you have found in your research.it only shows up on the "very long scale" relative to your trades. You can use Martingale/Pyramiding short term to have 100% trade success each loop, but all you are doing is pushing the eventual "loop failure" further into the distance. Loop failure is when you pay the spread costs + losses. At a purely random entry (1.00 - spread profit factor) you will have the same results. It is much better to simply trade the 60% accurate signal (I'm assuming profit factor is 1.20) than to do the looping/pyramiding.
To discuss research, it is easier if we invent a few terms. LoopMax= maximum number of cycles in each loop. A LoopMax=5 will loose 5 times before giving up and accepting a loss on Loop5.
Each Loop has a different entry efficiency. Loop1 is your initial signal efficiency, and rather than use (TP-spread)/(SL+spread) ratios * win/loss, I'll just use the derived number that MetaTraders uses= Profit Factor. If PF > 1 you have long term profit (spread costs are built in to the wins and losses).
if PF(Loop[2]) > 1.0 then Loop2 is worth entering.
if PF(Loop[3]) > 1.0 then Loop3 is worth entering.
When you have a *reason* to enter the next cycle, then it is worth entering. Long term, you end up paying more in spread+swap for each loop. LoopMax*(spread+swap)*(Number of Trades started) = loss.
I did trailing stops mixed in with Martingale in my search, and this simply complicated matters enormously but the answer was the same - even with delayed effect trailing stops. When you add trailing stops, either your profits don't cover your losses, or you just pay your spread that much more. (Shorter cycles with eventual loss magnified by spread)
No matter how many times you do it, random entry = loss. If you delay the pyramid/martingale until you have a reason to enter the larger trades *and* you have a reason to enter at that time, then you have a solid system.
So if you have PF(Signal)=1.2 and you do this for each loop:
PF(Loop[1])=1.2
PF(Loop[2])=1.2
PF(Loop[3])=1.2
PF(Loop[4])=1.2
Then your chance of earning a profit on each loop increases dramatically. I'd calculate the odds, but I don't have time to do a Bayesian series before the bank closes.... must run.
I am looking into different ideas on indicators and filters. Some one in bipoler mentioned volitity indicator. I have googled my fingers off trying to find one and can't. If any one has or knows where to get a volatility indicator, can you let me know.
I am currently testing Money Flow Index(MFI) It signals on a 50 line cross above 55 will allow buy and below 45 will allow sell. I fit it into the vol., cci signal and blocked the others. After thinking about it I'm not sure if I want the others to signal when CCI isn't. I'll probly make the CCI/MFI signal be confirmed by JVEL. And give an option for RSX to be true or false.
If I can find volitity indicter I'll fit in to the CCI/MFI.
My bipoler tests were almost always 52%, or something close to that. Now the PacMan tests are from 60-72%. So I am going to work on accuracy of signal first. The more accurate the signal the less it will need to use martingale. Maybe martingale can be more of a back up, then primary thing. And need less max trades.
I will post updated version after I figure out the equity target problem. I have spent days trying to make it look at L_Profit+S_Profit >= AccountBalance. I used the existing equity target code and order send. I keep getting invalad ticket for order send function. But soon as I change it to AccountEquity >= AccountBalance it does just fine. Ive tried different ways of defining. I dunno what else to try.
Any ideas?
DaveI like this indicator
Theres alot of good stuff you guys are talking about.
Daraknor, welcome to pacman. What your talking about makes a lot of sense. But since I am so amature at coding, I can't code right off the top of my head like slot of you guys can. Some of what your saying is a little beyond me. But I still get the idea.
If you get a chance, Daraknor, can you look into what I need to do to make pacman use equity target based just on the pair its on? And even better, if it can look at L_Profit/S_Profit seperatly. Equity target is going to become a shadow profit target basically. Because if there are negative trades off setting positive trades profit, and the winning trades come to with in 2-3 pips of TP and then reverse, the equity target don't close out the winners, and since the winners fell short of the TP, they could now become losers. Because we all know the price will some how barely miss the TP and reverse a lot of times. Even on back tests. So its not necessarily the broker freezing a price before TP. (although that happens too). I don't need anyone to add the code to pacman, but to just tell me what I need to do to the order send function, and or defining the key words. If you want, I can send you what I tried to do with it, where I was getting the invalid ticket for order send function error. It might just be a parentheses missing or something simple like that.
Matrixebiz, great job on the forward testing.
I did a back test with out money flow index(MFI) and was 60%. I did one with MFI filter, and got 65%.
I have alot of ideas for signal accuracy, and will take a while to test them all. My goal is to have 70% or better accuracy on signals.
Dave
I like this indicator
Cool thanks. I'll check it out.
Dave
Theres alot of good stuff you guys are talking about.
Daraknor, welcome to pacman. What your talking about makes a lot of sense. But since I am so amature at coding, I can't code right off the top of my head like slot of you guys can. Some of what your saying is a little beyond me. But I still get the idea.
If you get a chance, Daraknor, can you look into what I need to do to make pacman use equity target based just on the pair its on? And even better, if it can look at L_Profit/S_Profit seperatly. Equity target is going to become a shadow profit target basically. Because if there are negative trades off setting positive trades profit, and the winning trades come to with in 2-3 pips of TP and then reverse, the equity target don't close out the winners, and since the winners fell short of the TP, they could now become losers. Because we all know the price will some how barely miss the TP and reverse a lot of times. Even on back tests. So its not necessarily the broker freezing a price before TP. (although that happens too). I don't need anyone to add the code to pacman, but to just tell me what I need to do to the order send function, and or defining the key words. If you want, I can send you what I tried to do with it, where I was getting the invalid ticket for order send function error. It might just be a parentheses missing or something simple like that.
Matrixebiz, great job on the forward testing.
I did a back test with out money flow index(MFI) and was 60%. I did one with MFI filter, and got 65%.
I have alot of ideas for signal accuracy, and will take a while to test them all. My goal is to have 70% or better accuracy on signals.
DaveIn order to solve the "equity target" problem, I use delayed trailing stops in Phoenix 6 and commercial EA.
In order to solve the "equity target" problem, I use delayed trailing stops in Phoenix 6 and commercial EA.
Thanks, currently trailing s/l only works if max trades set to 1. And the target moves up at the same rate as the s/l. So like that a target never gets hit. Just the s/l. But not sure if I like that yet or not. I'll see if I can get the trailing s/l to trail on any # of max trades, and to leave the tp in one spot.
I'll have the s/l trail at the same pips the equity target would have and it will move s/l to +12 or +14 pips in profit.
Dave
TrailingStops are now compatible with multiple trades. I need to do some work on RecrossMax to make it multitrade safe, hopefully without reading the chart every tick or bar. :/
If you set the value for MoveTPonTS in P6 alpha4 to 0, then the TP doesn't move at all. Setting it to 1 allows the TP and SL to be fairly evenly set. Gaps up a little bit will slowly bring the SL closer to TP. News events will likely hit the TP. Setting it to 3 or 5 makes sense to stay ahead of news events, but so would disabling TP completely (setting it to zero uses the current value. :/ ) The reason for moving the TP is so you can have a higher average profit, instead of an average profit ranging from DelayTS-TS to TP (usually in the middle) the average profit can be several times higher than the TP.