Discussion of article "Adaptive Trading Systems and Their Use in the MetaTrader 5 Client Terminal" - page 3

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Roger Flatt:

This is probably the most thought provoking article I have read on programmatic/robotic trading for a very, very, long time. A big thank you!

Acting on this new enthusiasm, I have adapted Eugene's work a little. [Apologies - at least I too will share ideas ;-) ]

I adapted an existing EA (not Object Oriented yet, unfortunately) for:

1. Multiple time scales:  M1, M3, M5, M10, M20, M30, H1
2. Multiple Fast MA's:  3,5,7,9,11
3. Multiple Slow MA's:  17,27,37,47 etc 97,107, 117 etc

Attached to an M1 tick, on a foreach(period)-foreach(fast)-foreach(slow) loop. Each tick works out if it needs to check for a 'virtual' trade, and 'executes' if need be, keeping a logical/virtual P/L balance.

Results are very suprising, and very positive ...

Optimisation is now in the areas of removing short time periods (e.g. M1, M3) [as higher time periods eventually 'win'], and also in determining how often to clear down the 'running P/L' counter to allow for detection of 'rapidly improving' parameter sets.

I have also to interface my favourite trading EA into this work (to add ADX/RSI/MACD/RVI checks etc), so that it always uses optimal, winning fast/slow MA pairs, and also has good market, money, position and trade management logic.

Thanks again,

T. 

Roger, thank you so much for this comment. Of course, there may have been many newer developments in the meantime but my current open problems might be solved by an adaptive strategy. The best combination of my trading ideas produced overwhelming results on EURUSD M1 throughout the 1st quarter of 2016 but it seems they have stopped being profitable around the Easter holidays. Nonetheless, they are still profitable on larger timeframe so I rather wonder how to compare the results of one strategy as it is applied to different timeframes. Unfortunately I cannot see here how the comparison of the results on different timeframes can be achieved. Could you point me to a good resource for learning how to compare M1, M5, M10, M30, H1, H2, and H4? 
 
Wondering has anyone succeeded in this mind blowing idea. This literally allows to optimize the EA on-the-fly.
 
Alireza #: Wondering has anyone succeeded in this mind blowing idea. This literally allows to optimize the EA on-the-fly.

Yes, I use a similar approach on several of my EAs, usually based on EMAs because they can be calculated incrementally and use very little CPU and RAM.

 
Fernando Carreiro #:

Yes, I use a similar approach on several of my EAs, usually based on EMAs because they can be calculated incrementally and use very little CPU and RAM.

Thank you very much Fernando for reply. 
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