Discussion of article "Controlling the Slope of Balance Curve During Work of an Expert Advisor" - page 3

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Could someone help clarify the last comment in the article that stated a possible improvement would be, "Using virtual trading when the Expert Advisor enters an unfavorable period of working. Then the normal work volume won't matter anymore. It will allow decreasing the drawdown." Does this mean that by using virtual trading one could "rebound" from a drawdown more quickly since the diminished volume of trading used during negative periods will no longer affect the balance curve?


Thanks

 
ALtrend:

Could someone help clarify the last comment in the article that stated a possible improvement would be, "Using virtual trading when the Expert Advisor enters an unfavorable period of working. Then the normal work volume won't matter anymore. It will allow decreasing the drawdown." Does this mean that by using virtual trading one could "rebound" from a drawdown more quickly since the diminished volume of trading used during negative periods will no longer affect the balance curve?


Thanks


Not more quickly, but with less losses.
 

Thank you very much for the article!

Tell me, are there any plans to implement the same in the form of a capital and risk management module?

 
lVlaxim:

Thank you so much for the article!

Tell me, are there any plans to implement the same in the form of a capital and risk management module?

You are welcome!

No such plans for now. Why? Everything can be built into a ready-made Expert Advisor.

 

Tilt is of course important, but does anything depend on the angle (quantitatively)?

We can make a moving average from the balance,

during the downward direction prohibit_trade/min.lot upward allow/span.lot.

(it works in practice in isolated cases).

Flip through the given balance curve in your head by angle.....

 
costy_:

Tilt is of course important, but does anything depend on the angle (quantitatively)?

We can make a moving average from the balance,

during the downward direction prohibit_trade/min.lot upward allow/span.lot.

(it works in practice in isolated cases).

Flip through the given balance curve in your head by angle.....

You probably didn't read the article very carefully.

Neither the angle (quantitatively) nor the slope (qualitatively) depends on exactly nothing.

About the average - it's about the same as LR - view in profile)))

 

Great article! Thank you very much!

I decided to add it to my EA. But I have encountered some problems that I can not solve for some time.

The Expert Advisor works simultaneously on three currency pairs. Each pair is controlled using the proposed system with individual settings for each currency pair (TradesNumberToCalcLR parameter is different for each pair). For testing purposes, I run the Expert Advisor to work on individual pairs. I record the total balance for a certain period of time in the tester. Then I add up the balances on three currency pairs and run the Expert Advisor to run on all three currency pairs simultaneously. I get the result, which for some reason diverges from the sum of balances when running on currency pairs separately. Although it is obvious that this should not be the case (all possible effects of margin requirements are guaranteed to be eliminated). My assumption is that perhaps, when managing the balance slope, the system looks through the array of deals of TradesNumberToCalcLR size not by the specified instrument, but by the set of instruments. That is, deals of other currency pairs influence the managed instrument, reducing the number of deals of the specified instrument in the analysed array.

I think I have done everything necessary on my part. Before each lot calculation, I insert it into the code. 

BalanceControl.SetTradeSymbol(symbol_to_trade[i]);
BalanceControl.RefreshSymbolInfo();
BalanceControl.SetSlopePoints(TradesNumberToCalcLR[i]);
current_lots = BalanceControl.CalcTradeLots(RejectedLots, v_calc);

I don't know where to look in my code anymore. I will have to deal with the library itself if the author does not respond.

 
solandr:

For testing purposes, I run the Expert Advisor to work on individual pairs. I record the total balance for a certain period of time in the tester. Then I add up the balances on three currency pairs and run the Expert Advisor on all three currency pairs simultaneously. I get the result, which for some reason diverges from the sum of balances when running on currency pairs separately. Although it is obvious that this should not be the case (all possible effects of margin requirements are guaranteed to be eliminated).

And the work by ticks? If we do it by timer or by ticks of all currencies - is the result different too?
 
komposter:
And work by ticks? If you do it by timer or by ticks of all currencies - is the result also different?

The work takes place in the OnTick() function. I tested the Expert Advisor on M1 OHLC. Indicators are calculated once an hour with the mandatory control of synchronisation of hour bars. The previous hour bar is used for calculation. The current hour bar does not participate in the calculations. Opening a position for each currency is possible only once per hour. The Expert Advisor "rests" at 0, 1 and 2 minutes of each hour.

I conducted the following experiment. I set the counter to trigger a reduced lot for each currency pair. I tested all combinations of testing on M1 OHLC. Here is the result.

35 0 0 - testing only on the first pair

0 36 0 - testing only on the second pair

0 0 0 168 - testing only on the third pair.

36 35 0 0 - testing on the first and second pairs

0 35 162 - testing on the second and third pairs

35 35 166 - testing on all three pairs

Although it should be 35 36 168 when testing on all three pairs.

Tomorrow I will try to run the Expert Advisor on all ticks for comparison.

 

solandr:

The Expert Advisor works simultaneously on three currency pairs. Each pair is controlled using the proposed system with individual settings for each currency pair (TradesNumberToCalcLR parameter is different for each pair). For testing purposes, I run the Expert Advisor to work on individual pairs. I record the total balance for a certain period of time in the tester. Then I add up the balances on three currency pairs and run the Expert Advisor to run on all three currency pairs simultaneously. I get the result, which for some reason diverges from the sum of balances when running on currency pairs separately. Although it is obvious that this should not be the case (all possible effects of margin requirements are guaranteed to be eliminated). My assumption is that perhaps, when managing the balance slope, the system looks through the array of deals of TradesNumberToCalcLR size not by the specified instrument, but by the set of instruments. That is, deals of other currency pairs influence the managed instrument, reducing the number of deals of the specified instrument in the analysed array.

I looked through the text again to see what was highlighted - everything is in order there - only deals on the specified symbol are taken from the history.

Perhaps, this effect is caused by some peculiarities of the tester. I understand that the differences are not significant?

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