Multi currency EA ideas - page 2

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Alain Verleyen
37486
Alain Verleyen  
ingvar_e:

  angevoyageur:

  The "overload" is not really that big. An array of input parameters and a loop handling it. Read input parameters to array from a file, Read file evey hour and you dont even have to restart the EA when changin paramaeters

 Advantages: Not so much.

Unless:

 - you are getting into a competion with your EA. Which I am not 

 - Want to have better control of total system performance. Which I do. Like possibly having a "Total system" TP and SL. Like closing all positions total profit has reached 7% of capital and stopping when total loss is 3%

   This of course also can be done with an separate EA running keeping an eye on system performance.

 - When it is all up and running maintenance is easier

 - Single interface to the broker server. No "context busy" message from the server (I think that is the message)

In my case its also a question of numbers. Running 12 pairs and 2 for each pair (long and short)  means 24 EA:s running. And the number of pairs might increase.

And the possibillity to do a backward test on the total system.

Ok, I am talking of "big overload" to scare people who want to do like you.

Did you think about the CPU overload ? One EA run on 1 thread, 12/24 EA will use 12/24 threads, not sure what can be the impact when market is very fast.

Anyway, it's to everyone to choose it's own paradigm, but I don't advice to use your approach.

Ingvar Engelbrecht
4412
Ingvar Engelbrecht  
angevoyageur:

Ok, I am talking of "big overload" to scare people who want to do like you.

Did you think about the CPU overload ? One EA run on 1 thread, 12/24 EA will use 12/24 threads, not sure what can be the impact when market is very fast.

Anyway, it's to everyone to choose it's own paradigm, but I don't advice to use your approach.

  I do not think the CPU load is excessive in my case. I do not depend on seconds timing. I do a  final entry check on every new minute but they are quite simple. Apart from that I do checks on

  5 minute, 1 hour, 4 hour and daily. I do "react" on "ticks" but only to check if I got a new minute bar. And the minute check is only performed if all higher time frame checks are aligned.

  The live (demo) performance on 12 pairs so far after 8 trading days (24/7) is 33 trades in total. The load on my server from this EA is minimal.

  And as you say. One EA runs on one thread. This is one EA so it uses one thread. The pairs are executed one at the time in sequence checking from daily to 1 minute. As

  soon as one  do not align with the previous higher one that pair is out of the current loop. Entry is done once for each trade and TP and SL is done with pending orders. No continous

  "surveiilance" of what is happening execpt for each new minute bar, And that is only done if all higher time frames align for long or short. So I would say that using this approach

  will actually put less load on the server than running individual EA:s

Rogerio Figurelli
Moderator
55240
Rogerio Figurelli  
ingvar_e:

I do not see the relevance of either using correlated pairs or not. Practical experience with my multi currency EA shows that:

1. The equity curve, the drawdown and the total profit is excellent running 12 pairs with the same system with pairs optimized individually

2. Splitting the individual pairs further by having different parameter settings for long and short trades improves the result substantially

Why bother with correlated or uncorrelated pairs? That is theoretical speculation that really has to be substantiated by practical results.

Taking this idea of splitting parameters for long and short trades and treating them as separate pairs just gave me the idea that this kind of splitting a pair

could be taken one step further and split the pair to "sub pairs" for different market conditions. That is an approach that I will not take at this time

since I want to finalize the current architecture that seems to work exceptionally well and start making money.

Sorry but I don't see other state, or pairs are correlated or not, as you are doing.  
And if something is working fine, as you pointed out, is not an indicator to don't test other options. For me, to face the market future, the most options we can test the better.
Ingvar Engelbrecht
4412
Ingvar Engelbrecht  
figurelli:
Sorry but I don't see other state, or pairs are correlated or not, as you are doing.  
And if something is working fine, as you pointed out, is not an indicator to don't test other options. For me, to face the market future, the most options we can test the better.

   figurelli:

   - I really do not understand your first sentence

   - Second sentence I agree with. It is just that I created this thread to discuss and get an opinion on the idea of using the multi currency architecture to "split" a

     pair into several parts. Eitherin long and short trades which is what I am doing currently and the other possible way of splitting it in "old data" and "new data" to handle

     different market situations. Correlation or not does not really have any bearing on this idea.

    Since what I am doing currently seems to work very well I will focus on making a "production" version before testing any radically different options

artemiusgreat
552
artemiusgreat  

ingvar_e:

Eitherin long and short trades which is what I am doing currently and the other possible way of splitting it in "old data" and "new data" to

different market situations. Correlation or not does not really have any bearing on this

Since what I am doing currently seems to work very well I will focus on making a "production" version before testing any radically different options

hey, thanks for starting this thread although could you clarify some things?

there are several ways to use multiple assets in trading :

  • pairs trading, used mostly on stocks because it requires strong cointegration of two assets, it is also called spread trading, e.g. two types of oil or futures vs spot on the same currency
  • identifying fair price for a group of assets using so called "index", portfolio that contains different shares of these assets, and based on this index we can suggest most probable direction for pairs in this index, e.g. decide how to trade EURUSD or GBPUSD depending on USDX
  • create synthetic instruments using linear regression and obtain weights for each asset in portfolio to create trend or flat - stationary time series

on the first page you displayed image that describes where specific currency pair should move depending on related pairs, is this the main idea that you use in your system?

in this case it looks much similar to #2 - trading index, right?

Sergey Golubev
Moderator
108452
Sergey Golubev  

Forum on trading, automated trading systems and testing trading strategies

Something Interesting

Sergey Golubev, 2016.10.17 10:55

Multi Instrument Indicator for MetaTrader 4

This is very interesting indicator: we can add the price of one or several other instruments to one window.

This is USDCHF price on the EURUSD chart:

This is Dollar Index price on USDCAD price:


This is Dollar Index on EURUSD chart:



Sergey Golubev
Moderator
108452
Sergey Golubev  

Forum on trading, automated trading systems and testing trading strategies

Correlation system

Sergey Golubev, 2017.04.06 09:25

Correlation

The beginning

  1. Correlation indicators: very good thread with some systems, explanations and good usefull indicators.
  2. Chart Transposition Indicator: original thread.
  3. FINEXX Correlation System and EA - the thread 
  4. Currency corelation - the thread.
  5. trend corelation - discussion thread.
  6. Correlation Index - small thread with indicator
  7. complimentary pairs thread 
  8. Cross-Currency Strength: good thread with indicators.
  9. Pearson correlation thread
  10. Cluster Indicators thread.
  11. Correlation candles indicator (MT5) - the post. Two possible types of correlation used: Pearson correlation and Spearman correlation
  12. Rank correlations (Pearson and Spearman) indicator (MT5) - the post with original version, the post with fixed version. This indicator is using Pearson correlation and Spearman correlation, besides, it has an option to use some of the 22 price types as well as using floating levels

After

  1. Correlation system thread
  2. Currency Correlations, Part I - the video
  3. Currency Correlations, Part II - the video 
  4. MFCS Currency Correlation Chart - MT5 CodeBase indicator
  5. MT5 CodeBase on HowTo - post with the articles
  6. Multi currency EA ideas - the thread
  7. Forex Correlation Theory thread

Zee Zhou Ma
1903
Zee Zhou Ma  

You may want to consider the market sentiment to pick the best symbol to trade at any one time.

Market sentiment is the actual participation of the market players in terms of their bullish and bearish bias. 

You can derive this number from screen scraping websites that contain this data.

This should reduce the load on your platform.

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