Discussion of article "Useful and exotic techniques for automated trading"

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New article Useful and exotic techniques for automated trading has been published:

In this article I will demonstrate some very interesting and useful techniques for automated trading. Some of them may be familiar to you. I will try to cover the most interesting methods and will explain why they are worth using. Furthermore, I will show what these techniques are apt to in practice. We will create Expert Advisors and test all the described techniques using historic quotes.

In fact, this technique can be used not only for martingale, but also for any other strategies that have a sufficiently high trading frequency. In this example, I will use the metric based on the balance drawdown. Because everything related to balance is considered easier. Let us divide the balance chart into rising and falling segments. Two adjacent segments form a half-wave. The number of half-waves tends to infinity as the number of transactions tends to infinity. A finite sample will be enough for us to make the martingale a little more profitable. The following diagram explains the idea:

Balance waves

The figure shows a formed half-wave and the one that has just begun. Any balance graph consists of such half-waves. The size of these half-waves constantly fluctuates, and we can always distinguish groups of such half-waves on the chart. The size of these half-waves is smaller in one wave and is larger in the other. So, by gradually lowering the lots, we can wait until a half-wave with a critical drawdown appears in the current group. Since the lots of this critical drawdown will be minimal in the series, this will increase the overall average metrics of all groups of waves and, as a result, the same performance variables of the original test should also increase.

For implementation, we need two additional input parameters for the martingale:

  • { DealsMinusToBreak } - the number of losing trades for the previous cycle, reaching which the starting lot of the cycle should be reset to the starting value
  • LotDecrease } - step for decreasing the starting lot of the cycle when a new cycle appears in the history of trades

These two parameters will allow us to provide increased lots for safe half-wave groups and reduced lots for dangerous half-wave groups, which should, in theory, increase the above mentioned performance metrics.

Author: Evgeniy Ilin

Ricardo Andres Moscoloni
291
Ricardo Andres Moscoloni  
Hi, first I want to thank you for the time, skill, knowledge and desire to write this and all the other articles you write, I don't have much time in forex, but I have seen as many eas as I can and they all have problems in generating profits, so I look with great interest at the systems based on grid, martingale and reverse martingale, purely mathematical approximations to the problem of the uncertainty of the market.
It strikes me that in a market that has millions of people (thousands in the mql5 community) articles like this have so few comments, maybe some are reading and testing without commenting, but I think it is necessary to dedicate a few words of thanks to the writer/publisher. Thank you very much.


Evgeniy Ilin
6622
Evgeniy Ilin  
Ricardo Andres Moscoloni:
Hi, first I want to thank you for the time, skill, knowledge and desire to write this and all the other articles you write, I don't have much time in forex, but I have seen as many eas as I can and they all have problems in generating profits, so I look with great interest at the systems based on grid, martingale and reverse martingale, purely mathematical approximations to the problem of the uncertainty of the market.
It strikes me that in a market that has millions of people (thousands in the mql5 community) articles like this have so few comments, maybe some are reading and testing without commenting, but I think it is necessary to dedicate a few words of thanks to the writer/publisher. Thank you very much.


Thank you for your rating, I hope you have found something useful for yourself that will bring you closer to profit. And about the fact that there are few comments, it seems to me that just very few people understand my articles. There are no easy solutions in them, because there are no easy solutions to make a profit. Not everyone can afford to delve so deeply into these issues, because it takes a catastrophically long time. I know that there are many literate people here, they most likely read my articles, note something for themselves and move on. I don’t think it’s scary, whoever wants to get knowledge or a result will receive it in one form or another.
northedan
213
northedan  
Thank you so much for this increrible article.
billy9663
9
billy9663  
Thankyou so much all your sharing , You are Brilliant Awesome !