Discussion of article "Automated grid trading using limit orders on Moscow Exchange (MOEX)"
This article describes a guide to drain the deposit:
1. The market is chosen as a testing ground, which now shakes a lot (it is impossible to insure/avoid news, sharp movements);
2. It is possible to stop the market as a whole, due to the unstable situation (freezing of funds);
3. The category of instruments traded with leverage is selected;
4. The strategy is completely unsuitable for the current market conditions;
5. Brokers give money at %, not for free, and it is not always possible to determine from the terminal that the broker has lent money;
In Conclusion:
Данный торговый советник по сеточной торговли, равно как и сеточный торговый подход, требует контроля за нахождением цены в указанном вами диапазоне, при приближении цены к одной из его границ, возможна остановка сеточной торговли лимитными ордерами и ее запуск на новом диапазоне с новыми объемами.
The risks of unidirectional price movement are controlled by placing stoploss levels for limit orders. As a result, the presented grid Expert Advisor trading approach allows you to insure against sudden market drawdown (growth), after which, as a rule, there is a corrective price movement. That is, with competently chosen values of the price range, contract sizes, the number of grid orders, take and stop levels, the Expert Advisor allows you to avoid drawdown, while eliminating the need for constant monitoring of the market.
Whether it is necessary to follow the market or not... Either profitable or unprofitable. Avoids drawdowns? Until the first trend.
Yeah, one more thing:
Even considering the obvious disadvantage of this type of grid trading, namely the occurrence of strong non-stop price movement in any direction instead of the expected price movement in a range, we can report the following, namely:
- Firstly, such movements are not "frequent",
- Secondly, by the time the price moves out of the correctly chosen range and number of orders, the account will already have enough profit to compensate for the current loss,
- Thirdly, as long as the price fluctuates (moves) between the maximum and minimum value of the price range, making transactions both for buying and selling, the trading account is in profit.
Where are the tests? You have written an Expert Advisor, claim a lot of things, but you have not provided any tests! Where is the confirmation of your words?
I would like to add that under NO circumstances should this strategy be used on the futures section of the Moscow Exchange. And in general, IMHO, you should not use it.
I would like to add that under NO circumstances should this strategy be used on the futures section of the Moscow Exchange. And in general, IMHO, you should not use it.
Carefully read the article, the reports are attached, I trade on real using this trading strategy, you did not read it carefully and did not evaluate the trading approach correctly.
Read the article carefully, the reports are attached, I trade on real using this trading strategy, you did not read it carefully and did not evaluate the trading approach correctly.
First of all, if you want to talk in detail, answer each thesis that I have presented. So far you rely only on my inattention.
Your statement about live trading does not add to the winning strategy.
On the report:
1. Valuation from April 2022. We are now at the end of June 2022. Less than 3 months, 40 trades, do you think this is really enough to evaluate the strategy?
2. What an interesting choice of period, why did you start from April? Maybe you can do a test at least from the beginning of the year? It will be very interesting to see how your strategy will pass this period. After all, you agree that a strategy should be tested on turbulent moments. And these moments were in February;
Added:
Looked very carefully, as you advised. About 3 months, of course, I'm rash, in 1 month. All the more does not inspire confidence. The results are random.
И?
2. Possible stoppage of the market as a whole, due to unstable situation (freezing of funds);
How? Britain will ban trading on the Russian stock exchange?
1. The market has been chosen as a testing ground, which is shaking like hell right now (it is impossible to insure/avoid news, sharp movements);
4. The strategy is completely unsuitable for the current market conditions;
No one knows the current market conditions. No one knows the current state of the market. It is not clear whether the trend will continue or stop. Look at the moex index. The Fund is up. C is going to 55 even though they promised "dollar at 200".
5. Brokers give money at %, not for free, and it is not always possible to determine from the terminal that the broker has lent money;
Apparently you have never traded futures. There is no crediting on them. "Leverage" is provided for free, because in reality there is no borrowing of funds. Everything rests only on the security deposit made by the trader.
The risk of losing is higher. You need less movement to lose your deposit.
then how? Britain will ban trading on the Russian stock exchange?
Have we already forgotten how they stopped trading on the futures section for a month?
Nobody knows the current market conditions. Nobody knows the current state of the market. It's not clear whether the trend will continue or stop. Look at the MEX. The Fund is up. The C's going to 55 even though they promised "dollar at 200".
I agree, nobody knows what will happen tomorrow, but nowhere in the article does it say that now the futures market can storm more than usual, because there are increased geopolitical risks.
Apparently you have never traded futures. There is no crediting on them. "Leverage" is free because there is no actual borrowing of funds. Everything rests only on the security deposit made by the trader.
I am not talking about the leverage fee, but about the variation margin payment. For example, if the averaging has collected a large volume for buying and at the end of the day, after a sharp fall there is a closing below the average price of the position, it will be necessary to pay the variation margin. The bigger the drop, the more you have to pay. And if the futures were bought "for the whole cutlet", the position may not be closed (although with the market falling by 50+%, it will be closed), but there will be obligations, which will be shown in the report as "Broker's commission for maintaining positions without sufficient GO". There is nothing about it in the article.
In general, it seems to me that the author has poorly calculated the risks. The derivatives market is not forex, the rules are different.
I am not talking about the leverage fee, but about the variation margin payment. For example, if you average a large volume of buy and at the end of the day, after a sharp fall, you close below the average price of the position, you will have to pay variation margin. The bigger the drop, the more you have to pay. And if the futures were bought "for the whole cutlet", the position may not be closed (although with the market falling by 50+%, it will be closed), but there will be obligations, which will be shown in the report as "Broker's commission for maintaining positions without sufficient GO". There is nothing about it in the article.
In general, it seems to me that the author has poorly calculated the risks. The derivatives market is not forex, the rules are different.
You say that as if forex is different. For that matter, on forex you will be closed immediately, without waiting for any clearing. This is why it is possible to set 100 leverage. The broker does not risk anything. If the price goes against the client by a couple of pips - that's it, the account is gone. On Forts they give a chance to pay off before clearing. That is, no matter where the price goes, if it returns to the moment of clearing, everything is fine, you will not be paid off.
In general, fixation of variation margin is very good, because it allows you to use the earned money here and now, without waiting for the position to be closed. In this sense, there is a complete equalisation between TS holding their positions for weeks and TS closing trades within a day. But this is already a somewhat different topic.
Well, here you had to be a very idealistic trader not to close your long positions. There was an opportunity to close for several days. In any case, even if you were lucky enough to get into the wrong side on the futures section, you could close on the spot or even on foreign markets, for example, to buy a quid against the ruble. Besides, the same fund was already cancelled on the 24th of February, you can buy at the same levels today:)
First of all, if you want to have a substantive conversation, answer each and every point I have presented. So far you are only relying on my inattention.
Your statement about real trading does not add to the winning strategy.
On the report:
1. valuation from April 2022. We are now at the end of June 2022. Less than 3 months, 40 trades, do you think this is really enough to evaluate the strategy?
2. What an interesting choice of period, why did you start from April? Maybe you can do a test at least from the beginning of the year? It will be very interesting to see how your strategy will pass this period. You agree that a strategy should be tested on turbulent moments. And those moments were in February;
Added:
Looked very carefully, as you advised. About the 3 months, I certainly got a bit excited, in 1 month. All the more does not inspire confidence. The results are random.
In addition to your inattention, I rely on your abilities as a competent tester. I was testing while writing an article on this period..... Don't you realise that it is possible to pick up actual parameters for the robot and its test for the whole period of futures. "Beautiful" for the article.
I also rely on your ingenuity in terms of selecting parameter values and using them after the period of action on the test on the history of gluing futures and putting them on the real on the active futures - which is limited only by your imagination - and all this for you for free.
Do not make random ones, otherwise you do not know how to do elementary testing of trading systems and selection of parameter values, it is exclusively your problem. I have provided a working tool for use, if someone has crooked hands or lack of knowledge and skills for tests and their rules - see "Development, testing and optimisation of trading systems". "Developing, testing and optimising trading systems for stock robot - Robert Pardo - and it will be revealed to you.
Roman, you have written a lot about what I am like: inattentive, misunderstanding, inept at testing, problematic, probably with crooked hands and no knowledge.
I can be the root of all troubles in all markets, but it does not cancel the fact that you would have lost on the 21st and/or 24th of February on the instrument you tested.
Don't you realise that it is possible to pick up actual parameters for the robot and its test for the whole period of futures validity. "Beautiful" for the article.
Well, here you had to be a very idealistic trader not to close your long positions. There was an opportunity to close for several days. In any case, even if it happened to get in the wrong direction on the derivatives market, it was possible to close on the spot or even on foreign markets, for example, to buy a quid against the ruble. Besides, the same fund was already cancelled on the 24th of February, you can buy at the same levels today:)
Remember 2020, expiry of oil futures at minus prices? There the arguments of the Moscow Exchange about stopping trading were that if they continued trading, more people would buy the cheaper futures, and, accordingly, the losses would be even greater. It turns out, according to your words, that we have a lot of experienced, but idealistic traders....
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New article Automated grid trading using limit orders on Moscow Exchange (MOEX) has been published:
The article considers the development of an MQL5 Expert Advisor (EA) for MetaTrader 5 aimed at working on MOEX. The EA is to follow a grid strategy while trading on MOEX using MetaTrader 5 terminal. The EA involves closing positions by stop loss and take profit, as well as removing pending orders in case of certain market conditions.
If stop loss and take profit have other values than zero, their levels will also be displayed in the trading terminal in addition to active buy and sell limit orders:
Fig. 4.2. Using the grid EA on VTBR-6.22 with non-zero stop loss and take profit values
As a result, we have a grid of limit orders, which are re-set during activations inside the minimum and maximum price range.
Till the traded symbol price is located inside the price range, the grid EA accumulates profit on the trading account. Even if we consider an obvious drawback of this type of grid trading, namely a strong movement without rollbacks in any direction instead of the expected price movement in a range, I can say the following:
Author: Roman Shiredchenko