Sunday, March 28, 2010
You gotta check out this E-Book on Automated Forex Trading written by a guy named Allan Sykes at http://www.robovore.com/.
Scroll down and put in your name and E-mail address and you will receive a link to download the E-book. Thanks to Sir Redford for the tip, once again.
The book is an incredible eduction of the 20+ years this guy has spent working on automated trading systems. And he summarizes it down to a few pages, and gives it away for free! What more can you ask for?
Of course the question is what is Mr Sykes asking for?
He's selling the Robovore EA for $117 plus a monthly fee of $29 for his ongoing Robo-updates.
Is it worth it? We'll see because we can follow is results live at http://robovore.mt4stats.com/.
From what I can tell his $5000 account starting back on 1/25/2010 is up about 2.3% in the 10 weeks is has been open which, if it stays on track is about 11.5% on an annual basis.
A test started up at Forex Peace Army started on 3/15/2010 is up 5% in about a week's time.
In any case, checkout the E-Book, its great stuff.
Friday, March 26, 2010
Megadroid demo continues to lead the pack and picked up 21 pips on the week and is up a smoking 18.11% for the year. This account performance is well exceeding my 1% a week goal.
Megadroid live, on the other hand, continues to disappoint and last week picked exactly 1 pip, or 90 cents. This is the second week in a row that Megadroid live took home one pip while the Megadroid demo took home 21 pips in one 10-pip trade and one 11-pip trade.
Before I complain too much, I would say that not trading or taking small gains is better than any type of loss. It's also worth pointing out that both Megadroid accounts only have one loosing trade for the year. Megadroid demo has only 1 loser of 35 total trades, and Megadroid live has only 1 loser in 21 total trades. That an impressive result for any trading system in my humble opinion.
Digging into what's going on with Megadroid live, Meta-Trader MT4 saves the contents of the Journals tab into a file found under .\Experts\Logs folder named according to the date. So let's take a look at 20100323.txt, the file from this past Tuesday.
Its clear from the review of the file that Forex.com is widening the spread to 5 pips at key times during the trading window, and that is defeating the Megadroid live. Since Megadroid has a 10-pip profit target, its also clear that a 5-pip spread on either side of the trade will eat up the better part of a 10-pip profit target.
I look a look a similar files for Megadroid demo and found no evidence of spread manipulation.
In terms of what can be done about this, I can't really blame Megadroid since their system is trading with deadly accuracy on both the demo and live accounts. Is there a broker around that will trade Megadroid without manipulation? I'll check with the Megadroid support people to see of they have any suggestions. If anyone reading has any suggestions, let me know.
In terms of the God's Gift EA's GBP/USD picked up 16 pips on Thursday 3/25. But it gave it back on Friday 3/26 with a 70-pip loss leaving GG GBP/USD +2.8% for the year. God's Gift EUR/USD picked up 12-pips but remains down -1.73% for the year.
That's enough for now and check back later in the weekend for back-test results from the Watukushay Expert Advisor.
Saturday, March 20, 2010
It was an active week for the God's Gift robots. On Monday GG GBP/USD picked up 23 pips on a buy trade pushing it to a new equity high for the year. On Thursday, it lost 70 pips on another GBP/USD long-side trade. On Friday, it collected 45 pips on a GBP/USD sell trade. Overall it was a wash and the robot lost -0.2% for the week.
God's Gift EUR/USD pulled out a winning trade and picked up 7.5% for the week but remains down -2.9% for the year. Daniel Fernandez also pointed out in a comment on my previous post that a similar robot is available for free here so i'll be doing some back-testing of that system as well.
On the Megadroid side, the demo account had another good week and picked up 16 pips. So far it is exceeding my 1% per week goal and is up +16.2% for the year. But the live account continues to dissapoint and picked up exactly one pip (90 cents) for the week. What bothers me is that the Megadroid demo was in the same trade but pulled out 6 pips!
So i'm clearly dealing with a case where the robot is good, but is somehow being messed with by the broker. As i've pointed out before, the live account is with Forex.com, and the demo account is with FXDD. So attempting to compare the data feeds is pointless since they are from different brokers.
In a post last week, I setup a pair of EA's called Trade Copier in an attempt to copy trades from the FXDD demo account to a new Forex.com demo account. That effort was unsuccessful and the demo didn't take any trades. I dug into it and did find the signal processor was writing files to the target MetaTrader root folder, but didn't find any evidence of the trades being picked up by the signal processor. To remove any possibility of symbol mismatch, I switched the signal processor to an FXDD account, so now both the signal processor and signal provider are FXDD. Perhaps that will clear up the issue, we'll find out next week.
That's all for now, enjoy your weekend.
Thursday, March 18, 2010
A while back, I back-tested the God's Gift EA's provided by Daniel Fernandez as part of his e-book on Automated Forex Trading found here. I didn't blog about it because I thought in some way I would be infringing since Daniel offers a paid web site where he monitors performance of his robots.
But I figure since I already sprung the $18.95 for his e-book, why not share the results? All publicity is positive right? Well, its almost-always positive, but I do I firmly believe that if you don't have anything positive to say, don't say anything at all. Besides, where else can you get a long-term profitable EA for less than 20 bucks?
Anyway, the results are good against GBP/USD and the the system averaged 30% a year for the last 10 years with only one loosing year. Drawdown averaged about 26% and was less than the profit for most years in the test. Starting in the year 2000, a $1000 account would have grown to about $3,700 after 10 years which averages out to about 10% a year. Also, God's Gift GBP/USD is up for the year in forward demo testing as you can see in the upper-right hand corner of this blog.
EUR/USD didn't trade quite as well, and was down 2 of the last 10 year as well as being down for this year. Profit averaged about 23% for the 10-year period while drawdown came in at about 27%.
I tested it against USD/JPY as well and proft averaged only 2% with a 28% drawdown. I started testing against USD/CAD but stopped after 5 straight loosing years.
Its possible the take-profit and stop losses need to be optimized. Doing that, I would suggest optimizing over a portion of the data (say the first 2 years) then running the best settings against the remainder of the data. That would be more realistic than optimizing against the entire data set then running with that since it would be a classic case of 20/20 hindsight.
In any case, God's Gift does appear to be a profitable long-term Expert Advisor, particularly against GBP/USD.
Cheers and check back tomorrow for my weekly update on Forex Robots.
Saturday, March 13, 2010
- Destination MT4 folder that will receive the trades
- A multiplier to increase or decrease the trade size by a constant factor
- Options to remove a Prefix or Suffix from the symbol
- Source MT4 folder that is sending the trades
- Price difference in pips that you are willing to tolerate between the price on the signal provider and the signal processor
- Options to add a prefix or suffix to the symbol. In my case, I had to add FXF to the symbol since the processor (FXDD) does not use the prefix, but the processor (Forex.com) does.
- An option to manually confirm trades before they are executed on the processor side
- An option to reverse orders. There's a blast from the Zulu-past.
Cheers and enjoy your Saturday.
Friday, March 12, 2010
Here's a update on this past week's action with the forex robot's i'm following.
God's Gift GBP/USD came roaring back with 2 winning trades. The first picked up 66 pips and brought the performance to even for the year. The second picked 78 pips and put the robot up 8.4% for the year. So far its been a saw-tooth type equity graph, which is consistent with the author's long-term performance of the system shown here.
Friday, March 5, 2010
Most commercial expert advisor attempt to hide or obfuscate their logic to make it more difficult to figure out how they work. And this makes perfect sense because if the logic of an EA were widely available, any money making edge using the EA had would soon be lost.
A commercial Expert Advisor is distributed to the buyer as an ex4 file, which is a file compiled from the original code written in the MT4 language. Some of the reasons ex4 files, rather than mq4 files, are sold include the fact that ex4 files run more efficiently than mq4 files, ex4 files cannot be changed/damaged by the user without very specialized knowledge and techniques, and because the developer would likely want to keep the logic of the EA secret as long as possible. Even with ex4 files, it is still possible to get broad hints about the way the EA works if, during backtesting, the indicators are displayed in the backtested charts. However, many developers have found other ways to hide the indicator 'secrets' of their EA's. One way is through the use of the MT4 function 'HideTestIndicators(TRUE)'.
After back-testing an Expert Advisor, you can click on the "Open Chart" button to see a historical chart showing the entries and exits for the back-test period. Normally, the indicators used by the Expert will be drawn in the bottom of the window as shown above. The obfuscation comes if the EA developer calls the HideTestIndicators() function to prevent the indicators from appearing. If you have the decompiled ex4 file (ie. an mq4 file), and you understand the MT4 language, you can examine the source code and find any indicator functions. Even more easily, you can find calls for the HideTestIndicators() and simply comment them out.
Then back-test the EA, click on the 'Open Chart' function, and voila, the hidden indicators are revealed. As an example, we can see that one of my favorite scalping EA's makes use of the CCI (Commodity Channel Index) and the RSI (Wider's Relative Strength Index) both on 15-minute bars. We can also notice that one or both of those 2 lines are heading down when a buy is triggered, and heading up when a sell is triggered.
In fact, I believe that some of the geat scalping EA's, including EAKAIN and Megadroid use this sort of sort of indicator logic - buy when the indicators say things are getting oversold, sell when the indicators are saying things are getting overbought. There are a number of other conditions also regarding time of day, and daily range before conditions are put on.
Once the EA takes a position, the position is exited once the profit target is hit (10 pips), or the stop-loss is hit (40 pips) or after one hour time out, EA will exit at break even or any profit if CCI and RSI are back above their midpoints, 0 for CCI and 50 for RSI.
Thanks for reading and more to come.
Megadroid had a pretty decent week and picked up 20 pips on both the live and demo accounts. This week's Megadroid trades were exactly the same in the live and demo accounts.
Another interesting thing to point out - I backtested Megadroid for 2010 year to date using the same risk setting I use in my live account (0.05). The results were very close to what I got in my live account, +7.5%, although the trades were not identical. I'm not sure what this means, but I thought it was worth pointing out since it may address some concerns that back-tests results will differ substantially from live results.
In other action, God's Gift GBP/USD dropped 54 pips and is down about -5.9% on the year. God's Gift EUR/USD picked up 9 pips but remains down over 10% for the year. The developer indicates these robots trade flat to downish most of the time and typically make their yearly gain in just a few big winning trades. So it will be interesting to see how it all works out.
Anyway, check back later because I have some good stuff coming up in a post over the weekend.
Wednesday, March 3, 2010
I continue to be amazed by the MetaTrader platform and I learn new things about it almost every day. Here's a few of the cool things I've learned recently.
1) When viewing charts of price history, you can change the scaling on the chart by putting your mouse over the price scale on the right hand side, holding the mouse down and dragging up and down. Also while mousing around on the chart area, you can view past chart action by dragging the chart to the right. But as soon as a new tick arrives, the chart will snap back to the present, so this can be a bit annoying when the market is active.
2) When back testing, you can click on the Graph tab to see a equity curve of the system as the test proceeds.
Also note the volume bars and green equity line in the graph. If you see cases where the volume bars increase and the equity line goes down (like right around bar #25 in the chart above) the system has properties of a 'Martingale'. In a Martingale, the loosing trades are added to in increasing volume. If the trades comes back your way, great, you are a winner. But if the trade continues to go against you, you can suffer a large loss or wipe your account. Be careful of systems that use Martingales.
3) Select Tools, History Center to manage the historical data available for back testing. Before back testing a new system on a currency pair, go into history center and double click on the pair being testing. Now double click in each time frame in sequence from M1 all the way to Monthly to back-fill all the history available from the broker.
In come cases, the broker might not have enough history to perform the 10-year back testing that is part of my routine. If that's the case, you can export data from another installation of Metatrader to a file using the 'Export' button. Then open up history center and import the missing data using the 'Import' button.
I've found that FXDD has more history than Forex.com. Those are the 2 MetaTrader brokers i've dealt with so far.
4) The last cool item is statement publishing. MetaTrader allows you to publish your statements free to the Internet so you can view them from anywhere and share them with your friends. Setting this up is easy.
- Visit one of the free statement publishing sites such as http://www.mt4live.com/ or http://www.mt4stats.com/
- Create a separate account on the site for each demo or live account that you wish to track. You have to come up with a unique account name for each account you want to track. You can register a number of accounts all under the same e-mail address.
- Take the publishing information provided by the site and populate your MetaTrader platform under Tools, Options, Publisher Tab.
- Now wait a few minutes and your data will appear on the Internet for all to see!
Using that feature, I've created URL's where you can track the performance of each of the experts I'm following in the upper-right hand corner of this blog:
God's Gift EUR/USD:
This one had some Forex PipZen trades mixed in which confuses the results. Just deduct $26 from there results to get the actual God's Gift result.
God's Gift GBP/USD:
I'm working on post that covers the topic of how MetaTrader programs communicate with the end user. This will contain some interesting tips on how you can figure out the logic behind some of commercial EA's including Megadroid.
So check back later for that and enjoy your day.