Additional EA added

I’ve added an additional EA to the fray.  This one uses MACD states to define the market states.  I’m only using 2 timeframes in this case, because if I were to use three I’d wind up with 4,096 market states with very rarified statistics.

As a result of the new addition, I’ve rearranged things a bit.  There are now two columns and three rows in the broadcast.  The left column has the 1/5/15 timeframes, and the right column shows the 1/30/60 timeframes.  The rows show the DMA, MAFR, and MACD versions from top to bottom respectively.

I accidentally left the multiple order setting active for the MAFR 1/5/15 version on Monday, with pretty disastrous results.  Suffice it to say that this EA is no longer in the positive.  As for the new guy on the block, the MACD 1/5 version got off to a good start, being already up 43 pips since its debut last night on only 2 trades.  I should mention its second trade did a great job of nailing the rise in EURUSD today between 14:57 and 17:28 GMT.

Another thing I noticed is that the SL and TP levels were not being dynamically updated in certain EAs, and some were missing their exit signals.  I figured out where the bug was and fixed it, but I can’t implement it until tonight.  I’ve also tightened up my configuration control procedures to try and keep these issues from reoccurring.

Stay tuned…

 

Advertisements

Metrics for the week

This is the breakdown for the week for each EA tested.  Each trade was placed with 0.1 lots on the EURUSD, so $1=1pip and the gain/loss is shown on the y axis.  We ran with a back-history of 200,000 bars and each projection was 2,000 samples.  It appears that the clear winner for the week is MAFR 1/5/15, with DMA 1/30/60 in second place after a late week surge, but I should mention that we were plagued by technical problems all week.

The computer that was running these EAs this week simply cannot keep up with the workload.  The cycle time for the MAFR series was seen to be over 800 seconds at times, and seeing as we would like an update well within 60 seconds, this is simply unacceptable.  My old 4 GB RAM, 2.2 GHz Phenom X4 9550 is really starting to show its age, and we had frequent lockups and crashes.  The broadcasting software was especially troublesome, perhaps because all cores were at 100% utilization and there was no spare capacity to process the web stream.

I received most of the components for my new build, a 3.4 GHz Intel i7 2600 with 16GB of DDR3 RAM, but I’m still waiting on the aftermarket heatsink for the CPU, since I don’t trust the stock Intel cooler that came with the chip.  This machine can run 8 threads at once, so 4 simultaneous EAs and additional software should not pose a problem.  In addition, the faster RAM should increase the data retrieval rate significantly, and the larger RAM capacity should decrease paging to disk to a minimum, so i’m expecting some of the problems to go away.  If the cycle time is still excessive, though, i might have to cut back on the amount of history fed to the EAs and the number of samples.  I actually would like to increase both, since i don’t think enough data is being processed for really good stats as it is, but i may have to make some concessions.  Perhaps if I have time I may try to optimize the code some and see if there’s anything to gain there.

Quad test

Over the next few days I wanted to test the DMA against the MAFR versions.  You can see them streaming live by clicking the preview on the right.  There are two DMA versions on the left and two MAFR versions on the right.  The EAs on the top row are running on the 1 minute charts with 5 and 15 minute higher order timeframe references.  The bottom rows are also running on the 1 minute charts, but with 30m and 1h higher order timeframe references.

I’m also using the upper standard deviation as the TP, and the entry trigger is PN=0.2 (see mathematics).  I expect this setup to place many more trades, which should make it easier to gather data and calculate metrics.

Live streaming

This week we started broadcasting the live stream video feed of MCNP_EA V.dma.3.91. Version
3.91 is basically the same as 3.89, the only changes being cosmetic. We tried setting up a dedicated page on this blog, but wordpress does not like livestream embedded code for some reason. I had to post my livestream channel on vodpod, and used vodpod as a proxy. The video feed is available on the right above the twitter play-by-play.

You can now see three curves projecting out from the zero bar. The white curve corresponds to the mean opening price of all histories run during the latest projection. The blue and red curves correspond to +/- one standard deviation respectively. The EA is currently set up to enter a trade when the spread between the current open and the maximum (or minumum) mean is at least 40% of the spread between said mean and the minimum (or maximum) value of the standard deviation. In addition, the mean and standard deviation values are used to set the SL and TP, but if the mean curve ceases to point in the direction of the open trades, all open trades are closed. While variable position sizing was coded into the EA, we’re using a flat 0.1 lot size for the time being in order to get a simple assesment of accumulated pips.

The rationale for these settings as well as other mathematical observations will be discussed in a separate page at a later time.

Slow trading…

With the exception of one trade in December 2010, MCNP_EA V.mafr.3.64 has been very quiet. It appears that it is using extremely conservative settings and it’s proving to be as exciting as staring at the wall. I’m giving 3.64 a new roomate (MCNP_EA V.dma.3.89). This new variant is much more trigger-happy, and runs on the 1M scale as opposed to the 5M scale as 3.64. On the other hand, it runs close to real-time, so there’s no practical way to backtest it — especially since MT4 is not multithreaded so there is no simple way to make use of multi-core parallelization.

I removed some of the limitations that make 3.64 behave in a more prudent manner. At the same time, however, working on a smaller timescale should allow it to react to changing market conditions more swiftly. In addition, the two higher order reference timeframes used for statistical quantification are the 5m and 15m timeframes as setup. I’m also allowing it to cancel all open transactions the moment the bias turns the other way, as opposed to forcing either an SL or TP as was the case with 3.64.

All in all, I would expect this version to trade a lot more often. We will evaluate this for some time as a forward test and see how it goes.

almost there

Ok, we’re almost ready to start forward testing. I think the rest of my backtests should be done baking by thanksgiving. We’re tentatively setting the go live date for 12/1/2010. This should give me enough time to analyze the data, choose what I’m going forward with, and start the twitter broadcast.

Stay tuned…

[in the meantime, please take a look at]
Motivation behind the experiment
MCNP EA