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…

 

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Metrics for the week

performance for the week of 11-03-25

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.

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

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