Dukascopy
 
 
Wiki JStore Search Login

Idea of a multi-entry strategy
 Post subject: Idea of a multi-entry strategy Post rating: 0   New post Posted: Tue 07 Feb, 2017, 19:08 
User avatar

User rating: 2
Joined: Mon 02 Apr, 2012, 18:00
Posts: 61
Hello Amine,


being very satisfied with the trailing logic you helped me recently to build, I'm now about to build a strategy with some new entries for the mentioned trailing logic. Therefore I'd like to know whether my basic considerations are feasible.

Generally speaking:

1.)
Is it possible, to have several entry signals and can they all use the same trailing logic?

2.)
When stopping the strategy, is it possible to calculate some statistics (based on all traded positions of the respective day) which can be helpful to find out the long-term performance of the strategy and its possible changes?

3.)
There are 2 conditions which I put on the very beginning of the strategy (checking for open positions and calculation of "position size"). Is this a proper way to handle it or should these 2 conditions be put into the respective entry logic?


I attached a picture to illustrate my ideas.

Thank you in advance!
Yours sincerely
Lunas


Attachments:
considerations.pdf [160.23 KiB]
Downloaded 254 times
DISCLAIMER: Dukascopy Bank SA's waiver of responsability - Documents, data or information available on this webpage may be posted by third parties without Dukascopy Bank SA being obliged to make any control on their content. Anyone accessing this webpage and downloading or otherwise making use of any document, data or information found on this webpage shall do it on his/her own risks without any recourse against Dukascopy Bank SA in relation thereto or for any consequences arising to him/her or any third party from the use and/or reliance on any document, data or information found on this webpage.
 
 Post subject: Re: Idea of a multi-entry strategy Post rating: 1   New post Posted: Wed 08 Feb, 2017, 16:31 
Visual JForex expert at Dukascopy
User avatar

User rating: 288
Joined: Thu 18 Apr, 2013, 09:26
Posts: 1496
Location: Switzerland, Geneva
Hello there !

Happy to hear this, Thanks !

1/ trading entry conditions is one thing and SL trailing is another so I don't see any obvious problems in mixing these especially if you've already understood how to implement this (from your screenshot the architecture looks good !)

2/ Yes according to the ratios that you're planning to add this is feasible. If you are planning to run the strategy from Jforex platform later, an additional adjustment has to added into the java code to be able to see the ratios printed as messages when the strategy stops. I'll help you on this matter.

3/ The way you put these 2 conditions in your screenshot is actually not optimized because the strategy will check these conditions every 10 sec (minimum candle period available for this start point) which is useless. I would recommend to insert these conditions before the entry command therefore they will be processed just before entering the market.

Hope this helps


 
 Post subject: Re: Idea of a multi-entry strategy Post rating: 0   New post Posted: Thu 09 Feb, 2017, 10:35 
User avatar

User rating: 2
Joined: Mon 02 Apr, 2012, 18:00
Posts: 61
Hello Amine,


thanks again for your answer which helps indeed and thanks a lot for your helpfulness :D.
I'm already about to build some entry signals - I'll let you know.


Yours sincerely
Lunas


 
 Post subject: Re: Idea of a multi-entry strategy Post rating: 0   New post Posted: Wed 15 Feb, 2017, 17:10 
User avatar

User rating: 2
Joined: Mon 02 Apr, 2012, 18:00
Posts: 61
Hello Amine,


here we go - the first entry signal is ready. However, it doesn't work properly - no position will be opened at all. There is again that "no value"-problem. Therefore I ask you to have a look at the entry signal. I recommend the following backtest: EURUSD, 2017-02-08, 13:57 GMT
I attached my strategy with some explanations and two screenshots (one regarding "position_size" which could be the reason for the mentioned problem of the strategy not opening any positions and one with explanations regarding my entry logic).


Thank you in advance for your answer

Yours sincerely
Lunas


Attachments:
entry_conditions.pdf [141.2 KiB]
Downloaded 181 times
position_size.pdf [193.4 KiB]
Downloaded 163 times
multi_entry_ver1.vfs [85.68 KiB]
Downloaded 238 times
DISCLAIMER: Dukascopy Bank SA's waiver of responsability - Documents, data or information available on this webpage may be posted by third parties without Dukascopy Bank SA being obliged to make any control on their content. Anyone accessing this webpage and downloading or otherwise making use of any document, data or information found on this webpage shall do it on his/her own risks without any recourse against Dukascopy Bank SA in relation thereto or for any consequences arising to him/her or any third party from the use and/or reliance on any document, data or information found on this webpage.
 
 Post subject: Re: Idea of a multi-entry strategy Post rating: 1   New post Posted: Thu 16 Feb, 2017, 16:06 
Visual JForex expert at Dukascopy
User avatar

User rating: 288
Joined: Thu 18 Apr, 2013, 09:26
Posts: 1496
Location: Switzerland, Geneva
Hi,

I've made some changes in your file and included comments so that you can understand.
I really recommend you to create and work with your own variables for Get historical candle blocks instead of working with the automatically created ones (Candle277, Candle35, ect ..)
You can delete them and create your own ones.


Attachments:
multi_entry_ver2.vfs [76.22 KiB]
Downloaded 210 times
DISCLAIMER: Dukascopy Bank SA's waiver of responsability - Documents, data or information available on this webpage may be posted by third parties without Dukascopy Bank SA being obliged to make any control on their content. Anyone accessing this webpage and downloading or otherwise making use of any document, data or information found on this webpage shall do it on his/her own risks without any recourse against Dukascopy Bank SA in relation thereto or for any consequences arising to him/her or any third party from the use and/or reliance on any document, data or information found on this webpage.
 
 Post subject: Re: Idea of a multi-entry strategy Post rating: 0   New post Posted: Fri 17 Feb, 2017, 12:13 
User avatar

User rating: 2
Joined: Mon 02 Apr, 2012, 18:00
Posts: 61
Hello Amine,


thank you for helping me again and thank you for your advice regarding "auto created variables". I'd like to take this opportunity to say, that VJF is a great tool! After I familiarized myself with it a little and with your continuous help I think even complex ideas of a strategy can be realised!

Glad to see, that it was just a little thing, that caused the entry problem. I must admit, I didn't have much time to test the strategy so far, but in a first backtest, the trailer didn't move. I compared the VJF-blocks with the strategy you built me in my former post, but at first glance I couldn't find the problem.
By the way: Without the trailer working at all, the performance of the strategy was even better. Maybe we can simplify the trailer......I'll think about it and let you know.


Thank you for your help!

Yours sincerely
Lunas


 
 Post subject: Re: Idea of a multi-entry strategy Post rating: 0   New post Posted: Tue 21 Feb, 2017, 19:31 
User avatar

User rating: 2
Joined: Mon 02 Apr, 2012, 18:00
Posts: 61
Hello Amine,


according to your recommendation, I replaced automatically created variables by my own one. By doing this, the "no value"-problem could be solved, which occured once again. Therefore thanks again for that helpul recommendation!

Nevertheless, the trailer still doesn't move, although it is the same one as in my previous strategy where it was working correctly. I checked all values related to my new created variable in the "Get Historical Candle"-block, but I couldn't find a mistake. For testing purposes, I fully removed the trailing logic and worked with a simple "Trailing Stop"-block. This worked without any problems. Besides, I used the opportunity to change the trailing logic slightly (it is always useful to have several options for the closing of a position).

Therefore I ask you again for looking after the trailing logic. I attached the strategy with some notes showing the problematical blocks as well as a screenshot of the improvement (or simplification) of the trailing logic.


Thank you in advance for your answer!
Yours sincerely
Lunas


Attachments:
further_consideration_of_trailer.pdf [45.92 KiB]
Downloaded 142 times
multi_entry_ver4.vfs [92.81 KiB]
Downloaded 188 times
DISCLAIMER: Dukascopy Bank SA's waiver of responsability - Documents, data or information available on this webpage may be posted by third parties without Dukascopy Bank SA being obliged to make any control on their content. Anyone accessing this webpage and downloading or otherwise making use of any document, data or information found on this webpage shall do it on his/her own risks without any recourse against Dukascopy Bank SA in relation thereto or for any consequences arising to him/her or any third party from the use and/or reliance on any document, data or information found on this webpage.
 
 Post subject: Re: Idea of a multi-entry strategy Post rating: 1   New post Posted: Thu 23 Feb, 2017, 11:21 
Visual JForex expert at Dukascopy
User avatar

User rating: 288
Joined: Thu 18 Apr, 2013, 09:26
Posts: 1496
Location: Switzerland, Geneva
Hi there,

I see that your block "OPen @ market" for both sides Long and short doesn't have an output variable (should be Bought and Sold) to identify your positions and let the trigger work.
Also bear in mind that you have a default SL= 2 pips linked to your open at market so as soon as it is reached the position will be simply closed and the trailing process will not have a chance to be executed ...


 
 Post subject: Re: Idea of a multi-entry strategy Post rating: 0   New post Posted: Fri 24 Feb, 2017, 13:33 
User avatar

User rating: 2
Joined: Mon 02 Apr, 2012, 18:00
Posts: 61
Hello Amine,


Quote:
I see that your block "OPen @ market" for both sides Long and short doesn't have an output variable (should be Bought and Sold) to identify your positions and let the trigger work.

I really should have noticed this myself..... :oops:

Thank you for helping me once again!
Now the entry signal is working, the trailer as you built it is working and - after some adjustments - the new version of the trailer is working as well.

To proceed with the "multi-entry"-idea, I built two further entry signals:
1.
Entry after a certain ratio "candle length" to "candle body" is given. Should be not too complicated, but when backtesting it, the backtest doesn't even start. What can be the reason for that?
2.
For the second entry signal, I'm struggling with a change in time frames. After three consecutive red/green candles, we check whether these candles as a whole exceed a given threshold in pips (a certain distance in pips during the time represented by these three candles - here three minutes). If so, we are looking on a lower time frame for a doji, which touches or exceeds the lower/upper BBand. This part of the entry signal is the same as the one you helped me to build. This doji on the lower time frame needs to occur in the next minute after we changed the time frame.

I built both signals as far as I could, but especially the change in the time frame and the condition, that the doji has to appear within just one minute are quite complicated.
Therefore I ask you again: Can you please check my signals? I added the sketch of both signals and a screenshot.
Thank you in advance for your answer!


Yours sincerely
Lunas


Attachments:
further_entry_signals.pdf [89.81 KiB]
Downloaded 146 times
further_entry_signal_1.vfs [51.23 KiB]
Downloaded 190 times
further_entry_signal_2.vfs [53.46 KiB]
Downloaded 218 times
DISCLAIMER: Dukascopy Bank SA's waiver of responsability - Documents, data or information available on this webpage may be posted by third parties without Dukascopy Bank SA being obliged to make any control on their content. Anyone accessing this webpage and downloading or otherwise making use of any document, data or information found on this webpage shall do it on his/her own risks without any recourse against Dukascopy Bank SA in relation thereto or for any consequences arising to him/her or any third party from the use and/or reliance on any document, data or information found on this webpage.
 
 Post subject: Re: Idea of a multi-entry strategy Post rating: 2   New post Posted: Tue 28 Feb, 2017, 17:14 
Visual JForex expert at Dukascopy
User avatar

User rating: 288
Joined: Thu 18 Apr, 2013, 09:26
Posts: 1496
Location: Switzerland, Geneva
Hi there!

I've checked your strategy and had the same results as you described (1) but did not had enough time to figure out a solution. please bear with me till then.

Thanks in advance !


 
 Post subject: Re: Idea of a multi-entry strategy Post rating: 0   New post Posted: Wed 01 Mar, 2017, 09:45 
User avatar

User rating: 2
Joined: Mon 02 Apr, 2012, 18:00
Posts: 61
Hello Amine,


Quote:
I've checked your strategy and had the same results as you described (1) but did not had enough time to figure out a solution.

This doesn't matter! I'm aware that there is a lot more work than just my questions waiting for an answer. I'll wait and try to make some progress on my entry signals.


Yours sincerely
Lunas


 
 Post subject: Re: Idea of a multi-entry strategy Post rating: 0   New post Posted: Wed 08 Mar, 2017, 12:57 
User avatar

User rating: 2
Joined: Mon 02 Apr, 2012, 18:00
Posts: 61
Hello Amine,


in the meantime I could find the reason why the backtest didn't start the other day. It turned out, that there was a mistake in my calculation of the entry signal. I used the following calculation: ((high-low)/(open-close)). But I didn't consider that this can lead to a division by zero. To cope with it, I found two possibilities: Adding a further condition (open is not allowed to be equal to close) or changing a little the denominator (now: (open-close+"0.0001")). Both possibilities are working properly.

Furthermore I tried to make some progress regarding the next entry signal. But changing the time frame as one entry condition is still complicated - I attached the entry signal as far as I could build it on my own. It is a little different to the one I've attached in my earlier post.

I would be glad if you could help me with this change in time frames. If you have any questions, please do not hesitate to ask! Thank you in advance.


Yours sincerely
Lunas


Attachments:
further_entry_signal_3.vfs [60.11 KiB]
Downloaded 187 times
DISCLAIMER: Dukascopy Bank SA's waiver of responsability - Documents, data or information available on this webpage may be posted by third parties without Dukascopy Bank SA being obliged to make any control on their content. Anyone accessing this webpage and downloading or otherwise making use of any document, data or information found on this webpage shall do it on his/her own risks without any recourse against Dukascopy Bank SA in relation thereto or for any consequences arising to him/her or any third party from the use and/or reliance on any document, data or information found on this webpage.
 
 Post subject: Re: Idea of a multi-entry strategy Post rating: 1   New post Posted: Thu 09 Mar, 2017, 11:14 
Visual JForex expert at Dukascopy
User avatar

User rating: 288
Joined: Thu 18 Apr, 2013, 09:26
Posts: 1496
Location: Switzerland, Geneva
Hi there,

I've just added a question inside the attached file..


Attachments:
further_entry_signal_3_Question.vfs [55.47 KiB]
Downloaded 204 times
DISCLAIMER: Dukascopy Bank SA's waiver of responsability - Documents, data or information available on this webpage may be posted by third parties without Dukascopy Bank SA being obliged to make any control on their content. Anyone accessing this webpage and downloading or otherwise making use of any document, data or information found on this webpage shall do it on his/her own risks without any recourse against Dukascopy Bank SA in relation thereto or for any consequences arising to him/her or any third party from the use and/or reliance on any document, data or information found on this webpage.
 
 Post subject: Re: Idea of a multi-entry strategy Post rating: 0   New post Posted: Thu 09 Mar, 2017, 19:16 
User avatar

User rating: 2
Joined: Mon 02 Apr, 2012, 18:00
Posts: 61
Hello Amine,


thank you for your answer and for concerning yourself with my strategy!
Please see the attached illustration and vfs-file. I added some explanations and tried to answer your question in detail. If there is still something unclear, please feel free to ask again.


Thank you in advance.

Yours sincerely
Lunas


Attachments:
illustration.pdf [108.55 KiB]
Downloaded 132 times
further_entry_signal_3_Answer.vfs [61.23 KiB]
Downloaded 196 times
DISCLAIMER: Dukascopy Bank SA's waiver of responsability - Documents, data or information available on this webpage may be posted by third parties without Dukascopy Bank SA being obliged to make any control on their content. Anyone accessing this webpage and downloading or otherwise making use of any document, data or information found on this webpage shall do it on his/her own risks without any recourse against Dukascopy Bank SA in relation thereto or for any consequences arising to him/her or any third party from the use and/or reliance on any document, data or information found on this webpage.
 
 Post subject: Re: Idea of a multi-entry strategy Post rating: 1   New post Posted: Fri 10 Mar, 2017, 17:38 
Visual JForex expert at Dukascopy
User avatar

User rating: 288
Joined: Thu 18 Apr, 2013, 09:26
Posts: 1496
Location: Switzerland, Geneva
Hi there !

Attached another version. I've only worked out the Long entry workflow which needs to be tested .. comments are embedded as well

Enjoy your WE !


Attachments:
further_entry_signal_4.vfs [59.78 KiB]
Downloaded 197 times
DISCLAIMER: Dukascopy Bank SA's waiver of responsability - Documents, data or information available on this webpage may be posted by third parties without Dukascopy Bank SA being obliged to make any control on their content. Anyone accessing this webpage and downloading or otherwise making use of any document, data or information found on this webpage shall do it on his/her own risks without any recourse against Dukascopy Bank SA in relation thereto or for any consequences arising to him/her or any third party from the use and/or reliance on any document, data or information found on this webpage.
 
 Post subject: Re: Idea of a multi-entry strategy Post rating: 0   New post Posted: Tue 14 Mar, 2017, 13:11 
User avatar

User rating: 2
Joined: Mon 02 Apr, 2012, 18:00
Posts: 61
Hello Amine,


sorry for the late answer and thank you for helping me once again - your explanations are quite extensive and helpful!
After some backtests it turned out:

1.)
It was necessary to add "positions amount", because the strategy opened more than one position at the same time.
2.)
The strategy is working a little odd. Sometimes a position is opened too late, sometimes without the crossing of the middle BBand, sometimes after green instead of red candles and - on the lower time frame - sometimes after a doji which is located between the wrong BBands (between middle and upper band instead of middle and lower band). For testing purposes I simplified the entry signal. But the strategy persistently ignores the entry condition of the crossing of the middle BBand. That's why I think it has nothing to do with the complex change in the time frames, but at the moment I have no idea of what can be the reason.

That's why I ask you once again to check this entry signal. I attached the strategy (with slight changes and comments), the simplified entry signal and some screenshots for illustrating the wrong entry points.
There may remain some errors in this entry signal but I'm glad to have an entry signal based on a change in time frames - I really appreciate your help!


Thank you in advance!
Yours sincerely
Lunas


Attachments:
further_entry_signal_5.vfs [64.36 KiB]
Downloaded 194 times
simplified_entry.vfs [43.64 KiB]
Downloaded 205 times
bugs_in_strategy.pdf [936.62 KiB]
Downloaded 171 times
DISCLAIMER: Dukascopy Bank SA's waiver of responsability - Documents, data or information available on this webpage may be posted by third parties without Dukascopy Bank SA being obliged to make any control on their content. Anyone accessing this webpage and downloading or otherwise making use of any document, data or information found on this webpage shall do it on his/her own risks without any recourse against Dukascopy Bank SA in relation thereto or for any consequences arising to him/her or any third party from the use and/or reliance on any document, data or information found on this webpage.
 
 Post subject: Re: Idea of a multi-entry strategy Post rating: 1   New post Posted: Wed 15 Mar, 2017, 16:00 
Visual JForex expert at Dukascopy
User avatar

User rating: 288
Joined: Thu 18 Apr, 2013, 09:26
Posts: 1496
Location: Switzerland, Geneva
Hi there !!

Alright, that was tough :D but slowly slwoly we're getting to the point.
- I've added some comments in your pdf, please check them first.
- further_entry_signal_6 strategy includes comments as well of all the changes that I made (hope I did not miss anything)
- The following 2 screenshots are just for evidence to show how 1mn workflow gets activated and then the 10 sec workflow followed by the entry trade

Image
Image

Please test and let me know


Attachments:
bugs_in_strategy.pdf [936.62 KiB]
Downloaded 142 times
further_entry_signal_6.vfs [63.17 KiB]
Downloaded 217 times
Conditions1mn_OK.JPG [200.52 KiB]
Downloaded 789 times
Conditions10sec_OK.JPG [200.47 KiB]
Downloaded 752 times
DISCLAIMER: Dukascopy Bank SA's waiver of responsability - Documents, data or information available on this webpage may be posted by third parties without Dukascopy Bank SA being obliged to make any control on their content. Anyone accessing this webpage and downloading or otherwise making use of any document, data or information found on this webpage shall do it on his/her own risks without any recourse against Dukascopy Bank SA in relation thereto or for any consequences arising to him/her or any third party from the use and/or reliance on any document, data or information found on this webpage.
 
 Post subject: Re: Idea of a multi-entry strategy Post rating: 0   New post Posted: Thu 16 Mar, 2017, 18:44 
User avatar

User rating: 2
Joined: Mon 02 Apr, 2012, 18:00
Posts: 61
Hello Amine,


Quote:
Alright, that was tough

I thought for a VJF-expert as you are it would be boring to answer just one simple question - that's why I came along with a demanding one and lots of screenshots. :mrgreen:

But seriously: Your screenshots show the change in time frames working exactly as I intended. In the meantime I backtested your changes in the entry signal - you didn't forget anything! Now everything works properly :D . And again your comments in the strategy are quite helpful. I knew you would find the solution, but I was afraid it will take more time and more backtests. I'm impressed once again!
With a signal based on a change in time frames I now have a basis for further signals. Now I'll do some fine tuning.


Thank you for your patient help!
Yours sincerely
Lunas


 
 Post subject: Re: Idea of a multi-entry strategy Post rating: 0   New post Posted: Fri 24 Mar, 2017, 12:15 
User avatar

User rating: 2
Joined: Mon 02 Apr, 2012, 18:00
Posts: 61
Hello Amine,


currently I'm testing my entry signals and the trailer in detail. In this connection I have the following question: When is it necessary to use "Price" and when is it necessary to use "Pips"? Some blocks in our strategy are using "Price", others are using "Pips". For testing purposes I switched "Pips" to "Price", but the results were poor.
Furthermore the tests showed, that it is better to change the trailing logic a little. The SL shouldn't move according to the high/low of the previous candle anymore, but in several steps. I tried to build it, but it doesn't work. Even the BBands are not on the screen anymore when backtesting. I suppose it is a little thing (probably a wrong use of "Assign"). Once again I'm asking you for repairing the mistake I made.


Thank you in advance for your help!
Yours sincerely
Lunas


Attachments:
pips_or_price.pdf [155.8 KiB]
Downloaded 141 times
further_development_of_trailer.vfs [88.61 KiB]
Downloaded 184 times
DISCLAIMER: Dukascopy Bank SA's waiver of responsability - Documents, data or information available on this webpage may be posted by third parties without Dukascopy Bank SA being obliged to make any control on their content. Anyone accessing this webpage and downloading or otherwise making use of any document, data or information found on this webpage shall do it on his/her own risks without any recourse against Dukascopy Bank SA in relation thereto or for any consequences arising to him/her or any third party from the use and/or reliance on any document, data or information found on this webpage.
 
 Post subject: Re: Idea of a multi-entry strategy Post rating: 0   New post Posted: Fri 31 Mar, 2017, 11:15 
User avatar

User rating: 2
Joined: Mon 02 Apr, 2012, 18:00
Posts: 61
Hello Amine,


in the meantime I could fix the new version of the trailer. It turned out that I overlooked a wrong calculation in the entry part of the strategy and that affected the trailer. Furthermore, some changes in the trailing logic were necessary.
Now that several entry signals are ready and the new trailer as well, I'd like to proceed to some statistics. I must admit, that this is will be a completely new aspect for me of using VJF. If you could give me some advice, I could try to built some statistics - your help is highly appreciated. I guess the following statistics is rather easy to implement in my strategy: How many positions did the strategy trade per day?

Thank you in advance!


Yours sincerely
Lunas


 

Jump to:  

  © 1998-2011 Dukascopy® Bank SA
On-line Currency forex trading with Swiss Forex Broker - ECN Forex Brokerage,
Managed Forex Accounts, introducing forex brokers, Currency Forex Data Feed and News
Currency Forex Trading Platform provided on-line by Dukascopy.com