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Sharing my recent work in the automated trading programming.

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 private private,

 Thursday, August 7, 2014

I've recently developed some expert advisers for MT4 and MT5 platform. I'll post the links here to get some feedback from this group network. I'll be happy to receive your constructive opinion on the experts results in the past few years of simulations. http://www.mql5.com/en/market/product/4808 http://www.mql5.com/en/market/product/5232 http://www.mql5.com/en/market/product/4803 Thanks in advance for your feedback... Best Regards


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5 comments on article "Sharing my recent work in the automated trading programming."

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 Cheng Gu, Trader at A Wall Street Investment Firm

 Friday, August 8, 2014



Hi Rui,

It looks quite great from the material that you provided. After all you made 600% to 1000% return in two years. As for suggestions, maybe you could backtest your strategy for a couple more years see if it works at longer horizon. Also maybe some analysis on yearly return. So my understanding is that there it is also highly levered. One concern I had is that it might be survivorship biased. Yes, your strategy works great if you start trading on first day of 2012. But what if you had the maximum draw-down right after you open your position? I am not sure if is biased since the overall strategy is not provided. But keep on the good work. I think it is a strategy worth investing looking at the huge profit possibility.


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 Martin Eshleman, Senior Programmer at MQL-Programming.com

 Saturday, August 9, 2014



I checked all 3 links. What I am seeing is just a back test report and a very brief description for each. Maybe you can update the listings with more information for us?


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 private private,

 Monday, August 11, 2014



Thank you all for your comments. I updated information with a test period regarding 1rst semester of 2014 for the T6 Model. I'll also think about implementing trailing stops for these robots. This might be a second version feature.


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 Nikitas Goumatianos, Software Engineer, Contracting/Program Manager, Algorithmic Trader/Researcher

 Monday, August 11, 2014



Rul, if update is https://c.mql5.com/31/34/SAEA-GBPUSD-2014-640-480.PNG (T6):



1) Although the profits for the first semester (2014-01-01 to 2014-06-29) is positive (39%), the main problem is that we cannot conclude that the system will continue to have future profits, because the number of trades are very low (only 11 trades for one semester or about 2 trades per month). Moreover, the winning trades is 54.55% - relevantly low comparing to the number of trades. Note, on live account the profits maybe much less than backtesting due to slippage or unexpected conditions.



2) Comparing with the previous test < http://www.mql5.com/en/market/product/4808 >, the profits were significantly reduced from about 800% of one year to 39% of 6-month period. I suppose this was due the over optimization or using in sample data for trading (same data for training and testing).



My sustentions are:


1) Try to modify your algorithm to produce more trades or use higher timeframe if possible. Involve trailing stops to minimize your risk and take profits.


2) If your algorithm cannot produce more trades, expand your testing for various periods.


for instance from 2009 as following:



(1) train 2009 => test 1st semester 2010


(2) train 2nd semester 2009 and 1st semester 2010 => test 2nd semester 2010,



to have totally more than 100 trades of all testing periods.



Keep on improving your algorithm.


Best Regards


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 private private,

 Sunday, August 17, 2014



Thank You all again for your input on this subject. I'll soon introduce a new version of the robots because after reading your critics and some experiments I concluded the best I could do was to implement a break even stoploss on all the robots. This is an optional on-off feature and if its on, this new feature dramatically decreases risk/drawdown of the robots either on optimization periods or on 2014 test periods.

All the best!

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