Take Profit Archives - アルゴリズムと機械の外国為替戦略

Using Parabolic SAR vs MACD

7 月 5, 2016 によってリオル Alkalay 1 コメント

Parabolic SAR and MACD are both very effective in spotting pivots and yet there is a difference. いくつかのケースで, you will find the Parabolic SAR is more effective while in others you might find the MACD more useful. That is why, in order to make the best of both, you must know the advantages and weaknesses of each.

Parabolic SAR has Higher Sensitivity

The first thing you will notice when comparing a パラボリック SAR to an MACD indicator is that the Parabolic SAR signals many more pivots. That is because the Parabolic SAR has, by default, more sensitivity to minor changes. もちろんです, you can reduce the level of sensitivity, but even so, it delivers more signals than the MACD. The benefit of such sensitivity is that, at times, the Parabolic SAR predicts a pivot before the MACD. But that sensitivity has a downside. In small fluctuations the Parabolic SAR can occasionally produce fake pivots. As you can see from point A to point B, the pair has been trending sideways and still the Parabolic SAR delivered plenty of signals, most are falls. しかし, the MACD during the same time frame was much more effective.

MACD is better at Momentum

One advantage the MACD has over Parabolic SAR is the measurement of momentum. As can be seen in the chart above, the MACD indicator, through the lows and the highs of its histogram, illustrates how strong the momentum is to either direction. If the histogram falls sharply lower, the momentum is strongly bearish, if it rises sharply higher, the momentum is highly bullish, if the histogram is fluctuating close to 0, the momentum is weak.

While the Parabolic SAR does a good job in identifying the direction of momentum quicker, it is much less effective in identifying the strength of a pair’s momentum. And that is why, when it comes to momentum, MACD is more effective than Parabolic SAR.

Limit/Stop Loss

Another way in which MACD and Parabolic SAR differentiate is in the way they influence stop loss and limit strategy.

パラボリック SAR, being an upper indicator, is overlaid on the price rather than being presented below. The dots of the Parabolic SAR are natural stop loss and limit levels for the short term. さらに, when used in conjunction with Fibonacci levels, can also be effective in placing long term stop loss and limit orders.

MACD, しかし, being a lower indicator, すなわち. presented below the chart rather than overlaid, has a more complex relationship with stop loss and limits. The MACD can be effective as an indicator for a stop loss when momentum shifts to the other direction, thus pointing to a pivot. But for the MACD to be effective as a stop loss indicator it needs a Gann Fan or an area where the MACD momentum converged more than once, indicating a strong support, or resistance if the trend is bearish.

結論として

Both the Parabolic SAR and the MACD are strong tools for working with pivots, but are different in their effectiveness. One is better in identifying pivots quickly and in placing limits and stop loss, the other is better at analyzing momentum strength and timing entry. Knowing the advantages of each can allow you to optimize the use of both and, more importantly, optimize your performance.

範囲の貿易を管理するための戦術

3 月 11, 2015 によってリチャード・ Krivo 5 コメント

レンジ取引は、単に長期間のサポートの定義されたレベルと抵抗の定義されたレベルとの間を移動されている通貨ペアを見つけることです.

設定が識別されると, 取引計画は、サポートで購入し、限り範囲がそのまま残るように抵抗で販売することです.

のは歴史上の範囲を見てみましょう 1 以下NZDCADの時間チャート…

サポートでの価格取引はトレーダーがちょうど範囲内の最低芯の下停止とロング・ポジションをとることになる。この簡単なシナリオでは. 制限 (利益を取ります) 範囲の先頭に設定されるだろうとトレーダーは取引が出て遊ばせう. すべては限界までプランと価格の取引に応じて進めば, の利益 40 ピップを得ることになります. 価格は引き返すとストップを取る場合は、トレーダーは、程度の損失を被るだろう 8-10 ピップ.

それでは、この同業者には、いくつかの貿易管理の変化を見てみましょう…

ここでは、同業者が設定しているが、我々は微減たちの限界を移動することで利益を取る私たちの可能性を高めるとしています – 私たちのエントリにビット近いです.

これが動作することができますなぜここです. 価格は範囲の最上部を4回ヒットしていることに注意してください. (これは、ロウソク本体または芯をタッチまたはピアスたびになります .8130 レベル。) 反対に, 価格は私達の穴を開け、私たちに触れました 新しいテイク利益水準 の合計 15 回!

ペアは範囲の先頭に取引を行う場合にはこれを行うことにより、我々はいくつかの利益を放棄します. しかし, 我々はまだ固体利益を達成しながら、当社の制限がヒットしたとなると私たちのオッズを増加している少なくとも 1:2 代わりにリスクリワードレシオ.

選択はあなた次第です…

より多くのピップを獲得するチャンスをつかむが、成功の確率が低いとまたは少数以下のピップを獲得するチャンスをつかむが、成功の大きな可能性を持ちます.

今度は、同じセットアップを見てみましょうが、今回は二つの位置の代わりに1を開きます。…

自ら, それは私に私の貿易管理の柔軟性を可能にするので、私は複数のロットを取引したいです.

覚えておいてください, しかし, それはいつでも私達は私達の位置・サイズを大きく, 我々はまた、我々のリスクを高めます.

たとえば, 私たちの停止がで設定されている場合 10 ピップ, 1ロットで、私たちは危険にさらしています 10 ピップ; 2つのロットで私たちが危険にさらしていると 20 ピップなど. 以上を配置することはありません私たちのお金の管理ガイドラインの範囲内に滞在します 5% リスクのある当社の取引口座の, 取引口座を追加リスクを処理できることを確認するチェック.

上のチャートを見ると, 設定は同じままですが、この時間は、我々は2つのロットの代わりに1との貿易を開くだろう. (この戦略は、我々は2を開くかどうか、同じままであります, 6または10たくさん。)

これができること柔軟性は価格が範囲の中間点に達したとき、私たちは、1つまたは取引の一部を閉じることができるということです. 利益はそのトレーダーのロックを行うことにより、その位置が閉じられたとき. さらに, その時点で停止損益分岐に移動させることができます , 取引が入力された時にその価格.

今のところ, 価格は引き返すと、我々が得るものなしとの位置のその部分の外に閉じている私達の停止を打つが、損失はいずれかの発生していない場合. 我々はまた、持っています 20 でロックされた位置の第一の部分からピップ.

価格べき範囲の先頭に移動し続けます, 第二の位置は、それによって範囲に含まピップの全額を得る切り売りされるだろう. であろう。この例の場合には 40 ピップ. これらのピップは、最初の位置はで実施閉じたときに得た利益に追加されます +20 の純利益のためにピップ 60 ピップ.

ボトムライン: 同業の設定を管理するためのさまざまな方法があります。. あなたとあなたの取引口座のサイズに最も理にかなっているいずれかを選択します。.

すべて最高と良い取引,

リチャード・ Krivo

RKrivoFX@gmail.com

#RKrivoFX

確率トレーリングストップ

11 月 28, 2012 によってショーンオバートン Leave a Comment

Generic trailing stops maintain a steady pip distance between the most favorable price seen and the stop loss. One thing that I don’t like about this is that trailing stops ignore the take profit. My goal was to increase the information available by using a trailing stop in the context of a take profit.

The only information needed for doing so is the ratio between the stop loss and take profit. If I use a 50 pip take profit and a ratio of 1, たとえば, then the stop loss is also 50 ピップ. If I used a ratio of 2, then the stop loss is 100 ピップ.

As the price moves closer to the take profit, the stop loss should maintain the same ratio over the remaining distance. The original take profit was 50 ピップ. Say that the price increased 20. Only 30 pips remain to hit the profit target. The probability trailing stop adjusts the stop loss to 30 pips from the current price if the ratio is 1. If the ratio was 2, then the stop would adjust to 30 * 2 = 60 ピップ. The idea was that perhaps the stop loss should ratchet closer to the take profit as it becomes increasingly likely to occur.

An easier way to think about where to set the stop is to ask, “How many pips are left until the trade hits its take profit?” If the answer is 40, then the stop loss adjusts to 40 pips away from the current price and not the entry. If the answer is 25, the stop loss changes to 25 pips from the current price. The stop loss adjusts faster and faster as a trade nears its take profit.

Changing the stop ratio to something like 0.5 makes it more complicated. 場合 40 pips remain before a trade reaches its limit, then the stop loss adjusts to 40 * 0.5 = 20 ピップ離れて. 場合 25 pips remain, then the stop ratchets to only 12.5 ピップ離れて.

Test Results

私バックテスト the idea using a variety of forex pairs and DOW 30 stocks for the first quarter of 2009. The direction of a trade, 長いか短いかどうか, was chosen using a random number. The date chosen was simply because I have M1 data for multiple instruments. The broad spectrum of results would reflect the same trend regardless of the time periods used.

All backtests were on M1 charts. The unit sizes of the trades don’t matter much; I set the trade size to a standard lot on forex pairs and 1,000 shares for equities trades. All used a 50 tick take profit with an equidistant stop loss (the stop loss ratio was 1.0). The profit factors help keep the information consistent among the different instruments.

Instrument	プロフィットファクター
ユーロドル	0.96
USDCAD	0.88
DIS	0.91
MSFT	1.0
WMT	0.87
XOM	0.87

All of these backtests involve a minimum of 300 取引. The EURUSD バックテスト included more than 1,700 取引. The sample size for all tests are more than sufficient for drawing a conclusion. Using a probability stop with a ratio of 1.0 is a bad idea.

Although the equity curves naturally varies among instruments – and would differ using new random numbers – the equity curve below shows what it generally looks like.

Equity curve of probability trailing stop

The equity curve for a probability trailing stop on Exxon (XOM) for Q1 2009.

、エントリ効率 of the system appears solid. しかし, that is because the worst possible exit always shifts up. The idea trades 効率を終了します。 for a hint of エントリ効率. Knowing that the trades pick their direction using random numbers, it is not worthwhile to get excited about this seemingly non-random metric.

The entry efficiency consistently comes out near 55-60%. The above image shows the entry efficiency for trading Verizon (VZ).

The losses have to come from somewhere. 明らかに, as the image below demonstrates, it results from the terrible 効率を終了します。. Results typically ranged from 35-40%.

Exit efficiency for probability trailing stop

The exit efficiency for a probability trailing stop ranges from 35-40%. The above image is taken from trading McDonalds (MCD).

If you would like to test the concept for yourself, あなたがダウンロードすることができます NinjaTrader export file by clicking 確率トレーリングストップ. You need to email me for the random number file, which needs to be placed in the “C:\” directory. The code will not function without it.

Although the tests for a stop ratio of 1.0 look terrible, all is not lost. I can flip this on its head and turn it into a profitable concept by blending it with the random trailing limit. Outcomes using a ratio of 3.0 also offer potential hope. We’ll cover those outcomes in future blog posts.

専門家アドバイザーを最適化します。

2 月 20, 2012 によってショーンオバートン 1 コメント

One of the lesser known features of the メタトレーダー backtester is the optimization feature. It’s so small that you could be forgiven for overlooking it.

Optimization is the process to maximize a certain outcome. この場合, it’s profit. Any EA developer wants to maximize the amount of profit made over a given period of time. The MetaTrader optimizer allows the trader to search for the combination of inputs that yielded the maximum profit over a given period of time.

The process is identical to running a バックテスト, except that MT4 runs multiple backtests at the same time. It then organizes the results and offers up the best combination.

Telling the backtester to run in optimization mode is easy. Simply put a check next to the word 最適化. MetaTrader will then sort through the combinations that you tell it to consider.

Place a check in the box next to Optimization in the MT4 backtester

The next step is to click on the Expert properties button to the right. A new window appears that contains three tabs: テスト, Inputs and Optimization. These screens allow the trader to inform MetaTrader which variables to consider for testing and how to weight the results.

テスト

The top of the testing section applies to every type of バックテスト. Here you can select the starting balance. MetaTrader defaults the option to $10,000, although you can make this any amount of your choosing.

The second default option allows the trader to restrict the direction of trades. It’s a frequent expert advisor programming request. It’s also one that is unnecessary. Both the backtester and expert advisor options screen allow the trader the option of restricting trades to long only or short only without additional programming. If the EA is not well programmed, this setting may cause errors 4110 または 4100 to appear all over the trading journal. It’s harmless. The only effect should be that the backtester slows down. It’s the result of writing to the journal hundreds of times or more.

The testing tab of the MetaTrader backtester

A groupbox appears underneath these options that inexplicably relates to the optimization process. You’d think it would make more sense to place it in its namesake tab. That’s typical MetaQuotes logic at work.

The first line contains numerous parameters for choosing the best option. User overwhelmingly select for the largest account balance, but other options include the profit factor, expected payoff, maximum drawdown and drawdown percent.

The last line automatically uses a genetic algorithm. Optimization processes use either brute force methods or genetic algorithms. Brute force strikes most people as intuitive although obviously exhausting. The software tests every combination possible. Genetic algorithm’s attempt to make the process more intelligent. When the software sees that certain parameters almost inevitably lead to a losing performance, the algorithm skips similar tests where it expects to lose.

This is a great idea if you have a quality genetic algorithm. My opinion of the メタトレーダー backtester is less than stellar. I don’t feel very confident about the algorithm at all. If you don’t mind spending extra time waiting for test results then I suggest unchecking this option. You don’t want to miss a potentially important combination.

Inputs

Most people find this screen confusing. The first column, called 値, strictly controls inputs for simple backtests. 、値 column is totally ignored during an optimization run.

The inputs tab of the MT4 backtester expert settings

The important columns for this task are Start, ステップ と停止. Start is the lowest number that the MT4 backtester will consider. Step refers to the interval between the lowest value and the highest value. Tightly controlling this setting allows the user to gain quick insights into how changing the variable values affects performance without dragging the tests out for a full week. 停止 is the highest number that the expert advisor will use.

The most obvious candidate for testing in this example is the Take Profit value. The default setting is listed at 50. If you trade the majors, you might want to consider settings ranging between 10 pips and 200 ピップ. That means that you set Take Profit row to 10 ため、 Start column and 200 ため、停止 column. The real trick here is selecting the ステップ. If you choose ステップ = 1, then MetaTrader will run a separate test for every value between 10 と 200. That’s 190 テスト, which is overkill. A step of 10 cuts the total number of tests down to 19.

最適化

This section is the nit-picky part. If a trader feels it’s unacceptable to have 10 consecutive losses in a row, he can place a check next the the Consecutive wins box. MT4 automatically discards any tests which yield a result that contains anything checked off.

The optimization tab in the MT4 backtester expert properties

The optimization tab in the MT4 backtester allows users to discard tests with undesirable traits.

When you finish going through each of the tabs, push OK in the bottom right corner. It’s time to launch the tests.

Curve fitting in the MT4 Optimizer

A word of warning: my personal opinion is that optimizing an expert advisor is usually a very bad idea. The unique settings that yield the most profit in 2012 are unlikely to yield the most profit in 2013. If you don’t control for random chance, there’s a good probability that the 2012 best combination may result in catastrophic losses in 2013.

I recommend that traders pursue any strategy development work in NinjaTrader. I don’t like the idea of optimizing at all. 代わりに, I always focus on testing strategies for 入口と出口の効率. I know from years of experience that these values never fundamentally change on instruments of the charts traded. Entry and exit efficiencies make wonderful metrics for automated trading because they are so stable.