So, finally, my first thread here. I hope you'll enjoy. Yesterday I started reading about Trader system described here: Basket Trading Systemthen the monstrous thread on the other forum. This system was made public by Trader, also known as PipScorer. In order to fully understand my thread, you need to get familiar with the rules of the system, as described in the above threads. I will make some small summary of the rules here, but for details you need to refer to original threads. You open demo account I will refer to it as IAand when each new week starts make following trades on it:. Then you sort them by profit they bring. When all buys are at bottom i. We call it their position 'slots' so the top positions are in slots and the lower ones are in slots Topmost trade the one with highest profit is in slot 1, bottom most with highest loss is in slot 14, and these two are named 'anchors'. A confirmation might be, for example, when one of the buys starts to be positive enough to reach slot 1, or sell trade reach slot When you want to enter, you enter 14 pairs at once, all in the same direction unlikely on the IA. The direction depends on what trades are occupying the bottom slots, you trade in their direction. So, if bottom is full of buys, you send 14 buys, if bottom is full of sells, you send 14 sells. The exit is at your discretion, the proposed solution is to protect some profit. This is very trading story, the original consists of like posts both forums combinedand there are many other nuances. Anyway, these rules are the one I want to focus on. For more details of the original strategy, please refer to threads mentioned above. I am writing this thread, since I really miss the detailed explanation of the underlying math in this system. This is correct conclusion, but still leaves many, many questions unanswered:. If you enter trade like this, you buy as much USD as you sell. You buy as much EUR as you sell, and so on. So, after opening 14 of such trades, your exposure is close to zero. If the hedge would be perfect, your exposure would be equal to zero. Also, math is much easier if there is even number of pairs. It is possible to construct nicely hedged list e. The another nuance is that the more the better - you can basket with just pairs on the list, but with 14 they tend to average each other and you are less depending on single pair. Here is a checkpoint - if you do not understand basket text so far, the chances are that you wont understand remaining parts of this thread as well, as things will only get worse. And I'm not going to explain each and every detail, neither going down to 'i cant load this script' newbie questions. I consider this thread to use quite advanced math well, there is nothing advanced here, but after reading posts from hundreds of posters and seeing almost nobody going so deep, I am starting to consider the basics covered here as advanced. Take it, or leave it, your choice. Intelligent questions are welcomed, of course. Now, how this works? If we start IA as described above, the cumulative profit will stay the same over time I will neglect the hedge imperfection here, will take it into consideration later. Yet, if you sort the pairs by profit, they will be jumping up and down, as the corresponding prices will go up and down. Moreover, there will be cycles at least for some time, until prices will go off far away from each other. Lets split the trades into two groups: It doesnt matter if there are buys, sells, or mixed trades in the groups, just take a snapshot of their order on IA. This is moment t0 of time. Now, they will tend to shuffle between themselves, and sooner or later all or almost all trades from group A will be at loss, they will occupy slots In the same time trades from group B, which were originally at loss, will occupy top slotsand be in profit. I'll call this moment of time t1. The movement will be cyclic for some time, though if we wait long enough, the prices will change so much, that the cycles will take more and more time. Please note, that we do not require any special order of trades within group. We only care if whole group is at bottom or at top. Since, cumulative profit from all 14 trades is 0 minus spread, swap and hedge imperfectionand top trades are positive, bottom must be negative. Now, group B was negative at t0 and became positive at t1, right? All trades made at least few pips. This typically are hundreds of pips, not just 1. Of course between t0 and t1, large drawdown could appear, that is another story. Also, all trades from group A were positive at t0 and negative at t1, so all of them lost at least few pips. Now, what would happen if we would open 7 trades at t0, at pairs from group B, in direction from group B? All of them would move into profit! If whole loss of group B was, for example, pips in t0 and whole profit was pips in t1, all trades from group B made pips total, between those points. And our trades, entered live on t0, would make the same pips. Now, what if we would entered another 7 trades at t0, on pairs from group A, but in reversed direction? Since all trades from group A lost few pips, all our live trades would earn few pips! And we have 14 of them! If we catch pip move on average, we could get pips from it! Please note, that my choice of group A and B could be just random snapshot of time. The original trader made simplification: Then, he waited for some trend reversal confirmation, and made his t0 point. Surely, if whole group A consist of sells, and whole group B consist of buys, and our method need to open group B as is and group A reversed, we would end up with 14 buys or 14 sells! But this does not need to be the case. System of all, if you do the math correctly, the order of trades is not important. You can start your system at any second, and open trades immediately. They will just happen to not be all 14 in the same direction, thats all. But computer can track the direction easily. Of course, you want some trend reversal here, to match end of cycle - otherwise, you'll experience big drawdown before your trades get into profit. There is more into that. If you want until all jpy buy trades are in profit, then sell them, you'll end up just selling a lot of jpy against basket of currencies. Now, this is great for correlation trading, hedging and much more other strategies, isn't it? You can also open 2 strategies at once, one e. 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Avoiding unwanted triggering of a Stop Loss in case a quote pierces a significant level fractal without further confirmation with the close price. Setting a necessary virtual order and entering the market in. American, European, Asian and Pacific. Sessions are displayed on the previous five days and the current day only. The number of days may change depending on the holidays - they are not displayed in the terminals. The sessions are also not displayed on Saturday and Sunday. The main trading hours of. For example, you could switch direction of gbpusd, audjpy, nzdusd and usdchf to get resulting 4xeurjpy trade, straight, with no exposure in other currencies. Then, you can trade just 0. Necessary math for this is your homework. I did not analyzed this, but seems like subset of this system, with the remaining 6 pairs being just additional indicator. Ok, lets move further - the hedge imperfection. Let assume that our IA is perfectly hedged. Then, everything above is definitely true. Lets assume that you entered 14 trades into 7 currencies eur, usd, chf, jpy, aud, nzd and gbphaving effective exposure being zero on all of them i. In this case, the cumulative profit on your IA will not move with the prices, it will be affected only by swaps. Also, you'll get better cycles, I think, without being biased towards any currency. Now, lets assume that on your IA you bought slightly more eur, e. Of course this is not easy to construct such portfolio on MT4. On Oanda it is much easier, as they offer trade sizes of 1 unit, which is equal to 0. But, you can just go to bank and buy eur in bank notes. Anyway, lets analyze how such theoretical portfolio would behave. System the idea of this system is to keep IA trades oscillating as much as possible, when this stops happening, you cant get any serious profit from this method. Whenever the loss exceeds 72 dol on IA go short and vice versa. I made at least 15 trades with this idea and everyone made money. Not sure why there is so much correlation with that number. Or may be just a coincidence. The easiest way would be to go to Oanda, open 14 buys, each, and take a look on exposure tab to see what is the final exposure. I did not go through it yet, but will do later. But if any of you can test it earlier, results preferably with some trading will be welcomed. Hndyman,and Trader in other posts, Usd is gaining strength, jpy is losing. They repel each other again, in the reverse direction. Now, if you basket them by profit, they might order themselves in 24 different possible combinations. Lets suppose that we had a luck and after some time, in moment t0, they ordered in such way, that makes sells at top and buys at bottom, in this particular order: Open such basket immediately. So, we have long on all pairs. Then, wait until at least pair of them jump, and there will be different order, even if still they will be polarized with buys at bottom. Open such combination as trading. Then, wait for next jump and next configuration. If we already bought given configuration, do not buy it again. For example, if we'll system such order: By definition, each buy will be at lower price than the sell. Close all of them, reset IA, and start from the beginning. Of course the above is naive, the obvious optimization is to close opposing baskets immediately as they occur, so you close them earlier, pay smaller spread, and continue using this system forever. I'll write some small EA for this to see how big drawdowns we'll see along the way. I spend most of my time programming, compared to trading. I gravitate toward semi-automatic EA's. I did have some success in trading the T system, but I attribute most of that to beginners luck. I spent a lot of time writing my windows program External IA monitor, posted in the FF forum. I generated a lot of data using the analysis functions of my monitor exported to ExcelI didn't find anything consistently useful. The "why it works" is why I believe a lot of people had a hard time understanding the T methodology. Your explanations are insightful. Thank you very much. These point i interpret for what they talking as crucial talk in one of most intriquing thread another forum, i just realize that it's only half of secrets. Hello Yeah, making this system automatic is quite a challenging task, I think I'll try to automate some of the variations first and will watch the Orest indicator for a while, so I'll get the feeling of the system. So far I wrote small screenshoting script which does screenshot the Orest at every candle beginning, so I have full folder of screenshots in regular interval now, so I can replay the movement. Today I was trying to focus on pinpointing good signals for entry. While I had india ideas, most interesting to me is the buy-sell dollar profit difference. Namely, absolute amount of dollars generated by buy orders on IA should be equal to absolute amount of dollars generated by sell orders. And they would oscillate around zero. They look like the chart in postor or in the original thread. There was some interest about researching into this in the original thread, yet I think that this area is not explored well yet. In the first issue, extreme points will be hard to catch, as we see on screenshots. Market is always making surprises and setting any fixed threshold is going to fail sooner or later. Yet, it still can serve as aid - if profit from buys is far above zero and still growing, the trend is old and we're looking for reversals. Such approach will probably have quite good winning ratio. The other issue, taking a look on the yellow line. So far this is the most promising idea for me now, yet I am afraid about that as IA gets old, the line stops oscillating around zero and goes away. Also, the screenshot from seems much more chaotic and yellow line is not so smooth, which worries me a little. But, it oscillates nicely, so there is hope. Afterall, yellow line is correlated strongly to exposure by definitionso after adjusting exposure to be equal among currencies, we should smooth the line slightly, I would expect. Another idea is to take currency strength into consideration see post This is something India wanted to do in the first place, before I understood the system fully. Yet, there is still a lot of unexplored area there. Now, the original issue why I started to write this post When I realized that we want to trade yellow line, I started to want it displayed somehow. And remembered, that Orest indicator does display its current value. Yet, yesterday I was watching the indicator for whole day and did not noticed that it is oscillating, or come anywhere to zero, even in range market. Then, I've got enlightenment: Orest indicator works in pips, not in dollars! Some posters already raised this argument in original thread, but they basket ignored. I ignored this problem as well, at the beginning. But it is fatal mistake! The display is totally wrong! Why I didnt noticed it earlier? I will modify the code to display dollar values, they will try to see how the yellow line behaves, we'll see. I'm now using Orest v1. Yet, somebody mentioned v1. If we found the exact formula's, the constanta and variables, i'm very sure we just not build 14 pairs, but we create such a the new model of pairing currencies mechanism that help us creating the basket. Thanks for the files, I actually found them myself earlier And yes, v1. Well, the model is not so new, such tricks were known for long time already. I've downloaded a bunch of them from ff today just found some thread created by Orest, dedicated to T tools, so I have all from there. Yeah, more or less. The conversion itself is not a problem at all, I just checked like 10 different indicators today, and all of them were in pips ;p. The more MQL code I see the more I believe that MQL programmers do not know what a loop is Instead of putting all symbol names into array and do just simple loop over the array, everybody just tends to write tons of lines like this: Today I finally decided to check what is the total exposure of the IA. So, I went to Oanda, opened 14 pairs as it should be done on IA and went to Exposure tab. Then my jaw dropped, and I thought that I obviously didnt entered one order, so rechecked everything. No exposure in EUR, NZD, or AUD. That is good thing. Minimal exposure in USD, fair enough. Not so minimal in GBP, but still negligible as system were trading 1 full lots here. But CHF and JPY? I have cross checked - indeed that seems to be the case. With small trail of india and minimal usd. I have must think more about it, yet, I'm afraid that this is a flaw in the system, maybe we will need to construct IA in some other way to get unbiased signals. To add comments, please log in or register. Hi, So, finally, my first thread here. I hope you'll enjoy Yesterday I started reading about Trader system described here: The rules are more or less like this: You open demo account I will refer to it as IAand when each new week starts make following trades on it: EURJPY 14 EURCHF Trades go short, trades go long. This is correct conclusion, but still leaves many, many questions unanswered: Why reset IA on each week? What will happen if you choose different method of resetting IA? Why you buy or sell 14 pairs? How the list of pairs was constructed? Why all trades on IA and on real are just 1 lot? Basket it help to make the IA hedge perfect? The fluctuating profit on IA seems to be good indicator of setups. Why it makes a profit? Why there is no stop loss or take profit? I will try to analyze these topics here, and provide as much answers as I can. Lets start with the list of pairs, why there is 14 of them, and why in this configuration. I have the answer, yet I need some examples to show it to you. And this is how this system works. I hope you are still following me I just hit post length limit of this forum, so need to write rest of text in subsequent posts. Spread and Swap monitor by Gennadiy Stanilevych S2 Trend At Wavelet by Soft System Kish Trend check by Vladimir Gotsulenko Fast Copy MT5 by Pavel Kolchin. MINI CHART INDICATOR ADD by Cuong Pham Profit or Loss Pad by Vladislav Andruschenko. Arbitrage Visualiser Pro MT5 by Maxim Dmitrievsky. Delta New by Alexey Chernyh Forex Voyager by Alexander Vinogradov. MQTestInd4Market5 by Alexey Da PZ Turtle Trading MT5 by Arturo Lopez Perez. Virtual pending sell stop order by Gennadiy Stanilevych Dashboard Babon Scalping System MT5 by Wang Yu Easy Order by Tino Tkalec. Veno EA MT5 by Alexey Kondratyev. VirtualTradePad One Click Trading Panel by Vladislav Andruschenko. SAFE Automatic robot by Petros Shatakhtsyan. Easy Position Size Calculator MT5 trading Johan Venter Trading Chaos Expert by Gennadiy Stanilevych. Candle Time by Tino Tkalec Spread Record Standart MT5 by Vasiliy Sokolov Equity ProfitLoss Control by Elena Alexandrova FULL Automatic by Petros Shatakhtsyan. MultiMTCopierMT5Receiver by Alexander Puzikov. Megatrend Monitor SF by Aleksandr Praslov. Actual COMBO Depth of Market AND Tick Volume Chart by Sergey Andreev. FXG Info Full by Tomasz Nowak Auto Trade Copier for MT5 by Vu Trung Kien. Virtual pending buy stop order by Gennadiy Stanilevych. TTMM Time To Make Money by Dmitriy Zabudskiy But, you can just go to bank and buy eur in bank notes Anyway, lets analyze how such theoretical portfolio india behave. Why some pairs tend to be close and other tend to repel? Ok, another variation, last one for today, lets name it ' permutations'. For simplification, lets use 4 pairs instead of My list will be: Buy-sell difference and Orest indicator Today I was trying to focus on pinpointing good signals for entry. Anyway, this gives us some points to start with: In perfect hedge, profit from buys and sells oscillate. So, we can try to catch extreme points and enter there. Or catch basket through zero. It is shown by the yellow line on the screenshot above. But, it oscillates nicely, so there is hope Afterall, yellow line is correlated strongly to exposure by definitionso after adjusting exposure to be equal among currencies, we should smooth the line slightly, I would expect. The conversion itself is not a problem at all, I just checked like 10 different indicators today, and all of them trading in pips ;p PS. I've also attached the orders I've entered, so you can cross check me.
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