Hi
I now officially post as OILFXPRO as that is the name on other message boards
but here is the clue to better's EA
News - Automated Trading Championship 2007
Olexandr Topchylo (Better) is an experienced trader. He is Cand. Sc. (Physics and Mathematics), and this helps him develop trading systems. He performed unsuccessfully in the last-year Championship, but that failure was the making of him. Olexandr learned his lesson and became the leader of Championship 2007 with a huge equity!
Hello, Olexandr. Could you tell us a little about yourself? When and how did you start trading?
I'm 41 and Cand. Sc. (Physics and Mathematics), so I had all necessary foundations for trading. I've been trading forex for one and a half years. However, I have traded binary options on currency for three years. Methods forecasting currency exchange rate changes are absolutely the same for both spheres of trading, so I did not have to retrain myself.
When and for what reason did you become interested in automated trading? What are your achievements in this field?
I wanted to automate trading even when I was trading options. I opened 15-20 positions daily, and I had to do it all manually. However, that trading platform did not allow automated trading, unfortunately. When went to forex, I decided immediately that I would only trade on a platform that enables automated trading. So MetaTrader met my needs ideally.
In summer 2006, I saw an advertisement for Automated Trading Championship 2006 and decided to learn MQL4 and try to participate in it. Fortunately, I code well in С++, so I wrote the first Expert Advisor in MQL4 within a week. Using that EA, I won a traders' contest conducted on demo accounts in one of Brokerage Companies.
I wrote the second EA especially for ATC'2006. However, my experience was insufficient as related to what the difference is between testing and real conditions. This is why my EA contained some errors and took only the 113th place.
Talking of Championship 2006, your Expert Advisor traded three currency pairs that time - EURUSD, GBPUSD and USDJPY. The trading was profitable for only one of them, while two other pairs were weighting your deposit down. This time, your EA trade only one pair, EURUSD. Have you concluded that it is better to trade only one pair?
I have an absolutely different system this year. It has nothing in common with the last-year one. It works on EURUSD best of all.
You EA made over 900 trades during Championship 2006. Your present EA has closed 144 positions within the first month of the contest. So we can say that your new strategy trades very actively, too. Or has your approach changed all the same?
Yes, it has. The last-year system can be called scalping. However, I have revised my position towards this trading technique since that Championship. My present system is based on absolutely different principles. The real number of my trades at the present Championship can be with every reason divided by three, since I'm using three strongly correlated subsystems. Thus, it makes approximately two trades per day. Not too much.
Summarizing your participation in ATC'2006, could you tell us what it has taught you? What conclusions have you made and what exactly has influenced them?
First of all, it taught me that the results of scalping EAs may be as different as day and night in Tester, on a demo account or in real trading, as well as they are different for different brokers. So such strategies are unfit for a long-term and stable trading forex.
You wrote on your Participant's page that you were using neural networks in your EA. How complicated is such an EA? What is more difficult to create - an optimal neural network or the Expert Advisor's algorithm?
A neural network that forecasts the changes in exchange rates and a trading algorithm are inseparable, they belong each other. Indeed, the Expert Advisor is very complicated. This trading system was first developed in С++, tested and optimized. Only after that, it was re-written in MQL4 and debugged.
Olexandr, why did you write the program in С++ and then re-write in MQL4?
MQL4 will, for objective reasons, will never be able to compete with C++ in performance, whereas the program operating speed is a very important factor for neural networks. However, there is a more important thing - debugging means available in С++. This accelerates coding of complicated programs.
What do you input in a neural network: indicator readings or a certain set of prices on a certain interval/timeframe?
Readings of indicators developed especially for this trading system. I won't give more details now. The only thing I can say is that they combine some moving averages.
You informed above that your EA consisted of three subsystems. Is it an implementation of the so-called "committee of neural networks"?
No, it is not a "committee".
These are three independent subsystems. No one of them "sees" what other subsystems are doing. Committee of neural networks can be a possible development of my EA in future.
After having optimized my trading system's Strategy Tester, I obtained a parameter space where the system produced good results. And, in order not to put all my eggs in one basket, I took from this space three sets of parameters to be optimized. I allocated 1/3 of the deposit for each subsystem at the very beginning. So each subsystem defines the volume of trades according to "its" balance.
Although the subsystems correlate strongly, I managed to achieve some diversification. Well, in a case one of the subsystems starts to lose its deposit for some reasons, two others can get the account out of losses.
Your EA opens positions with preset levels of Stop Loss and Take Profit, but the most of them are closed "by market". What is the reason for this: Does the position holding time run out or do the conditions of position opening "spoil"?
No, it has no relation to the time at all. Positions are closed when the probability of opposite trend increases.
Do you find this probability using moving averages?
Yes, I do. A certain set of moving averages is processed by a neural network. Then the neural network gives a forecast.
The position holding time average of your EA made a little more than 8 hours in October. Multiplying 144 orders by 8 hours and dividing the result by 24 hours (the duration of a day), we can see that your Expert Advisor had been "in the market" for 48 days in October. However, there were only 23 trade days in October. So it is no wonder that your EA was "in the market" practically all the time. Was it your purpose or is it a random side effect of optimization?
Well, it would be just too boring for me to observe my EA that is out of the market most of the time. It's a joke, of course. However, it was not my purpose, it happed so.
Do you visit other Participants' reports? Do statistical data on Participants' pages help you in any way?
Of course, I visit them and look through with much interest. The reports are very informative. The first thing I look at is the balance curve. It can provide you with 80% of information you need. Then I read the data - maximal drawdown, Profit Factor, etc.
In the Participants table, I would add the total volume, direction and currency of the current trades for each Participant to make it more illustrative.
Olexandr, who of your competitors could pretend to take Top Three places, in your opinion?
Locations of the most Participants change so rapidly in the table that I find difficulty in naming real candidates.
Let's imagine that you have won. How would you dispose your prize money, if it is not a secret?
There is no secret at all: I never estimate expenditures before I gain income.
Thank you very much for your interview, Olexandr. We wish you much success in automated trading.
Created: 2007.11.20 Author: MetaQuotes Software Corp.
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Congratulations for the perfomance and for the
excellent idea in the construction of the
expert.
Hugs,
Fernando Botti
OILFXPRO
EA that think like Chessmaster
Linear Mode
