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Forex custom strategies
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MarkGerber
Posted 7/19/2016 7:37 PM (#8856)
Subject: Forex custom strategies



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This is my very first thread initiation. For starters, here's hoping I got the right room:)

Deciding to work under the theory that each forex pair tends to have individual characteristics for which a one-size-fits-all strategy does not function very well,

I would like to craft/assign a different strategy in OT for each of the six major pairs, and operate all six strategies in parallel.

What I envision, for lack of experience, is having six strategies enabled in Edit-->Trading Strategy, and have each strategy check for the desired target symbol, perhaps in a filter block, and only passing a signal for the target.

Maybe something like enabling a filter, and under long condition and short condition have a "symbol name=target pairing name", getting a boolean true/false out of it to execute or not execute.


Any ideas?

Thanks,


Mark G.

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JimDean
Posted 7/19/2016 8:33 PM (#8857 - in reply to #8856)
Subject: Forex custom strategies



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Hi Mark

Not at my PC now and it's been a long while since I've done this, but as I recall, you can right click on a FL symbol and specify a strategy to be assigned to it.

Give it a look-see, and maybe check out the Help manual as well.

Otherwise, yes, a filter block could be used in the way you suggest but that method would be less efficient - might affect responsiveness when using fast intraday Bars.
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VinayJain
Posted 7/20/2016 5:23 AM (#8858 - in reply to #8856)
Subject: Forex custom strategies


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Right click on a symbol -> Enabled Strategies -> Custom. Here you can specify which strategy to use with that particular symbol.
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MelDickover
Posted 7/20/2016 8:51 AM (#8859 - in reply to #8856)
Subject: Forex custom strategies



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The subtle danger in this approach is the tendency to curve fit. Make sure you reserve some out-of-sample data to make certain you have a robust, predictive strategy, rather than an overfitted one.

Mel
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JimDean
Posted 7/20/2016 9:16 AM (#8860 - in reply to #8859)
Subject: Forex custom strategies



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I agree with Mel's cautionary comment - with some provisos:

1. If the way that you "craft" the strategies is essentially to target different kinds of logical events, such as trending vs RTM vs channels etc, because you've noticed independently of backtests that the symbol's characteristic price action is amenable to that, I would not be as concerned.

2. If the strategies you use actually all work pretty well for all the symbols, and if your purpose is to create diversification via non-colinear trades, then that IMHO is actually a pretty good idea.

BUT - if your crafting process involves repeated tuning of parameters across essentially the same data, then that is a very unproductive approach.
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MarkGerber
Posted 7/20/2016 12:05 PM (#8861 - in reply to #8857)
Subject: Forex custom strategies



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YES! The right click symbol will work perfectly for what I want to do.

Wow, all these years . . . and I never knew I had this ability.


I agree about the dangers of curve fitting, and the need to be respectful of the distinction of assigning types of strategies vs molding them too closely for results.


Thanks everybody for the tip, and the caution.


--Mark G.
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MarcBekaert
Posted 7/21/2016 3:47 AM (#8862 - in reply to #8856)
Subject: Forex custom strategies



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in OT2016 => Right click on a symbol -> Enabled Strategies -> Custom
doesn't work anymore in a Realtime strategy
Barry knows about this bug

But there is a workaround: you can insert a filter in your strategy like
Symbol = "XYZ" ' OR Symbol <> "XYZ"

Marc
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MarkGerber
Posted 7/21/2016 8:21 PM (#8864 - in reply to #8862)
Subject: Forex custom strategies



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Yes, you are right that it doesn't work with RT data.

OT crashed when I tried the symbol workaround; I'll try it again later tonight.



(OT symbol--Enabled Strategies--Custom.png)




Edited by MarkGerber 7/21/2016 8:24 PM

Attachments
Attachments OT symbol--Enabled Strategies--Custom.png (73KB - 0 downloads)
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MarcBekaert
Posted 7/22/2016 2:37 AM (#8865 - in reply to #8856)
Subject: Forex custom strategies



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It seems that symbol = "xyz" doesn't works always, but it certainly works with
symbol <> "ABC" And symbol <> "DEF" and Symbol <> "GHI" And symbol <> "JKF" and so on for all the symbols you don't want te be calculated for the strategy

Marc
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JimDean
Posted 7/22/2016 6:04 AM (#8866 - in reply to #8865)
Subject: Forex custom strategies



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Hi Marc

That's very strange. Either both forms should work or neither should. You might want to recheck. The "and'd" approach could be pretty unwieldy for long focus lists. Possibly try something like
false or (symbol = "XYZ")
… the paren's &/or the Boolean "or" might force OT to evaluate it correctly.
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