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(Share) Banana Pips - Volatility scalper

trevone

Member
I am sharing this EA, it is a mix of some strategies discovered here with my own strategy. I am giving back now what I have learned.

It trades the 1M chart on EURUSD, USDJPY and EURJPY but can be profitable on other pairs if the spread is good.

Attached backtests, I hope to hear some feedback and mostly looking for a suitable broker.

EURUSD
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EURJPY 1M
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USDJPY 1M
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There will be further development on this strategy and the mql4 will be made available soon.
 

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leeb77

Member
Hi, thanks for sharing. I'm trying to backtest with tick data and accurate variable spread - no results. Any ideas? My other EAs work OK so it's not my setup...

SORRY - FIXED NOW WAS DUE TO MAX SPREAD AM NOW TESTING...
 
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leeb77

Member
Expectancy is very very low .... in Real account slippage will kill it.
although the EA shows promise for the past year with a tick backtest I agree somewhat with the comment below I think execution time or the slightest slippage could impact the EA greatly, I tested with real slippage and found EURUSD and USDJPY to be profitable but not EURJPY. Hope that helps, and thanks again for sharing.
 

trevone

Member
Banana Pips v1.22 - Enabled settings

Banana Pips v1.22 - Enabled settings

Hi guys, I agree with you that slippage is the issue here, I am constantly trying to get around it, please have a look at this version much more improved.

I am only trying to collaborate and get ideas from the community to make this strategy work for real.

I have enabled the magic numbers
 

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leeb77

Member
Thanks Trevone, that version seems to tick backtest with better results on the EURUSD, will carry on testing and observing for you...
 

mapq

Member
Excellent idea, pity is not working in live with these values(stop loss/take profit), try to modify the (r: r) and tells us something. Good job.
 

hanyuhyhy

New member
If you use a fixed spread of 20 points on EURUSD or use a 15 dollar commission charge on real spread, and apply a average slippage of 5 to 10 points, using Tick Data Suite, the tester still give you positive result, then in live trading, it may give you profit. Otherwise, don't wast time on testing using demo.
 

iwjw

Member
Hi trevone,
thanks for sharing
Question: Is OrderCommission() factored in during the profit calculation?
If not, could you add that?
Thanks
 

trevone

Member
the only method of taking profit is using a trailing stop, i dont see how you can take commission into consideration, i have thought much about this and any insight would be helpful
 

hanyuhyhy

New member
mechanical trailing stop which requires a lot of modification of orders to close trade is not a good exit strategy. Delay of modification of orders by the broker server and/or slippage of executing stop orders will make the real trading result significantly different from tester. Try use indicator to point the exit.
 

trevone

Member
mechanical trailing stop which requires a lot of modification of orders to close trade is not a good exit strategy. Delay of modification of orders by the broker server and/or slippage of executing stop orders will make the real trading result significantly different from tester. Try use indicator to point the exit.
Ok thanks, I will see what i can come up with
 

iwjw

Member
the only method of taking profit is using a trailing stop, i dont see how you can take commission into consideration, i have thought much about this and any insight would be helpful
you could add an Offset to the trailing stop that is defined via input
input double BEPips
so the position is taken out when price= OrderOpenPrice +- BEPips
 

trevone

Member
I have added the slippage feature, this will only be enabled in live trading. It looks back in the last few minutes and averages the slippage for both opening and closing a position, then uses this number to filter the current signal, if the slippage is too high then it will not trade. Additionally, all stops will be adjusted with their current slippage value, for example if the trade had 5points slippage, then the stop will be 5points wider and.... on top of this, if by some chance we got a trade with slippage above the max limit then the strategy will close that trade at breaken. I will be testing this on my live account and may need to put out an update if I find any issues.

int OrderSlippage; // the value for each order placed
int MaxSpread; // max avg spread for last 60 ticks to open new positions
int MaxSlippage; // max avg slippage of recent trades within the SlippageTime
int SlippageTime; // number of minutes to look back on trades for slippage
double FixedLot; // if 0 then will use money management
int RiskPercent; // amount of equity to use as lots
int EnvelopeStop; // number of points to trail the stoploss with the envelope strategy
int EnvelopeLimit; // number of points to move the stop order for the envelope strategy
int EnvelopeRange; // min number of points for the the current candle to trigger a signal
int EnvelopeDeviation; // envelope deviation, this is divided by 100 for simplicity
int VelocityStop; // number of points for trailing stop on the velocity strategy
int VelocityLimit; // number of points to move the stop order entry
int VelocityRange; // min amount of points the market must have moved within the VelocityTime
int VelocityTime; // number of seconds to calculate the market velocity
int TrailHold; // number points to hold all trailing stops until the the TrailResume time has been met
int TrailResume; // number minutes after trade is opened to resume trailing
 

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