The FX Algo Trader Blog

For V2.5 Advanced Stat Arb Customers

2011-12-12T08:33:00.001-08:00

Dear V2.5 Customers-

I've released a new updated version of the system. Improvements are:-

Configurable Position Sizing for Leg A/Leg B - good for larger trades and CFD traders
Substantial modifications to the program launch process - this stops the F16 issue where the system couldn't verify the MT4 account licensing correctly - it also makes relaunching MT4 with V2.5 instances much easier. There is no longer any requirement to refresh the charts by scrolling through the timeframes - this is all taken care of programatically now
Speed enhancements - some of the V2.5 clients are running the system on multiple charts - upto 12 so far. I've tuned the STD Indicator so that it only performs essential calculations on each tick. I've also optimized the label update functions too. The speed tweaks should give better entry and exits and also reduce the memory footprint for the terminal.exe (MT4). Initial testing concludes the footprint with 12 arbs running on 12 hourly charts has reduced from 140Mb to about 125Mb. I intend to roll out speed optimization coding for the EA as well.

If you'd like to test the new updated version please drop me a line and I'll send you the links.

As always be grateful for feedback and ideas for improvement.

Regards

Crispin (FX AlgoTrader)

Customer Newsletter 141111

2011-11-14T08:02:00.000-08:00

FX AlgoTrader Customer Newsletter Autumn/Winter 2011.

Dear FX AlgoTrader Customers,

As 2012 draws closer I thought I would take this opportunity to share some ideas with you and bring you up to date with what's going on with FX AlgoTrader product development.

As many of you know I released the Advanced Statistical Arbitrage V2.5 system earlier in the Spring. The initial uptake of the system was really impressive and aided significantly by the www.donnaforex.com thread which one of the V2.5 customer very kindly started. V2.5 is a complex system which offers arbitrage traders a comprehensive arbing toolkit. Some V2.5 customers have had very good results from the V2.5 system but hard figures are difficult to come by. The V2.5 client base includes some pretty big hitters so I'm not surprised they keep their trading results confidential.

I also released a multi currency range analyzer and a real time correlation indicator which are both supporting products for the V2.5 arb system. The multi currency range analyzer can also be used independently for standard directional trading.

I use the range analyzer as my primary decision making tool for directional trading as it provides an easy way to see how the market is moving at a macro level due to it's ability to anayze 32 currency pairs from a single chart window. In a nutshell the system provides real time analysis on the daily range and the frequency of new highs and lows as they're formed. It can be run on any timeframe. I don't trade until I see high frequency alerts triggered by the range analyzer. Once the alerts are triggered I inspect the analyzer and see which major currency pairs are on the move. If I see EURO strength accross the board, I look for the most active pair in the EURO section of the analyzer. Then I open a chart for this particular pair, layer over Daily, Weekly and Monthly pivots and then look at where the price derived support and resistance levels are on the higher timeframes (ie Hourly, H4, Daily and Weekly) - I then set pending orders based around these levels. This style of trading keeps me out of the market when there's nothing going on which also reduces my trading frequency which is a good thing. So far my account is up 69%. The real key for me is to hang onto winning trades ie run the winners and cut the losers. This has taken me a long time to learn and I believe it's a critical component to long term successful trading, however there's no accounting for trading tastes and styles!

Another interesting product (still in beta release) is Iridium which forms part of the TT (Trendline Trading) Series. I developed Iridum to take on (and beat) the magic stick product developed by FX Circle. From the feedback I've had to date customers using Iridum in beta form are pretty impressed. Iridium can trade any number of trendlines on the same chart - this allows traders to use a whole array of different trading strategies on the same chart. Iridium is the first in a trilogy of products which make up the TT Series. I am working on Gold this month and will start Platinum (the final product in the TT series) in December.

Development plans.

I have been working on an MT5 port on and off for a while and have a Daily Pivots Pro (working on 32 bit version of MT5. The 64 bit version is still work in progress. The big question is how many MT4 traders are planning to upgrade to MT5? I've put together a simple poll below. If you could click one of the options it would be really illuminating from a development point of view.

Online Surveys - Zoomerang.com

From what I understand one of the big limitations with MT5 is the inability to run hedged positions due to the FIFO ruling in the USA. I looked at an MT4 ECN version supplied by OANDA which has been tweaked to be FIFO compliant. It created hedging error messages even when I opened non opposing trades. Not encouraging! The FX AlgoTrader product development pipeline is currently:-

TT Series - Gold (2011)

TT Series - Platinum (2011)

Candle Dynamics (2011/2012) - In candle real time tick data analysis (experimental at this stage)

MT4 Recharge - a revamp project for all existing FX AlgoTrader MT4 indicators and EAs. (2011/2012)

Correl Pool - A more automated advanced arbitrage system with a multi currency arbitrage engine (2012)

MT5 Porting for existing MT4 products (2012)

I would welcome any comments regarding product development ideas, MT5 thoughts, suggestions for product improvements etc etc etc.

Contact: info@fxalgotrader.com

Regards

Crispin

FX AlgoTrader

Iridium Launch

2011-09-26T13:11:00.000-07:00

I've been planning to release a new Automated Trendline Trading system for some time. The old Trendline Auto Trade system was powerful but difficult to set up for novice traders.

After looking at other products I decided to completely re-design the new system so that it could be very quickly and easily deployed on a forex or commodity chart.

I've released the FX AlgoTrader TT-Series which consists of 3 auto trendline trading products called: Iridium, Gold and Platinum. Iridium is in beta release at the time of writing (26/09/11)

There are four video guides on the website which show most of the main features of the system.

http://www.fxalgotrader.com/Website%20Content/Main%20Pages/Expert%20Advisors%20for%20MetaTrader/Iridium.html

I think Iridium provides several unique auto trendline trading features and is significantly less than 'competitive' products.

DLL based product protection arrives

2011-08-01T07:10:00.000-07:00

I've spent longer than you can imagine trying to protect my intellectual property from illegal distribution over the web. The main problem with Metatrader is the ease of decompilation. I looked at FX1.net's Guardian product back in April this year and then again a few days ago. It's improved in terms of it's stability but after a couple of days testing I decided it wasn't fit for purpose and certainly wasn't suitable for distribution to active traders using FX AlgoTrader products.

After two days of re-engineering my code to work with Guardian I had to ditch the whole lot and start looking at an in house solution.

I am very pleased to say that I managed to dust off my old C skills (20 years old now!) and created my first DLL/MT4 integration in about 3 hours. From now on all FX AlgoTrader products will be delivered with an integrated DLL. Also products will only be shipped to numbered MT4 accounts.

I would far rather spend my time developing additional and improved forex trading software but the illegal crackers/hackers/distributors and general low life are threatening the business to the extend that I have had no choice but to spend ALL MY TIME protecting my IP.

Now all existing (and new) FX AlgoTrader customers will enjoy exclusive usage and support for existing and ongoing products in the development pipeline.

If people realised how much software theft impacted a small developer they might ( I would hope) see the error in their ways. Microsoft might not be too bothered about this sort of thing but it tears the heart out of a small software business.

Stat Arb V2.5

2011-07-14T01:06:00.000-07:00

This has been a long time coming!

The V2.5 Stat Arb system is a pretty major recode of the original V2 system. The system fills the gap between a fully automated black box arbing strategy (coming soon..ish) and the fairly manual V2 system.

The key differences are the V2.5 system uses a different calculation basis for the spread which provides a lot more insight into potential profit when reversion takes place. There are also several additional trade controllers such as locking to trend, lock short/long etc. The introduction of speech sythnesized alerts is also a big improvement as traders can hear what's going on without having to look at the screen for hours on end.

I've recently introduced some quite advanced features such as dynamic slowdown global variables which restrict the system ability to open new trades depending on the equity/balance ratio of the account. There is also a new automatic hedging facility which prevents decoupling arb trades creating a large drawdown on the account.

In order to run the hedge trades the trader would need to ensure the platform was not FIFO compliant - ie probably be outside the USA. Poor buggers!

Here are some screenshots of the new V2.5 Stat Arb Engine with associated V2.5 STD Indicator.

Zeus Risk Controller Improvements

2011-07-14T00:49:00.001-07:00

Seems like a an awfully long time since I posted on here!

I've just released some changes to the Zeus Risk Controller which include changes to the trailing stop system, exclusion parameters for FX AlgoTrader arb trades (basically the risk controller will ignore them as the Stat arb packages have their own risk management system already embedded within their code)

I've also increased the range of pairs Zeus will monitor up to 30.

Here's a screenshot of the system running with a couple of trades. You can see the risk of stop out indicator which changes colour as a position draws.

I certainly wish I'd used this system when I started trading - the equity curve on the web page is real - it's mine! A risk controller would of prevented me suffering account threatening losses and the account would probably still be active and functional rather than trashed. It's surprising how many traders think they can manage their own risk but in reality things often work out very differently!

FX Data Services Launched

2011-04-02T02:25:00.000-07:00

FX AlgoTrader are very pleased to announce the release of FX Data Services (FXDS)

FXDS provides a packaged data and software subscription service for traders looking to limit and control their financial outlay on forex data and software solutions. FXDS does not lock traders into any agreements. It can simply be stopped and started at the traders discretion.

The first FXDS package is the FXDS Pivots Package which provide ultra low cost hyper accurate forex pivots synchronised to GMT for just $5 dollar per month. This includes configurable pivot display software and daily data updates.

Can you afford to have inaccurate pivots?

Best BS Quotes in Forex

2011-03-16T08:28:00.000-07:00

I was just doing some web design this afternoon and I was thinking how much bull shit there is on the web about forex trading so I've compiled a list of prize crap that I came across this afternoon:-

"Using Strategy Tester This EA Had Only 2 Losses between 9/16/09 - 9/16/10"

"Guaranteed forex profits with this EA - This link will expire in 12 hours, so please take action now"

"He's a genuine professional Forex trading guy"

"No BS, This Innovative 'Scalping' Technology Will Guarantee Profits For A LIFETIME! This EA Really Works & Almost 100% Of The TIME!"

"I'm Not Here To Feed You Tons Of Marketing Waffle"
"100% guaranteed Trades forever"
Do people really fall for this crap?

Multi Currency Daily Range Scanner Released

2011-01-13T08:16:00.000-08:00

We're very pleased to announce the release of the FX AlgoTrader Multi currency Daily Range Scanner - The product is available on a free 7 day trial basis and to buy at: http://www.fxalgotrader.com/Website%20Content/Range%20Analyzer.html
Initial launch price is only $49.95!!!

Mulit Currency Daily Range Analyzer - Sneak Preview

2011-01-11T08:34:00.000-08:00

Folks - this is going to quite popular I think...

Sneak preview of the new FX AlgoTrader Real-Time Multi-Currency Range Analyzer -

Capabilities:

Real time achieved range monitoring for 24 X currency pairs
Range expressed as 100% of ATR (Average True Range for each pair)
Available pips (pips left) calculator
High/Low change frequency monitors
Short term trend detection
Ability to see currency stength at a macro level from one chart window

Screen shot:

Happy New Year or maybe not!

2011-01-02T14:53:00.000-08:00

Dear Traders,

Happy New Year to you all and good luck in your trading endeavours in 2011.

I was doing some website admin earlier today checking links to my site. I came across a couple of websites who are offering my EAs and indicators illegally for massively reduced prices. In fact they were offering a massive range of other MT4 based products at monstrous discounts as well.

I am not aware of any agreement with these companies to distribute my products and I can only assume, at this stage, that they have illegally decompiled ex4 program files into source code and removed the copy protection systems developed by the original authors.

Regrettably I have removed all downloadable installers from my web server which will put an end to trial versions of the software until I get to the bottom of what the **** is going on with my source code.

It's a great shame certain individuals seem to have no regard for people's intellectual property online.

More to follow when I find out more!!

Real Time Correlation Indicator Released

2010-11-30T12:00:00.000-08:00

Just released the new Real Time Correlation Indicator for MT4 -
Calculates Real Time Pearson Correlation Coefficeient for up to 30 currency pairs in real time and accross all MT4 timeframes.

Now you don't have to look at external web sites and wait for them to update their correlation data - this indicator recalculates on each incoming chart tick and comes with a custom template which provides a full screen uninterupted dispay.

Fully customizable as with all FX AlgoTrader products.

Free 7 day trial of Real Time Correlation Indicator

Stat Arb Newsletter to Clients

2010-11-30T07:13:00.000-08:00

Dear Stat Arb Customers,

I thought I’d tell you about some product development which may be of interest to you.

The current Stat Arb V2 engine is a passive system in that the hard work is selecting which currency pairs to arb. Several of you have suggested a system where an EA auto selects an arbitrage candidate pool which can then be fed into an EA so that it can trade in a fully automated fashion. Obviously there will be a comprehensive set of controls and filters which the trader would pre-define.

The good news is I’ve developed the real time correlation calculation engine and also the filtering system. Some screen shots are below – the next steps are to develop a new EA which can take the candidate pool and auto trade it – this is the hard part!

Some other ideas for improvements have been:-

· Aggregated profit controls – where the EA aims to make a defined profit from multiple arbs in a day – once the profit is achieved all current positions would be closed and the system would sleep until the next day or overnight session.

· Scaling options to allow multiple trades to be pyramided if the spread continued to diverge from the mean by x STDs. Effectively an averaging down process but not without risk…. LTCM!

· Ability to trade negatively correlated pairs

· Email alerts and position updates based at a defined frequency

· Stationary spread analysis tools – the current version has an option called ‘Mean Delta Filter’ – when this was developed the idea was to try and identify stationary spreads – ie spreads which are pretty flat (not going up or down) – you tend to get these when there isn’t a lot of liquidity in the market ie during the Asian session. I am not particularly happy with the current mean delta filter option and I know most of you don’t use it as it’s too selective. This is an area I am particularly interested in developing.

I would be interested in any additional ideas or suggestions for improvement – let me know your thoughts.

I’m also considering setting up an arbitrage trading community on the website where arb traders can exchange ideas. Is this something you would be interested in?

I’ve also put together a few short cuts and frequently asked questions about the current version which may help you get more out of the product. This is by no means an exhaustive list – just the most front of mind things…..

1. Set up arb charts quickly – the Setup.exe program automatically installs a template called “STARB” – if you click ‘Charts’/’Templates’ and then select STARB you will get the EA, the STD indicator and the Price Trace indicators loaded automatically. The defaults settings are EURUSD and AUDUSD so you’ll need to change these.

2. The GVAR table – when the EA opens arb positions it loads a global variable onto the global variable table. The variable will be called ‘Pair1/Pair2 Filled’ and will have a value of 1. So if you traded EURUSD and AUDUSD the global variable will be called EURUSD/AUDUSD. If you manually close arb trades during testing or when you’re live you must DELETE the global variable otherwise the system will not make any additional trades – it will think the arb position is still filled. To access the GVAR table press F3 and then select the appropriate GVAR and delete it.

3. Mean Delta Filter – leave it set to false – it needs more work.

4. www.mataf.net - this website has a pretty good correlation analysis area under the tools section – I have created a similar tool which runs as an indicator in MT4 and supplies real time correlation data based on trader defined pairs. I will release this shortly for traders who like everything in the MT4 environment.

5. Avoid false trades when you launch the system – Try turning your EAs off (the sad face in the top right hand corner!) when you set up arb charts – this will allow the system to settle down and pull the chart data from the brokers server if you don’t have it locally. Once you’ve got a decent looking STD indicator spread trace and you’re happy with the STD multiple then activate the EA (smiley face in top right corner!) Also keep an eye on the experts tab in the terminal window – if you see a zero divide error it means you haven’t got enough chart data on your terminal.

6. Set realistic defined profit targets – if you are trying to make cash from trading on 5 minute charts (not easy!) you need a stationary spread and very realistic profit targets ie 2-5 pips – you also need to be able to manually kill trades which don’t work out. Short term arbing is normally easier during the overnight Asian session due to low liquidity but if you stay in the market too long the spread can become mobile as the western markets start coming on line. This is where a short term arb can leave you high and dry if you stay in the trade.

7. Longer term arb trades are a lot safer but you also need to consider the fundamentals depending on your trading timeframes. I think the EURUSD/GBPUSD breakdown presented some pretty good opportunities on the recouple. I didn’t trade it though!

Screen Shot of real time correlation indicator

Screenshot of the automated correlation filter tool – the next step on…. Note the total spread cost in the far right column – very important!

Hope this is of some interest and use to you.

* New Product Release *

2010-11-14T05:21:00.000-08:00

We are pleased to announce the release of the advanced moving average crossover system for Metatrader MT4. The enhanced system provides email notification and a wide range of improved configuration settings to allow traders to define their exact alert requirements.

MA crossovers can be used very effectively for entry and exit signals on multiple timeframes for forex traders.

For additional details visit: http://www.fxalgotrader.com/Website%20Content/MA X Alert.html

XL/MT4 Daily Pivots V3 Interface

2010-01-20T11:55:00.000-08:00

Screen shot of the new Daily Pivot V3 XL/MT4 interface

XL / MT4 interface work

2010-01-15T11:36:00.000-08:00

Again I find myself in a monster coding phase! I'm re-writing the FX Algotrader XL Control Suite from scratch. The new system will be MUCH slicker with autosave functionality, smart custom userforms and a completely revised installation program. The first product which will be ported is the Daily Pivots V3 flagship multi pivots system which is capable of displaying three daily pivot groups on the same chart with a trader definable time shift for each group. This allows traders to see GMT, EST and Asian based pivots on the same chart. The MT4 based version is horribly complex as there over 200 trader definable input parameters and hence a huge list of external input parameters.

The XL based version will be incredibly easy and quick to edit system parameters and make very rapid changes. The XL version will also have additional trader definable templates which allow traders to very quickly apply their favourite pivot schemes for a new chart.

Statistical Arbitrage News Letter Released

2009-11-17T04:49:00.000-08:00

After some gruelling coding I am pleased to say I've finished the data extraction, matching and analysis program for the FX AlgoTrader Statistical Arbitrage Newsletter service. The current system used end of day close data and analyses 28 currency and commodity pairs. The system uses correaltion and covariance data to screen suitable pairs for arbitrage analysis. Please visit www.fxalgotrader.com for more information

FX Market Flow Indicator Released

2009-11-17T04:47:00.000-08:00

I have just completed work on a new indicator for displying Fractal generated market flow information for all timeframes. The indicator calculated market flow data in real time and is completely configurable. Please see www.fxalgotrader.com and visit the products page for additional information. Free 7 day trials are available.

MACD Turbo Released

2009-11-17T04:43:00.001-08:00

I've just released a new MACD indicator which provides full configuration options for Metatrader MT4 trading platforms.
The standard MACD indicator which comes as standard with the MT4 install is pretty limited and doesn't have an MACD histogram. The MACD histogram provides a useful indcation of trend reversal and the FX AlgoTrader MACD Turbo indicator allows traders to define line colours, styles, histogram colours, bar widths etc. Please visit www.fxalgotrader.com and goto the product page for more information.

Pivots Scanner V1

2009-10-28T15:57:00.000-07:00

Well the good news is that I finished the Pivots Scanner product I talked about in my last blog entry. This tool is really cool! One of my customers bought it a few days ago and said "this is my version of the holy grail" - it doesn't get much better than that!

The scanner works as an EA (Metatrader Expert Advisor) and is capable of scanning upto 23 currency pairs for chart levels where there is a confluence (tight grouping) of pivot levels. these pivot levels can be daily, weekly or monthly pivots and the system can also be configured to screen out intermediate 'M' level pivots.

I designed as much granularity into the system as possibly so that traders can define the exact behaviour of the system. Now here's the really cool bit...... I've integrated a TTS (Text to Speech) synthesis algorithm into the code so that when price action is within the defined proximity of a pivot confluence - rather than the system making a load of dinging noises - a synthesised voice tells the trader which currency pair the alert is for and also which pivot levels are around the confluence level.

The system can be set up to scan for twin pivot confluences and/or triple pivot confluences.
Twin pivot confluence levels could be Daily PP (central pivot) and Weekly S1 pivot being within 10 pips of each other. A triple pivot confluence could be Daily S1, Weekly M1 and Monthly S2 being within 10 pips of each other. The chances of price reaction around levels where there is a lot of technical support or resistance is greatly increased by using this approach.

One of the beauties of using a multi timeframe pivots approach is you are automatically keying into a whole load of different trading psychologies - the daily pivots are day traders staple diet and the weekly and monthlies are more interesting for the longer term traders. There's no reason why a trader couldn't augment the pivot scanner with Fibonacci retracement levels too or historical PA (price action) derived support and resistance - trendlines etc etc. The more technical levels which are lined up in close proximity the higher the probability of a price reaction when price gets close.

For the more advanced traders the pivots scanner seems to tick quite a few requirement boxes. I guess over the course of time traders gradually move into more complex multi timeframe based analysis. I remember when I started I hadn't got a clue what a pivot was and even support and resistance (SR) was confusing. It's funny over time how SR is so vital on the longer timeframes. These days I don't really look at charts under hourlies - I think everything you need is from H1 upwards - if any of you guys ever looked at Soultrader's blog I remember he always talked about only looking at daily charts and above. I think the higher the timeframe the closer you get to where the big boys are placing their focus. Anyway - take a look at the pivots scanner if you're interested in using multi-timeframe pivot confluences in your trading - it will save you a lot of chart eyeballing that's for sure!

New Products

2009-09-29T00:10:00.000-07:00

After burning the candle I've finally got round to releasing the Weekly Pivots V2 module which has a funky time adjustable pivot calculation system and also the Weekly Pivots V2 Alerts Plus module which has enhanced multi level price/proximity alarms which are configurable for each pivot including inermediate 'M' level pivots.

I'm now working on the Monthly V2 suite and also a Pivot Detective product which is a mulit timeframe, multi currency pivot scanner designed to automatically identify areas of pivot confluence ie hidden technical support and resistance levels.

Releasing Daily Pivots V2 Alerts Plus Indicator for MT4

2009-09-03T02:54:00.000-07:00

I've just released the new cut of the Daily Pivots software which has an enhanced price proximity alert system for every pivot level including the 'M' level intermediate pivots.
Check out the website for more details or request a demo.

What FX AlgoTrader software does

2009-09-02T10:04:00.000-07:00

My FX trading background has been 'patchy' - I've traded full time on and off over the last few years. I had a rotten time last year and busted a big account which sent me back into R&D mode. I'd been playing around with Metatrader MT4 which is my trading platform for FX and various indexes and commodities. The underlying language which drives MT4 is called MQL4 which is a query language.
When I first started coding I couldn't make the system play a sound but now I can pretty much do whatever I want with the software.

Over my trading experience I've developed a range of software applications which help traders make better informed decisions. In fact, I much prefer developing trading systems and tools compared to trading!

Currently FX Algotrader has the following product lines:-

Pivot Systems - Daily, Weekly, Monthly and historical systems for identifying hidden support and resistance levels.
Median Grid - mean reversion templates for position traders
Automated Trendline Trading modules
Statistical Arbitrage engine for trading highly correlated pairs
Excel Control Suite - an Excel interface for Metatrader which makes EA and indicator tuning much quicker

I have loads of other products in the pipeline and I'm also very happy to develop systems for third parties.

Blog - Day 1

2009-08-18T07:22:00.000-07:00

OK folks - big day today! I added a forum and a blog to my website http://www.fxalgotrader.com/

I guess I better introduce myself - my name is Crispin Scruby and I'm an FX trader and system developer. I used to work in IT software sales for about 12 years and I quit in 2005 to trade FX off my own account.

Over the past three years I've burnt the midnight oil big time and in the process I've developed a range of FX trading tools which I sell on my website.

The objective of this blog is to let people know what's involved in the day to day operations of an FX trader and system developer. Actually I kind of pretty much do everything from building my website, to handling customer enquiries, to coding new systems. At the moment I'm not doing much trading but I intend to get back into it over the next few weeks.