for example i merge 5 same strategies, every strategy has set EOF to 19 hours - but in the mql code is nothing - exit friday was set to FALSE - so the trading options are not correct
every strategy has his own magicnumber, but in the MQL code is set the magicnumber only for first strategy and other strategies has different magicnumbers like 11112
extern int MagicNumber = 171514173;
bool LongEntrySignal = false;
bool ShortEntrySignal = false;
bool LongExitSignal = false;
bool ShortExitSignal = false;
extern int MagicNumber2 = 11112;
bool LongEntrySignal2 = false;
bool ShortEntrySignal2 = false;
bool LongExitSignal2 = false;
bool ShortExitSignal2 = false;
extern int MagicNumber3 = 11113;
extern int MagicNumber4 = 11114;
extern int MagicNumber5 = 11115;
bool LongEntrySignal5 = false;
bool ShortEntrySignal5 = false;
bool LongExitSignal5 = false;
bool ShortExitSignal5 = false;
if i use custom blocks in the strategies, the merging ends with error
Attachment ptf2.jpg added
Attachment graf1.jpg added
make a netted portfolio from strategies - simulate backtest by netted method and make MQL code from it - so i can trade more symbols at once and will now how the portfolio will historically behave in netted mode
Status changed from New to In progress
Status changed from In progress to Fixed
I would like to clarify the intended use of the portfolio strategies:
I hope it's clear. If you have any further questions, please let me know.
Best regards,
Tomas
Simulated portfolio - nonsense info about that its a ensemle strategy, thats not true - see the picture
Strategies merged to one - OK, first try to merge strategies to one MQL file with some limitations. We will see if the backtest will be accurate in the next build - need to do very extensive testing to prove this...
Ensemble signals - whats behind it, i really dont know - combined entry logic to fuzzy and rest from one choosen strategy - what tool gives me the answers which strategies should i try to combine and which one choose as the exit one? we dont have any. And this method is by my opinion misunderstood - ensemble signals should work like this - i have 5 strategies, 4 of them tells me - open BUY, 1 tells open SELL - so 4 buys and 1 sell by the logic of the strategies. 4 buy wins, so the sell will not be open, there is low probability, that the market will go short, because 4 strategies are telling long. But this fuzzy logic we created is totally different world, it has nothing to do with ensembled signals as i see them
So ensembled signals should lead to 2 things - trade less and profit more, this what we have will not
this is the right place for using the "strategies merged to one" but SQX need to show us the historical results of the trading, because the trades will be handled differently
Attachment merge.jpg added
SQX should remember my settings, so i dont need to change it manually everytime...
thx for this
Strategies merged to one - here we create a special strategy that contains rules from all the containing strategies. Is not backtestable, but the source code can be run in trading platforms. If the individual strategies don't interfere with each other (e.g. don't contain blocks like Market position is flat, No trade recently closed etc.), it should give you the same overall result as if you create a simulated portfolio.
Is it possible to have all strategies use the same magic number ( Should not be a problem if diversified, plus you can split it on long and short leg only in MT4) or will that create a problem when it comes to individual exits. What i really want is to have all trades show up as it comes from one magic number.
Mabi - If the strategies had the same magic number, they would enterfere with each other. The individual exits would not be respected. I suggest using a magic number in some range (e.g. 10000 - 10010) for the merged portfolio. Then you will be able to tell which orders belong to which individual strategies inside the merged strategy and also which orders belong to the whole merged EA.
The algorithm works in a way that it gets the preset magic number of the merged strategy and if it is unique, it leaves it as it is. If the magic number is already present in one of the merged strategies, it generates a new one to prevent any unwanted interference.