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Entropy Scalper and Simple Scalping System

Entropy Scalper and Simple Scalping System
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By JohnLast 2843 days ago Comments (7)

This EA is another variation of a generic code of VGC. The system is called SSS (Simple Scalping System). The modification was done by FXrookie and me.

Installation instructions:

1. Download the RAR file by pushing the button on the upper right corner. (may seem stupid but ;) )

2. Copy paste the expert file in the experts folder

3. Copy paste the indicators in the experts/indicators foleder 

You need entropymath and the entropy functions indicators in order to make it work.

The entropy function binary is calculation the entropy. The idea is to identify a pocket of predictability, when you have the pocket you take a directionnal indication from the entropymath indicator.

So basically we are looking for a transition into lower entropy state, in practice we are looking for a predictive state in the market then we are looking for directionnal indication. And thanks to the optimizer in MT4 we are looking for the best current levels of entropy. Please look at the chart there it is interesting to see that there are some clearly defined levels where we can predict quite well the results.

The entropymath indicator is derived from the work of John Conover, you can visit his site for more details. The entropy math is a Metatrader version of his work, the article is called quantitative analysis of high entropy systems. There is the math, I assure you it is not too difficult, despite the fact it is not simple. So basically this is not based on any common technical indicator principle.  

 

Money management:

As for the money management you can do whatever you want. To tell you I thaugt about this expert this morning so it is fresh new. I knew by a friend of mine that Entropy system trading is debated topic on some similar technical analysis forums so I wanted to made my own implementation.

In this example we are scalping. So the trade profit os 15 pips the stop is 40. You can adjust the levels and do whatever you want in fact.

The money management in fact will determine thee heart of the used system.

Any suggestions are welcome, the system is not ready to be traded live yet.

 

Notes

I think in the example below that this system is nice when used in volatile and trending market states. It will follow the market no guess work involved. However it is not as easy when we would have more complex market behaviour. 

 

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От 08 ноември 2011

Comments

  • JohnLast 2843 days ago

    I am sorry whiule I was translating the epxert comments I did something stupid and it is not working anymore. I will that later, it is enough for today. SHIT.

     

  • francisfinley 2843 days ago

    Interested! hope you get it fixed.

  • JohnLast 2842 days ago

    Try it now and test it on the history on 15 m time frame from the beginning of 2012.

    The expert is particual and you need to manually change the time frame inside of it, using the tab from the expert tester is not enough. 15 is for 15 minutes, 30, 60, etc. 

    Those settings are for the trending and quiet market state, in those market conditions the expert scalps the trend.

    Other settings and ideas are necessary for the other market conditions.  

  • JohnLast 2842 days ago

    This expert is not easy, you need to judge the market state and to make a precise estimation of the entropy levels. 

  • francisfinley 2841 days ago

    going to have a play with this, the supertrend ea and the grid ea by jaguar..... the ever turning wheel of testing - there must be an easier way! I need to find out about what optimization and strategy tester things exist for MT4 - i have seen some kicking around....

  • JohnLast 2841 days ago

    On this expert there are two cases.

    Eitheir you use the entropy for filter the trades: and you end up with less trades but really filtered

    Either you let everything go and take all directionnal signals from the Entropymath. 

    In this example the market conditions were specific in a way that when you do not filter was the best solution.

  • JohnLast 2551 days ago

    I managed to add a chaotic kernel to this mod. It appears that entropy is much easier to compute than iVAR and the optimization runs faster.

    The results are quite similar compared with the iVAR base Spinal Implant.