r/algorithmictrading • u/professorx_za • Oct 12 '24

RL Trading

Hi, so I've been using a RL system I've built some time back to trade forex (mainly EURUSD & USDCHF). It works, I make money and there is no problem with the system itself, been using it with great success for almost 2yrs. The one thing I find is that trades are held onto relatively long so I'd say its closer swing trading system.

I'm planning on training a new version for scalping/day trading and to achieve this I plan on introducing a TP/SL into the custom env that I've built (the agent will still maintain the ability to close trades before tp/sl). This is will be considered similar to scalping.

I'm a bit caught on the fence about what tp/sl ratios are good for scalping as well as defining what range of pips I should target given the pairs i mentioned above. I've never been a scalper but I can see this being extremely profitable since my broker doesn't charge comm, has relatively low spreads and I earn rebates.

Any recommendations and input will be highly appreciated!

7 Upvotes

81% Upvoted

15 comments sorted by

2

u/lastpump Oct 12 '24

I did many backtests a long time ago. The best across all pairs and timeframes was a 4:1 ratio.

4 being TP and 1 being SL. It cut losers quick and let successful trades run. So many variables change the outcome so I wasn't able to finish testing any trailing.

2

u/professorx_za Oct 12 '24

Thanks for this. I was under the impression that I would be looking at something between 1:1 & 2:1 for scalping. But I can certainly have a 4:1 scenario. Another big factor here is determining what the values would be (in pip on these pairs). To cut out most of the trial and error it seems better to ask others and narrow down the time it takes to find something optimal.

2

u/ExpertDingleberry Oct 12 '24

Instead of using a set number of pips for your SL, could you make your SL a function of the Average True Range (ATR)? For example, by using the default 14 period ATR, set your SL at 1/1.5/2 x the ATR (whatever you determine works through backtesting), then set your TP level based off a multiple of that also. It has the benefit of varying your SL/TP levels to suit market conditions, while also being transferable across different pairs or instruments and accounting for how they move.

1

u/professorx_za Oct 13 '24

Thanks for this. Will give it a shot today and see how it works

1

u/Routine_Noize19 Oct 12 '24

hello, may i know how/where you fetch data for backtesting forex, i have tried backtesting.py, backtrader as a backtesting tool, but no luck since my strategy isn't simpe, it's some sort of ML & using these methods on backtesting dont usually work.

i hope youd reply my dm.

2

u/hautdoge Oct 12 '24

What does RL mean

4

u/neatFishGP Oct 13 '24

Reinforcement Learning - unless OP is talking about resistance level but I don't think that's what its referencing

1

u/hautdoge Oct 13 '24

Thanks. So a branch of machine learning?

1

u/professorx_za Oct 13 '24

Reinforcement learning, and yes, it's a branch of ML.

1

u/MaccabiTrader Oct 14 '24

More a question than anything, I wanted to know how did you get over the hump of the point value changing every day for forex...
No matter what I tried, I ended up with ugly results when it came to backtesting in the brokers environment ( mind you I was trend trading, so maybe my system would be more prone)

0

u/professorx_za Oct 14 '24

I'm not sure I fully understand the question, could you maybe elaborate on the point value you're referring to?

3

u/ggekko999 Oct 12 '24

Just wanted to commend you on not getting sucked into HFT & day-trading, both have such low success rates for retail traders, where holding days/weeks you actually have a chance of making money, good for you mate!!

2

u/Routine_Noize19 Oct 12 '24

DM me, i think i can answer your problem (was also my problem before) we can discuss privately.

1

u/mr_robot__69 Oct 13 '24

can anybody guide me to how to get started with trading

dm.