Portfolio Maker

Combine FSBPro-Generated Strategies Into A Single EA

Forex Strategy Builder Professional is the leading software platform for generating and analyzing advanced MetaTrader strategies. It provides an easy way to build forex strategies by combining various technical indicators, and enables users to create Expert Advisors (EA) that act at several levels — by using logical groups for the trading rules.

Portfolio Maker is a new tool that allows you to bundle the individual strategies created by Forex Strategy Builder Professional into a single EA. This makes it much easier to manage and trade a portfolio of FSBPro-generated strategies.

Forex Strategy Builder uses a Strategy Generator that creates 1000’s of strategies per hour. The best strategies are automtically added to a ‘Collection’, where they can later be filtered (using a variety of different metrics), refined, back-tested and re-optimized to achieve the best statistics. Once you are satisfied with the results, the source code (*.mq4) for each strategy can be exported as stand-alone Expert Advisor (EA) to be used in the MetaTrader trading platform.

With Forex Strategy Builder you create a “portfolio” of dozens, finely tuned, individual EAs. However, an important limitation of MetaTrader requires that each EA be attached to a separate chart. This creates a new set of problems that traders didn’t have to contend with prior to EA portfolios:

• MetaTrader is limited to 100 charts
• Each MetaTrader chart consumes CPU resources — such that a single instance of a MetaTrader terminal session can consume the majority of a machine’s resources and cause it to perform sluggishly
• It is tedious, time-consuming and error-prone to manually create dozens of charts and attach individual EAs

Whereas previously our time and effort was spent on developing one (or a few) profitable EAs, with Forex Strategy Builder Professional we now have a new problem — how to manage portfolios that include dozens or 100’s of strategies. What a great problem to have!! Well — Portfolio Maker provides a solution. Not only can you now bundle dozens or hundreds of strategies into a single EA, but you can also back test this portfolio EA in MT4’s Strategy Tester and also analyze those results using MT4 Tracker. It really doesn’t get any better than this…

Portfolio Maker is a Windows application that can be used to bundle individual strategies created by FSB Professional into a single EA. It was developed to complement Popov’s software that generates large collections of profitable EAs — where each EA is attached to its own MT4 chart. There are a number of compelling benefits to be gained by combining a portfolio of individual strategies into a single EA:

Portfolio Maker Features (referring to the resultant portfolio EA):

• The Portfolio EA Requires Only ONE MT4 chart
• The Portfolio EA Can Be Back-Tested Using MT4’s Strategy Tester
• The Back-Testing Results Can Be Further Analyzed By MT4 Tracker

Portfolio Maker is easy to use. However, there are a number of steps to follow — so, please pay close attention. The reason why these steps are necessary is because we are taking the source code (*.mq4) from many stand-alone Expert Advisors, extracting the strategies and indicators, and rearranging the source code so it can be re-built as a single, portfolio EA.

Here are the steps we’ll be performing:

• Use FSB Pro to create the strategies you wish to combine into a single, portfolio EA.
• From FSB Pro, export the strategies in the form of their *.mq4 source files.
• Launch Portfolio Maker and add all the *.mq4 strategy files that will be combined into a single, EA.
• Specify the location of your MetaTrader ‘MQL4’ folder so that Portfolio Maker will know where to create all the intermediate files necessary to build a single EA.
• From Portfolio Maker, press the ‘Create’ button to actually create all the *.mq4 and *.mqh source code files.
• From within the MetaEditor program, locate (in the ‘Experts’ folder) the *.mq4 file that was just created and press the ‘Compile’ button. This will compile the main *.mq4 along with all the support *.mqh files necessary to build this single EA that now includes all your strategies.

Before we begin, there is one important requirement that must be followed in order for this all to work — and that is you must use magic numbers as the filenames for all your individual strategies. This is how Portfolio Maker helps you keep track of strategies and their corresponding magic number — we do this by using magic numbers as filenames. Also, it is possible for Portfolio Maker to programmatically determine the filenames and, in this way, frees you from having to manually input magic numbers. Below is an example:

As as example, we use the following format to name strategy files — you can choose something completely different. The only requirement is the filename must be a valid magic number — that is, it can only include numerals (no letters, punctuation, spaces, etc):

We follow a particular format when creating filenames — again, you can choose something different, whatever you think works best:

We use the format S-P-GGG-NNN, where
S => Symbol
P => Period
G => Group Number
N => Strategy Number (within the group)

For ‘S’ we use:
1 => EURUSD
2 => USDCHF
3 => USDJPY
4 => GBPUSD

For ‘P’ we use:
1 => M1
2 => M5
3 => M15
4 => M30
5 => H1
6 => H4
7 => D1

Examples:
16018001 => EURUSD, H4, Group 18, Strategy #1
26002005 => USDCHF, H4, Group 2, Strategy #5
And then we’ll save the strategies in folders with names such as ‘16018xxx’ — e.g. folder 16018xxx includes 26 strategies, with filenames 16018001.xml through 16018026.xml.

Once you’ve created your strategies (*.xml) and exported the corresponding *.mq4 files, then we are ready to begin…

Step 1: Enter a name for the new, portfolio EA *.mq4 file. This is how it will appear in MetaTrader. Do not include the *.mq4 extention — Portfolio Maker will automatically add that.

Step 2: Enter a short description of the portfolio. This will be displayed near the top of the MetaTrader chart.

Step 3: Very important — enter the location of your MetaTrader’s ‘MQL4’ folder. This is easily found from within the MetaTrader terminal using the main menu: File / Open Data Folder / and select the ‘MQL4’ folder. The reason this is important is because within the MQL4 folder lives the ‘Experts’ and ‘Include’ folders where Portfolio Maker creates the *.mq4 and *.mqh files you’ll need for building the single EA.

Step 4: Using the ‘Add’ button, navigate to the folder where all the *.mq4 strategy files were located and select the ones you wish to add to the portfolio EA.

Step 5: Decide whether the entry size of each position will be based on lots or percent (of account). A portfolio can NOT be a mixture of strategies that use lots and percentages — choose one. If using lots, the 4 input values should be in terms of lots. If using percent, the 4 input values should be percentages. These input values are applied globally and do overwrite the original values that were used when the strategy was created by FSB-Pro. Please keep in mind when using percent the strategy code treats these values as percentages and the algorithm used to convert to lots will divide by 100. So, if you specify a percent that is too small — e.g. 0.01 — then the conversion will fail because the computed lot size will be zero. We’ve tested using percentages of 1 or greater.

Step 6: Press the ‘Create’ button. This creates the *.mq4 and *.mqh files you’ll subsequently need for building the single, portfolio EA.

Step 7: You are almost done. What remains is to launch MetaEditor, locate the *.mq4 file that you named in ‘Step 1’ and press the ‘Compile’ button. If all goes well then a new *.ex4 file will be created — this is your new portfolio EA that includes all your strategies. This file is completely self-contained and you can copy it to other MetaTrader installations without any other requirements.

Step 8: This step is optional — though very useful. You can now use MetaTrader’s Strategy Tester to back-test your portfolio EA. We do not recommend using the ‘Every tick’ model — since that would probably take a few years. But using ‘Open prices’ or ‘Control points’ will usually complete within a few minutes — depending on how many strategies are included in your portfolio, the data horizon, and the period. The more data points that are included in your back test, then the longer it will take. To give you an idea, our favorite period is H4 and we’ll use a data horizon of 6 – 12 months, which may take around 3 minutes to complete on a fast machine. And, finally, when the back-test completes it will create a special log file that includes all the trades. This log file can then be used by MT4 Tracker to further analyze how each of your strategies performed during the back-testing period.

There are two types of input values:

• Entered from Portfolio Maker
• Entered from the EA when attaching to a chart

Input Values Entered From Portfolio Maker

The amounts used for ‘Entry’, ‘Maximum’, ‘Adding’ and “Reducing’ are ‘global’ values that apply to all the strategies in a portfolio. It may be that when creating strategies in FSB-Pro your different strategies use different amounts. And this makes sense when strategies are intended to be used individually. But when strategies are combined into a single EA, then these amounts take on a different meaning. It now makes sense for the amounts to be the same for each strategy in the portfolio because it gives you some control over how much of your account is at risk when the portfolio is trading.

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Input Values Entered When Attaching The Portfolio EA To A Chart

Your portfolio EA may contain dozens (or hundreds) of strategies, and managing the overall trading pattern of a portfolio EA is much different than a single EA — i.e. if you don’t pay close attention then your exposure can quickly grow larger than what you are comfortable with. These inputs allow you some control over how frequently your portfolio will open new positions.

Stop trading when FreeMargin drops below this value: If account’s Free Margin drops below this value then do not open any new trades. Default is ‘0’.
Stop trading when Balance drops below this value: If account’s Equity drops below this value, the expert will close out all positions and stop automatic trading. Default is ‘500’.
Stop trading when Margin exceeds this value: If account’s Margin rises above this value then do not open any new trades. Default is ‘99999’.
Stop trading when opened positions exceed this value: If portfolio’s open positions exceed this value then do not open any new trades. Default is ‘99999’.
Stop trading when floating loss drops below this value: If account’s floating loss drops below this value then do not open any new trades. Default is ‘-99999’.

For example, suppose you want to stop using a portfolio EA but there are still a number of open (pending) trades. If you set the 3rd input (‘Stop trading when Margin exceeds this value’) to ‘1’, then no new trades will be opened and pending trades will gracefully close. The alternative would be to remove the EA (or close the chart window) and then manually close each pending trade.

The 3rd input can also be useful if you wish to limit the number of pending trades if you discover the portfolio is opening more trades than you are comfortable with.

Minimum WinRatio (per strategy): If a strategy’s WinRatio falls below this value (e.g. 0.60), then it will no longer be able to open new positions. However, it will still be used to close any positions that currently remain open.
Maximum Consecutive Losses (per strategy): If a strategy’s consecutive losses exceeds this value (e.g. 2) , then it will no longer be able to open new positions. However, it will still be used to closed any positions that currently remain open.

Portfolio Maker software is copyrighted © by Nuts About Nets, 2006-2017.

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FSB Portfolio Maker – Application For Creating A Portfolio Expert Advisor From FSB-Generated Strategies
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