And if one of those freak 3500 pip trend moves should kick in, with the reverse system you would be getting unrealized gains rather than losses. The downfall is this leptokurtosis or whatever it is, that there are more small moves than big moves. That might put a fork in the opposite system in a trading range.
Elite Trader's Gambler's Anonymous ETGA
- Thread starter ElectricSavant
- Start date
- Status
And if one of those freak 3500 pip trend moves should kick in, with the reverse system you would be getting unrealized gains rather than losses. The downfall is this leptokurtosis or whatever it is, that there are more small moves than big moves. That might put a fork in the opposite system in a trading range.
Trade both?
Trade both? I dunno. I guess that was the idea behind the hedge on the original grid system. Ultimately you have to close out some shorts or some longs If you hold both open indefinitely you have a Mexican standoff and are just a hedged carry system.
Maybe when the market is trending up you close out shorts more quickly and when it is trending down you close out longs more quickly. However this puts us squarely back needing to have a definition of "trending up" and "trending down" that tends to forecast future movement in that direction.
Not needing to figure out which way it is going is one of the strongest parts of the grid system.
This is the reason I'm kind of stuck in the conceptual phase.
Maybe when the market is trending up you close out shorts more quickly and when it is trending down you close out longs more quickly. However this puts us squarely back needing to have a definition of "trending up" and "trending down" that tends to forecast future movement in that direction.
Not needing to figure out which way it is going is one of the strongest parts of the grid system.
This is the reason I'm kind of stuck in the conceptual phase.
You guys gotta read this...
http://www2.oanda.com/cgi-bin/msgboard/ultimatebb.cgi?ubb=get_topic;f=15;t=002524;p=25#000371
http://www2.oanda.com/cgi-bin/msgboard/ultimatebb.cgi?ubb=get_topic;f=15;t=002524;p=25#000371
Hi,
Thank you ES for providing a forum for this new paradigm in trading from Sympatico.
I've been busy (as time allows) to try and test this idea too
I'm using Amibroker to generate the initial trades and excel to analyse p/l. It's taken quite a while to build up a decent model that's reasonably accurate.
I'm using GMT midnight +1 (sometimes +2 from old results) as the start of day. At that point, open up long and short. Then I tested at various intervals, 10-100pips do another long or short. So if the price goes below open price, you enter another long trade. If the price goes above open price, you enter another short trade.
The surprising conclusion I've come to so far in the relatively simple testing is the same as jasonjm, the best one to trade is 100pt. (I haven't tested above 100pt). Done at 1 min resolution.
GBPUSD 2004 (snap Jason
)10pip interval
14971 trades
81146 pip balance end of year
-67604 unrealised
18/2/04 biggest drawdown -45489
Bal/DD ratio 1.78
100pip interval
770 trades
24270 pip balance end of year
-46700 unrealised
18/2/04 biggest drawdown -6848
Bal/DD ratio 3.54
There's a lot more work to be done to make it more tradeable.
I haven't tested what happens if you don't take that first trade of the day. If you take different pairs, their profit periods may balance out the DD in GBPUSD. So testing EURUSD & USDCHF would be interesting. Also, the effect of increasing NAV could dilute the effect of the large negative unrealised pips of much earlier trades (as stated by Sympatio). Another step is to figure out a way to see what happens to the cash in the account rather than just the pips.
What is missing is the discretionary skills of Sympatico to take most of the winning trades
Good trading to all
Alan
firehorse,
Firstly, Thank you for reading.
Secondly, I have confidence in you firehorse...You might PM jasonjm as there has been a conflict with your hypothesis to this, compared to a later private comment he made to me. I would rather he tell you, not me as I respect a persons work as you have seen me demonstrate.
Have you measured only draw down or have you also accounted for any increased TP by closer increments such as 30 on both sides of the perfect hedge?
Thirdly, Each pair demonstrates its 1Y range to set the increments with. The 10Y range can be the base the drawdown calculates a minumum trade percent from. Are you with me? Also, I believe in Pivot points so these backtests are using "fixed" percentages which are helpful to set the "minimum pivot point distance" rule with. Also layering with three hour pivot points during those high momentum times is how to capitalize on the flow.
Fourthly,, with Sympatico's own admission, he admits there may be better ways to trade his system. This is what we are in the process of discovering. So keep up your work. To be effective is the path for capturing the most flow out of the high momentum "times". There is nothing discretionary about this.
Michael B.
Firstly, Thank you for reading.
Secondly, I have confidence in you firehorse...You might PM jasonjm as there has been a conflict with your hypothesis to this, compared to a later private comment he made to me. I would rather he tell you, not me as I respect a persons work as you have seen me demonstrate.
Have you measured only draw down or have you also accounted for any increased TP by closer increments such as 30 on both sides of the perfect hedge?
Thirdly, Each pair demonstrates its 1Y range to set the increments with. The 10Y range can be the base the drawdown calculates a minumum trade percent from. Are you with me? Also, I believe in Pivot points so these backtests are using "fixed" percentages which are helpful to set the "minimum pivot point distance" rule with. Also layering with three hour pivot points during those high momentum times is how to capitalize on the flow.
Fourthly,, with Sympatico's own admission, he admits there may be better ways to trade his system. This is what we are in the process of discovering. So keep up your work. To be effective is the path for capturing the most flow out of the high momentum "times". There is nothing discretionary about this.
Michael B.
Quote from firehorse:
Hi,
Thank you ES for providing a forum for this new paradigm in trading from Sympatico.
I've been busy (as time allows) to try and test this idea too
I'm using Amibroker to generate the initial trades and excel to analyses p/l. It's taken quite a while to build up a decent model that's reasonably accurate.
I'm using GMT midnight +1 (sometimes +2 from old results) as the start of day. At that point, open up long and short. Then I tested at various intervals, 10-100pips do another long or short. So if the price goes below open price, you enter another long trade. If the price goes above open price, you enter another short trade.
The surprising conclusion I've come to so far in the relatively simple testing is the same as jasonjm, the best one to trade is 100pt. (I haven't tested above 100pt). Done at 1 min resolution.
GBPUSD 2004 (snap Jason
10pip interval
14971 trades
81146 pip balance end of year
-67604 unrealised
18/2/04 biggest drawdown -45489
Bal/DD ratio 1.78
100pip interval
770 trades
24270 pip balance end of year
-46700 unrealised
18/2/04 biggest drawdown -6848
Bal/DD ratio 3.54
There's a lot more work to be done to make it more tradeable.
I haven't tested what happens if you don't take that first trade of the day. If you take different pairs, their profit periods may balance out the DD in GBPUSD. So testing EURUSD & USDCHF would be interesting. Also, the effect of increasing NAV could dilute the effect of the large negative unrealised pips of much earlier trades (as stated by Sympatio). Another step is to figure out a way to see what happens to the cash in the account rather than just the pips.
What is missing is the discretionary skills of Sympatico to take most of the winning trades
Good trading to all
Alan
fire, I made a 2nd mistake in my calculations, when i checked my data, i was missing jan / feb and mid march
for GBP jan 2004, after fixing it it looks like profit pips were roughly 25% greater than unrealized loss
the best performer was 30 pip, it beat out the 100 pip setting by about 6%
I don't think its worth the effort tho, using 30 pip instead of 100 pip
Basically I have realized there is a max move number from where the system is unlikely to generate profits
Like on GBP, if the low to the year close or the high to the year close are greater than about 1600 pips, then the system will be close to breakeven or a loss
Obviously best scenario is closing the year at exact same level it started the year, with no big moves up or down
for GBP jan 2004, after fixing it it looks like profit pips were roughly 25% greater than unrealized loss
the best performer was 30 pip, it beat out the 100 pip setting by about 6%
I don't think its worth the effort tho, using 30 pip instead of 100 pip
Basically I have realized there is a max move number from where the system is unlikely to generate profits
Like on GBP, if the low to the year close or the high to the year close are greater than about 1600 pips, then the system will be close to breakeven or a loss
Obviously best scenario is closing the year at exact same level it started the year, with no big moves up or down
Thank you jasonjm,
This is what I am thinking...
When I escape from the incorrect combo of EUR/USD and USD/CHF that I started this journal with, then the first pair of longs and shorts on the EUR/USD will be opened.
Then future fully hedged pairs will be stagggered in.....We can talk about this, here.
The trade ticket of 0.02% (we are using a minumum of around 0.72% now) will be used and will accelerate based on the daily Drawdown Condition, but never be lower than 0.02%.
The trade increment rule for the EUR/USD will be pivots no closer than 25 pips (we are using 20 pips now) The current pivot will always supercede a previous pivot.
This is what I got so far...What do you think? Don't try to do too much now, we will be forward testing and discussing as we go. I think it is important to reveal several thought processes and remove the "confusion" for newbies and oldies alike
In this live educational Journal, perhaps it will give the bonus of profitability.
I need to understand, How many of you will be actually trading this live alongside me? If so please say so as it will effect the frequency of when I update this Journal. Unless you feel confident, I suggest you folks continue to follow along. You can jump in and begin to trade when you understand and it clicks for you....Remember at a 0.02% trade ticket you can't get in much trouble. If you need time to open your Oanda FX trade or Game accounts let me know, as we may be getting out of the current trade sooner than you think..
Michael B.
This is what I am thinking...
When I escape from the incorrect combo of EUR/USD and USD/CHF that I started this journal with, then the first pair of longs and shorts on the EUR/USD will be opened.
Then future fully hedged pairs will be stagggered in.....We can talk about this, here.
The trade ticket of 0.02% (we are using a minumum of around 0.72% now) will be used and will accelerate based on the daily Drawdown Condition, but never be lower than 0.02%.
The trade increment rule for the EUR/USD will be pivots no closer than 25 pips (we are using 20 pips now) The current pivot will always supercede a previous pivot.
This is what I got so far...What do you think? Don't try to do too much now, we will be forward testing and discussing as we go. I think it is important to reveal several thought processes and remove the "confusion" for newbies and oldies alike
In this live educational Journal, perhaps it will give the bonus of profitability.
I need to understand, How many of you will be actually trading this live alongside me? If so please say so as it will effect the frequency of when I update this Journal. Unless you feel confident, I suggest you folks continue to follow along. You can jump in and begin to trade when you understand and it clicks for you....Remember at a 0.02% trade ticket you can't get in much trouble. If you need time to open your Oanda FX trade or Game accounts let me know, as we may be getting out of the current trade sooner than you think..
Michael B.
let's say you think the eur is going up, per chance take a cross of prices over the weekly SMA
enter longs on every 50 pip increment, close out any incremental trade if it hits 50 pip loss
don't take profits until prices cross below the weekly sma
what we have here are the oldest rules in the book: trade with the trend, cut losses short, run your profits, press your winners (pyramiding)
let's say you did this from 4/12/02 (cross over sma) to 4/24/04
that takes us from .89 to 1.193
what we get at the end of that is unrealized gains of 94,550 pips.
That is about 62 open positions. That means that for each long trade you take, to breakeven, you can defend that long with 30 x 50pip loss trades.
why not trade with the trend? makes life less of a struggle
enter longs on every 50 pip increment, close out any incremental trade if it hits 50 pip loss
don't take profits until prices cross below the weekly sma
what we have here are the oldest rules in the book: trade with the trend, cut losses short, run your profits, press your winners (pyramiding)
let's say you did this from 4/12/02 (cross over sma) to 4/24/04
that takes us from .89 to 1.193
what we get at the end of that is unrealized gains of 94,550 pips.
That is about 62 open positions. That means that for each long trade you take, to breakeven, you can defend that long with 30 x 50pip loss trades.
why not trade with the trend? makes life less of a struggle
mogul,
Hey, why don't we open up a Journal and call it...There is only one way to trade and that is "pyramiding with the trend"?
Michael B.
Hey, why don't we open up a Journal and call it...There is only one way to trade and that is "pyramiding with the trend"?
Michael B.
- Status