Yes, I agree. I didnt' want to say anything earlier in hopes you would figure a way to make it work. It may help you keep a float a little longer, but it does not solve the problem.
It comes back to the question, how do you take advantage of the volitility without being killed when there is a trend?
With our current system the price has to range several times just to break even (at least while we are filling the pool). Let look at an example. Say we are trading a currency that ranges up 100 pips then back down to the start.
system #1 Buy long and short every 10 pips with 20 pip targets.
At + 100 pips:
Your long account is at +180 realized pips (9*20) and + 10 unrealized pips. Your short account has -550 pips unrealized. NAV = -360.
Back down to 0 point:
Your long account is at +180 pips realized and -550 pips unrealized. Your Short account has +180 realized and +10 unrealized. NAV = -180.
System #2 Buy Long when price moves up 10 pips, and short when price moves down 10 pips. Targets still 20 pips.
At +100 pips:
your long account is at +160 Realized and +10 unrealized. Your short account is at 0. NAV = +170.
Back down to 0:
Your long account is at +160 Realized and -190 unrealized. Your short account is at +160 Realized and + 10 unrealized. NAV = +140.
System #3 fill grid at zero (dwstart) + and - 100 pips every 10 pips. set targets at 20 pips.
At + 100 pips:
Your long account is at +540 Realized and 0 unrealized. Your short account is at -900 unrealized. NAV = -360
Back down to 0:
Your long account is at +540 realized and at -340 (if you fill the grid back up on the way down). And your short account is back to 0. NAV = +180
System #1 will not work in any kind of a trend. It has to range several times just to break even.
System #2 looks good, but may not be as good in a real market where the price bounces in small 10 pip ranges filling the grid like system #1.
System #3 looks good too, but it is set up on a +-100 pip initial start and we ranged 100 pips. Which makes it look better than if I set it up for a 1000 pip pool. But it would still be the same back at the 0 point.
So here are some things to think about (I am mostly just thinking out loud and have not tested this). Lets try to fill the pool in increments using the dwstart. This would also reduce the amount of time watching the computer and still give you profits on small moves. Maybe even combine system #2 with System #3 and wait for a 100 pip move then fill the next 100 pips in that direction. Example: if you are trading 100 units per trade, and price goes up 100 pips, Buy 900 units with targets at 20, 30, 40, 50, 60, 70 ,80, 90, and 100 pips, then when you hit your 100 pip target, buy 900 with the same targets.
Like I say, I don't know how that will work, But there are lots of different combinations to try. I like the idea of filling the grid in increments though, but maybe not combinging the two.
David
p.s. When I say system #1 and system #2, I am not refering to the general system #1 "Volatility Grabber" or system #2 "cash and carry". Sorry, I should have used other names.
Quote from ElectricSavant:
System #1 "Volatility Grabber"
I have to say the "trend acceleration" idea, is not what I am looking for. It takes too much time, and it would achieve placement of double trades at the tops and bottoms, which does not solve the geometric problem.
