Extremely simple strategies with > 100% annual return

[ElectricSavant]

The so-called Currenex models have a commish...

Quote from jcl:

There is no commission when you trade Forex and CFDs. Trade costs are caused by slippage and spread.

I don't think that back testers tend to forget the commission, as this is quite trivial. The usual mistakes by back testers are more related to selecting the price data for optimizing and testing. At least, that were the mistakes that I made at first.

 

[Bob111]

Extremely simple strategies with > 100% annual return

9 lines of code and you done? then go for it!
just don't forget to come back after few weeks and tell us how you(and you account) are doing..nah...could be lucky strike..comeback after a year.

i have probably more lines of code than Tolstoy in his war and peace and still far away from 75% win(but enough to make a living off it)

 

[austinp]

Quote from jcl:

There is no commission when you trade Forex and CFDs. Trade costs are caused by slippage and spread.

I don't think that back testers tend to forget the commission, as this is quite trivial. The usual mistakes by back testers are more related to selecting the price data for optimizing and testing. At least, that were the mistakes that I made at first.

I wrote similar systems in TradeStation from 2003 - 2005. They will backtest equity curves that ascend straight up in orgasmic style. They will walk forward in account-eating fashion in reality.

If that weren't the case, we'd all be doing the same things right now... starting from ten years ago

 

[ssrrkk]

Quote from Scataphagos:

I don't know how anybody can succeed as a scalper. Imagine there are some, but too manic for my blood.

To minimize the impact of slippage and commish, you need some variety of swing strategy.

Not all day traders are scalpers. Some of my best strategies make one or two trades per day, but always close out eod. Most (not all) of those are still overwhelmed by commission + slippage.

 

[Scataphagos]

Quote from ssrrkk:

Not all day traders are scalpers. Some of my best strategies make one or two trades per day, but always close out eod. Most (not all) of those are still overwhelmed by commission + slippage.

Agree. A level of "swing" trading can be intra-day.... where you risk 1-4 points to try to make a possible 8+.

 

[ssrrkk]

Quote from jcl:

There is no commission when you trade Forex and CFDs.

Okay, I didn't realize there was free lunch available.

 

[jcl]

Quote from austinp:

I wrote similar systems in TradeStation from 2003 - 2005. They will backtest equity curves that ascend straight up in orgasmic style. They will walk forward in account-eating fashion in reality.

If that weren't the case, we'd all be doing the same things right now... starting from ten years ago

Yes, backtests are certainly not meaningful. But this is the equity curve of a walk forward test:

This is a 10-cycle 85:15 walk-forward test. The last 10% of the curve, since October 2011, was confirmed by real trading and produced a pretty good income so far, but of course this proves nothing, it's not enough data.

The equity curve is not from the 9-lines strategy, but from a compound strategy that uses a Kelly factor matrix. I have indeed not achieved to come even close to a profitable strategy when using standard indicators, such as moving averages, RSI etc.

 

[Scataphagos]

Quote from jcl:

There is no commission when you trade Forex and CFDs. Trade costs are caused by slippage and spread.

Don't some firms advertise "no commish", then work off of a big spread... where they make their money? Spread is still a "cost".

Seems paying a commish for the tightest spread would be money well-spent.

 

[jcl]

Quote from Scataphagos:

Don't some firms advertise "no commish", then work off of a big spread... where they make their money? Spread is still a "cost".

Seems paying a commish for the tightest spread would be money well-spent.

True. FXCM has a spread in the 2.5 PIPs range, of which 0.5 PIP is the real market spread. 2 PIPs are their profit. I use FXCM because their API is free and works relatively well. I have not looked much into other brokers so far.

 

[jcl]

Quote from Bob111:
i have probably more lines of code than Tolstoy in his war and peace and still far away from 75% win(but enough to make a living off it)

From what I've heard, few people can make a living off automated trading. I certainly not, although my best strategy so far has 315% annual return. But I don't dare yet to bet much money on it - I fear some big mistake I made in the profit calculation. But so far I found none. That's also one of the reasons I post here, to hear other opinions.