To recap: the rules of this system are simple....go long/short if a pair prints 2 bullish/bearish bars. (I've tried it with 3 bars, but it doesn't work as well). Preliminary results show that gbp/jpy is kind of profitable. Other pairs - not so much.
Here's some gbp/jpy results. If anyone wants more results, ask and I'll post them:
All tests start 6/17/04 and end on 5/10/06
limit: 240 stop: 60 order_start: 4 order_duration: 16
num_trades: 110
num_wins: 26
num_loss: 84
average win: 240
average loss: -60
average trade: 10.9090909090909
percent win: 23.6363636363636
percent loss: 76.3636363636364
biggest win: 240
biggest loss: -60
biggest drawdown: 660
total pips: 1200
risk: 0.01
biggest dollar gain: 488.693091241924
biggest dollar loss: -127.0602037229
biggest dollar drawdown: 1352.12407307147
biggest dollar drawdown percentage: 10.641601645943
highest dollar total: 12706.02037229
average gain per trade: 17.4413000717867
account: 11918.5430078965
limit: 100 stop: 40 order_start: 4 order_duration: 16
num_trades: 110
num_wins: 35
num_loss: 75
average win: 100
average loss: -40
average trade: 4.54545454545455
percent win: 31.8181818181818
percent loss: 68.1818181818182
biggest win: 100
biggest loss: -40
biggest drawdown: 580
total pips: 500
risk: 0.01
biggest dollar gain: 278.161445049524
biggest dollar loss: -114.046192470305
biggest dollar drawdown: 1516.02772337934
biggest dollar drawdown percentage: 13.897256699384
highest dollar total: 11404.6192470305
average gain per trade: 10.6180598458693
account: 11167.9865830456
limit: 400 stop: 100 order_start: 1 order_duration: 19
num_trades: 110
num_wins: 28
num_loss: 82
average win: 400
average loss: -100
average trade: 27.2727272727273
percent win: 25.4545454545455
percent loss: 74.5454545454545
biggest win: 400
biggest loss: -100
biggest drawdown: 1200
total pips: 3000
risk: 0.01
biggest dollar gain: 517.163046133892
biggest dollar loss: -134.462391994812
biggest dollar drawdown: 1425.68775878262
biggest dollar drawdown percentage: 11.448391806133
highest dollar total: 13446.2391994812
average gain per trade: 28.6621598662557
account: 13152.8375852881
limit: 500 stop: 100 order_start: 1 order_duration: 19
num_trades: 110
num_wins: 22
num_loss: 88
average win: 500
average loss: -100
average trade: 20
percent win: 20
percent loss: 80
biggest win: 500
biggest loss: -100
biggest drawdown: 2200
total pips: 2200
risk: 0.01
biggest dollar gain: 576.915045635953
biggest dollar loss: -121.15215958355
biggest dollar drawdown: 2339.96901034024
biggest dollar drawdown percentage: 20.1876501970809
highest dollar total: 12115.215958355
average gain per trade: 18.9077683884143
account: 12079.8545227256
limit: 600 stop: 100 order_start: 1 order_duration: 19
num_trades: 110
num_wins: 21
num_loss: 89
average win: 600
average loss: -100
average trade: 33.6363636363636
percent win: 19.0909090909091
percent loss: 80.9090909090909
biggest win: 600
biggest loss: -100
biggest drawdown: 1900
total pips: 3700
risk: 0.01
biggest dollar gain: 786.68500988808
biggest dollar loss: -134.048575260906
biggest dollar drawdown: 2108.64808977489
biggest dollar drawdown percentage: 17.8855107544554
highest dollar total: 13404.8575260906
average gain per trade: 35.4372894668735
account: 13898.1018413561
limit: 150 stop: 40 order_start: 4 order_duration: 16
num_trades: 110
num_wins: 28
num_loss: 82
average win: 150
average loss: -40
average trade: 8.36363636363636
percent win: 25.4545454545455
percent loss: 74.5454545454545
biggest win: 150
biggest loss: -40
biggest drawdown: 630
total pips: 920
risk: 0.01
biggest dollar gain: 444.422532776076
biggest dollar loss: -122.55480260703
biggest dollar drawdown: 1750.82168008439
biggest dollar drawdown percentage: 14.8637395296119
highest dollar total: 12255.480260703
average gain per trade: 20.8699097588313
account: 12295.6900734714
limit: 360 stop: 40 order_start: 4 order_duration: 16
num_trades: 110
num_wins: 13
num_loss: 97
average win: 360
average loss: -40
average trade: 7.27272727272727
percent win: 11.8181818181818
percent loss: 88.1818181818182
biggest win: 360
biggest loss: -40
biggest drawdown: 1360
total pips: 800
risk: 0.01
biggest dollar gain: 1254.23307476648
biggest dollar loss: -151.901561277274
biggest dollar drawdown: 4579.75381573128
biggest dollar drawdown percentage: 30.1494848191298
highest dollar total: 15190.1561277274
average gain per trade: 14.2303501825067
account: 11565.3385200757
limit: 100 stop: 80 order_start: 4 order_duration: 16
num_trades: 110
num_wins: 60
num_loss: 50
average win: 100
average loss: -80
average trade: 18.1818181818182
percent win: 54.5454545454545
percent loss: 45.4545454545455
biggest win: 100
biggest loss: -80
biggest drawdown: 560
total pips: 2000
risk: 0.01
biggest dollar gain: 157.38981474871
biggest dollar loss: -126.581711555968
biggest dollar drawdown: 725.095599793474
biggest dollar drawdown percentage: 6.793465209301
highest dollar total: 12658.1711555968
average gain per trade: 24.987045405868
account: 12748.5749946455
limit: 150 stop: 80 order_start: 4 order_duration: 16
num_trades: 110
num_wins: 50
num_loss: 60
average win: 150
average loss: -80
average trade: 24.5454545454545
percent win: 45.4545454545455
percent loss: 54.5454545454545
biggest win: 150
biggest loss: -80
biggest drawdown: 600
total pips: 2700
risk: 0.01
biggest dollar gain: 254.933209488059
biggest dollar loss: -135.015713001154
biggest dollar drawdown: 833.869038793164
biggest dollar drawdown percentage: 7.36002995489585
highest dollar total: 13596.4378393631
average gain per trade: 35.0124640804653
account: 13851.3710488512
limit: 360 stop: 80 order_start: 4 order_duration: 16
num_trades: 110
num_wins: 29
num_loss: 81
average win: 360
average loss: -80
average trade: 36
percent win: 26.3636363636364
percent loss: 73.6363636363636
biggest win: 360
biggest loss: -80
biggest drawdown: 920
total pips: 3960
risk: 0.01
biggest dollar gain: 683.784746708645
biggest dollar loss: -153.487036298237
biggest dollar drawdown: 1453.99153109714
biggest dollar drawdown percentage: 11.0226629205855
highest dollar total: 15348.7036298237
average gain per trade: 53.4454667294008
account: 15879.0013402341
limit: 120 stop: 100 order_start: 1 order_duration: 19
num_trades: 110
num_wins: 57
num_loss: 53
average win: 120
average loss: -100
average trade: 14
percent win: 51.8181818181818
percent loss: 48.1818181818182
biggest win: 120
biggest loss: -100
biggest drawdown: 800
total pips: 1540
risk: 0.01
biggest dollar gain: 137.390043149527
biggest dollar loss: -115.214570469954
biggest dollar drawdown: 823.305634405886
biggest dollar drawdown percentage: 7.78633422791133
highest dollar total: 11521.4570469954
average gain per trade: 14.4232755055465
account: 11586.5603056101
limit: 170 stop: 100 order_start: 1 order_duration: 19
num_trades: 110
num_wins: 48
num_loss: 62
average win: 170
average loss: -100
average trade: 17.8181818181818
percent win: 43.6363636363636
percent loss: 56.3636363636364
biggest win: 170
biggest loss: -100
biggest drawdown: 1090
total pips: 1960
risk: 0.01
biggest dollar gain: 201.333375006991
biggest dollar loss: -118.010150106795
biggest dollar drawdown: 1179.80209735655
biggest dollar drawdown percentage: 10.4375485479717
highest dollar total: 11843.1397062936
average gain per trade: 18.5861189209142
account: 12044.4730813006
limit: 250 stop: 100 order_start: 1 order_duration: 19
num_trades: 110
num_wins: 34
num_loss: 76
average win: 250
average loss: -100
average trade: 8.18181818181818
percent win: 30.9090909090909
percent loss: 69.0909090909091
biggest win: 250
biggest loss: -100
biggest drawdown: 1500
total pips: 900
risk: 0.01
biggest dollar gain: 273.501513838862
biggest dollar loss: -112.135620673934
biggest dollar drawdown: 1602.61190377844
biggest dollar drawdown percentage: 14.2917290165851
highest dollar total: 11213.5620673934
average gain per trade: 7.15127908838289
account: 10786.6406997221
Monday, August 20, 2007
Friday, August 10, 2007
new system to test
This one:
http://www.forexfactory.com/showthread.php?t=38981
In a nutshell, go long if you've had 3 days up; short if you've had 3 days down. Put stop behind yesterday's candle or 90 pips (whichever is less).
The stop distance can be adjusted....TP at 30 pips for half your lots, let the rest run (not sure how long).
http://www.forexfactory.com/showthread.php?t=38981
In a nutshell, go long if you've had 3 days up; short if you've had 3 days down. Put stop behind yesterday's candle or 90 pips (whichever is less).
The stop distance can be adjusted....TP at 30 pips for half your lots, let the rest run (not sure how long).
putting Sedona to rest
Sometimes in developing trading systems you realize that your efforts have been in vain. At that point, you can do one of two things:
I've tried #1 all week with the following tweaks:
Nothing works, so I'm moving on.....new systems on the way.
- tweak the system slightly, try new currency pairs and keep trying
- move onto a new system armed with the knowledge that you've gained from the experience of testing and failing
I've tried #1 all week with the following tweaks:
- try trading with gbp/chf, eur/aud, eur/jpy, gbp/jpy (the only profitable pair!), eur/gbp
- only enter in the first hour (12:00 -> 13:00 EDT), or first two hours
- filter based on days of the week
- use JPY and early London session for box, trade from 8am - 12pm EDT
Nothing works, so I'm moving on.....new systems on the way.
Saturday, August 4, 2007
some preliminary results...GBPJPY
I just ran GBPJPY using the new code set..so far, so good. That being said, before an audit, I'll take these results with a big grain of salt.
stop 60, lim 30....enter at high/low -+ 15 pips....
./GBPJPY.1
num_trades: 174
num_wins: 115
num_loss: 59
average win: 25.5391304347826
average loss: -25.728813559322
average trade: 8.1551724137931
percent win: 66.0919540229885
percent loss: 33.9080459770115
biggest win: 30
biggest loss: -60
biggest drawdown: 152
total pips: 1419
risk: 0.01
biggest dollar gain: 63.938555421731
biggest dollar loss: -127.705757018557
biggest dollar drawdown: 287.695419390098
biggest dollar drawdown percentage: 2.50983919324512
highest dollar total: 12851.6496397679
average gain per trade: 15.1889077289491
account: 12642.8699448371
stop 60, lim 30....enter at high/low -+ 15 pips....
./GBPJPY.1
num_trades: 174
num_wins: 115
num_loss: 59
average win: 25.5391304347826
average loss: -25.728813559322
average trade: 8.1551724137931
percent win: 66.0919540229885
percent loss: 33.9080459770115
biggest win: 30
biggest loss: -60
biggest drawdown: 152
total pips: 1419
risk: 0.01
biggest dollar gain: 63.938555421731
biggest dollar loss: -127.705757018557
biggest dollar drawdown: 287.695419390098
biggest dollar drawdown percentage: 2.50983919324512
highest dollar total: 12851.6496397679
average gain per trade: 15.1889077289491
account: 12642.8699448371
Ideas to improve the system
Some ideas to make sedona a working system:
- rather than enter at a given price, enter if the price is a particular percentage of the range away from the top/bottom of the range. This idea is lifted from the forex factory thread on the sedona system....
- only enter in the first couple of hours away from the end of the london session....
- filter on days traded....some days are better than others
- only enter of days when the range is big....or small....
Big issues with the sedona system
My forward testing wasn't going so well in the past couple of weeks, so I thought I'd take a closer look at the code to see if any problems could be seen. There's a big issue with the order entry algorithm. In summary, the algorithm would, in some cases, give an extra 3 to 4 pips to orders on days when the pair moved to a particular area in relation to the entry level. In the interest of disclosure, here's the code snippet:
The old code:
> if ($bid <= $orders{'short'}->{'open'}) {
> if ( ( $orders{'short'}->{'open_time'} < $epoch ) &&
> ( $epoch < $orders{'short'}->{'close_time'} ) && $bid > ($orders{'short'}->{'open'} - 4) ) {
> if ($verbose) {
> print $output "short\tentry:", $bid, "\t", scalar(gmtime($epoch)), "\trange:", $range, "\n\n";
> }
The new code:
< # new algorithm
< # go short if the bid falls within 2 pips from order
498,504c492,503
<
<>{'open_time'} < $epoch ) &&
< ( $epoch < $orders{'short'}->{'close_time'} ) &&
< ( (($orders{'short'}->{'open'}) + 1) > $bid) &&
< ( $bid > (($orders{'short'}->{'open'} - 1) ) ) ) {
< if ($verbose) {
< print $output "short\tentry:", $bid, "\t", scalar(gmtime($epoch)), "\trange:", $range, "\n\n";
---
Using the old code, if the pair got within 4 pips of the entry price, the code would trigger the order as if the pair actually made it to the entry level. In the situation where the pair didn't really get that far, we'd get an extra 4 pips, which vastly skews the test results.
So far, I've determined that GBP/USD and USD/JPY are no longer profitable using the old system. I haven't tried other pairs yet, but I'll be running tests this weekend. The lesson learned here is the importance of forward testing. It's also important to continually scrutinize any system that you test...not only the system variables, but the testing method as well.
My biggest mistake the past few weeks was spending far too much time optimizing the system - I should have been more suspicious of such good results....
The old code:
> if ($bid <= $orders{'short'}->{'open'}) {
> if ( ( $orders{'short'}->{'open_time'} < $epoch ) &&
> ( $epoch < $orders{'short'}->{'close_time'} ) && $bid > ($orders{'short'}->{'open'} - 4) ) {
> if ($verbose) {
> print $output "short\tentry:", $bid, "\t", scalar(gmtime($epoch)), "\trange:", $range, "\n\n";
> }
The new code:
< # new algorithm
< # go short if the bid falls within 2 pips from order
498,504c492,503
<
<>{'open_time'} < $epoch ) &&
< ( $epoch < $orders{'short'}->{'close_time'} ) &&
< ( (($orders{'short'}->{'open'}) + 1) > $bid) &&
< ( $bid > (($orders{'short'}->{'open'} - 1) ) ) ) {
< if ($verbose) {
< print $output "short\tentry:", $bid, "\t", scalar(gmtime($epoch)), "\trange:", $range, "\n\n";
---
Using the old code, if the pair got within 4 pips of the entry price, the code would trigger the order as if the pair actually made it to the entry level. In the situation where the pair didn't really get that far, we'd get an extra 4 pips, which vastly skews the test results.
So far, I've determined that GBP/USD and USD/JPY are no longer profitable using the old system. I haven't tried other pairs yet, but I'll be running tests this weekend. The lesson learned here is the importance of forward testing. It's also important to continually scrutinize any system that you test...not only the system variables, but the testing method as well.
My biggest mistake the past few weeks was spending far too much time optimizing the system - I should have been more suspicious of such good results....
Monday, July 30, 2007
Graphs of pips gains for Sedona System
The x-axis is time, y-axis is pip count. All of these pairs have periods of no growth, or slight drawdown but are pretty smooth otherwise. I've mentioned this before, but I'll say it again. The system works over a wide variety of parameters for each currency pair...these samples are just some of the better parameter sets.
Sunday, July 29, 2007
New Sedona Results / New Ideas
I haven't posted anything in a while...been busy with work and more testing. Here are some updated results along with more pairs to trade. More pairs means more trades...that means more compounding growth, less risk per trade, less drawdown, and more money.
I've got some ideas on tweaking the system - specifically, I want to try exiting around 1700 EDT. The market has more liquidity at that point, which should give us a better spread. Better spreads are much more profitable, of course.
Another idea is to simply enter if a pair is at the top/bottom of its respective range (from 03:00 -> 19:00 GMT) at 19:00 GMT, and fade the breakout. This is based on the observation that often, a pair is at the top/bottom of the range around noon (EDT), and then fades in the opposite direction...more on this later.
I've reworked the analysis to a base 1% risk per trade. I'll post later about the effect on total drawdown of trading multiple pairs at once.
----------------------------------------------------
levistamper@levistamper-pc ~/FX/RangeTrading/tmp
$ find . -name RANGE_\* -print -exec ../../analyze.pl --input={} --risk=100 \;
./RANGE_AUDUSD_stop30_lim15_m5_th3
num_trades: 446
num_wins: 285
num_loss: 148
average win: 12.2771929824561
average loss: -12.7027027027027
average trade: 3.63004484304933
percent win: 63.9013452914798
percent loss: 33.1838565022422
biggest win: 15
biggest loss: -30
biggest drawdown: 90
total pips: 1619
risk: 0.01
biggest dollar gain: 86.3246517502908
biggest dollar loss: -172.987130551836
biggest dollar drawdown: 448.988727292251
biggest dollar drawdown percentage: 2.97625333015716
highest dollar total: 17351.2550018084
average gain per trade: 15.8533415397233
account: 17070.5903267166
./RANGE_EURCHF.s22.l19.RD22.M5.TH3.csv
num_trades: 523
num_wins: 296
num_loss: 202
average win: 6.25337837837838
average loss: -5.85643564356436
average trade: 1.27724665391969
percent win: 56.5965583173996
percent loss: 38.623326959847
biggest win: 19
biggest loss: -22
biggest drawdown: 79
total pips: 668
risk: 0.01
biggest dollar gain: 115.389468009438
biggest dollar loss: -135.577107652617
biggest dollar drawdown: 483.38182753408
biggest dollar drawdown percentage: 3.5587097099232
highest dollar total: 13635.4488996307
average gain per trade: 6.70201813661573
account: 13505.15548545
./RANGE_EURGBP.s16.l12.RD22.M5.TH3.csv
num_trades: 591
num_wins: 370
num_loss: 197
average win: 6.98648648648649
average loss: -6.03045685279188
average trade: 2.36379018612521
percent win: 62.6057529610829
percent loss: 33.3333333333333
biggest win: 12
biggest loss: -16
biggest drawdown: 76
total pips: 1397
risk: 0.01
biggest dollar gain: 180.356337784545
biggest dollar loss: -241.346988030459
biggest dollar drawdown: 789.66239602401
biggest dollar drawdown percentage: 4.66133381016133
highest dollar total: 24227.8680423905
average gain per trade: 23.3062555939543
account: 23773.997056027
./RANGE_GBPUSD_stop70_lim30_m6_th3
num_trades: 245
num_wins: 156
num_loss: 89
average win: 21.9871794871795
average loss: -23.3483146067416
average trade: 5.51836734693878
percent win: 63.6734693877551
percent loss: 36.3265306122449
biggest win: 30
biggest loss: -70
biggest drawdown: 191
total pips: 1352
risk: 0.01
biggest dollar gain: 51.9280294251273
biggest dollar loss: -121.571762057387
biggest dollar drawdown: 279.72020084587
biggest dollar drawdown percentage: 2.70620206656761
highest dollar total: 12168.4682286215
average gain per trade: 8.60482461399816
account: 12108.1820304295
./RANGE_USDCAD_stop50_lim25_m5_th1
num_trades: 220
num_wins: 136
num_loss: 80
average win: 16.3529411764706
average loss: -15.2375
average trade: 4.56818181818182
percent win: 61.8181818181818
percent loss: 36.3636363636364
biggest win: 25
biggest loss: -50
biggest drawdown: 185
total pips: 1005
risk: 0.01
biggest dollar gain: 60.5500597449297
biggest dollar loss: -120.198046444834
biggest dollar drawdown: 447.727089481126
biggest dollar drawdown percentage: 3.64512534092014
highest dollar total: 12282.8996977126
average gain per trade: 10.0304911412044
account: 12206.708051065
./RANGE_USDJPY_stop30_lim15_m5_th3
num_trades: 495
num_wins: 331
num_loss: 159
average win: 13.5347432024169
average loss: -21.5345911949686
average trade: 2.13333333333333
percent win: 66.8686868686869
percent loss: 32.1212121212121
biggest win: 15
biggest loss: -30
biggest drawdown: 231
total pips: 1056
risk: 0.01
biggest dollar gain: 71.6015125861295
biggest dollar loss: -143.91904029812
biggest dollar drawdown: 811.058257399272
biggest dollar drawdown percentage: 7.49211865052526
highest dollar total: 14391.904029812
average gain per trade: 8.27388161458536
account: 14095.5713992198
I've got some ideas on tweaking the system - specifically, I want to try exiting around 1700 EDT. The market has more liquidity at that point, which should give us a better spread. Better spreads are much more profitable, of course.
Another idea is to simply enter if a pair is at the top/bottom of its respective range (from 03:00 -> 19:00 GMT) at 19:00 GMT, and fade the breakout. This is based on the observation that often, a pair is at the top/bottom of the range around noon (EDT), and then fades in the opposite direction...more on this later.
I've reworked the analysis to a base 1% risk per trade. I'll post later about the effect on total drawdown of trading multiple pairs at once.
----------------------------------------------------
levistamper@levistamper-pc ~/FX/RangeTrading/tmp
$ find . -name RANGE_\* -print -exec ../../analyze.pl --input={} --risk=100 \;
./RANGE_AUDUSD_stop30_lim15_m5_th3
num_trades: 446
num_wins: 285
num_loss: 148
average win: 12.2771929824561
average loss: -12.7027027027027
average trade: 3.63004484304933
percent win: 63.9013452914798
percent loss: 33.1838565022422
biggest win: 15
biggest loss: -30
biggest drawdown: 90
total pips: 1619
risk: 0.01
biggest dollar gain: 86.3246517502908
biggest dollar loss: -172.987130551836
biggest dollar drawdown: 448.988727292251
biggest dollar drawdown percentage: 2.97625333015716
highest dollar total: 17351.2550018084
average gain per trade: 15.8533415397233
account: 17070.5903267166
./RANGE_EURCHF.s22.l19.RD22.M5.TH3.csv
num_trades: 523
num_wins: 296
num_loss: 202
average win: 6.25337837837838
average loss: -5.85643564356436
average trade: 1.27724665391969
percent win: 56.5965583173996
percent loss: 38.623326959847
biggest win: 19
biggest loss: -22
biggest drawdown: 79
total pips: 668
risk: 0.01
biggest dollar gain: 115.389468009438
biggest dollar loss: -135.577107652617
biggest dollar drawdown: 483.38182753408
biggest dollar drawdown percentage: 3.5587097099232
highest dollar total: 13635.4488996307
average gain per trade: 6.70201813661573
account: 13505.15548545
./RANGE_EURGBP.s16.l12.RD22.M5.TH3.csv
num_trades: 591
num_wins: 370
num_loss: 197
average win: 6.98648648648649
average loss: -6.03045685279188
average trade: 2.36379018612521
percent win: 62.6057529610829
percent loss: 33.3333333333333
biggest win: 12
biggest loss: -16
biggest drawdown: 76
total pips: 1397
risk: 0.01
biggest dollar gain: 180.356337784545
biggest dollar loss: -241.346988030459
biggest dollar drawdown: 789.66239602401
biggest dollar drawdown percentage: 4.66133381016133
highest dollar total: 24227.8680423905
average gain per trade: 23.3062555939543
account: 23773.997056027
./RANGE_GBPUSD_stop70_lim30_m6_th3
num_trades: 245
num_wins: 156
num_loss: 89
average win: 21.9871794871795
average loss: -23.3483146067416
average trade: 5.51836734693878
percent win: 63.6734693877551
percent loss: 36.3265306122449
biggest win: 30
biggest loss: -70
biggest drawdown: 191
total pips: 1352
risk: 0.01
biggest dollar gain: 51.9280294251273
biggest dollar loss: -121.571762057387
biggest dollar drawdown: 279.72020084587
biggest dollar drawdown percentage: 2.70620206656761
highest dollar total: 12168.4682286215
average gain per trade: 8.60482461399816
account: 12108.1820304295
./RANGE_USDCAD_stop50_lim25_m5_th1
num_trades: 220
num_wins: 136
num_loss: 80
average win: 16.3529411764706
average loss: -15.2375
average trade: 4.56818181818182
percent win: 61.8181818181818
percent loss: 36.3636363636364
biggest win: 25
biggest loss: -50
biggest drawdown: 185
total pips: 1005
risk: 0.01
biggest dollar gain: 60.5500597449297
biggest dollar loss: -120.198046444834
biggest dollar drawdown: 447.727089481126
biggest dollar drawdown percentage: 3.64512534092014
highest dollar total: 12282.8996977126
average gain per trade: 10.0304911412044
account: 12206.708051065
./RANGE_USDJPY_stop30_lim15_m5_th3
num_trades: 495
num_wins: 331
num_loss: 159
average win: 13.5347432024169
average loss: -21.5345911949686
average trade: 2.13333333333333
percent win: 66.8686868686869
percent loss: 32.1212121212121
biggest win: 15
biggest loss: -30
biggest drawdown: 231
total pips: 1056
risk: 0.01
biggest dollar gain: 71.6015125861295
biggest dollar loss: -143.91904029812
biggest dollar drawdown: 811.058257399272
biggest dollar drawdown percentage: 7.49211865052526
highest dollar total: 14391.904029812
average gain per trade: 8.27388161458536
account: 14095.5713992198
Friday, July 6, 2007
"Sedona System"
I found a system on Forex Factory that sounded promising. The idea is featured in a book by that Boris guy that works for FXCM, so I can't take credit for the idea. I can take credit for backtesting, though.
The idea:
during inactive hours, most pairs will bounce around in a range...this system will call for you to go short at the top of the range, and long at the bottom. Stops and exit parameters vary; I've tested a few and found some profitable settings.
Rules:
Draw a box around the high/low from 03:00 GMT - 19:00 GMT (around 8pm EDT to noon the next day). Place entry orders to go long at the bottom of the box, and short at the top. Exit all trades at their limit, or before the start of the JPY session (around 8pm EDT).
I added a volatility filter. Only trade when the range is > 0.6*(average range over last 22 days for the box). It works well without the filter, though.
I tested this on many pairs...here are some profitable results:
As you can see...this system is pretty nice. I'll be trying more pairs as I get more data. BTW, I've tested EUR/USD, and EUR/JPY. They don't work for some reason. USDCHF almost works, but not very well. The parameters below represent some of the better settings, but the systems works on a wide variety of settings.
All tests start with $10,000.00
$ ../analyze.pl --input=RANGE_GBPUSD_stop70_lim40_th3 --risk=300
num_trades: 245
num_wins: 154
num_loss: 91
average win: 23.5584415584416
average loss: -23.8571428571429
average trade: 5.9469387755102
biggest win: 40
biggest loss: -70
biggest drawdown: 171
total pips: 1457
risk: 0.03
biggest dollar gain: 307.699026170607
biggest dollar loss: -555.127109070683
biggest dollar drawdown: 862.320607157402
biggest dollar drawdown percentage: 7.20416405323425
average gain per trade: 33.9380339965376
account: 18314.8183291517
$ ../analyze.pl --input=RANGE_USDCAD_stop50_lim25_m6_th1 --risk=300
num_trades: 202
num_wins: 147
num_loss: 52
average win: 13.0952380952381
average loss: -15.1923076923077
average trade: 5.61881188118812
biggest win: 15
biggest loss: -35
biggest drawdown: 130
total pips: 1135
risk: 0.03
biggest dollar gain: 326.677936404871
biggest dollar loss: -711.640062993826
biggest dollar drawdown: 2628.09721789552
biggest dollar drawdown percentage: 10.7023450286276
average gain per trade: 79.2062591289465
account: 25999.6643440472
$ ../analyze.pl --input=RANGE_USDJPY_stop30_lim15_m5_th3 --risk=300
num_trades: 495
num_wins: 331
num_loss: 159
average win: 13.5347432024169
average loss: -21.5345911949686
average trade: 2.13333333333333
biggest win: 15
biggest loss: -30
biggest drawdown: 231
total pips: 1056
risk: 0.03
biggest dollar gain: 419.946973738377
biggest dollar loss: -852.492356688906
biggest dollar drawdown: 3835.68598796643
biggest dollar drawdown percentage: 21.2556989610852
average gain per trade: 33.4689049871766
account: 26567.1079686524
$ ../analyze.pl --input=RANGE_AUDUSD_stop30_lim15_m5_th3 --risk=300
num_trades: 446
num_wins: 285
num_loss: 148
average win: 12.2771929824561
average loss: -12.7027027027027
average trade: 3.63004484304933
biggest win: 15
biggest loss: -30
biggest drawdown: 90
total pips: 1619
risk: 0.03
biggest dollar gain: 751.002418280175
biggest dollar loss: -1510.43045183321
biggest dollar drawdown: 3230.1578933774
biggest dollar drawdown percentage: 8.78455074515168
average gain per trade: 85.8777746556087
account: 48301.4874964015
$ ../analyze.pl --input=RANGE_GBPJPY_stop60_lim30_m6_th5 --risk=300
num_trades: 214
num_wins: 149
num_loss: 63
average win: 26.744966442953
average loss: -30.3333333333333
average trade: 9.69158878504673
biggest win: 30
biggest loss: -60
biggest drawdown: 241
total pips: 2074
risk: 0.03
biggest dollar gain: 411.540823380571
biggest dollar loss: -757.487539338355
biggest dollar drawdown: 1863.44123995019
biggest dollar drawdown percentage: 11.46683187477
average gain per trade: 81.8419460369996
account: 27514.1764519179
The idea:
during inactive hours, most pairs will bounce around in a range...this system will call for you to go short at the top of the range, and long at the bottom. Stops and exit parameters vary; I've tested a few and found some profitable settings.
Rules:
Draw a box around the high/low from 03:00 GMT - 19:00 GMT (around 8pm EDT to noon the next day). Place entry orders to go long at the bottom of the box, and short at the top. Exit all trades at their limit, or before the start of the JPY session (around 8pm EDT).
I added a volatility filter. Only trade when the range is > 0.6*(average range over last 22 days for the box). It works well without the filter, though.
I tested this on many pairs...here are some profitable results:
As you can see...this system is pretty nice. I'll be trying more pairs as I get more data. BTW, I've tested EUR/USD, and EUR/JPY. They don't work for some reason. USDCHF almost works, but not very well. The parameters below represent some of the better settings, but the systems works on a wide variety of settings.
All tests start with $10,000.00
$ ../analyze.pl --input=RANGE_GBPUSD_stop70_lim40_th3 --risk=300
num_trades: 245
num_wins: 154
num_loss: 91
average win: 23.5584415584416
average loss: -23.8571428571429
average trade: 5.9469387755102
biggest win: 40
biggest loss: -70
biggest drawdown: 171
total pips: 1457
risk: 0.03
biggest dollar gain: 307.699026170607
biggest dollar loss: -555.127109070683
biggest dollar drawdown: 862.320607157402
biggest dollar drawdown percentage: 7.20416405323425
average gain per trade: 33.9380339965376
account: 18314.8183291517
$ ../analyze.pl --input=RANGE_USDCAD_stop50_lim25_m6_th1 --risk=300
num_trades: 202
num_wins: 147
num_loss: 52
average win: 13.0952380952381
average loss: -15.1923076923077
average trade: 5.61881188118812
biggest win: 15
biggest loss: -35
biggest drawdown: 130
total pips: 1135
risk: 0.03
biggest dollar gain: 326.677936404871
biggest dollar loss: -711.640062993826
biggest dollar drawdown: 2628.09721789552
biggest dollar drawdown percentage: 10.7023450286276
average gain per trade: 79.2062591289465
account: 25999.6643440472
$ ../analyze.pl --input=RANGE_USDJPY_stop30_lim15_m5_th3 --risk=300
num_trades: 495
num_wins: 331
num_loss: 159
average win: 13.5347432024169
average loss: -21.5345911949686
average trade: 2.13333333333333
biggest win: 15
biggest loss: -30
biggest drawdown: 231
total pips: 1056
risk: 0.03
biggest dollar gain: 419.946973738377
biggest dollar loss: -852.492356688906
biggest dollar drawdown: 3835.68598796643
biggest dollar drawdown percentage: 21.2556989610852
average gain per trade: 33.4689049871766
account: 26567.1079686524
$ ../analyze.pl --input=RANGE_AUDUSD_stop30_lim15_m5_th3 --risk=300
num_trades: 446
num_wins: 285
num_loss: 148
average win: 12.2771929824561
average loss: -12.7027027027027
average trade: 3.63004484304933
biggest win: 15
biggest loss: -30
biggest drawdown: 90
total pips: 1619
risk: 0.03
biggest dollar gain: 751.002418280175
biggest dollar loss: -1510.43045183321
biggest dollar drawdown: 3230.1578933774
biggest dollar drawdown percentage: 8.78455074515168
average gain per trade: 85.8777746556087
account: 48301.4874964015
$ ../analyze.pl --input=RANGE_GBPJPY_stop60_lim30_m6_th5 --risk=300
num_trades: 214
num_wins: 149
num_loss: 63
average win: 26.744966442953
average loss: -30.3333333333333
average trade: 9.69158878504673
biggest win: 30
biggest loss: -60
biggest drawdown: 241
total pips: 2074
risk: 0.03
biggest dollar gain: 411.540823380571
biggest dollar loss: -757.487539338355
biggest dollar drawdown: 1863.44123995019
biggest dollar drawdown percentage: 11.46683187477
average gain per trade: 81.8419460369996
account: 27514.1764519179
Wednesday, June 13, 2007
Backtesting Results
Here's a summary of backtesting results of the pairs I'm currently tracking. All results are show using 1% account risk per trade. Returns would be greater with more risk, but drawdown goes up accordingly.
GBP/USD
stop = 34, threshold=5, ATR% 70
date range jan 1 2004 - nov 8 2006, 1% account risk per trade
num_trades: 186
num_wins: 78
num_loss: 107
average win: 82.6282051282051
average loss: -33.3457943925234
average trade: 15.4677419354839
biggest win: 249
biggest loss: -34
biggest drawdown: 316
total pips: 2877
risk: 0.01
biggest dollar gain: 1098.00
biggest dollar loss: -225.64
biggest dollar drawdown: 1797.37
biggest dollar drawdown percentage: 9.01
average gain per trade: 66.79
starting account balance: 10000
ending account balance: 22424.13
USD/JPY
stop=32, threshold=5, ATR% 70, no trades on Friday
date range jan 1 2004 - mar 30 2007, 1% account risk per trade
num_trades: 151
num_wins: 69
num_loss: 80
average win: 45.9130434782609
average loss: -27.9375941176471
average trade: 6.17880794701987
biggest win: 130
biggest loss: -32
biggest drawdown: 278
total pips: 933
risk: 0.01
biggest dollar gain: 457.78
biggest dollar loss: -129.96
biggest dollar drawdown: 951.45
biggest dollar drawdown percentage: 8.44
average gain per trade: 21.11
starting account balance: 10000
account: 13188.20
USD/CHF
stop=28, threshold=2, ATR% 60, no trades on Friday
date range jan 1 2004 - august 01 2006 1% account risk per trade
num_trades: 74
num_wins: 25
num_loss: 46
average win: 80.44
average loss: -25.76
average trade: 11.16
biggest win: 218
biggest loss: -28
biggest drawdown: 169
total pips: 826
risk: 0.01
biggest dollar gain: 815.98
biggest dollar loss: -134.88
biggest dollar drawdown: 656.47
biggest dollar drawdown percentage: 6.02
average gain per trade: 43.39
starting account balance: 10000
account: 13211.43
GBP/USD
stop = 34, threshold=5, ATR% 70
date range jan 1 2004 - nov 8 2006, 1% account risk per trade
num_trades: 186
num_wins: 78
num_loss: 107
average win: 82.6282051282051
average loss: -33.3457943925234
average trade: 15.4677419354839
biggest win: 249
biggest loss: -34
biggest drawdown: 316
total pips: 2877
risk: 0.01
biggest dollar gain: 1098.00
biggest dollar loss: -225.64
biggest dollar drawdown: 1797.37
biggest dollar drawdown percentage: 9.01
average gain per trade: 66.79
starting account balance: 10000
ending account balance: 22424.13
USD/JPY
stop=32, threshold=5, ATR% 70, no trades on Friday
date range jan 1 2004 - mar 30 2007, 1% account risk per trade
num_trades: 151
num_wins: 69
num_loss: 80
average win: 45.9130434782609
average loss: -27.9375941176471
average trade: 6.17880794701987
biggest win: 130
biggest loss: -32
biggest drawdown: 278
total pips: 933
risk: 0.01
biggest dollar gain: 457.78
biggest dollar loss: -129.96
biggest dollar drawdown: 951.45
biggest dollar drawdown percentage: 8.44
average gain per trade: 21.11
starting account balance: 10000
account: 13188.20
USD/CHF
stop=28, threshold=2, ATR% 60, no trades on Friday
date range jan 1 2004 - august 01 2006 1% account risk per trade
num_trades: 74
num_wins: 25
num_loss: 46
average win: 80.44
average loss: -25.76
average trade: 11.16
biggest win: 218
biggest loss: -28
biggest drawdown: 169
total pips: 826
risk: 0.01
biggest dollar gain: 815.98
biggest dollar loss: -134.88
biggest dollar drawdown: 656.47
biggest dollar drawdown percentage: 6.02
average gain per trade: 43.39
starting account balance: 10000
account: 13211.43
Tuesday, June 12, 2007
Basic System Rules
Volatility Squeeze System
Theory:
A period of high volatility will often follow a period of low volatility. Specifically, a breakout will often follow a tight range day (a small range day in comparison to previous days).
Implementation:
The system works with GBP/USD, USD/JPY, USD/CHF, AUD/USD, and EUR/JPY. I'm sure more pairs will work...I just haven't tested them yet. Note that the system doesn't seem to work with EUR/USD or USD/CAD.
Currency Specific Rules:
Pair | StopDistance | Entry threshold | ATR % | Notes
GBP/USD | 34 | 5 | 70
USD/JPY | 32 | 5 | 70 | no trades on Friday
USD/CHF | 28 | 1 | 60 | no trades on Friday
Parameters for other pairs will follow in a later post.....
Theory:
A period of high volatility will often follow a period of low volatility. Specifically, a breakout will often follow a tight range day (a small range day in comparison to previous days).
Implementation:
- Use a daily chart and the ATR (Average True Range) indicator.
- Place long/short entries at yesterday's high/low; place entries just beyond the high or low at a predetermined amount of pips (parameters depend on currency pair)
- place order around 18:00 EST
- exit any open trades around noon EST the next day
- stops are set according to currency pair
- Only place orders if (yesterday's range) is smaller than (ATR(33) * percentage) ; actual parameters depend on the pair
- trade size depends on currency pair and risk aversion...I use around 1.5 to 2.5%, depending on the situation
The system works with GBP/USD, USD/JPY, USD/CHF, AUD/USD, and EUR/JPY. I'm sure more pairs will work...I just haven't tested them yet. Note that the system doesn't seem to work with EUR/USD or USD/CAD.
Currency Specific Rules:
Pair | StopDistance | Entry threshold | ATR % | Notes
GBP/USD | 34 | 5 | 70
USD/JPY | 32 | 5 | 70 | no trades on Friday
USD/CHF | 28 | 1 | 60 | no trades on Friday
Parameters for other pairs will follow in a later post.....
Introduction
Over the past year or so, I've been developing some mechanical trading systems that work across a variety of currency pairs. I've tested them using my own tools (perl & tick data) and have found them to be pretty robust.
Like any mechanical system, you'll experience some drawdown...it all depends on how much risk you're taking in each trade. I don't like to risk alot - usually around 1% per trade...that keeps my drawdown to something < 15% (I'll post more about that issue later).
I get alot of email requests for programming help and trading ideas, so I thought I'd start posting my activities here. I'll not only post signals, but I'll show you how the signals are generated and how the system(s) were tested.
No warrenty is implied. In other words, don't trade with money that you can't afford to lose!
Like any mechanical system, you'll experience some drawdown...it all depends on how much risk you're taking in each trade. I don't like to risk alot - usually around 1% per trade...that keeps my drawdown to something < 15% (I'll post more about that issue later).
I get alot of email requests for programming help and trading ideas, so I thought I'd start posting my activities here. I'll not only post signals, but I'll show you how the signals are generated and how the system(s) were tested.
No warrenty is implied. In other words, don't trade with money that you can't afford to lose!
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