some results from "SIMPLE" system

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

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).

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:

1. tweak the system slightly, try new currency pairs and keep trying
2. 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.

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

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....

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.