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Discussions about trading the Forex markets.
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Kaiyo
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Comments requested

Post by Kaiyo » Tue Jun 29, 2004 10:05 am

I may well be prepared to explain the system which produced the attached graph, in due course. In the meantime, it would be fantastic to hear any comments which any of you may have about it. What you see is the growth in gross PL (in "pips") produced by a mechanical system with automatic exit/entry and automatic stop losses, tested on approximately three years of EURUSD data, during the dates specified at the top of the graph.
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jankiraly
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Post by jankiraly » Tue Jun 29, 2004 12:51 pm

It seems to be Test #9 of Battery #2 undertaken by Oliver. I'd suggest you ask him for some of the summary statistics like: number of trades, how much was risked on each trade, number of adjustable parameters in the trading system algorithm, and so forth.

Then I'd suggest you ask him whether or not he feels the same algorithm will trade other currency pairs (over the same interval of history) profitably. Why or why not?

Then I'd suggest you ask him whether or not he feels the same algorithm will trade this currency pair profitably, over a different interval of history. Why or why not?

Then I'd suggest you discuss the other tests and the other batteries with him. What, if anything, is special about this test and this battery? Why has he given you this particular result above all others? What are the others like?

And so forth.

Kaiyo
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Post by Kaiyo » Wed Jun 30, 2004 12:33 am

I'd suggest you ask him for some of the summary statistics like: number of trades,
A little over 450 trades in total, during that (approximately) 800 day period. Win/loss ratio, PL per trade, drawdown extents, drawdown as a percentage of gross PL were also calculated.

how much was risked on each trade
Hypothetically, the "risk" would be low; perhaps 5% of total equity, or less. As the graph only displays PL in pips, no monetary amounts are involved.

number of adjustable parameters in the trading system algorithm, and so forth.
Freely adjustable: the entry signal parameter, stop loss positioning parameter and risk per trade. Other features of the system could be considered to be fixed assumptions as opposed to (adjustable) parameters.

Then I'd suggest you ask him whether or not he feels the same algorithm will trade other currency pairs (over the same interval of history) profitably.
USDCHF produced a slightly greater gross PL, with a similar gradient and drawdown profile. AUDCAD produced a similar gradient though gross PL was greatly lower.

Why or why not?
Supposedly, there can be no explanation other than that the system is tailor-made to take advantage of idiosyncrasies in the price movement of the aforementioned pairs.

Then I'd suggest you ask him whether or not he feels the same algorithm will trade this currency pair profitably, over a different interval of history. Why or why not?
Testing across alternative timespans is currently in progress.

Then I'd suggest you discuss the other tests and the other batteries with him. What, if anything, is special about this test and this battery?
Apparently, these represent the "best results" from varying the parameters throughout a large number of tests.

Why has he given you this particular result above all others? What are the others like?
Presumably they are not as good!

Kaiyo
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Post by Kaiyo » Thu Jul 01, 2004 9:49 pm

Jan - thanks very much indeed for the critique. I will be back soon with more...

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Post by josbarr » Wed Oct 20, 2004 5:38 pm

Is anything new?

Kaiyo
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Post by Kaiyo » Fri Oct 22, 2004 8:23 am

Lots of "new" - I'm afraid that I have not had time to post any of it up here. The snapshot provided earlier in this thread has evolved into a fully-fledged programme with lots of additions..... but it's still running on paper, and I'm afraid I am not in any rush to open an account with ProEdge quite yet!

Some stats (which I will now have to provide evidence for):
EUR/USD programme:
2004, to end September: 31.1% up
2003: 98.1% up
Apr-Dec 2002: 34.4% up
Automated programme only began trading itself in Apr 2002.....

USD/CHF programme:
2004, to end September: 39.0% up
2003: 71.6% up
Mar-Dec 2002: 54.9% up
Automated programme started in Mar 2002.....

And all done on Excel (I can already hear the giggles).

There is a lot more to throw into the mix for discussion on this forum, other than just those figures above. In particular, my assumptions about the cost of spread for each trade are certainly open to debate. Apologies for not revealing more but it's getting late...

Anyone got any decent ideas about things to do Sydney?

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