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FX System

Posted: Fri Oct 08, 2004 3:20 pm
by Wisdom
I'd like to get some feedback on this system. We've been trading it in the futures with good success for about 6 months now and have back tested the strategy on EURUSD data. The results look very impressive to me, and we'll take the system live on FX data in the next week. I just wanted to get some feedback from other FX system traders on the list that may see something I'm missing before we put real money behind it.
I can forward screenshots or MHT files if you would like to contact me directly.
Best regards,

Posted: Fri Oct 08, 2004 3:35 pm
by TK
No allowance for commissions and slippage is something I find somewhat unrealistic, especially now that most FX brokers no longer guarantee stops and skids of 30-100 pips after major economic data releases are not uncommon.

Posted: Sat Oct 09, 2004 2:55 pm
by Wisdom
Thanks TK. I included the same report with $50 factored in for trade costs. Any feedback is appreciated.

Posted: Mon Oct 18, 2004 7:31 pm
by s-a

Regarding TK's post about slippage on guaranteed stops, I had a stop entry order last NFP and ended up getting served 20 pips of slippage. Some might say that NFP is probably one of the more volatile news events so that experience can serve as an example of 'extreme volatility'. My broker is RJO O'Brien through tradestation.

Holden Glova

trading ideas

Posted: Sun Feb 06, 2005 4:43 pm
by nalgrim
Can I ask what your basic system premises are? Is it breakout, trending, ranging, etc.? I automate trading strategies for spot forex, we could possibly collaborate on some projects.

Andrew Peters
Fabrefactum Software

Posted: Thu Mar 24, 2005 4:11 pm
by Ghostrider
I agree with the last post.
I don't know how to give feedback when I don't know what the system is. Maybe it's me, but I have absolutely no idea (not even a clue) of how this system works or what the system is or if it even is a system. I see words like type 2 or type 3 trade, 8 minute charts and bunch of statistics, which isn't a system.
I am unable to give feedback about a system when the system is not given. So you ask for feedback about your system - please tell us what your system is so we can give you feedback. If you are unwilling to post your system, I understand. Here are a few questions I ask myself when I review a system:
- How many rules does it have (the fewer the better)
- Are these rules robust? Can they be applyed to any market?
- Does the system show a profit over a 10 year (or >) period? (Do some in sample and out of sample testing).
- Are slippage and commissions realistic?
- How much curve fitting am I working into my system?

Good luck trading.

As for the spreadsheet, it looks very nice, good use of columns and rows.


Posted: Thu Mar 24, 2005 8:15 pm
by edward kim
wisdom wrote:Thanks TK. I included the same report with $50 factored in for trade costs. Any feedback is appreciated.
TK implies that you include slippage and commission, NOT "trade costs".

your trade costs are fixed, and do not vary with size.

dollar slippage varies with size, where % slippage is fixed.

you trade a high-frequency system. if you maintain profitability with healthy drawdowns using 100% skid, then you might have a gift.

otherwise; this system is your playground, and i am not sure of this system's long-term performance.