Deadline June

This is a discussion on Deadline June within the Trading Journals forums, part of the Reception category; My plan to introduce new cross-currencies to my traded forex pairs has gone out the window this week so I ...

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Old Oct 8, 2010, 1:34pm   #473
 
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Intraday PnL swings & being short the greenback up to the hilt

Adamus started this thread My plan to introduce new cross-currencies to my traded forex pairs has gone out the window this week so I find myself short 1.2M USD going into non-farm payrolls today.

Admittedly about 0.3M of that is long yen and long swiss, so it's not as big a gamble as it looks.

The intraday equity swings are pretty wild. The account broke 43K yesterday and sank back to 33K today at the lows, and the volatility already stopped me out of the USDCAD - although hopefully so that I feel better about it, it will rise back up past my exit point.

I'm still spending much of my time fighting to get NinjaTrader and IB to co-operate. I think NinjaTrader support staff are ignoring me now after I posted a 1000 line ream of error messages on their support forum.

The US data should be out now. I don't think I want to watch this. Anything that kills the idea of the Fed doing quantitive easing soon will cause more surges in the dollar - or will it?

Expected possible intraday equity minimum: 28K.

Edit: Worst case scenario to ruin my weekend: getting stopped out of more positions on a spike.
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Old Oct 8, 2010, 9:30pm   #474
 
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Spread comparison between IB and MTB

Adamus started this thread
Code:

  Instrument         IB         MTB
    $AUDCAD           2         4.5
    $AUDCHF           2          3
    $AUDJPY           1          3
    $AUDNZD           9         6.5
    $AUDUSD           1          2
    $CADCHF           2          7
    $CADJPY          1.5         4
    $CHFJPY           2          2
    $EURAUD           2          4
    $EURCAD          3.5        6.5
    $EURCHF          1.5        1.5
    $EURGBP           1          1
    $EURJPY           2         2.5
    $EURNZD           7          3
    $EURSEK          28          29
    $EURUSD           1          1
    $GBPAUD           3         5.5
    $GBPCAD           3          8
    $GBPCHF           3         4.5
    $GBPJPY          0.5         4
    $GBPNZD          14          6
    $GBPUSD           1          2
    $NZDCHF           6          3
    $NZDJPY           5          3
    $NZDUSD          4.5         3
    $USDCAD           1         2.5
    $USDCHF           1         0.5
    $USDJPY           1         0.5
    $USDSEK          28          19
I should knock up an average of these spreads because the snapshots like this can be seriously misrepresentative. Hopefully over the weekend.
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Old Oct 8, 2010, 9:35pm   #475
 
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Re: Deadline June

Adamus started this thread A minus point for MTB is that they only provide 6 months worth of historical minute data.

It also causes lots of errors in NinjaTrader, with pop-up dialogs - more frequently than IB.

The historical download is unthrottled though. Major plus point.

I will have to run the 3Ducks backtests again on the six months of data they provide and compare the results.
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Old Oct 9, 2010, 1:39am   #476
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Re: Intraday PnL swings & being short the greenback up to the hilt

Quote:
Originally Posted by Adamus View Post
My plan to introduce new cross-currencies to my traded forex pairs has gone out the window this week so I find myself short 1.2M USD going into non-farm payrolls today.

Admittedly about 0.3M of that is long yen and long swiss, so it's not as big a gamble as it looks.

The intraday equity swings are pretty wild. The account broke 43K yesterday and sank back to 33K today at the lows, and the volatility already stopped me out of the USDCAD - although hopefully so that I feel better about it, it will rise back up past my exit point.

I'm still spending much of my time fighting to get NinjaTrader and IB to co-operate. I think NinjaTrader support staff are ignoring me now after I posted a 1000 line ream of error messages on their support forum.

The US data should be out now. I don't think I want to watch this. Anything that kills the idea of the Fed doing quantitive easing soon will cause more surges in the dollar - or will it?

Expected possible intraday equity minimum: 28K.

Edit: Worst case scenario to ruin my weekend: getting stopped out of more positions on a spike.
How did it go in the end? You won right? 43k back to 33k. Isn't that a bit steep in terms of risk? 1.2mio USD position on a 43k account is pretty punchy.
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Old Oct 9, 2010, 10:45am   #477
 
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Re: Intraday PnL swings & being short the greenback up to the hilt

Adamus started this thread
Quote:
Originally Posted by brettus View Post
How did it go in the end? You won right? 43k back to 33k. Isn't that a bit steep in terms of risk? 1.2mio USD position on a 43k account is pretty punchy.
My equity was around 35K when the non-farm payroll came in. The wild yoyo moves in the EURUSD in the next hour where dampened by the move in the yen. I ended up at 38K.

Can't complain but I'm going into the weekend long the yen - so no chance of relaxing there if rumours of more BoJ intervention pop up. *

You're right about the leverage, but individually per system there's actually only $500 risk per trade roughly.

I'm working feverishly to try to change the situation but this week all my time was eaten up by NinjaTrader bug problems and work-arounds. Or should it be IB bugs. Plus I'm trying out MTB as a broker because of the absolutely ****e historical data service from IB. The way NinjaTrader have coded their connection module to link up to it is bug-ridden too so I'm right up a gum tree there. I hear from other people that IB historical data is a no-no, e.g. for Amibroker. But the attitude of the NinjaTrader staff stinks and I wish I could drop that too, but it's just too good in all the other areas.


* of course I should be able to relax if I would just stop looking at that equity figure....
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Old Oct 10, 2010, 2:27am   #478
 
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Re: Intraday PnL swings & being short the greenback up to the hilt

Quote:
Originally Posted by Adamus View Post
My equity was around 35K when the non-farm payroll came in. The wild yoyo moves in the EURUSD in the next hour where dampened by the move in the yen. I ended up at 38K.

Can't complain but I'm going into the weekend long the yen - so no chance of relaxing there if rumours of more BoJ intervention pop up. *

You're right about the leverage, but individually per system there's actually only $500 risk per trade roughly.

I'm working feverishly to try to change the situation but this week all my time was eaten up by NinjaTrader bug problems and work-arounds. Or should it be IB bugs. Plus I'm trying out MTB as a broker because of the absolutely ****e historical data service from IB. The way NinjaTrader have coded their connection module to link up to it is bug-ridden too so I'm right up a gum tree there. I hear from other people that IB historical data is a no-no, e.g. for Amibroker. But the attitude of the NinjaTrader staff stinks and I wish I could drop that too, but it's just too good in all the other areas.


* of course I should be able to relax if I would just stop looking at that equity figure....

That's some large equity swings mate... Even if the risk per trade is small....
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Old Oct 10, 2010, 2:30am   #479
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Re: Intraday PnL swings & being short the greenback up to the hilt

Quote:
Originally Posted by Adamus View Post
My equity was around 35K when the non-farm payroll came in. The wild yoyo moves in the EURUSD in the next hour where dampened by the move in the yen. I ended up at 38K.

Can't complain but I'm going into the weekend long the yen - so no chance of relaxing there if rumours of more BoJ intervention pop up. *

You're right about the leverage, but individually per system there's actually only $500 risk per trade roughly.

I'm working feverishly to try to change the situation but this week all my time was eaten up by NinjaTrader bug problems and work-arounds. Or should it be IB bugs. Plus I'm trying out MTB as a broker because of the absolutely ****e historical data service from IB. The way NinjaTrader have coded their connection module to link up to it is bug-ridden too so I'm right up a gum tree there. I hear from other people that IB historical data is a no-no, e.g. for Amibroker. But the attitude of the NinjaTrader staff stinks and I wish I could drop that too, but it's just too good in all the other areas.


* of course I should be able to relax if I would just stop looking at that equity figure....
if they only have 500$ risk each, then this tells me that your systems correlate too much.
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Old Oct 10, 2010, 11:25am   #480
 
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Re: Deadline June

Adamus started this thread Totally true, they correlate too much and I've put too much leverage on. I'm going to halve it today.

Actually it's worse than that - $500 is the average loss - the largest backteste loss is 3 times that roughly.

There are just so many demands on my time. I was racing to get some cross-currencies backtested but the results are just rubbish so I need to look into that more. My list of things to do is just growing by the day and I'm hard put to work out which has to be done first.

* the whole connectivity issue thing with IB & NinjaTrader trying to persuade either IB or NinjaTrader to look at the bug. My current plan of attack is to try to get them in a conference call with each other. Not surprisingly neither of them answered that message.

* in relation to that, trying to identify any possible network error I might have - currently looking at trying to use ping to identify ICMP errors, if I could only work out the ping parameters. I want to set up the ping test to run continuously checking for packet corruption to tell for sure whether the DSL line and / or internet is healthy or not

* I'm checking out the alternatives to IB and NinjaTrader. I think MB Trading (broker) and NeoTicker (backtesting software) might be a good combination - I wonder if anyone on T2W can recommend NeoTicker

* I'm trying to find a rare bug in my 3Ducks code that causes it to die leaving an unprotected position in the market. It's only occurred once despite a month running simulated & live in ten separate markets.

* My trades last week in live trades different appreciably from the simulated trading to the extent that I want to check them all to find out when, where and why and hopefully do something about it. Maybe it was just a bad week - I already went some way to reduce the original discrepancies before I went live with it.

* I want to find a variant on the 3Ducks I am currently trading that will also work on the cross-currencies with the same sort of success. I tested AUD-CAD and the results were rubbish.

* I want to get my TurnArounds system live - this is a shorter term system than the 3Ducks

* I want to get a new DSL modem just in case the two current modem are both flakey - they are old but still make the DSL connection normally as far as I can see.
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