Deadline June

This is a discussion on Deadline June within the Trading Journals forums, part of the Reception category; Originally Posted by travis Thanks, and in the same way I would spare you and even Brettus. It was a ...

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Old Jan 8, 2011, 7:01pm   #621
 
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Re: Deadline June

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Thanks, and in the same way I would spare you and even Brettus.
It was a pleasure. I'm a pretty magnanimous person really.

But Brettus must die. He works for a brokerage.
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Old Jan 8, 2011, 7:08pm   #622
 
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Re: Deadline June

Thanks for not having me killed. I appreciate. At the moment my only mortal enemy is vito.
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Old Jan 8, 2011, 7:36pm   #623
 
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Post Re: the Saviour system - how robust are parameters and conditions?

Adamus started this thread The meat of the algorithm that I haven't really changed in 5 days of work consists of two things - filters and a trigger.

The main filters are MA trend filters, using 3 MAs - short, medium and long. For a long trade, the short must be either below the medium and catching up, or above the medium and pulling further away. The same for the medium vs the long. So that's two filters. I haven't really played around with the MA lengths much or tried optimising them - I just use 3 Fibonacci series numbers.

What I want to check for robustness is the third filter - currently the ADX set to the same period length as the shortest MA.

Secondly part of the core system is the trigger - I enter at the market when the price crosses the short MA (assuming the filters allow it). Not exactly inventive, I know. More KISS.

I also want to do a full check of the profit and loss on different time frames. I wrote the system using 55 min bars, but I'd like to see its performance against minutes/bar - jagged seismograph or nice little up and down plot? It should be easy enough to pump out the stats for 10, 15, 30, 45, 60, 75, 90, 120, 240, daily. I've already done a quick check and it doesn't look good.

Further, a check on the ADX filter with period length. Then using the same period length, I should check out further strength filters, such as RAVI and anything else that comes to mind. At the moment nothing else comes to mind but a google search should turn up some useful possibilities.

The exit mechanism is very simple, I'm just using fixed targets and stop losses. I set the stop 2 ATRs away - where the ATR is the 100 bar average on the current time frame - and the target is 6 ATRs away.

I have no concept of how the trades look in real time as I do for the live system, but I guess I run the NinjaTrader simulator to get a grasp on it and see how the exit mechanism can be improved. I tried a trailing stop and the raw performance was far worse.

But initially I can do robustness tests on the fixed distances of the stops & targets.
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Last edited by Adamus; Jan 8, 2011 at 7:44pm. Reason: spelling and grammar
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Old Jan 8, 2011, 7:46pm   #624
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Re: Deadline June

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Originally Posted by travis View Post
Thanks, and in the same way I would spare you and even Brettus.
I only read your two journals and that JahDave's. I have a habit of picking out talent. I'm not sure what Travis's is yet. I think your life should be turned into a version of Curb your Enthusiasm. Thanks for keeping me alive btw.
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Old Jan 8, 2011, 8:24pm   #625
 
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Re: Deadline June

Thanks for the feedback.
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Old Jan 8, 2011, 9:28pm   #626
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Re: Deadline June

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Thanks for the feedback.
Meh, dont listen to the guy who has a degree in maths and statistics, job is a trader for a big brokerage company and makes your annual salary PA.
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Old Jan 8, 2011, 10:11pm   #627
 
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Re: Deadline June

Yeah, first hand experience is more reliable. No academic bull****.
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Old Jan 9, 2011, 4:20pm   #628
 
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Post Saviour: first PNL result set

Adamus started this thread
HTML Code:
Instrument	PF		Avg Trd	Total Net	Max. DD	Trds	% Profit	Avg Win	Avg Loss	Max Loss	Avg Win/Loss	Avg MFE
$AUDJPY_DTC	0.81		-60.24	-6325.00	-7580.00	105	21.0%	1208.18	-396.45	-930.00	3.05		518.29
$AUDUSD_DTC	1.84		164.06	14765.00	-2770.00	90	36.7%	980.91	-308.86	-565.00	3.18		567.22
$CHFJPY_DTC	1.05		12.19	1365.00	-6605.00	112	25.9%	1071.72	-358.01	-580.00	2.99		466.79
$EURCHF_DTC	1.12		39.33	4090.00	-6315.00	104	27.9%	1275.52	-438.67	-660.00	2.91		645.48
$EURGBP_DTC	0.76		-49.02	-4755.00	-5250.00	97	20.6%	752.25	-257.14	-345.00	2.93		349.12
$EURJPY_DTC	1.64		227.22	14315.00	-7690.00	63	31.7%	1833.00	-519.65	-750.00	3.53		930.00
$EURUSD_DTC	1.19		53.55	4070.00	-4185.00	76	28.9%	1178.18	-404.63	-600.00	2.91		579.21
$GBPCHF_DTC	1.07		46.47	5205.00	-18275.00	112	26.8%	2762.00	-947.01	-1660.00	2.92		1329.91
$GBPJPY_DTC	1.14		85.46	8290.00	-13685.00	97	28.9%	2339.46	-829.20	-1440.00	2.82		1321.19
$GBPUSD_DTC	1.57		189.62	17635.00	-4185.00	93	34.4%	1517.34	-506.89	-680.00	2.99		839.41
$USDCAD_DTC	1.41		108.53	10310.00	-5130.00	95	31.6%	1172.00	-382.31	-615.00	3.07		582.95
$USDCHF_DTC	1.51		171.41	14570.00	-4180.00	85	31.8%	1600.00	-493.62	-820.00	3.24		816.35
$USDJPY_DTC	1.00		0.05  	 5.00 	-7765.00	100	25.0%	1252.20	-417.33	-595.00	3.00		567.05
COMBINED 	1.20		67.97	83540.00	-7433.77	1229	28.2%	1473.29	-484.91	-1660.00	3.04		730.68

Obviously this is just the poor NinjaTrader supposed portfolio combined output, but NinjaTrader doesn't do any portfolio calculations, it just averages or sums the columns - so max drawdown and anything remotely useful like Sharpe Ratio are invalid.

These are the results I get after manually playing with all the different parameters and conditions as I outlined in the posts above. Considering how much I played around with it, my guess is that it's probably already considerably optimised and I don't want to overdo the process and curve fit the system.

Before I do the robustness tests, I need to go over the Checklist for Good Systems and straight away I see I've invented a system that only makes $60 per month with a bet size of $100K and all 13 instruments combined.

OK I need to look at the frequency of the trades - obviously 1000 over an 8.5 year period is not enough. It might prove robust but the risk to get that profit isn't worth it - and I need to look at the individual profitability per trade.

So back to tinkering.

I'm testing the first idea that came into my head regarding the small profits. The target is simply too close - 6 45 min ATRs away from the entry. So I just launched an optimisation - from 6 to 20 ATRs for the target.

I already know however that there's a big problem with having a huge target - I tried it already with a previous incarnation of the 3 Ducks system. When the target is miles away from the entry and the stop is also fixed, that means the risk is huge when the price is almost at the target - the distance to the stop is a mammoth risk. I think I'll ignore that at the moment.
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Old Jan 9, 2011, 9:31pm   #629
 
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Massive optimisation

Adamus started this thread I'm prepared to admit upfront without any further investigation that this profit and loss result set is over-optimised and curve-fit, but I found something that I'm having problems comprehending.

I optimised both the fixed target and the fixed stop independently.

Most of the instruments came back with predictable best values e.g. 5 ATRs target / 2 ATRs stop or 7/3. This makes sense - the target is further than the stop.

But three of the forex pairs - EUR/GBP, EUR/CHF and CHF/JPY have the opposite - 2 ATRs target / 6 ATRs stop.

I can't work out why it would be like that. I'm going to do the washing up and think about it.
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Old Jan 10, 2011, 12:43am   #630
 
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Post The hardest thing

Adamus started this thread I just experienced the most difficult 60 minutes of my trading career, although I guess if I had decided the other way, I wouldn't have thought it was difficult.

I realised I had to reduce my leverage on the TurningPoints system I'm running, trading it on 21 forex pairs. It was trading 100K positions, and I knew I had to reduce it but I didn't want to. I really didn't want to.

It was logical to reduce my position size because after a mediocre December, withdrawing my living expenses and then taking a battering on Friday, my equity fell below £30K sterling and another couple of bad weeks at this leverage would take me down to the system stop-out level at £20K.

Since I've got a couple of systems in the pipeline and putting them live would require me to reduce my leverage all round anyway, it should be a no-brainer but it wasn't. I kept thinking, it's going to go well now and the equity will climb back up so I should leave it as it is.

How difficult can it be to understand? But something somewhere in my head was not listening. The decision was simple - what do I have to gain by leaving the leverage as it is at $100K per position? An unknown x thousand dollars. What do I have to lose by leaving it at $100K? A career and a dream and ten thousand dollars.

Although I've now reduced my leverage to $50K per position and I should be happy that I overcame my avarice, I'm not happy because the final reason why I decided to reduce it rather than leave it is that I noticed I'd just lost $500. Considering the minute-by-minute variation of the equity with 10 positions at $100K per position could easily reach $500, that means I was only helped at the last minute by my own cowardice.

What a fantastic trader.
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