Deadline June

This is a discussion on Deadline June within the Trading Journals forums, part of the Reception category; Originally Posted by Adamus Backtests on the 3 Ducks system over 2 years on my first chosen new cross-currency proved ...

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Old Oct 11, 2010, 1:27pm   #484
 
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Re: Cross-currencies

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Originally Posted by Adamus View Post
Backtests on the 3 Ducks system over 2 years on my first chosen new cross-currency proved terrible. Just a steady decline.

The 3 Ducks are 5mins, 1 hour and 4 hour MAs, in original form 60 bars, although optimising the length used gives much better results for all the currencies so far. Not so AUD-CAD.

Nothing between 10 and 95 bars for the MA period was any good.

.
Consider the 3 ducks for a minute.

It's a free system.
You send an email to Captain Currency and he sends you the free system.
Then he starts sending you unrequested spam emails offering to train you in how to apply the 3 ducks because the 'good stuff' isn't in the free ebook. It's in the training he gives.

As such, is the free course a good starting point, considering that it's rasion d'etre is to hook in people to buying training?

I am going to PM you something... don't shout at me until you get it
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Old Oct 11, 2010, 6:18pm   #485
 
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Re: Deadline June

Adamus started this thread Hi DT,
like I said in my pm - I'm willing to look at the merits of anything. Admittedly I think in your own words I often end up "polishing turds" trying to get something out of them, but in the case of the 3Ducks, I found it polished up quite well.

Captain Currency aka Andy has just had a kid so I'm prepared to cut him a lot of slack rather than examine exactly what his motives might be. I like to think he trades the 3Ducks himself and as yet I have no cause to doubt him. I thought his main marketing strategy was to offer to buy people a Guinness.

He does it on a discretionary basis and his little ebook contains enough little snippets of information to give automated system builders more than enough options to keep backtesting long into the night. There's a phenomenon in automated system backtesting where you discover that your idea is not going to work because the number of trades gets too small when you try to make any further improvement. It should have a name. But with the 3Ducks the way I coded it, it didn't happen. It's like one in ten systems.

Then after that when you have a system which produces large enough number of profitable enough trades to be credible, you look at the backtesting equity curve, but that's a different story.
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Old Oct 12, 2010, 8:58am   #486
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Re: Deadline June

What's the general approach of 3 Ducks, is it a mean reversion system, a breakout system, something that looks to buy retracements on a trend? How many degrees of freedom does it have, i.e. if you wanted to optimize it, how many different variables are there that you could adjust (make sure you count every single one)?
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Old Oct 12, 2010, 9:43am   #487
 
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Re: Deadline June

Adamus started this thread There are 3 MAs, 5 mins, 1 hour and 4 hours. You could adjust them independently I guess, but I just keep them all the same period and optimised that. And then there are a ton of options that Captain Currency gives for the final entry signal and the exits.
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Old Oct 12, 2010, 11:54am   #488
 
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Post Average bid/ask spread, IB vs MBT, at time of posting (with 20mins in-between)

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Code:
  Instrument         IB             MTB
    $AUDCAD          2.0            3.2
    $AUDCHF          1.7            2.9
    $AUDJPY          0.8            2.8
    $AUDNZD          5.7            6.7
    $AUDUSD          0.8            2.0
    $CADCHF          2.0            5.4
    $CADJPY          1.5            2.9
    $CHFJPY          1.7            2.6
    $EURAUD          1.7            3.5
    $EURCAD          3.4            4.9
    $EURCHF          1.2            1.6
    $EURGBP          0.7            0.8
    $EURJPY          1.4            2.3
    $EURNZD          5.3            3.4
    $EURSEK         13.5           20.6
    $EURUSD          0.7            0.8
    $GBPAUD          2.5            4.8
    $GBPCAD          2.6            5.9
    $GBPCHF          2.6            4.2
    $GBPJPY          2.0            3.6
    $GBPNZD          7.0            4.4
    $GBPUSD          0.8            1.5
    $NZDCHF          2.0            2.6
    $NZDJPY          2.2            3.0
    $NZDUSD          1.6            2.8
    $USDCAD          1.2            2.3
    $USDCHF          1.4            1.3
    $USDJPY          0.8            1.1
    $USDSEK         13.1           13.1
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Old Oct 13, 2010, 12:20pm   #489
 
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Re: Deadline June

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Originally Posted by meanreversion View Post
What's the general approach of 3 Ducks, is it a mean reversion system, a breakout system, something that looks to buy retracements on a trend? How many degrees of freedom does it have, i.e. if you wanted to optimize it, how many different variables are there that you could adjust (make sure you count every single one)?
This is a question to MR and also to you Adam, how many degrees of freedom are in your systems that you run at the moment? Just interested.... ;-)
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Old Oct 13, 2010, 1:17pm   #490
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Re: Deadline June

I run two systems, a short term using 4hr bars and a medium term using daily bars.

Degrees of freedom are

1. stake size
2. distance to initial stop in ATR
3. channel days for entry
4. channel days for exit
5. short MA
6. long MA

that's it I think.

then of course there are the markets I trade, which represent another degree of freedom altogether.
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