Short term trend following system

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Old Mar 17, 2018, 2:11pm   #16
 
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Don't fall into the averaging down trap.
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Old Mar 17, 2018, 2:16pm   #17
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Shadowvkc started this thread Hey Pat. I think you maybe a little mistaken. The system doesn't average down. It enters 1 position of equal size until it is closed for either a profit or loss. No additional positions are added to either winners or losers
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Old Mar 17, 2018, 6:06pm   #18
 
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Originally Posted by Shadowvkc View Post
Hey Pat. I think you maybe a little mistaken. The system doesn't average down. It enters 1 position of equal size until it is closed for either a profit or loss. No additional positions are added to either winners or losers
Just checkin' in case you might be tempted.

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Old Mar 17, 2018, 10:51pm   #19
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Originally Posted by Shadowvkc View Post

holding overnight. Something like a random black swan event could blow the bank. It's worth looking at adding a "worse case" guaranteed stop to all position overnight. In regards to the negative equity - it is marginally more where it is stopped. Basically I am not holding a position which goes like -300 and then gets stopped eventually for -100.
I have a couple of further comments based on your reply.

Firstly, we both agree that your position sizing is too risky. However you are of the view that based on your paper trades such a risk event did not materialised until your equity had grown sufficifiently to absorb such an event. I think such a view is not sound because the sequencing of events is random and if you conduct a monte carlo simulation, the risk of ruin would probably be high.

Secondly since your exits are mechanical, how do you handle your overnight positions exit subsequent to an overnight exit signal? Do you just exit at market at the earliest opportunity.?The fact that you don't have a stop in place is problematic. Your overnight session is basically the US session and they tend to be more volatile then the European session because a lot of tier one data is during the US sessions. A swing in excess of 100 pips is very common and do not require a black swan to trigger. If you hold 3 correlated positionrs like say EUR, a swing of 100 to 200 pips aganst you could result in serious damage to your account if not ruin. I think you need to think about some kind of stop for overnight positions if your position sizing is not addressed. Having a risky position size and no stop is not sound risk management. Maybe your account might survive having one risky bet but not two.
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Old Mar 19, 2018, 8:29am   #20
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Shadowvkc started this thread Hey Brumby,

Again you are correct that the initial position sizing is too large, however, I am prepared to take the initial risk to grow my capital - as the capital grows, the risk will diminish until it is at an acceptable level.

In terms of overnight positions, the strategy only looks for entries and exits between 8am and 5pm so there would be no valid exit overnight. While I accept that sometimes pairs can swing quite a bit overnight, they very rarely move 100-200 points. Almost all Tier 1 data is released between 10am and 3pm UK time. You do get the odd event such as FOMC meetings and Fed Speakers.
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Old Mar 19, 2018, 1:01pm   #21
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Shadowvkc started this thread NEW TRADES:

Out of GBP USD @ 1.40665 for -132.50

Long EUR JPY @ 130.663

-----------------------

Total P/L -132.50points

Current trades open:

Long USD CAD @ 1.30705
Short USD JPY @ 106.042
Long EUR JPY @ 130.663
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Old Mar 20, 2018, 9:00am   #22
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Shadowvkc started this thread NEW TRADE:

Out of EUR JPY @ 131.357 for + 69.4

-----------------------

Total P/L = -63.1 points

Current trades open:

Long USD CAD @ 1.30705
Short USD JPY @ 106.042
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Old Mar 20, 2018, 9:37am   #23
 
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Interesting analysis, but sample size is too small, you are live trading based on 112 live paper trades? Where are the historical stats? Ideally you need samples in the 10,000's to make it meaningful and you need to extract samples that cover different market conditions and once you have that you need to test the strategy against a sample you haven't previously tested against. There's a lot of work in all of that as you have many pairs to test against, a machine would be ideal to help you.

It's a fun experiment nevertheless, £1,000 isn't going to be life changing to lose
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Old Mar 20, 2018, 12:00pm   #24
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Shadowvkc started this thread NEW TRADE

Short EUR USD @ 1.22957
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Old Mar 20, 2018, 3:01pm   #25
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Shadowvkc started this thread NEW TRADE

Out of USD CAD @ 1.30861 for +15.6
Out of EUR USD @ 1.2274 for +21.7

Total P/L = -25.8

Current trades open:

Short USD JPY @ 106.042
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Old Mar 20, 2018, 3:12pm   #26
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Shadowvkc started this thread NEW TRADE

Short EUR USD @ 1.22818

-----------------------

Current trades open:

Short USD JPY @ 106.042
Short EUR USD @ 1.22818
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Old Mar 20, 2018, 5:01pm   #27
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Shadowvkc started this thread NEW TRADE

Out of EUR USD @ 1.22545 for +27.3

Short GBP USD @ 1.39913
Short EUR JPY @ 130.403

-----------------------

Current trades open:

Short USD JPY @ 106.042
Short GBP USD @ 1.39913
Short EUR JPY @ 130.403

-----------------------

Finally moved back into positive territory

Total P/L = +1.5 points
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Old Mar 21, 2018, 9:00am   #28
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Shadowvkc started this thread NEW TRADE

Short EUR USD @ 1.22793

-----------------------

Current trades open:

Short USD JPY @ 106.042
Short GBP USD @ 1.39913
Short EUR JPY @ 130.403
Short EUR USD @ 1.22793
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Old Mar 21, 2018, 12:00pm   #29
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Shadowvkc started this thread NEW TRADE

Out of EUR USD @ 1.22748 for +4.5

-----------------------

Current trades open:

Short USD JPY @ 106.042
Short GBP USD @ 1.39913
Short EUR JPY @ 130.403

Total P/L = +6 points
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Old Mar 21, 2018, 2:00pm   #30
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Shadowvkc started this thread NEW TRADE

Short EUR USD @ 1.22888

-----------------------

Current trades open:

Short USD JPY @ 106.042
Short GBP USD @ 1.39913
Short EUR JPY @ 130.403
Short EUR USD @ 1.22888
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