Actual versus Theoretical Results

[frugi]

Yes it is encouraging. However the whipsaws are very annoying. That said, drawdowns of up to 300, even 400 pips can be expected.

Today's real result is -62 pips from two trades including 1 pip slippage and commission.
Today's theo result is -63 pips from two trades including 2 pips slippage and commission.

S 1.2347 stop 1.2377 reverse to L 1.2378 stop 1.2347

Total theo/real -27.5/-22.5 over 7 days.

 

[frugi]

Today's real result is -30.5 pips from one trade incl 0 pips slippage & com
Today's theo result is -31.5 pips from one trade incl 1 pip slippage & com

S 1.2313 Cl (stop) 1.2343

Total theo/real -59/-53 over 8 days

Hedged this a little with Emini Euro for my eventual benefit, but of course this doesn't affect the results.

 

[frugi]

Today's real result is +7.5 pips from one trade incl 0 pips slippage & com
Today's theo result is +6.5 pips from one trade incl 1 pip slippage & com

L 1.2356 Cl 1.2364

Total theo/real -52.5/-45.5 over 9 days

 

[frugi]

Today's real result is +46.5 pips from one trade incl 1 pip slippage & com
Today's theo result is +46.5 pips from one trade incl 1 pip slippage & com

S 1.2356 Cl 1.2309

Total theo/real -6/+1 over 10 days

$1.25 a day - the Sultan will be worried 🙂

 

[rog1111]

I thought I saw the Sultan's guards sharpening the execution sword.

Today's real result is +46.5 pips from one trade incl 1 pip slippage & com
Today's theo result is +46.5 pips from one trade incl 1 pip slippage & com

S 1.2356 Cl 1.2309

Total theo/real -6/+1 over 10 days

$1.25 a day - the Sultan will be worried 🙂

 

[frugi]

Today's real result is +146.5 pips from one trade including 1 pip slippage and com
Today's theo result is +146.5 pips from one trade including 1 pip slippage and com

S 1.2282 Cl 1.2135

Total theo/real 140.5/147.5 over 11 days (12.8/13.4 pips per day)

The Sultan has been temporarily appeased.

 

[rog1111]

Nice one frugi ! Good average.

Today's real result is +146.5 pips from one trade including 1 pip slippage and com
Today's theo result is +146.5 pips from one trade including 1 pip slippage and com

S 1.2282 Cl 1.2135

Total theo/real 140.5/147.5 over 11 days (12.8/13.4 pips per day)

The Sultan has been temporarily appeased.

 

[frugi]

Today's real result is +27 pips from two trades including 0 pips slippage and com
Today's theo result is +25 pips from two trades including 2 pips slippage and com

Total theo/real +165.5/+174.5 over 12 days (13.8/14.5 pips per day)

L 1.2154 SAR 1.2131 Cl 1.2080

Also managed a few cheeky countertrend scalps netting 25.5 mini Euro pips after commission, which was nice.

 

[frugi]

Today's real result is -52 pips from 2 trades incl 3 pips slippage and com
Today's theo result is -51 pips from 2 trades incl 2 pips slippage and com

L 1.2098 SAR 1.2074 Cl (stop) 1.2101

Total theo/real 114.5/122.5 over 13 days (8.8/9.4 pips per day)

Had a feeling I was due a double loser today!

 

[frugi]

Today's real result is an ugly -61 pips from two trades incl 0 pips slippage etc.
Today's theo result is an uglier -63 pips from two trades incl 2 pips slippage etc.

Total theo/real 51.5/61.5 over 14 days (3.7/4.4 pips per day)

S 1.2050 stop 1.2080 L 1.2089 stop 1.2059

 

[frugi]

Today's real result is +83.5 pips incl 0 pips slippage etc
Today's theo result is +82.5 pips incl 1 pip slippage etc

Total theo/real 134/145 over 15 days (8.9/9.7 pips per day)

S 1.2095 Cl 1.2011

 

[frugi]

I'm afraid I have to pause this experiment for two weeks as I will be on holiday. Trading should resume on 13/10. I am beginning to suspect the reversal trades aren't worth taking and may decide to remove them from the system when I return.

I am glad that the system is slowly building up a "cushion" of theo vs real slippage as I think this cushion will be required at some point on a big news item.

Incidentally, anyone burgling my house will have the chance to meet a burly cat-sitter 🙂

 

[rog1111]

frugi

This mirrors my own findings, except possibly on US big news days.

Have a good holiday !

rog1111

I am beginning to suspect the reversal trades aren't worth taking

 

[rog1111]

I hope that's not a double top forming ?! 😉

rog1111

Today's real result is +83.5 pips incl 0 pips slippage etc
Today's theo result is +82.5 pips incl 1 pip slippage etc

Total theo/real 134/145 over 15 days (8.9/9.7 pips per day)

S 1.2095 Cl 1.2011

 

[frugi]

Quick update - started trading again today after a delightful sojourn in Patmos (the odd petrifying ferry crossing excepted) and noticed, with a somewhat oxymoronic mixture of emotions, that I would have lost around 62.5 pips had I traded during my absence.

Weekly updates from now on to save valuable thread space.

NB: Reversal trades have been eliminated from the system. This decision may be connected with a mild holiday epiphany experienced after reading "Fooled by Randomess".

Viva 7-9 BO🙂

 

[frugi]

Summary of theoretical trades in my absence -

30/8 entry 1.2030 exit 1.2048 +16.5
31/8 entry 1.2089 exit 1.2173 +82.5
1/9 entry 1.2182 SAR 1.2152 -31.5 stop 1.2182 -31.5
2/9 entry 1.2171 exit 1.2162 +7.5
3/9 entry 1.2177 SAR 1.2157 -21.5 exit 1.2061 +94.5
7/9 entry 1.2092 SAR 1.2070 -23.5 stop 1.2092 -23.5
8/9 entry 1.2086 SAR 1.2064 -23.5 stop 1.2086 -23.5
9/9 entry 1.2175 exit 1.2197 -23.5
10/9 entry 1.2214 SAR 1.2241 -28.5 stop 1.2214 -28.5
13/9 entry S 1.2239 exit 1.2242 -4.5

Switched to Dec contract from 13/9 >
Would have lost around 62.5 pts inclusive of 1 pip slippage/commission per round trip.

This is real world trading. Sometimes I take a holiday or a week off and I'm not going to choose when to do this by looking at my past few trades and waiting till I've had a string of winners! So I'm not including the above in the below, and I wouldn't have done if they'd been winners either 🙂

Live trades -

14/9 S 1.2256 stop 1.2279 T -23.5/ -23.5 R 1 pip slippage
15/9 L 1.2242 stop 1.2211 T -31.5 / -31.5 R 1 pip slippage
16/9 L 1.2159 stop 1.2133 T -27.5 / -26.5 R 0 pips slippage
17/9 L 1.2203 stop 1.2177 T -27.5 / -26.5 R 0 pips slippage

20/9 S 1.2145 stop 1.2167 T -23.5 / -22.5 R 0 pips slippage
21/9 L 1.2194 Cl 1.2331 T +135.5 / +136.5 R 0 pips slippage

Total theo/real 136/151 over 21 days (6.48/7.19 pips per day)
Round trips 28
Percentage won 32.1%
Av win:av loss 2.75

Back on target for 5 pips a day again. All commission included as usual.

 

[frugi]

Well, the 7-9 system has performed very poorly over 30 days. From my observations, it seems the 7-9 range is a shade too tight, resulting in too many false signals and stop outs. e.g Yesterday it missed that lovely run down by going long practically on the day's high. Perhaps the backtests enjoyed a number of days when the 7-9 range was wider and more volatile?

So from now on I'll be shamelessly using Jonny T's 7-10 range, with a 30 pip fixed stop, in the hope that it will reject more noise and only leap on the the back of honest, profitable trends.

Good news is that slippage has been minimal so that we now have 23 pips of "credit" when compared to theoretical results. The payroll data on Friday may well cause a dip into this credit, and then some! We shall see...

Results, FWIW

Date top BO bot BO Trade Close P/L slip th slip th P/L re P/L Tot th Tot re

22/9/04 1.2328 1.2286 S 1.2286 Cl 1.2251 34.5 0 1 33.5 34.5 169.5 185.5
23/9/04 1.2287 1.2249 L 1.2287 st 1.2257 -30.5 0 1 -31.5 -30.5 138 155
24/9/04 1.2278 1.2257 L 1.2278 st 1.2257 -21.5 0 1 -22.5 -21.5 115.5 133.5
27/9/04 1.2274 1.2243 L 1.2274 st 1.2244 -30.5 0 1 -31.5 -30.5 84 103
28/9/04 1.2304 1.2276 L 1.2305 Cl 1.2313 7.5 1 1 7.5 7.5 91.5 110.5
29/9/04 1.2325 1.2303 L 1.2325 st 1.2303 -22.5 0 1 -23.5 -22.5 68 88
30/9/04 1.2334 1.2313 S 1.2313 st 1.2334 -21.5 0 1 -22.5 -21.5 45.5 66.5
1/10/04 1.2431 1.2400 S 1.2400 Cl 1.2409 -9.5 0 1 -10.5 -9.5 35 57
4/10/04 1.2375 1.2350 L 1.2375 st 1.2350 -25.5 0 1 -26.5 -25.5 8.5 31.5

Days 30
Av pips per day 1.05 (steady on mate, Merrill will be headhunting for sure 🙂
Av pips per r/t 0.83
No round trips 38
Won 13
Lost 24
Percentage won 35.1
Total loss pips -664
Total profit pips 695.5
Av loss pips -27.66
Av profit pips 53.5
Av W to Av L Ratio 1.93

Well at least testing has cost nothing and the discipline has cedrtainly been salutary in regard to my swing trading.

 

[rog1111]

Well Frugi, at least you've proved that you can stick to a system, and as you say, if for that reason, as well as gauging slippage, it was by no means a wasted exercise, and thanks for posting the results. Were you using 7 to 9 BST ? Or GMT ?

rog1111

Well, the 7-9 system has performed very poorly over 30 days. From my observations, it seems the 7-9 range is a shade too tight, resulting in too many false signals and stop outs. e.g Yesterday it missed that lovely run down by going long practically on the day's high. Perhaps the backtests enjoyed a number of days when the 7-9 range was wider and more volatile?

So from now on I'll be shamelessly using Jonny T's 7-10 range, with a 30 pip fixed stop, in the hope that it will reject more noise and only leap on the the back of honest, profitable trends.

Good news is that slippage has been minimal so that we now have 23 pips of "credit" when compared to theoretical results. The payroll data on Friday may well cause a dip into this credit, and then some! We shall see...

Results, FWIW

Date top BO bot BO Trade Close P/L slip th slip th P/L re P/L Tot th Tot re

22/9/04 1.2328 1.2286 S 1.2286 Cl 1.2251 34.5 0 1 33.5 34.5 169.5 185.5
23/9/04 1.2287 1.2249 L 1.2287 st 1.2257 -30.5 0 1 -31.5 -30.5 138 155
24/9/04 1.2278 1.2257 L 1.2278 st 1.2257 -21.5 0 1 -22.5 -21.5 115.5 133.5
27/9/04 1.2274 1.2243 L 1.2274 st 1.2244 -30.5 0 1 -31.5 -30.5 84 103
28/9/04 1.2304 1.2276 L 1.2305 Cl 1.2313 7.5 1 1 7.5 7.5 91.5 110.5
29/9/04 1.2325 1.2303 L 1.2325 st 1.2303 -22.5 0 1 -23.5 -22.5 68 88
30/9/04 1.2334 1.2313 S 1.2313 st 1.2334 -21.5 0 1 -22.5 -21.5 45.5 66.5
1/10/04 1.2431 1.2400 S 1.2400 Cl 1.2409 -9.5 0 1 -10.5 -9.5 35 57
4/10/04 1.2375 1.2350 L 1.2375 st 1.2350 -25.5 0 1 -26.5 -25.5 8.5 31.5

Days 30
Av pips per day 1.05 (steady on mate, Merrill will be headhunting for sure 🙂
Av pips per r/t 0.83
No round trips 38
Won 13
Lost 24
Percentage won 35.1
Total loss pips -664
Total profit pips 695.5
Av loss pips -27.66
Av profit pips 53.5
Av W to Av L Ratio 1.93

Well at least testing has cost nothing and the discipline has cedrtainly been salutary in regard to my swing trading.

 

[frugi]

BST / GMT+1 rog. I'll continue periodically to post results on the 7-10.

 

[rog1111]

Frugi

I would offer to do the same, except that the purpose of the original exercise was to check slippage and theoreticals, rather than to produce great results. The emphasis is now more on the latter, and the exit strategy has now been modified to allow me some flexibility in deciding that I "don't like the look of it", and to get out early, but still with the -70 final stop, and an early -35 pip stop. Therefore most days it's hard to compare the two, other than to compare actuals with how I would have done with the original unmodified system. I'll run it this way for 3 months, and if my intuitive judgements do not produce superior results, say 30% more pips, then I'll go back to the rigid unmodified original system, and save myself the headache of all the extra screen time.

As an aside, looking back over past results, it's strange how the winning and losing streaks appear in groups. Often a good period follows a terrible one and vice versa. The nature of the market itself obviously goes through cycles, maybe depending on whether the commercials are buffering/capping prices, or letting things go. Or maybe it's just down to statistics ? However I still think it odd how the groups of results appear. Also I think it strange that (in this system's case at least), whether the market is in a clearly defined trend doesn't seem to have much relation to good/bad streaks. Do you find a similar pattern ?

rog1111

BST / GMT+1 rog. I'll continue periodically to post results on the 7-10.