Backtested Results - Spot On

[TWI]

OK , yes of course. My EL is obviously antiquated. Seem to remember having problems entering certain orders in the past but cannot remember exact details but it was to do with only being able to enter on close. May of course have just been ignorance which is highly likely.
Now up and running on T2000i and seems that there is not a way to write systems in Power Editor as there was in the past, rather have to use some modular approach by writing individual routines and then stringing them together...This is bloody annoying, is there a way around it? I have some systems I developed in the middle ages that I now want to transfer back onto TS but seems I have to hack them to pieces if I want to do this.

 

[jmreeve]

twalker-
You can create a trading system in 2000i in one piece.
Just create a new signal in PE and add all the entries and exits you need to the signal.
Then create a new strategy using the strategy editor and add the single signal to it.

I format all my trading systems in this fashion otherwise it is difficult to edit and debug the code.

 

[JonnyT]

Hi Roger,

I,ve traded a system that enters the market around 13:30 UK time using stop limits

You want fast markets then thats the fastest of the fast

I repeat I have never not been filled using 2 pips for the limit

Famous last words of course!

JonnyT

 

[garyp75]

Jonny,

Any comment on the trade station results posted at the beginning of this thread, do those numbers agree with your findings?

Rgds.

G

Hi Roger,

I,ve traded a system that enters the market around 13:30 UK time using stop limits

You want fast markets then thats the fastest of the fast

I repeat I have never not been filled using 2 pips for the limit

Famous last words of course!

JonnyT

 

[rog1111]

JonnyT, that's excellent news !

Roger

Hi Roger,

I,ve traded a system that enters the market around 13:30 UK time using stop limits

You want fast markets then thats the fastest of the fast

I repeat I have never not been filled using 2 pips for the limit

Famous last words of course!

JonnyT

 

[rog1111]

Mr Chill

I'm not sure whether the 7-10 + 35 pips stop shows good backtested results, but I do know that excellent 1-year results can be obtained with different starting criteria. I'll report back

rog1111

Just a quick question ,do you think this system would work with GBP/USD or is it specifically for the euro. Thank you .

 

[rog1111]

jmreeve

Thats a great piece of work - thanks !

The drawdown is a bit savage for small accounts.....

rog1111

I have attached a Tradestation report for the spot on system back to 2001.

Results are for 1 contact include $17 per trade for slippage and comissions.

Data for testing was CME Globex traded Euro futures contract and was sourced from DiskTrading.

I have verified the futures data against spot currency data over the testing period and it seems to be accurate.

 

[rog1111]

Mr Chill

For GBP 7-10, 35 pips, 1 year, I get :

First trade & time = 05/04/2003 19:59
Last trade & time = 05/07/2004 09:59
Start bar start time = 06:59
End bar start time = 08:59
No of hours for entry = 11
Stop loss = 0.0035
Last exit bar start time = 19:59
Scenario during entry bar = BEST
Long winners = 54
Long losers + level = 80
Short Winners = 43
Short losers + level = 100
Total trades = 277
Long winning pts = 0.2906
Long losing pts = -0.2438
Short winning pts = 0.2998
Short losing pts = -0.3309
Total PL = 0.0157
Max upside = 0.0637
Average winner = 0.0061
Average loser = -0.0032
Average trade = 0.0001
Max consec DD = -0.0345
Max overall DD = -0.1057
Max winner = 0.0231
Max loser = -0.0035
Max consec winners = 6
Max consec losers = 10
PLD (PLD) ratio = 0.15

Not so good it seems

rog1111

Just a quick question ,do you think this system would work with GBP/USD or is it specifically for the euro. Thank you .

 

[JonnyT]

Agreed, I wouldn't trade the GBP/USD 7-10 at all. Now the 7-8 or the 2-5 thats a different matter entirely!

JonnyT

 

[rog1111]

JonnyT

Do you perhaps have some recent actual trade results for EUR$ 7-10, 35 pips stop, 21h00pm exit, that you could post ? I'd like to compare them with the theoretical results using Dukas data & report back. There is often talk of slippage & bid/ask spreads and I'd like to see how reality panned out.

Cheers
rog1111

 

[JonnyT]

Roger the backtested results and the actual differ very slightly.

For instance:

On average 50%+ of the time you get no slippage.
You need to include $4.80 per day for IBs dealing costs.

A good approximation would be to take 2 pips off the backtest results, this I think is very close to reality.

Remeber I use IBs data for backtesting which only shows the actual traded prices.

PS remember if you exit at 21:00 you will lose a pip or two but generally by that time you have a very good trade!

JonnyT

 

[JonnyT]

The best way is that if someone purchases the SpotOn Software they can post the actual results here.

That way it will colloborate my experience.

JonnyT

 

[wellst2w]

I have attached a Tradestation report for the spot on system back to 2001.

Results are for 1 contact include $17 per trade for slippage and comissions.

Data for testing was CME Globex traded Euro futures contract and was sourced from DiskTrading.

I have verified the futures data against spot currency data over the testing period and it seems to be accurate.

jmreeve,
Many thanks for providing your data on 13/5/04. It seems to me that the optimum entry times for Buy and Sell trades are between 1000-1200 and 1030-1300 hours respectively, which seems to be consistent with the results posted by rog111 on 10/5/04. On that basis, Buy trades have been steady and unspectacular earners since 1/01. Sell trades were steady and unspectacular losers until 1/04 and then had a dramatic recovery until 4/04. It was the Sell trades that made Eur/UsD 7-10 so attractive up to 3-4 weeks ago. Let's hope this is a period of consolidation and not the end of the Sell trades bonanza.
Nick

 

[wolfie]

Out of interest, have any newcomers to Forex started trading with JonnyT's software? If so, how have you got on re: from setting up the software through to trading with it?

If you have taken the plunge I hope it is going well.(both the trading + the software lol)

Cheers

wolfie

 

[JonnyT]

Hi Wolfie,

The software has only been released this week.

I personally am using it currently in a controlled test scenario to see how the market dynamics are for the GBP/USD.

This is purely as I have not traded the GBP/USD before!

At this point I have to say I have experienced a degree of slippage that I simply do not get with EUR/USD. However the slippage has not been severe enough for the systems based on the USD/GBP to be not viable. The next step is to Engineer a way to stop this slippage

JonnyT

 

[wolfie]

Hi JonnyT

I must admit I was only referring to trading EUR/USD as this is what your software was originally designed to trade. Obviously since you wrote the software your intention is for people to be able to trade pretty much what they want according to their own parameters.

Best of luck with the slippage engineering.

P.S. Cheked out your wesite + look forward to seeing how it + your software develops.

wolfie