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bluewater18

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Hi there

I'm an experienced forex trader in London - I've recently moved from IG index to OANDA.

However, I'm building a successful automated system on IG's probacktest and would like to get to know a couple of other traders familiar with probacktest.

If anyone would like to form a helpful partnership for probacktest programming ideas, please email me or IM me on yahoo at bluewaterbay18

Kind regards

bluewater18
 
Hi there!

I' ve been trading with IG for the last 6 months and I have been trying to programm Probacktest but with limited results, so I was wondering if maybe you could give me some advice on it or if you know where I can find a good manual for it because the IG's one is vary basic.

Thank you

Kind regards

jc86
 
Thanks mate!

I got it! Is not all that bad when you know how!!:) I need to do some good studies now! Maybe as soon I've got some results i'll let you know ;).

Thank you.

Jc86
 
Are you sure you can automate these. Probacktest can only test afaiw, not trade. Probuilder is used for making indicators.

If you sucessfully set up an automated strategy through IG please reply and post the code for executing trades.
 
I'm having a lot of problems with probacktest - so much so i'm finding it unusable. Code rarely seems to work - if I make even minor changes to the code from their site (say changing 70% per trade to 5% per trade) - it stops working. Anyone else experiencing this?
 
I'm having a lot of problems with probacktest - so much so i'm finding it unusable. Code rarely seems to work - if I make even minor changes to the code from their site (say changing 70% per trade to 5% per trade) - it stops working. Anyone else experiencing this?

Some of the money management is a little difficult to get your head around. But the code works for sure, if it's written properly. Perhaps start with a very simple money management strategy and just concentrate on getting the code to work.
 
I got this code from the ProRealTime website, under "Backtesting", called "Break Out Intraday". If I change the "70%CAPITAL" figure to anything below 10%, it doesn't work. Any ideas?

IF INTRADAYBARINDEX = 1 THEN

FirstTwoBarHigh = HIGHEST[2](HIGH)
FirstTwoBarLow = LOWEST[2](LOW)

ENDIF

IF INTRADAYBARINDEX > 1 AND TIME < 160000 THEN // Here, 4PM local time is assumed to be the close of the market. Input the correct closing time for your market in the form HHMMSS (160000 = 16 hours, 00 minutes, 00 seconds).

REM Sell Signal: Sell if the price goes above the high of the first 2 bars
IF CLOSE > FirstTwoBarHigh THEN
BUY 70%CAPITAL AT MARKET
SELL AT MARKET TODAYONCLOSE //Close all positions when the market closes for the current day.

REM Buy Signal: Buy if price goes below the low of the first 2 bars
ELSIF CLOSE <FirstTwoBarLow THEN
SELLSHORT 70%CAPITAL AT MARKET
EXITSHORT AT MARKET TODAYONCLOSE //Close all positions when the market closes for the current day.
ENDIF

ENDIF
 
I got this code from the ProRealTime website, under "Backtesting", called "Break Out Intraday". If I change the "70%CAPITAL" figure to anything below 10%, it doesn't work. Any ideas?

IF INTRADAYBARINDEX = 1 THEN

FirstTwoBarHigh = HIGHEST[2](HIGH)
FirstTwoBarLow = LOWEST[2](LOW)

ENDIF

IF INTRADAYBARINDEX > 1 AND TIME < 160000 THEN // Here, 4PM local time is assumed to be the close of the market. Input the correct closing time for your market in the form HHMMSS (160000 = 16 hours, 00 minutes, 00 seconds).

REM Sell Signal: Sell if the price goes above the high of the first 2 bars
IF CLOSE > FirstTwoBarHigh THEN
BUY 70%CAPITAL AT MARKET
SELL AT MARKET TODAYONCLOSE //Close all positions when the market closes for the current day.

REM Buy Signal: Buy if price goes below the low of the first 2 bars
ELSIF CLOSE <FirstTwoBarLow THEN
SELLSHORT 70%CAPITAL AT MARKET
EXITSHORT AT MARKET TODAYONCLOSE //Close all positions when the market closes for the current day.
ENDIF

ENDIF

try going into money management and making your starting pot larger. ie make it $100,000 and play around with the numbers on that side. You'll sort it out over there.
 
Hi there

I'm an experienced forex trader in London - I've recently moved from IG index to OANDA.

However, I'm building a successful automated system on IG's probacktest and would like to get to know a couple of other traders familiar with probacktest.

If anyone would like to form a helpful partnership for probacktest programming ideas, please email me or IM me on yahoo at bluewaterbay18

Kind regards

bluewater18

Hi, I trade @ Oanda also. do you find automated system to be effective? I mean if there are changes in market conditions, which happens daily, can a system be programed to regonized that and react accordingly? I've been trading futures and forex for a little over three years now. All automated systems I ever heard has either work for a while then crash, has a significate amount of a drawdown on single trades and account balance, or simple does not work. These systems are advertized on the enternet promising 300% + returns per month but yet sales only for $97 - $150. As a real person who day trade daily, can I take all my technics and program it into a software and have it be traded without ant human interactions? Please advise.
 
Hi there

I'm an experienced forex trader in London - I've recently moved from IG index to OANDA.

However, I'm building a successful automated system on IG's probacktest and would like to get to know a couple of other traders familiar with probacktest.

If anyone would like to form a helpful partnership for probacktest programming ideas, please email me or IM me on yahoo at bluewaterbay18

Kind regards

bluewater18


hi bluewater - I've tried different automated backtesting systems and eventually bit the the bullet and now build all models in excel - the IG one I found particularly ropey!

excel is a little old school and probably a little more complicated than using off the shelf platform - but at least you know -100% it works

I'd be very interested in swapping strategies / models - I have an stop / limit "engine" in excel - onto which I can layer pretty much any system you like - using any indicators - and can backtest to 1999 for most markets - I have 10 which I use as a "core" - happy to put that in the pot

I have also trained an outsourced company in Asia to place my trades, 24hrs a day and again - I'm happy to share that resource. My existing model yields around 50pips a day (on average) - worst 2000 pip drawdowns - my aim is to get to 250 a day - and reduce that drawdown - if you have models which compare - then lets talk!
 
hi bluewater - I've tried different automated backtesting systems and eventually bit the the bullet and now build all models in excel - the IG one I found particularly ropey!

excel is a little old school and probably a little more complicated than using off the shelf platform - but at least you know -100% it works

I'd be very interested in swapping strategies / models - I have an stop / limit "engine" in excel - onto which I can layer pretty much any system you like - using any indicators - and can backtest to 1999 for most markets - I have 10 which I use as a "core" - happy to put that in the pot

I have also trained an outsourced company in Asia to place my trades, 24hrs a day and again - I'm happy to share that resource. My existing model yields around 50pips a day (on average) - worst 2000 pip drawdowns - my aim is to get to 250 a day - and reduce that drawdown - if you have models which compare - then lets talk!

Hi savioursofpop

Thanks for taking time to write. You really seem to have been proactive in your efforts to program and take the trades. What markets are your main focus?
I'd like to chat about a few things - let me start by giving you an update on what I'm up to.
A few weeks ago I finally finished my programming on the prorealtime software. It's the same as IG. This was really a matter of writing code for a system I had written out on paper over the past year or two. I call it the Bondi System because it catches small waves of non random price action. It's based on a few select volatility and pattern recognition algorithms.
And based on the results of the backtesting, right back to 1975, I have stopped trading.
But not because it has failed. Quite the opposite. It just made me realise that this system needs to be traded on a larger scale than I can manage so I intend to take it to some hedge funds and quant trading companies in the new year.
Have you ever considered this route?
If you're interested, I can bounce a few backtest figures off you to see what you think.

Kind regards

Bluewater18
 
hi - very interesting - and well done on the successful backtest - it sounds like we're taking a similar situation approach - I'd be interested to find out what sort of metrics you're getting from the system (max drawdown, yield etc) - most important of all in my experience with hedge funds is sharpe (ratio) - how the results correlate to a straight investment in the relevant security - there are a few other more complex ones, but shapre seems to be the equivalent of gross margin on a balance sheet!

I have some contacts at hedge funds and trading firms - but in my experience - unless you're doing something really geeky - the algo funds don't need models - their position is if a model works in real life - building a capital base is fairly straightforward - the hard part has been done!

They'll always require at least a year or so of live trading as well - many systems (including many previous versions of my own!) look great on paper - but practical issue derail them

Slippage and timings are the obvious ones - but other mundane stuff also becomes an issue - biggest one for me last year was overnight (and over weekend) spread / financing charges - GPB/USD spread on IG is 3 for example but if your system (like mine) - holds positions for 10 days - then that charge rises to around 12 pips - per trade!

My system is slightly different to most in that its based on trader psychology. So I use modified indicators (CCI, Trix and others) to create buy and sell signals at market opening across a wide range of securities (forex, commodities and indices). I think of it as the "google" model of trading (as in google's standard spec, but high volume server farms) - in that so long as a trade has a 30% chance of winning I can bet it - with 4:1 win / lose ratios (its not a million miles away from the original turtles model - but I actually didn't read their rules until last summer!)

Drop me an email if you like - or if other people are finding the conversation useful - I'm more than happy to post my backtests here for others to have a look at
 
Hi, I trade @ Oanda also. do you find automated system to be effective? I mean if there are changes in market conditions, which happens daily, can a system be programed to regonized that and react accordingly? I've been trading futures and forex for a little over three years now. All automated systems I ever heard has either work for a while then crash, has a significate amount of a drawdown on single trades and account balance, or simple does not work. These systems are advertized on the enternet promising 300% + returns per month but yet sales only for $97 - $150. As a real person who day trade daily, can I take all my technics and program it into a software and have it be traded without ant human interactions? Please advise.

its all in the backtesting and capital management - most systems will take eye wateringly large drawdowns at times - if you're prepared - financially and psychologically - these shouldn't be an issue. The turtles system is a classic example - they only won 30% of the time and they took big hits, even with short stops!

A system backtested for at least 10 years should have experienced most market conditions - but of course - there are always black swans. That's why reducing your leverage by half after a 10% capital hit, and only risking a proportion of your overall capital on each system is critical.

The overall results of this hedging and de-risking of course - is that you often need a lot of capital to make these things work. My own system for instance, needs at least £250k to be safely traded at a level that would enable me to give up work - which I don't have - but if I'm sensible at low levels - in 3 years - I'll be there. When you see systems on collective2 and others - most of them probably would work - but the owners aren't honest about the amount of money (and balls) you need to use them!
 
Interesting thread guys.

@bluewater18 - how's your French? My understanding of Prorealtime is that it's a French company behind it, and I think there's an at least moderately active community of developers you can tap into, but they seem to be Paris or maybe Brussels based for the most part, so while most people speak English, you may find you're better off if you can converse in French.

@Savioursofpop (good nickname btw - why the hell you pick that). Interesting that you have done the groundwork to calculate what sort of capital base you'd realistically require. The risk of course is that if, as you say, you need 3 years trading that system to adequately grow your capital base enough to do it full time, you may well find that the market conditions have changed in that period (in fact, I'd be gobsmacked if they hadn't) so you will possibly be needing to make a few tweaks along the way. Of course, even if someone handed you a pot of seed money to quit work and start tomorrow, the same would hold true, but the difference is that in that situation you would have i) More time (definitely - not doing a full time job any more) and ii) Better resources (possibly - depends on how / where this seed money is applied) and so you're far more likely to be able to work through any tweaks quickly and efficiently than if you're having to do all the grunt work yourself, unaided, at home.

So I reckon if you're really in as strong a position as you claim (bearing in mind that people on this site do talk an awful lot of cr@p at times, but you seem genuine), you need to bust your @ss getting that seed money somehow, as soon as is humanly possible, while you have some sort of an edge to market.

There are various incubator programs out there etc, and it also doesn't hurt to look at high frequency shops I guess. If your programming skills are up to it why not apply for a developer position at one of these places. That would seem to be the best of both worlds - a salary and modicum of security, all the tools you need at your disposal, and if your strategy is truly that good they'll surely let you do something with it.

I could be barking up the wrong tree (and of course these jobs aren't just going to drop into your lap).

Just a thought.

GJ
 
gamma - hi - thanks for the advice - I'm certainly not claiming to be any sort of guru - I've been doing this 3 years but I have a sensible day job which I'm not anticipating giving up anytime soon - and although in the last year or so - I've flet my way towards a workable system - I'm still very realistic about the pitfalls and issues

I'm not sure how much tweaking really goes on with pure algo funds - my sense from speaking to people is that most of them play up the "tweaking" to justify their continued existence - in my experience - most of the systems that work are based on fairly bog standard, human psychology - and I can't really see how they can tweak - if you're anticipating a 3000 pip drawdown - where do you tweak? 2900? 3300?

my sense is this game - like life - is one of wonderful averages (I posted something about this a couple of months ago http://strategicdigitalthinking.blogspot.com/2009/11/mind-changing.html) - and as markets get more fluid and volatile - it'll only get easier to play ironically
 
very interesting blog post - enjoyable read (although I think you're just a little off base on your explanation for the origin of the word 'hedge' in hedge funds btw).

As for tweaking - I think it really depends on who you're talking to, and what you poersonally think of when you think of an 'algo fund'. You would be surprised how much goes on I think.
 
hi - very interesting - and well done on the successful backtest - it sounds like we're taking a similar situation approach - I'd be interested to find out what sort of metrics you're getting from the system (max drawdown, yield etc) - most important of all in my experience with hedge funds is sharpe (ratio) - how the results correlate to a straight investment in the relevant security - there are a few other more complex ones, but shapre seems to be the equivalent of gross margin on a balance sheet!

I have some contacts at hedge funds and trading firms - but in my experience - unless you're doing something really geeky - the algo funds don't need models - their position is if a model works in real life - building a capital base is fairly straightforward - the hard part has been done!

They'll always require at least a year or so of live trading as well - many systems (including many previous versions of my own!) look great on paper - but practical issue derail them

Slippage and timings are the obvious ones - but other mundane stuff also becomes an issue - biggest one for me last year was overnight (and over weekend) spread / financing charges - GPB/USD spread on IG is 3 for example but if your system (like mine) - holds positions for 10 days - then that charge rises to around 12 pips - per trade!

My system is slightly different to most in that its based on trader psychology. So I use modified indicators (CCI, Trix and others) to create buy and sell signals at market opening across a wide range of securities (forex, commodities and indices). I think of it as the "google" model of trading (as in google's standard spec, but high volume server farms) - in that so long as a trade has a 30% chance of winning I can bet it - with 4:1 win / lose ratios (its not a million miles away from the original turtles model - but I actually didn't read their rules until last summer!)

Drop me an email if you like - or if other people are finding the conversation useful - I'm more than happy to post my backtests here for others to have a look at

Hi SoP

Thanks for writing back. It's great to bounce some results off someone who is on the same page (and Gamma seems cool too!).

I hope you will let me pose some questions regarding your trading after I have posted this.

I call this program Bondi because it catches small waves in both directions. The first time I ran it on probacktest it blew me away. I'd been following it with pencil and paper for a year or two but finally worked out how to explain it to a computer after my summer hols this year. It worked just fine, taking the edge to the market over and over again, and returning with a profit over time, even considering transaction costs etc. The problem was that probacktest plays the FX market in lots, not spot prices, and I found it difficult to get results for, say, risking 1% per bet. Rather, it would increase the number of lots bought which is not the same thing. So, long story sort of short, I had to import each trade into excel by hand.

This involved 6800 trades from EUR/USD, GBP/USD and USD/JPY on daily charts right back to 1975. There many thousands of other trades over 2, 3 days, weeks, months etc. Also over other liquid pairs and indices, commodities, Eurodollar futures etc but for now I leave them to one side.

There are two systems running concurrently within each currency pair. Wave capture and Reverse Wave capture. Each signal generates a trade which will risk 1% of total capital. Hence the maximum exposure can be only 6% long or short the USD.

The systems can oppose each other, ie hedge long against short, as they operate independently of each other.

Here's the results:

BONDI BEACH short wave capture program
-Trading the daily chart from 1975 to current day.

6800 trades in total
Wins: 36.7% of trades
Trade expectancy: +16 pips (including 2 pip transaction cost)
Average profit: 167.79 pips
Average loss: 70.31 pips
Average time in market: 3.4 days

Average exposure: 3.3% (long or short only 2.8%)
Maximum exposure: 6% (less than 1% of the time)

Average annual return: 46.7%
Average monthly return: 3.96%

36 month CALMAR: 1.13
5 year annualised Sharpe ratio (3.5% RF): .89

Worst month: -15.4%
Best month: 60.2%

ROR per trade over the past 20 years is >10%

$1000 invested in 1975 would now be worth $343,252,656
(with 1% reinvested on each trade and an average 2 pip spread)


Thanks for reading. It's easy to get lost in the figures in my office alone. I would really appreciate any questions or comments. I have spent the past weeks trying to shoot holes in the system and results so please feel free to help.

Kind regards

Bluewater18
 
Interesting thread guys.

@bluewater18 - how's your French? My understanding of Prorealtime is that it's a French company behind it, and I think there's an at least moderately active community of developers you can tap into, but they seem to be Paris or maybe Brussels based for the most part, so while most people speak English, you may find you're better off if you can converse in French.

@Savioursofpop (good nickname btw - why the hell you pick that). Interesting that you have done the groundwork to calculate what sort of capital base you'd realistically require. The risk of course is that if, as you say, you need 3 years trading that system to adequately grow your capital base enough to do it full time, you may well find that the market conditions have changed in that period (in fact, I'd be gobsmacked if they hadn't) so you will possibly be needing to make a few tweaks along the way. Of course, even if someone handed you a pot of seed money to quit work and start tomorrow, the same would hold true, but the difference is that in that situation you would have i) More time (definitely - not doing a full time job any more) and ii) Better resources (possibly - depends on how / where this seed money is applied) and so you're far more likely to be able to work through any tweaks quickly and efficiently than if you're having to do all the grunt work yourself, unaided, at home.

So I reckon if you're really in as strong a position as you claim (bearing in mind that people on this site do talk an awful lot of cr@p at times, but you seem genuine), you need to bust your @ss getting that seed money somehow, as soon as is humanly possible, while you have some sort of an edge to market.

There are various incubator programs out there etc, and it also doesn't hurt to look at high frequency shops I guess. If your programming skills are up to it why not apply for a developer position at one of these places. That would seem to be the best of both worlds - a salary and modicum of security, all the tools you need at your disposal, and if your strategy is truly that good they'll surely let you do something with it.

I could be barking up the wrong tree (and of course these jobs aren't just going to drop into your lap).

Just a thought.

GJ

Thanks GammaJammer - your posts are always thoughtful and helpful. I appreciate you taking the time to respond.

My French is le'appalling. And my programing skill is le'basic - nowhere near the standard required to work as a quant. I'm just looking towards the new year to take this forward. I was intending to call some funds which trade FX markets with algorithmic systems to see where it led. I can see many problems arising with lack of trading pedigree etc but I just know there's an edge here and I'm hoping that's going to carry me across the line.

I've posted some results of the most basic interpretation of the program. Please let me know your first impressions.

Kind regards

bluewater18
 
Last edited:
Hi SoP

Thanks for writing back. It's great to bounce some results off someone who is on the same page (and Gamma seems cool too!).

I hope you will let me pose some questions regarding your trading after I have posted this.

I call this program Bondi because it catches small waves in both directions. The first time I ran it on probacktest it blew me away. I'd been following it with pencil and paper for a year or two but finally worked out how to explain it to a computer after my summer hols this year. It worked just fine, taking the edge to the market over and over again, and returning with a profit over time, even considering transaction costs etc. The problem was that probacktest plays the FX market in lots, not spot prices, and I found it difficult to get results for, say, risking 1% per bet. Rather, it would increase the number of lots bought which is not the same thing. So, long story sort of short, I had to import each trade into excel by hand.

This involved 6800 trades from EUR/USD, GBP/USD and USD/JPY on daily charts right back to 1975. There many thousands of other trades over 2, 3 days, weeks, months etc. Also over other liquid pairs and indices, commodities, Eurodollar futures etc but for now I leave them to one side.

There are two systems running concurrently within each currency pair. Wave capture and Reverse Wave capture. Each signal generates a trade which will risk 1% of total capital. Hence the maximum exposure can be only 6% long or short the USD.

The systems can oppose each other, ie hedge long against short, as they operate independently of each other.

Here's the results:

BONDI BEACH short wave capture program
-Trading the daily chart from 1975 to current day.

6800 trades in total
Wins: 36.7% of trades
Trade expectancy: +16 pips (including 2 pip transaction cost)
Average profit: 167.79 pips
Average loss: 70.31 pips
Average time in market: 3.4 days

Average exposure: 3.3% (long or short only 2.8%)
Maximum exposure: 6% (less than 1% of the time)

Average annual return: 46.7%
Average monthly return: 3.96%

36 month CALMAR: 1.13
5 year annualised Sharpe ratio (3.5% RF): .89

Worst month: -15.4%
Best month: 60.2%

ROR per trade over the past 20 years is >10%

$1000 invested in 1975 would now be worth $343,252,656
(with 1% reinvested on each trade and an average 2 pip spread)


Thanks for reading. It's easy to get lost in the figures in my office alone. I would really appreciate any questions or comments. I have spent the past weeks trying to shoot holes in the system and results so please feel free to help.

Kind regards

Bluewater18

bluewater

hi - I'm not sure I could give you such professional metrics on my system - but I'll do my best.....

The system is called sling shot - its a trend based system

It uses 1hr timeframes which might indicate larger daily trends - I trade it across 8 different markets at the moment - 6 currency pairs, Mini Dow and Crude

I stay in the market for between 1 and 10 days

I trade at specific times of the day, to take advantage of greater momentumn, particularly at openings. The main indicator I use is a slightly modified CCI and a modified ParaSAR to dynamically assign stops based on previous trend extremes.

Its very simple system - which at its heart - is taking advantage of human behaviour - news / views and changes of direction tend to manifest themselves before market openings - the market reacts - I then stay in to ride the trend. I'm not doing anything particularly sexy with the data - the premise is simply - although markets are traded 24hrs - humans tend to time news for maximum / minimum media exposure.

The system is backtested to 2003 (I used to go back to 1999 but returns are so good for those years - it was making a mess of averages), metrics stack up like this...

Average yield per day - 36 points
Average win ratio 40%
Average loss (assigned dynamically) 43pips
Average win 183pips
Around 40 bets per month
Max Drawdown - 2320 points / over 3 month period
Yearly yield...
2003 - 5,960
2004 - 10,117
2005 - 11,705
2006 - 9,734
2007 - 10,979
2008 - 18,413
2009 - 14,193

My only concern with your stats would be the allowance you've made for spread - I've investigated finance charges with most of the major spead betters - and all are charging - what amounts to around a pip a day, to roll positions over - might be good for you to run some tests with more conservative roll over charges - if your average hold is 3 days - then I would be calculating spread at 3pips for open then 0.005% X close X 3 (or better still 4 just in case) - doubling your charges (which from experience I think would be realistic live trading) might affect yield quite a bit - there is the argument that using level 2 platforms and the system being professionally traded you could get inside those spreads - but always worth erring on the side of caution
 
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