My EUR/USD automatic trading system

[taoist]

I developed an auto trading system for EUR/USD with MetaTrader 4.0
Test data from 10/09/2004 to 23/09/2010
Position: 5 times to equity
Spread: 2.0

Test results
Bars in test 429904
Ticks modelled 857837
Modelling quality n/a
Mismatched charts errors 0
Initial deposit 10000.00
Total net profit 197193.29
Gross profit 719644.80
Gross loss -522451.51
Profit factor 1.38
Expected payoff 404.08
Absolute drawdown 286.22
Maximal drawdown 57184.67 (26.64%)
Relative drawdown 28.05% (40529.84)
Total trades 488
Short positions (won %) 250 (46.00%)
Long positions (won %) 238 (40.76%)
Profit trades (% of total) 212 (43.44%)
Loss trades (% of total) 276 (56.56%)
Largest
profit trade 16165.91
loss trade -6813.12
Average
profit trade 3394.55
loss trade -1892.94
Maximum
consecutive wins (profit in money) 6 (33410.23)
consecutive losses (loss in money) 8 (-3419.39)
Maximal
consecutive profit (count of wins) 33410.23 (6)
consecutive loss (count of losses) -30690.15 (7)
Average
consecutive wins 2
consecutive losses 2

 

[cedricthefrog]

mmmm....ok. Are you going to tell us about it? Looks like you are using fixed fraction MM. What are the results like using fixed contract?

 

[wackypete2]

You should create a nice flashy webpage and sell your system for $99

Peter

 

[Hotch]

At least the flashy websites have decent modelling quality.

 

[GlenGary]

JMO, 56.56% loss trades is a losing strat. Thats like going 8-8 in the NFL, and not making the playoffs.

 

[taoist]

I optimized my system recently.
Can I find job or budget with such a system?

 

[GlenGary]

Using an automatated system, is for the weak, the short cut runner, cause the main part of the cuorse is to hard to complete, just an easy way out..

Learn to do it yourself, and enjoy better profits, plus, you know what the heck your talking about, when talking to a REAL trader.

Me-- Hi Jack, How are you"
Jack--Good Glen, hows things with you?"
Me--Great, Im currency trading on the Forex"
Jack--"awesome Glen, Me too, its great for me and my family"
Me--Yeah, I had some good days and bad days"
Jack--" you short or Long often"?
Me-- "O, I dont know, I use a Bot"
Jack--"O, really, Ok, I'll talk to you later"

When you let the machine do your work, your losing out, on the REAL rush, the REAL pat on the back, The Profits,

Just saying,

 

[francisfinley]

Using an automatated system, is for the weak, the short cut runner, cause the main part of the cuorse is to hard to complete, just an easy way out..

Learn to do it yourself, and enjoy better profits, plus, you know what the heck your talking about, when talking to a REAL trader.

Me-- Hi Jack, How are you"
Jack--Good Glen, hows things with you?"
Me--Great, Im currency trading on the Forex"
Jack--"awesome Glen, Me too, its great for me and my family"
Me--Yeah, I had some good days and bad days"
Jack--" you short or Long often"?
Me-- "O, I dont know, I use a Bot"
Jack--"O, really, Ok, I'll talk to you later"

When you let the machine do your work, your losing out, on the REAL rush, the REAL pat on the back, The Profits,

Just saying,

what drivel.

if somebody creates an automatic system that actually works it means they have created a mechanical system which is based on rules.

most of the manual trading i see is totally discretionary tripe that cannot be replicated because they dont stick to rules and hence cannot evaluate what is going wrong when the profits dry up - what the f*** is a real trader anyway?

humans make mistakes more often than a machine does hence most of the profit they make doesnt exist 3-6 months down the line.

the REAL rush of not staring at a screen? the REAL rush of being out doing REAL stuff instead of languishing in front of a poxy chart getting a semi over indicators?
The REAL profits that dont get burned up by a machine because you got all f'd in the head when you lost?

 

[TG911]

Using an automatated system, is for the weak, the short cut runner, cause the main part of the cuorse is to hard to complete, just an easy way out..

Learn to do it yourself, and enjoy better profits, plus, you know what the heck your talking about, when talking to a REAL trader.

Me-- Hi Jack, How are you"
Jack--Good Glen, hows things with you?"
Me--Great, Im currency trading on the Forex"
Jack--"awesome Glen, Me too, its great for me and my family"
Me--Yeah, I had some good days and bad days"
Jack--" you short or Long often"?
Me-- "O, I dont know, I use a Bot"
Jack--"O, really, Ok, I'll talk to you later"

When you let the machine do your work, your losing out, on the REAL rush, the REAL pat on the back, The Profits,

Just saying,

I agree with francisfinley ... it's not that the OP has just blindly bought a bot and hopes for the best. He said that he has developed a system himself, which he is automating (or has automated).

I would say, your example conversation could very well go like that:

Me-- Hi Jack, How are you"
Jack--Good Glen, hows things with you?"
Me--Great, Im currency trading on the Forex"
Jack--"awesome Glen, Me too, its great for me and my family"
Me--Yeah, I had some good days and bad days"
Jack--" you short or Long often"?
Me-- "That varies and depends on certain technical indicators etc. I've worked out a trading system and are now testing automation around it "
Jack--"Sounds great, tell me more about it ... how does it work"

To me, all that counts is that you put a lot of work & effort into it yourself.

Although, the OP hasn't shared much other than results, not how it works?

 

[salvadorveiga]

JMO, 56.56% loss trades is a losing strat. Thats like going 8-8 in the NFL, and not making the playoffs.

There are even systems with 70% losing trades and they are quite profitable... imagine that !!

 

[GlenGary]

Yeah, I retract my statements in this post, still wet behind the ears. If I can make a great EA, im all for it now.

 

[HowardCohodas]

I optimized my system recently.
Can I find job or budget with such a system?
View attachment 93260

Your system has some pretty scary statistics with respect to draw-down and consecutive losses. They are pretty big psychological barriers to overcome for an investor, fund manager or an employer.

More importantly, it is important to understand the limitations of back-testing and where it fits in your proof-of-concept strategy.

1. Back testing, like any computer simulation of the real world (think engineering) has its limitations. Even with tick data, you can't assume the trades you want to make will be executed in a timely fashion or at the price you want.
   
2. Once your computer simulation shows promise, you should go to paper trading. Paper trading, like an engineering prototype, is good for working out the bugs of interfacing with the real world. Even paper trading has it's compromises. Although you will be filled at the price you request if the market trades at that level, no consideration is given to availability.
   
3. Your next step is to trade live (with money) but for small amounts. Consider this preproduction testing.
   
4. Now you are ready for full production. Live long and prosper.

 

[NVP]

Ea's have good points and bad points....

ask Long Term capital management limited.......they lost a few bucks on an "unbeatable"
EA back in 1998 :whistling

now thats what I call Drawdown !

http://en.wikipedia.org/wiki/Long-Term_Capital_Management

N

 

[FuturesDog]

Using an automatated system, is for the weak, the short cut runner, cause the main part of the cuorse is to hard to complete, just an easy way out..

Because of the human naiture, the reproducibility of any manual trading system is very low. On the other hand automatic systems have excelent reproducibility.

 

[HowardCohodas]

On the other hand automatic systems have excelent reproducibility.

During part of my career I was a software engineer. I know the limitations in being able to create bug-free code. I frequently employ automation to populate my Decision Support Dashboard. But I still do the driving. I guess I'm not as good as the software engineers on the Google driverless car project. But they still have a driver ride along just in case.

 

[wackypete2]

During part of my career I was a software engineer. I know the limitations in being able to create bug-free code.

I used to code in Fortran in the early 80's(??) for the Federal Aviation Admin here in the US. Are we still using Fortan? lol
OK, showing my age...

Peter

 

[galeonbaster]

can we upload your system to make own backtesting?

 

[HowardCohodas]

I used to code in Fortran in the early 80's(??) for the Federal Aviation Admin here in the US. Are we still using Fortan? lol
OK, showing my age...

Peter

Of course. Shows my age as well. Did you ever visit IBM's Federal Systems Division in Atlantic City where they developed the in-rout air traffic control system?

I'm also a private pilot.

 

[wackypete2]

Of course. Shows my age as well. Did you ever visit IBM's Federal Systems Division in Atlantic City where they developed the in-rout air traffic control system?

I'm also a private pilot.

I worked at the Atlantic City complex (I live 10 minutes away)...used to be called NAFEC. I was at the William J Hughes Technical Center. At the time I was there my unit was working on testing viability of lowering the standard vertical airspace between flight routes from 1000ft to 300 ft. I was coding some of the analysis programs to work with the raw data that we were receiving.

Sorry, I know this is off-topic for this thread.

Peter

 

[RumbleMonk]

Agree with a previous post, your system has some serious drawdown problems, and I'm not sure if you are aware of curve fitting issues (pardon if you are) but as long as you think your opimizations don't fall into that category and it works when forward tested you might have something you could look into further to cut out those drawdowns..