My semi-automated strategy

[grimesd]

The Aim
OK I've now forward tested my semi-automated trading strategy on a demo account for a few weeks and I think it's ready to be moved on to a live trading account! I'm writing this journal to keep myself on track, because I know from past experience that I tend to tinker with things a bit too much and end up not sticking with a good strategy when I should. So this time I'm not going to change a thing until; either I empty my account or I double my money. I'll increase my account size when I think the time is right. I've got an account with Gain Captial/forex.com and the current balance is about $2,000.

The Strategy
I've been trading forex for over a year now and before that I used to spreadbet the FTSE & DOW with some success, but ended up giving most of it back by being stupid. Now I've found that I enjoy trying different automated strategies mostly of my own creation. The strategy that I'm now using is a variation of a strategy that I was manually trading for a little while. The strategy is based on Trendlines and S/R and 3 Moving Averages. The strategy makes trades on MA crossovers and trendlines and S/R level breaches. There is a hard stoploss of 150pips for each trade, but trades should be closed long before that stoploss is reached.

Automation
This is semi-automated strategy because once a month the strategy has to be supplied with trendlines and S/R co-ordinates, which are manually worked out using standard charts. I use Metatrader4 for charting because it's free and it does what I need it to do i.e. the ability to easily switch timeframes while keeping all objects on the chart and the ability to manipulate objects in different timeframes, but I'm sure there are lots of other charting packages out there that are just as good. For automation I'm using Ninjatrader. I like Ninjatrader, the C# language it uses is very easy to pick up (but I'm a Java programmer and there's not much difference in syntax). I created my own Trendline and S/R indicator so that all I have to do is plug in the coordinates of the lines drawn in Metatrader4. Once a month I refresh my trendlines and S/R co-ordinates and restart the strategies. As far as money management goes I'll be trading 7 pairs @ 1 mini lot each.

This Journal
I'll be posting here mainly for my own benefit. It might keep me occupied so I won't be tempted to tinker with the strategy. I'm not posting any signals or anything like that, nor am I the right person to ask for advice (I'm still learning myself), but I'm willing to pass on little nuggets of information that I've learned over the years. I think this journal will make interesting reading, so if you'd like to follow my progress that's fine. I'll probably be posting on a weekly basis and I'll be showing trading statistics and performance graphs. Let's see how it goes!

 

[grimesd]

So this strategy has been running for a couple of weeks now. No intervention needed yet....

 

[grimesd]

After a few slow days I can see some action this afternoon. This strategy works better when the market has some direction, but it might suffer a bit under heavy chop....let's see.

 

[timsk]

So this time I'm not going to change a thing until; either I empty my account or I double my money.

Hi grimesd,
The sentence quoted struck me as odd and raised two questions in my mind:
1. If it turns out that the strat' doesn't work, why wait until you've trashed your whole account before finding out what's not working? If I were in your shoes, after a 50% drawdown, I'd want to stop trading and see what's causing the decline.
2. On the other hand, if I doubled my money, I wouldn't want to tinker with anything and just carry on doing more of the same. If it ain't broke - don't fix it etc.
Anyway, best of luck with it.
Tim.

 

[grimesd]

Hi grimesd,
The sentence quoted struck me as odd and raised two questions in my mind:
1. If it turns out that the strat' doesn't work, why wait until you've trashed your whole account before finding out what's not working? If I were in your shoes, after a 50% drawdown, I'd want to stop trading and see what's causing the decline.
2. On the other hand, if I doubled my money, I wouldn't want to tinker with anything and just carry on doing more of the same. If it ain't broke - don't fix it etc.
Anyway, best of luck with it.
Tim.

Hi Tim, I wrote that so that I won't scare myself into abandoning this strategy prematurely if things didn't quite go to plan initially. But yes your probably right, I'll want to stop the strategy if it hits serious drawdown. Although I have an idea of the sort of drawdown I can expect to see, from backtesting, I could have easily hit an initial losing streak that could have taken a big chunk out of my small account. Also it's difficult to tell how well a strategy will work on a live account given the spreads and slippage. Drawdown could have been much bigger than in testing, I just didn't quite know what to expect. Anyway it turned out OK so far. As more of a pattern emerges it will be easier to spot excessive drawdown.

If I double my account the only thing I still need to look at is position sizing. At the moment I'm trading everything at the same size which isn't ideal. I'll be looking at basing position size on some factor of ATR I think.

 

[timsk]

If I double my account the only thing I still need to look at is position sizing. At the moment I'm trading everything at the same size which isn't ideal. I'll be looking at basing position size on some factor of ATR I think.

Hi grimesd,
Position sizing is critical IMO and managing your stop loss accordingly. In 2008 I day traded US stocks and my records show that I could be profitable on the day in terms of points gained but the P/L could be negative because I'd got the position sizing wrong. Sods law dictates that I traded too few shares on the winning trades and too many on the losing ones. I don't trade forex, so I don't know the implications for those that do but, If you want to look into this further, I can recommend Trader333's article on the subject which may be of interest: Position Sizing as an Approach to Risk Management
Tim.

 

[grimesd]

Tim, thanks for the link it helped a lot. I've now worked out how to handle position sizing, but the account is still a bit too small to apply it right now.

So, after some initial drawdown last week everything was looking quite good. Then on Friday when the NinjaTrader server crashed. When I eventually got NT and everything up and running again I noticed that the performance results were all wrong. Somehow the profit on the last 2 trades before the crash were recorded much larger than they actually should be. I don't think I can do anthing about this now. The chart should look more like the one I manually created.

Anyway, it's still going in the right direction.

 

[grimesd]

Update

I haven't posted anything for a while, so I thought it's time I let you guy know what's been happening because I might save someone else some grief. My automated strategy was working very well and as you can see from the above posts it was making money. So I decided to throw some more money onto my account work with a slightly bigger trading pot. I fueled my account to $8000 and that's when the goal posts moved. I think forex.com must have started putting my orders though a dealing desk or something. I notice my orders were being severly delayed. I was even getting filled at prices that were never even reached and I was seeing 20 - 50 pips slippage on some occasions. So obviously I closed my account. My advice is to STAY AWAY from forex.com!

Anyway, after a few weeks of searching and trying out different brokers I've now opened an account with PFGBest. It's still early days but the results so far look good. Their execution speeds are very good and commissions are reasonable. I'll be posting more results soon.

 

[timsk]

Hi grimesd,
sorry to hear your woes!
Please write a review: Forex.com

Tim.

 

[BSD]

Re: Update

I haven't posted anything for a while, so I thought it's time I let you guy know what's been happening because I might save someone else some grief. My automated strategy was working very well and as you can see from the above posts it was making money. So I decided to throw some more money onto my account work with a slightly bigger trading pot. I fueled my account to $8000 and that's when the goal posts moved. I think forex.com must have started putting my orders though a dealing desk or something. I notice my orders were being severly delayed. I was even getting filled at prices that were never even reached and I was seeing 20 - 50 pips slippage on some occasions. So obviously I closed my account. My advice is to STAY AWAY from forex.com!

Unbefrigginlievable !

One really can't say it often enough, stay away from these bucket shops, they were criminal outfits in Livermores day and things haven't changed since.

http://www.trade2win.com/boards/gen...ndex-taking-me-bankruptcy-13.html#post1072272

Trade futures and you're in a legitimate, supervised market where everyone sees the same prices.

 

[grimesd]

I moved over to PFGBest with just over $7500. I also hosted NinjaTrader on a VPS server, because I was tired of my unreliable ADSL connection dropping. So there were a few changes for June and I think I was a bit lucky to make a profit.

As you can see there was a large period of drawdown. In fact I had Ninja setup incorrectly on the VPS server, so it could have been a complete disaster! Anyway, I managed to correct my mistake towards the tail-end of the month. I'm hoping this month will be a clean month, free from any changes or problems.

The results for June was as follows:

 

[grimesd]

The story so far.... July I had to really wrestle with NinjaTrader. It crashed a few times and I didn't find out until I logged onto VPS to find mini disasters, so I had to stop trading the strategy mid July while I sorted out the crashing, and as a result I made a loss for July.

I've now set up a couple of SMS alerters so that when Ninja (or the PFG connector) crashes I get notified almost immediately and can restart without losing too many $$$.

Everything seemed to run much more smoothly for August. Although I had to restart Ninja 3 times due to crashes they didn't cause any loss. So August was a positive month and I'm well on the way to double my account from the original $7500.

 

[Adamus]

Are you using NinjaTrader 6.5 or 7? I guess it must be 6.5 or you would have a lot more tales of grief!

 

[grimesd]

Are you using NinjaTrader 6.5 or 7? I guess it must be 6.5 or you would have a lot more tales of grief!

I'm using 6.5. I did briefly try 7 but it was so flakey that I immediately went back to 6.5.

NinjaTrader could be an excellent product but they should have sorted out all bugs before add more features. My strategy isn't particularly complex or CPU intensive so Ninja 6.5 can run with relatively few crashes. I've had a look at Multicharts, but I don't really like the 'easy language' or whaterver it's called, and I really can't be bothered to re-code my indicators and strategy at the moment, so I'm sticking with Ninja for now.

 

[Adamus]

You were never tempted to roll your own in Java?

It occurs to me a lot but I know I could never do it on my own. At least I could never manage the charting.

 

[grimesd]

It has crossed my mind (many times). I think I could do a better job of it than NT, but I just haven't got the time at the moment. If I wasn't in full time employment I'd probably have a go. You never know, if I can make enough money to quit my job it could be nice little sideline.

 

[Adamus]

Exactly what my position - although I'm not in full-time employment, I still don't have the time

Maybe we can split the cost of hiring a developer - when we've both made a couple of mill.

 

[grimesd]

I'm currently trying out SmartLiveMarkets (just in Demo at the moment) with a view to Spreadbetting using Ninjatrader. I've written some code to send my orders from the NT Strategy to an MT4 EA. It seems to be working OK so far, but I'll make sure I test it for a least a month before going live.

If I can use NT to spreadbet I won't have to worry about the taxman! :cheesy:

 

[FloorFinance]

Hello, is your system "semi" automated for your choise/decision? Regards

 

[grimesd]

Last month was my first real loss. It wiped out the gains from the previous month so I'm break-even for the last 2 months .

I've now finished writing my second strategy, which seems to compliment the first, so I'm confident I'll have a more even equity curve going forward. Let's see how it goes.....

Current balance $13,500.