Short term trend following system

Nov 6, 2013
37
4
18
#1
Hey everyone. I will be posting my daily trades here starting tomorrow.

Trading hours are between 8am - 5pm UK time and I trade the following pairs:

AUD USD
EUR GBP
EUR USD
GBP USD
EUR JPY
USD CAD
USD JPY

I have been trading this system since the start of 2018 with the following results:

Number of trades: 112
Winning: 69
Losing: 43

Average winner: 45 points
Average loser: 38 points

Largest losing trade: -154 points
Largest winning trade: 236

Total points +1434

Lots of people won't agree with the following, however, I find it works well for this system - I do not use a stop and sometimes I hold a position overnight. The entry and exit are totally mechanical with no interpretation required - it is either a yes or no.

-------------------

Current open positions:

Short GBP USD @ 1.39340

-------------------

Will update tomorrow.
 
Likes: ILikeCCI

tomorton

Well-known member
Feb 28, 2002
7,059
916
173
62
Exeter
#5
Your win rate is 62% and the average loser is 84% the size of your average winner. Separately these stats would be sustainable but together, doesn't this mean either the trades are a very small % of account capital or you face very significant draw-down when you get a run of high losers and then a run of low winners?

(I don't trade intra-day, just curious)
 
Nov 6, 2013
37
4
18
#6
Hey Tomorton - cheers for the question.

I am actually trading with quite a small amount of total capital (my current bank is less than £1,000) so I need to be more aggressive in the start to build it.

Currently, I am trading £0.20 per point for every £100 in the account.

My current balance stands at £620 so each trade is opened at £1.20.

Using the largest loser in the paper traded period of -156 points this would represent a loss of -£187.20 or 30% of my capital. However, as the capital increases, I plan on reducing this risk.

During the paper traded session that loss came after a while so that trade didn't even reduce the capital below its initial starting balance.

IF all goes the same as the paper traded results then I should see something like this:

Total winning trades = 69 @ 45 points each = 3,105 x £1.20 = £3,726
Total losing trades = 43 @ 38 points each = 1,634 x -£1.20 = -£1,960.80

Total profit = £1,765.20 or a 284% return.

Hope that answers your question?
 

tomorton

Well-known member
Feb 28, 2002
7,059
916
173
62
Exeter
#7
Well it mostly does - as I wondered, you are risking a very small % of capital. And nothing wrong with that - its just psychologically hard to sustain when you upgrade to real money and all your effort and discipline brings you a fiver a day.

That 30% drawdown on one trade is more serious - this event in a series of only 112 trades looks like early warning of an account-killer to me. Surely you've got something in mind to control this?
 
Nov 6, 2013
37
4
18
#8
So if you average it out over the total number of days it comes to an average of around 25 points per day which at £1.20 is £30 a day - I can live with that :)

Yes, so as mentioned above as the bank gets larger I will reduce the risk per trade. In the grand scheme of things, even though the 112 trade is serious, you also have to remember that the largest winner was 236 so you could use the same thinking and turn it on it's head - that's an early warning of an account lottery haha
 

Brumby

Well-known member
May 25, 2012
600
136
53
#10
Hey everyone. I will be posting my daily trades here starting tomorrow.

Trading hours are between 8am - 5pm UK time and I trade the following pairs:


I have been trading this system since the start of 2018 with the following results:

Number of trades: 112
Winning: 69
Losing: 43

Average winner: 45 points
Average loser: 38 points

Largest losing trade: -154 points
Largest winning trade: 236

Total points +1434

Lots of people won't agree with the following, however, I find it works well for this system - I do not use a stop and sometimes I hold a position overnight. The entry and exit are totally mechanical with no interpretation required - it is either a yes or no.

-------------------

Current open positions:

Short GBP USD @ 1.39340

-------------------

Will update tomorrow.
I don't think you have fully quantified the risk. There are a number of problematic issues including :
a)You have not identify your negative runs. If you have you did not share them in your statistics ;

b)You are trading too many pairs for your account size including there are 2 general correlated pairs that can compound your overall risk. It can become a problem if they are all triggered especially in relation to (a):

EUR JPY
EUR GBP
EUR USD

AUD USD
USD CAD
USD JPY
GBP USD

c)Your position sizing is too big if your biggest looser potentially constitutes 30 % of your equity ;

d)Since you do not use stops, your trade statisticss in relation to loosers per trade may be understated. In other words, your actual negative equity excursion is under represented. It may not matter when you paper trade but may trigger position closures by your provider. This can be a problem when you combine this issue with (a), (b), and (c)
 
Likes: Quantt
Nov 6, 2013
37
4
18
#11
Hey Brumby. Thanks for the questions and challenges - I find them helpful :)

Point A)

I realize I didn't post all the relevant information so this is the sequence of trades:

-0.4
5.3
20
20.9
-24
-32.9
-97.2
5.4
49
-5.6
-26
51
24.7
-0.8
68
22.1
29.6
43.1
-28.2
16.3
31.9
30.9
-39.9
20.7
-15.7
22.1
12.8
70.2
-55.7
-114.6
50.6
27.6
0.4
-28.1
-49.8
-20.5
-3.7
53.3
-18.1
-12.3
31
92
-29.1
-55.8
6.6
-64.8
26.4
46.5
51.4
47.6
-5.7
65.3
53.5
11.4
41
-27.8
42
14.6
236
15.4
-91
-5.7
77.7
65.5
95.8
29.7
14.1
-55.5
-73.2
109.5
86
-18.4
-41.5
-45.6
60.3
44.3
-63
76.4
85.4
25.4
-154.7
-22
30.3
6.2
-17.2
-71.5
58.2
18.3
44.2
32.4
-64.9
107
61.7
124.9
140.4
61.6
21.4
-29.4
-2.1
14.6
-71.7
10
-2.8
13.3
21.5
38.5
7.8
-31.2
103.5
10.5
-99.3
-1

To summarise the losing streaks:

2 Losers in a row: happened 10 times
-31.6, -170.3, -30.4, -84.9, -96.7, -128.7, -176.7, -88.7, -31.5, -100.3

3 Losers in a row: happened 2 times
-154.1, -105.5

4 Losers in a row: happened 1 times
-102.1

As I am unable to post the equity curve graph, this is how the bank grew over the period:

620
619.52
625.88
649.88
674.96
646.16
606.68
490.04
496.52
555.32
548.6
517.4
578.6
608.24
607.28
688.88
715.4
750.92
802.64
768.8
788.36
826.64
863.72
815.84
840.68
821.84
848.36
863.72
947.96
881.12
743.6
804.32
837.44
837.92
804.2
744.44
719.84
715.4
779.36
757.64
742.88
780.08
890.48
855.56
788.6
796.52
718.76
750.44
806.24
867.92
925.04
918.2
996.56
1060.76
1074.44
1123.64
1090.28
1140.68
1158.2
1441.4
1459.88
1350.68
1343.84
1437.08
1515.68
1630.64
1666.28
1683.2
1616.6
1528.76
1660.16
1763.36
1741.28
1691.48
1636.76
1709.12
1762.28
1686.68
1778.36
1880.84
1911.32
1725.68
1699.28
1735.64
1743.08
1722.44
1636.64
1706.48
1728.44
1781.48
1820.36
1742.48
1870.88
1944.92
2094.8
2263.28
2337.2
2362.88
2327.6
2325.08
2342.6
2256.56
2268.56
2265.2
2281.16
2306.96
2353.16
2362.52
2325.08
2449.28
2461.88
2342.72
2341.52

Point B)

You are right about the correlation between certain pairs, and I think that is what has caused the high number of 2 losers in a row (mainly GBPUSD and EURGBP). However, this also works the opposite way, so if the system is right about GBPUSD then it's usually right about EURGBP. Another thing to note, it doesn't always produce a corresponding entry to a correlated pair i.e if it's long GBPUSD then it may not be short EURGBP.

Point C)

I totally agree that the initial risk is to large. I am only trading with a small bank which I am ok testing this strategy with. I plan on tackling this by not increasing my position size as the bank increases. That way as the bank increases the risk will naturally decrease.

Point D)

Again you are totall correct - especially holding overnight. Something like a random black swan event could blow the bank. It's worth looking at adding a "worse case" guaranteed stop to all position overnight. In regards to the negative equity - it is marginally more where it is stopped. Basically I am not holding a position which goes like -300 and then gets stopped eventually for -100.

Hope this is helpful :)