So you want a system that actually works?

JonnyT

Senior member
2,560 22
So far the systems posted here have been pie in the sky.

I'm going to give you details of one for free that does actually work.

The system is as follows:

1) Trades the EUR/USD future on Globex (could use a SB or Forex Broker account

2) Compile hourly charts from 07:00 UK time to 23:00 UK time

3) Enter a trade in the direction of a breakout of an hourly candle

4) Use a stop loss of 30 pips

5) Move the stop to Break Even at 30 pips profit

6) Take a profit at 120 pips or at EOD

Therefor there will not be a trade prior to 08:00 UK time and you will have closed your position at 23:00 UK time.

Using the EUR/USD future on Globex the gross return up to and including the 23/1/4 is 596 pips from 46 trades.

If you use Stop Limit orders then slippage is in the order of 1 pip every 2 completed trades, IB as a broker would cost $4.80 per trade.

At $12.5 per pip the gross is $7450 per contract
Allow IBs costs of 4.8 * 46 = $220
Allow for Slippage 23 * 12.5 = $287.50

Net profit per contract is $6942.5

The worst drawdown is circa 180 pips i.e $2000

I would recommend a minimum $15,000 account to trade this via the Globex future.

This has given a return on account of 46% since the New Year

This blows away any of the systems mentioned here (they haven't worked in backtesting, this one has).

Of course this is very limited backtesting and any trading of this system is your own responsibility. I have merely offered this for discussion.

Here are the trades:
02/01/2004 Long 1.2573 1.2543 -0.0030
02/01/2004 Long 1.2580 1.2564 -0.0016 EOD
05/01/2004 Long 1.2571 1.2656 0.0085 EOD
06/01/2004 Long 1.2662 1.2782 0.0120
06/01/2004 Short 1.2737 1.2698 0.0039 EOD
07/01/2004 Long 1.2708 1.2678 -0.0030
07/01/2004 Short 1.2631 1.2661 -0.0030
07/01/2004 Long 1.2662 1.2632 -0.0030
07/01/2004 Short 1.2627 1.2568 0.0059 EOD
08/01/2004 Long 1.2578 1.2548 -0.0030
08/01/2004 Short 1.2549 1.2579 -0.0030
08/01/2004 Long 1.2618 1.2738 0.0120
08/01/2004 Long 1.2758 1.2728 -0.0030
08/01/2004 Short 1.2736 1.2730 0.0006 EOD
09/01/2004 Short 1.2729 1.2729 0.0000
09/01/2004 Long 1.2731 1.2797 0.0066 EOD
12/01/2004 Long 1.2821 1.2821 0.0000
12/01/2004 Short 1.2804 1.2743 0.0061 EOD
13/01/2004 Short 1.2735 1.2765 -0.0030
13/01/2004 Long 1.2770 1.2740 -0.0030
13/01/2004 Short 1.2732 1.2732 0.0000
13/01/2004 Long 1.2748 1.2718 -0.0030
13/01/2004 Short 1.2707 1.2737 -0.0030
13/01/2004 Long 1.2733 1.2733 0.0000
13/01/2004 Short 1.2714 1.2714 0.0000 EOD
14/01/2004 Short 1.2707 1.2707 0.0000
14/01/2004 Short 1.2693 1.2633 0.0060 EOD
15/01/2004 Long 1.2636 1.2606 -0.0030
15/01/2004 Short 1.2600 1.2630 -0.0030
15/01/2004 Short 1.2619 1.2557 0.0062 EOD
16/01/2004 Short 1.2555 1.2435 0.0120
16/01/2004 Short 1.2389 1.2389 0.0000
16/01/2004 Short 1.2369 1.2360 0.0009 EOD
20/01/2004 Long 1.2363 1.2483 0.0120
20/01/2004 Long 1.2501 1.2601 0.0100 EOD
21/01/2004 Short 1.2569 1.2599 -0.0030
21/01/2004 Short 1.2625 1.2625 0.0000
21/01/2004 Long 1.2629 1.2658 0.0029 EOD
22/01/2004 Short 1.2649 1.2649 0.0000
22/01/2004 Long 1.2707 1.2677 -0.0030
22/01/2004 Short 1.2674 1.2704 -0.0030
22/01/2004 Short 1.2682 1.2712 -0.0030
22/01/2004 Short 1.2696 1.2687 0.0009 EOD
23/01/2004 Long 1.2700 1.2700 0.0000
23/01/2004 Short 1.2656 1.2686 -0.0030
23/01/2004 Short 1.2657 1.2569 0.0088 EOD



JonnyT
 

FetteredChinos

Veteren member
3,897 40
Looks good JT.. :D

i presume you have this coded for Automated Trading, or else 7am-11pm is a pretty long day by anyones book..

if so, how reliable is your hardware and software to cope with 16 hour days on a regular basis?


FC
 

darrenf

Well-known member
481 3
Ah JT, I've been wondering about your mystery system. Glad youv'e decided to share it with us although I have to say I'm surprised this has generated so little interest so far, particularly in comparison with some of the other non tested, unproved systems banded about.

Anyway, a question if I may.

Does the system enter a trade only on the first breakout of an hourly bar or does it also enter a trade on every subsequent breakout?

ie if first breakout is 8.15am long on breakout of the 7 to 8am bar, and then say at 9.05, you get a further breakout of the 8 - 9am bar, is that just one long entry at 8.15?

Also, if first trade in the day is stopped out/ breakeven, do you take subsequent entries in the same day?

I suspect from the trade log, the answer is that the system continues to take trades throughout the day, but only if the previous one has been stopped out at -30 or breakeven?

Would be grateful if you could confirm

Cheers

Darren
 

JonnyT

Senior member
2,560 22
Hi Darren,

This isn't my main system!!!

I haven't traded this one live yet, the drawdowns on this system are magnitutes higher than my 'live system' but the rewards are about 70% greater. I have developed code to trade it and will probably be live with this one aswell sometime in the next month if the forward testing is positive.

It only allows one trade per Bar. If the trade fails you will not take another trade against that Bar.

HTH

JonnyT
 

zebra

Junior member
31 1
Hi JonnyT

I'm not familiar with a couple of the terms you use, can you explain a little further.

What do you mean when you say you compile hourly charts, is this on excel spreadsheet or is this on your trading platform, does this mean you only ever trade on the outbreak on the hourly bar?

When you refer to drawdown c180 pips, is this the maximum sum required to fund the trade? Sorry but I'm not familar with the term drawdown!

Thanks.

Zebra
 

JonnyT

Senior member
2,560 22
1) Yes you only trade on the outbreak of an hourly bar

2) Say you started trading and subseqently built up to 1000 pips profit. Say you then had a bit of a bad streak, some winners, some losers and you now have a net 800 points. (i.e. a drawdown from equity high of 200 points).

So in theory yes the minimum you need to trade a system is the max drawdown + margin per contract. You would be mad to do so.

Personally I trade with at least 5 times max drawdown and cut back the contracts when I am losing.

JonnyT
 

75again

Newbie
6 0
Hi JonnyT
Firstly – thanks for the idea and I’m sure others will be grateful too. A couple of early questions…

You wrote:

…have developed code to trade it and will probably be live with this one aswell sometime in the next month if the forward testing is positive.

Can you give some general details about this (language, takes signals from where?) and how the API links in with IB?

Zebra wrote

What do you mean when you say you compile hourly charts, is this on excel spreadsheet or is this on your trading platform, does this mean you only ever trade on the outbreak on the hourly bar?

And I’d be interested in a reply to this too.

Cheers Jonny

75
 

donaldduke

Experienced member
1,665 257
You might want to base your stop and profit target around
the ATR or something based on how volatile the markets are
rarther than magic numbers like 30.

I dont trade forex but im sure they go through periods where
volatility expands and contracts, just like the other markets do..
 

eureka

Junior member
19 0
Johnny - great title and intro for your thread! - how can you say that something "actually works" if you have not traded or backtested it properly ? i have backtested a zillion systems only to find out they don't work long-term - i guess rather than making claims, i'd ask members of this forum who have time and resources to properly backtest this - it's a faily straightforward system - good luck
 
 
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