Hi Garyp75,
1) The EUR/USD future has a 1 pip spread, it is cheaper
2) The EUR/USD future is traded on a proper regulated exchange
3) I am not subject to quote manipulation by a Forex Market Maker
4) I can automate easily and for free through www.interactivebrokers.com API
5) The system works on the spot, it moves in a very similar manner to the future albeit the quotes are usually 10-20 pips different.
JonnyT
1) The EUR/USD future has a 1 pip spread, it is cheaper
2) The EUR/USD future is traded on a proper regulated exchange
3) I am not subject to quote manipulation by a Forex Market Maker
4) I can automate easily and for free through www.interactivebrokers.com API
5) The system works on the spot, it moves in a very similar manner to the future albeit the quotes are usually 10-20 pips different.
JonnyT
ok Johnny / others - we can spend eons fretting over the details of this system here - there are professionals out there whose business is to test these rigorously - they have the resources and expertise in doing just that, and have been for decades - for example, check out www.futurestruth.com - yes you will have to pay them to get it backtested properly if you wish - but hey, it's your choice or otherwise you keep trading it BLINDFOLDED FOR FREE - or why not get one of their systems that has been tracked for years? - ...actually having thought about this more for a minute here - i did have a period when i spent months testing various systems...gave it all up, none test out profitable long-term - i have been a discretionary trader since - so perhaps this was not the place for me to post at all - it's just that Johnny's description of "actually works" made me look here - i hope this system works for you.
Eureka,
Futures Truth proves nothing!
There are systems that blow away these. I have one that I will never ever submit to Futures Truth or to the public, it is simply way too hot. It has been backtested over 3 years and has safely produced 400%+ per annum using the futures truth criteria and not increasing the number of contracts etc.
Abberation I believe that has a good record on futures truth suffered a massive drawdown this year...
Don't beleive all that you read, there are ways to make money systematically but it isn't with index futures...
JonnyT
Futures Truth proves nothing!
There are systems that blow away these. I have one that I will never ever submit to Futures Truth or to the public, it is simply way too hot. It has been backtested over 3 years and has safely produced 400%+ per annum using the futures truth criteria and not increasing the number of contracts etc.
Abberation I believe that has a good record on futures truth suffered a massive drawdown this year...
Don't beleive all that you read, there are ways to make money systematically but it isn't with index futures...
JonnyT
jonnyt
do you know of any software I could buy specifically for backtesting strategies on fx?
I don't need a full trading package, and I don't want to automate a system, but I would like to be able to back test my own ideas to see if they work over a reasonable historic time period before going live and actually trading them.
Also, once you have the software to analyse, where do you get the data from?
PS you should bear in mind that I am "technologically challenged" and anything requiring programming would not be ideal!
Cheers
Darren
do you know of any software I could buy specifically for backtesting strategies on fx?
I don't need a full trading package, and I don't want to automate a system, but I would like to be able to back test my own ideas to see if they work over a reasonable historic time period before going live and actually trading them.
Also, once you have the software to analyse, where do you get the data from?
PS you should bear in mind that I am "technologically challenged" and anything requiring programming would not be ideal!
Cheers
Darren
It's a simple system, so I thought I'd test it out and although it has produced a good profit over the last month, over the last year it's produced a loss.
I'm testing on hourly spot FX data so my results aren't identical to JonnyT's, but they do show that last month's results aren't typical. So, I'm not convinced that this is a viable system as it stands.
However, since I'd coded it, I thought I'd play around with it system a bit to see whether it could be improved.
1. Time of day:
The first thing that intrigued me was the dependence on the time of day. Changing from 8.00 start to 9.00 start is enough to tip it into profit. Further analysis shows that there are only two hours in the day that produced consistent profits with this system over the year. 11.00-12.00 and 14.00-15.00. So only enter positions during these two hours - don't forget daylight saving time.
2. Breakout:
Using the previous hour's H or L as thresholds produces too many signals. Using the H and L of the last two hours is much better
3. End of Day:
Closing positions at 23.00 proves counter-productive - don't bother.
4. Limit:
150 pips is better than 120 pips
5. Stop:
Optimum is 33 pips including a 3 pip spread.
Adding a simple trailing stop also improved things, so when price reaches 66 pips from the stop, it is moved 33 pips.
This gave the following results for the last year
Feb -132
Mar 186
Apr 69
May 318
Jun 84
Jul 135
Aug 234
Sep 252
Oct 150
Nov 270
Dec 216
Jan 150
Total
1932 pips
299 trades (157 wins)
max drawdown -363 pips (Feb-Mar)
For me the profits still look a bit thin with respect to the potential drawdown.
JonnyT - interesting system. There's definitely something in it , but i think you'll find it needs more development.
all the best
timm
I'm testing on hourly spot FX data so my results aren't identical to JonnyT's, but they do show that last month's results aren't typical. So, I'm not convinced that this is a viable system as it stands.
However, since I'd coded it, I thought I'd play around with it system a bit to see whether it could be improved.
1. Time of day:
The first thing that intrigued me was the dependence on the time of day. Changing from 8.00 start to 9.00 start is enough to tip it into profit. Further analysis shows that there are only two hours in the day that produced consistent profits with this system over the year. 11.00-12.00 and 14.00-15.00. So only enter positions during these two hours - don't forget daylight saving time.
2. Breakout:
Using the previous hour's H or L as thresholds produces too many signals. Using the H and L of the last two hours is much better
3. End of Day:
Closing positions at 23.00 proves counter-productive - don't bother.
4. Limit:
150 pips is better than 120 pips
5. Stop:
Optimum is 33 pips including a 3 pip spread.
Adding a simple trailing stop also improved things, so when price reaches 66 pips from the stop, it is moved 33 pips.
This gave the following results for the last year
Feb -132
Mar 186
Apr 69
May 318
Jun 84
Jul 135
Aug 234
Sep 252
Oct 150
Nov 270
Dec 216
Jan 150
Total
1932 pips
299 trades (157 wins)
max drawdown -363 pips (Feb-Mar)
For me the profits still look a bit thin with respect to the potential drawdown.
JonnyT - interesting system. There's definitely something in it , but i think you'll find it needs more development.
all the best
timm
What data source did you use?
Hi Tim,
Can I ask what data source you used?
The reason I ask is that most vendors Forex Spot data is actually totally wrong...
For instance MyTracks data is unuseable for backtesting as it has loads of big spikes that in reality weren't there.
If you have backtested against the futures data then I would accept the results, but from your findings I know that you havent 😉
JonnyT
Hi Tim,
Can I ask what data source you used?
The reason I ask is that most vendors Forex Spot data is actually totally wrong...
For instance MyTracks data is unuseable for backtesting as it has loads of big spikes that in reality weren't there.
If you have backtested against the futures data then I would accept the results, but from your findings I know that you havent 😉
JonnyT
Bluewave
Active member
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Re: What data source did you use?
This whole issue of using "accurate data" is a bit of a nightmare for Mr. Joe Public trader, isn't it? I mean, how do most people know if the data they are looking at in chart form is accurate? Why on earth can't data providers get together and decide on one definitive set of data?
I don't know, it confuses me anyway 🙁
Why would MyTracks data include large price spikes that others don't?
So many questions!
JonnyT said:
This whole issue of using "accurate data" is a bit of a nightmare for Mr. Joe Public trader, isn't it? I mean, how do most people know if the data they are looking at in chart form is accurate? Why on earth can't data providers get together and decide on one definitive set of data?
I don't know, it confuses me anyway 🙁
Why would MyTracks data include large price spikes that others don't?
So many questions!
GreyingSurfer
Active member
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JT,
Nice one. I really must find time to take a look at currencies.
I assume you've collected the data you've used yourself from IB? I've been collecting data from MT with the intention of using it for backtesting, but your comments are making me think again. For the ESTX/DAX the MT data is poor, but largely usable, the differences with the IB feed are generally small. From what you are saying that's not true of currency futures, that the differences make the MT data unusable. No great surprise, but a pain, it look like I might have to start paying Globex fees to IB !
Nice one. I really must find time to take a look at currencies.
I assume you've collected the data you've used yourself from IB? I've been collecting data from MT with the intention of using it for backtesting, but your comments are making me think again. For the ESTX/DAX the MT data is poor, but largely usable, the differences with the IB feed are generally small. From what you are saying that's not true of currency futures, that the differences make the MT data unusable. No great surprise, but a pain, it look like I might have to start paying Globex fees to IB !
theknifemac
Well-known member
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GS
Have you got any comments on the quality of the MyTrack data for US stocks ? I've seen comments about poor quality in their Uk data, but was assuming that the US stocks (both their intra day bar history and realtime prices) were pretty good.
Cheers
TKM
Have you got any comments on the quality of the MyTrack data for US stocks ? I've seen comments about poor quality in their Uk data, but was assuming that the US stocks (both their intra day bar history and realtime prices) were pretty good.
Cheers
TKM
You can get about 8 months of back data on the Euro FX Futures contract (Globex symbol EC) from www.scmagic.com at http://www.scmagic.de/Historien/2004/Futures/eur-200403-globex.mnd . I believe this data has been collected from the IB feed.
You can get daily time and sales data direct from Globex at http://www.cme.com/ftp.wrap/gtime but they only provide 5 days of history free and you have to build your own 1 minute data from the large tick files.
I have given up on using myTrack as it was full of holes and spikes and they recently hiked the charge for using their SDK/API from $25 a month to $99 a month without telling me.
Mike
You can get daily time and sales data direct from Globex at http://www.cme.com/ftp.wrap/gtime but they only provide 5 days of history free and you have to build your own 1 minute data from the large tick files.
I have given up on using myTrack as it was full of holes and spikes and they recently hiked the charge for using their SDK/API from $25 a month to $99 a month without telling me.
Mike
GreyingSurfer
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TKM,
No, I've never used MT for US shares. I'd hope they are better for those, if not what is the point of their existence? :cheesy:
Dippers,
Thanks,
SCMagic seem an interesting service, though I haven't downloaded any data yet. I'll take a look. And maybe it will be time to drop MT too!
No, I've never used MT for US shares. I'd hope they are better for those, if not what is the point of their existence? :cheesy:
Dippers,
Thanks,
SCMagic seem an interesting service, though I haven't downloaded any data yet. I'll take a look. And maybe it will be time to drop MT too!
Can this system be learned and operated by a beginner?
Johny,
I have never traded before or know much about it. What do you recommend to get educated and in the game of trading? Also, is your system simple enough for a beginner to use, once I understand the process? I have teens that I need to pay large monthly sums of money for their schooling and I thought this might be an avenue.
Can you educate me on this option?
Johny,
I have never traded before or know much about it. What do you recommend to get educated and in the game of trading? Also, is your system simple enough for a beginner to use, once I understand the process? I have teens that I need to pay large monthly sums of money for their schooling and I thought this might be an avenue.
Can you educate me on this option?
