Spot on - EUR/USD

waverider

Member
91 2
Spot on - spreadbetting

Hi Jonny

Firstly, of course, thanks for being so open about your various systems published here. I don't have the technical ability to back-test to the extent that many of your contributors have, so my thanks also to them for their efforts. I never swallow anything completely blind however so I manually back-tested June 4 to July 2 just to satisfy myself about the system's potential in a spreadbetting environment, and to ensure I understood it properly.

Spreadbetting has its advantages and its disadvantages particularly when it comes to systems requiring close spreads, but many of us start with spreadbetting because it is an easy way to get into trading with small amounts. Since I am spreadbetting, and not using direct access, I thought any traders in a similar position would be interested in how it went, albeit just on just one month's data.

I use eSignal's cash feed - Eur A0-FX and use Deal4free for spreadbetting. I'm aware Deal4free gets mixed press on this site but my experience with them over the last two years is good. They suffer no more loss of feeds than the others I've used (IG Index, Finspreads, City Index) and their spreads are much, much narrower and their margin requirements small. I also find their quotes follow the market reasonably well and certainly have no worse slippage than the others above.

I used your original version of Spot On without stops (although there are stops of course because you stop and reverse on the opposite side, which is an aspect of the system I like). Having read your recent comments I will be monitoring the effect of a 35 pip stop over the coming months. But I also added (or subtracted) a 10 pip buffer (plus 3 pips for the full spread) to each trigger level. I did this more out of habit, really, from being burned at breakouts in other markets. My results were:

21 days of trading, 2 of which triggered 2nd trades in the opposite direction
13 winning trades 7 losers
145 points lost, 884 points won, net points = 739

I wasn't actually expecting such a good result from one month because of the 10 pip buffer I'd added so I thought I'd work through the results without the buffer. This actually reduced the wins by a further 44 pips because it triggered more losing trades, so the buffer stays in my strategy for the time being while I see how live trading goes.

I know there's room for a little more slippage than I've allowed for but, I've been trading forex using esignal and deal4free for a few months now and know that I can regularly get the prices I'm aiming for, either manually or with stop or limit orders (I trade sitting at the screen rather than auto-trading).

I hope this is of interest to you spreadbetters, it has certainly encouraged me to start live trading the system - and as I type (6/7 at 18.40) we have a rare expanding triangle on Euro$. Ho hum. Will markets never do as they're supposed to?

Wavy


JonnyT said:
Carried out the same exersize for the June contract of EUR/USD. Breakout of 07:00 to 10:00 bar varying stop loss.

Here are the results:

Stop Total Draw
10 236 80
15 127 120
20 90 158
25 334 150
30 400 197
35 415 210
40 484 182
45 458 180
50 487 200
60 525 221

JonnyT
 

JonnyT

Senior member
2,560 22
Nice!

waverider said:
Hi Jonny

Firstly, of course, thanks for being so open about your various systems published here. I don't have the technical ability to back-test to the extent that many of your contributors have, so my thanks also to them for their efforts. I never swallow anything completely blind however so I manually back-tested June 4 to July 2 just to satisfy myself about the system's potential in a spreadbetting environment, and to ensure I understood it properly.

Spreadbetting has its advantages and its disadvantages particularly when it comes to systems requiring close spreads, but many of us start with spreadbetting because it is an easy way to get into trading with small amounts. Since I am spreadbetting, and not using direct access, I thought any traders in a similar position would be interested in how it went, albeit just on just one month's data.

I use eSignal's cash feed - Eur A0-FX and use Deal4free for spreadbetting. I'm aware Deal4free gets mixed press on this site but my experience with them over the last two years is good. They suffer no more loss of feeds than the others I've used (IG Index, Finspreads, City Index) and their spreads are much, much narrower and their margin requirements small. I also find their quotes follow the market reasonably well and certainly have no worse slippage than the others above.

I used your original version of Spot On without stops (although there are stops of course because you stop and reverse on the opposite side, which is an aspect of the system I like). Having read your recent comments I will be monitoring the effect of a 35 pip stop over the coming months. But I also added (or subtracted) a 10 pip buffer (plus 3 pips for the full spread) to each trigger level. I did this more out of habit, really, from being burned at breakouts in other markets. My results were:

21 days of trading, 2 of which triggered 2nd trades in the opposite direction
13 winning trades 7 losers
145 points lost, 884 points won, net points = 739

I wasn't actually expecting such a good result from one month because of the 10 pip buffer I'd added so I thought I'd work through the results without the buffer. This actually reduced the wins by a further 44 pips because it triggered more losing trades, so the buffer stays in my strategy for the time being while I see how live trading goes.

I know there's room for a little more slippage than I've allowed for but, I've been trading forex using esignal and deal4free for a few months now and know that I can regularly get the prices I'm aiming for, either manually or with stop or limit orders (I trade sitting at the screen rather than auto-trading).

I hope this is of interest to you spreadbetters, it has certainly encouraged me to start live trading the system - and as I type (6/7 at 18.40) we have a rare expanding triangle on Euro$. Ho hum. Will markets never do as they're supposed to?

Wavy

Nice one waverider ;)
 

darrenf

Well-known member
481 3
Jonnyt

I am sure the answer to this is hidden somewhere in the depths of these threads but:-

does your original spot on system stop and reverse as in wave riders example if the opposite entry is triggered or does it just take the first breakout and cancel the other order. ie if long is triggered, do you remove the short order?

I think the answer is first breakout only from memory. If this is the case, did you ever backtest using the opposite order as a SAR point?

Darren
 

JonnyT

Senior member
2,560 22
Yes its the first order.

Reversals have a poor risk reward ratio and are should not be traded IMHO

JonnyT
 

darrenf

Well-known member
481 3
JonnyT said:
Yes its the first order.

Reversals have a poor risk reward ratio and are should not be traded IMHO

JonnyT


OK Cheers JT.

One other question if I may.

A recent backtest that you posted (somewhere) of the 7 - 10 system on eur/usd had a max drawdown of 700 plus points up to mid dec 03.

I am sure I read elsewhere that your original testing of this system had only two losing trades in a row and went back beyond dec 03 (sept 03) if I recall correctly.

Was the 700 point drawdown correct? Looking back at that time on daily charts, the euro had a very sharp upward trend. Have you any observations as to why the b/o system performed poorly at that time?

Darren
 

JonnyT

Senior member
2,560 22
My re-run of the results for the Dec 03 contract EUR/USD SL 35pips 07:00 to 10:00 produced 289 pips with a max dd of 402 pips.

Remember some results are all the contracts bundled together so a 600 pip dd seems reasonable to me.

JonnyT
 

TWI

Senior member
2,536 254
Are you suggesting trading all contracts at the same time? I wasn't sure looking at earlier post whether this was front contract over various months or calculated as having positions in lots of different forward months.
If latter, why would you trade all contracts along curve? Surely this is increasing your exposure and you might as well just increase your size in the most liquid contract.
 

JonnyT

Senior member
2,560 22
You only trade the contract with the most volume.

The trades were all put together and then analysed in bulk hence it is possible to get 600 pips drawdown when one contract only gave 400 pips.

JonnyT
 
 
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