Thanx dear... I was searching for the same.
- | Membership Revoked | Joined Oct 2008 | 2,791 Posts
- | Commercial User | Joined Dec 2009 | 32 Posts
Hello Everyone,
My name is Daniel Fernandez, I joined ForexFactory a long time ago but I didn't seem to find the time to contribute, now I wanted to start contributing and this thread seemed like a good place to start. I saw your effort and I liked the clearness and simpleness of the method outlined so I coded your strategy and ran simulations around it for the past 10 years of data on the EUR/USD.
Sadly the results of the original strategy (implemented exactly as mentioned on the first post) are account wiping in the long term since the strategy enters periods of extensive whipsawing that do not allow it to profit and bring it to substantial losses during most years. The fact that you use the 7 period ATR on the hourly charts also has to do with this fact since the strategy reacts too fast to changes in market volatility so "spikes" or low volume zones within trading days tend to decrease the effectiveness of the strategy's adaptability to overall market volatility.
Even though there are better years for this strategy (like 2009) the results of previous years are extremely bad, especially the years between 2000 and 2005. This is of course when the strategy is executed mechanically according to the rules given on the first post. This points out that the strategy lacks robustness and after medium term profitable periods account losing periods will come that will be of a much greater magnitude.
I have substantial experience in profitable trading system development (I have published at least 6 articles in Currency Trader Magazine during the last year, you can check the August edition for my latest article) and I am in fact a proffesional trader dedicated entirely to this field. I do not intend to discourage you or undermine your efforts in anyway but I would like you to reconsider your strategy so that you can develop it in a way in which it becomes long term profitable, otherwise you definitely run the risk of getting into trading a strategy which only shows short term profitability and account wipes in the longer run.
I encourage you to run long term simulations of any mechanical systems you develop so that you can find out if there is indeed substantial value within them. I hope that this contribution is appreciated as the constructive criticism I intend it to be
Best regards,
Daniel
My name is Daniel Fernandez, I joined ForexFactory a long time ago but I didn't seem to find the time to contribute, now I wanted to start contributing and this thread seemed like a good place to start. I saw your effort and I liked the clearness and simpleness of the method outlined so I coded your strategy and ran simulations around it for the past 10 years of data on the EUR/USD.
Sadly the results of the original strategy (implemented exactly as mentioned on the first post) are account wiping in the long term since the strategy enters periods of extensive whipsawing that do not allow it to profit and bring it to substantial losses during most years. The fact that you use the 7 period ATR on the hourly charts also has to do with this fact since the strategy reacts too fast to changes in market volatility so "spikes" or low volume zones within trading days tend to decrease the effectiveness of the strategy's adaptability to overall market volatility.
Even though there are better years for this strategy (like 2009) the results of previous years are extremely bad, especially the years between 2000 and 2005. This is of course when the strategy is executed mechanically according to the rules given on the first post. This points out that the strategy lacks robustness and after medium term profitable periods account losing periods will come that will be of a much greater magnitude.
I have substantial experience in profitable trading system development (I have published at least 6 articles in Currency Trader Magazine during the last year, you can check the August edition for my latest article) and I am in fact a proffesional trader dedicated entirely to this field. I do not intend to discourage you or undermine your efforts in anyway but I would like you to reconsider your strategy so that you can develop it in a way in which it becomes long term profitable, otherwise you definitely run the risk of getting into trading a strategy which only shows short term profitability and account wipes in the longer run.
I encourage you to run long term simulations of any mechanical systems you develop so that you can find out if there is indeed substantial value within them. I hope that this contribution is appreciated as the constructive criticism I intend it to be
Best regards,
Daniel
- | Commercial User | Joined Dec 2009 | 32 Posts
Well, i understand your points and efforts to make it more robust, but in my opinion no system,(at least of what i have exposed so far) is too consistent in mechanical aspects, it all depends on position sizing and scaling techniques too, for eg: In this Trend Manager Trading System, have you considered scaling out of position size when ATR is in falling mode? and Scaling in when ATR in rising mode? that definitely makes a lots of difference when consider testing with such aspects
Thank you for your reply
I understand what you are saying but the fact is that your entries in themselves do not contain any long term statistical edge. That is, the probability of price moving in the direction in which you want it to is slightly worse than the probability of it moving in the other direction across 10 years of analysis. In the end this system lacks a proper edge regardless of its money management aspects. I have analyzed your entries over a 10 year period against the 7 period ATR and the maximum movement in favor and against you within the next 20 periods after the trade. You will see that the average net movement within that ten year period is unfavorable. That is, the logic proposed has a negative mathematical expectancy over its entries and therefore it does not have any possibility to survive to long term testing (as my tests with your basic logic showed).
Don't get me wrong, I don't want to discourage you in anyway, it just seems to me that you could change the logic and accurately evaluate your strategy to make it much better and in fact successful in the longer term. I hate to see how smart people waste their time against systems that don't have the potential to succeed. If you consider I am wrong it would be great if you could provide some evidence or evaluation of long term performance so that I could reevaluate what I have done up until now
My advice is to start from the beginning, come up with a logic which has a positive edge to begin with and then add exit and money management aspects to increase its profitability to the point where you are satisfied with the obtained results.
Thank you very much for listening
Daniel