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Would this work?

  • #41
  • Jul 17, 2006 1:27pm Jul 17, 2006 1:27pm
As explained previously, the following is the backtest where we only sell when the unrealized profit for the day is positive. Once it becomes negative it stays negative until it can return to a positive state.

-------------------------------------
- 2001 Results
-------------------------------------
Open (01/02/2001) 100000 lots of GBPUSD @ 1.5019 - 159959 lots of USDCHF @ 1.5996
Close (01/02/2001) 100000 lots of GBPUSD @ 1.5020 - 159959 lots of USDCHF @ 1.6286
Profit = $2858.35
---
Open (01/03/2001) 100000 lots of GBPUSD @ 1.5021 - 159959 lots of USDCHF @ 1.5996
Close (01/03/2001) 100000 lots of GBPUSD @ 1.4885 - 159959 lots of USDCHF @ 1.6286
Profit = $1488.35
---
Open (01/04/2001) 100000 lots of GBPUSD @ 1.4885 - 162860 lots of USDCHF @ 1.6286
Close (02/13/2001) 100000 lots of GBPUSD @ 1.4523 - 162860 lots of USDCHF @ 1.6709
Profit = $502.91
---
Open (02/14/2001) 100000 lots of GBPUSD @ 1.4523 - 167100 lots of USDCHF @ 1.6710
Close (02/14/2001) 100000 lots of GBPUSD @ 1.4573 - 167100 lots of USDCHF @ 1.6699
Profit = $389.92
---
Open (02/15/2001) 100000 lots of GBPUSD @ 1.4573 - 166989 lots of USDCHF @ 1.6699
Close (02/15/2001) 100000 lots of GBPUSD @ 1.4514 - 166989 lots of USDCHF @ 1.6890
Profit = $1298.41
---
Open (02/16/2001) 100000 lots of GBPUSD @ 1.4514 - 168900 lots of USDCHF @ 1.6890
Close (03/15/2001) 100000 lots of GBPUSD @ 1.4363 - 168900 lots of USDCHF @ 1.7130
Profit = $856.38
---
Open (03/16/2001) 100000 lots of GBPUSD @ 1.4363 - 171300 lots of USDCHF @ 1.7130
Close (03/26/2001) 100000 lots of GBPUSD @ 1.4347 - 171300 lots of USDCHF @ 1.7155
Profit = $89.63
---
Open (03/27/2001) 100000 lots of GBPUSD @ 1.4346 - 171549 lots of USDCHF @ 1.7155
Close (03/27/2001) 100000 lots of GBPUSD @ 1.4346 - 171549 lots of USDCHF @ 1.7165
Profit = $99.95
---
Open (03/28/2001) 100000 lots of GBPUSD @ 1.4347 - 171549 lots of USDCHF @ 1.7155
Close (03/28/2001) 100000 lots of GBPUSD @ 1.4365 - 171549 lots of USDCHF @ 1.7165
Profit = $279.94
---
Open (03/29/2001) 100000 lots of GBPUSD @ 1.4366 - 172640 lots of USDCHF @ 1.7264
Close (04/30/2001) 100000 lots of GBPUSD @ 1.4306 - 172640 lots of USDCHF @ 1.7342
Profit = $176.50
---
Open (05/01/2001) 100000 lots of GBPUSD @ 1.4307 - 173420 lots of USDCHF @ 1.7342
Close (05/04/2001) 100000 lots of GBPUSD @ 1.4391 - 173420 lots of USDCHF @ 1.7286
Profit = $278.20
---
Open (05/06/2001) 100000 lots of GBPUSD @ 1.4374 - 173259 lots of USDCHF @ 1.7326
Close (05/08/2001) 100000 lots of GBPUSD @ 1.4274 - 173259 lots of USDCHF @ 1.7431
Profit = $43.68
---
Open (05/09/2001) 100000 lots of GBPUSD @ 1.4274 - 174310 lots of USDCHF @ 1.7431
Close (05/15/2001) 100000 lots of GBPUSD @ 1.4216 - 174310 lots of USDCHF @ 1.7515
Profit = $255.97
---
Open (05/16/2001) 100000 lots of GBPUSD @ 1.4216 - 174860 lots of USDCHF @ 1.7486
Close (05/18/2001) 100000 lots of GBPUSD @ 1.4380 - 174860 lots of USDCHF @ 1.7434
Profit = $1118.44
---
Open (05/20/2001) 100000 lots of GBPUSD @ 1.4389 - 173769 lots of USDCHF @ 1.7377
Close (05/20/2001) 100000 lots of GBPUSD @ 1.4403 - 173769 lots of USDCHF @ 1.7434
Profit = $708.13
---
Open (05/21/2001) 100000 lots of GBPUSD @ 1.4402 - 174090 lots of USDCHF @ 1.7409
Close (05/21/2001) 100000 lots of GBPUSD @ 1.4389 - 174090 lots of USDCHF @ 1.7518
Profit = $953.21
---
Open (05/22/2001) 100000 lots of GBPUSD @ 1.4389 - 175179 lots of USDCHF @ 1.7518
Close (05/22/2001) 100000 lots of GBPUSD @ 1.4274 - 175179 lots of USDCHF @ 1.7661
Profit = $268.42
---
Open (05/23/2001) 100000 lots of GBPUSD @ 1.4274 - 176600 lots of USDCHF @ 1.7660
Close (05/23/2001) 100000 lots of GBPUSD @ 1.4154 - 176600 lots of USDCHF @ 1.7806
Profit = $248.02
---
Open (05/24/2001) 100000 lots of GBPUSD @ 1.4154 - 178050 lots of USDCHF @ 1.7805
Close (05/25/2001) 100000 lots of GBPUSD @ 1.4213 - 178050 lots of USDCHF @ 1.7749
Profit = $28.23
---
Open (05/27/2001) 100000 lots of GBPUSD @ 1.4219 - 177610 lots of USDCHF @ 1.7761
Close (05/29/2001) 100000 lots of GBPUSD @ 1.4231 - 177610 lots of USDCHF @ 1.7795
Profit = $459.34
---
Open (05/30/2001) 100000 lots of GBPUSD @ 1.4231 - 177929 lots of USDCHF @ 1.7793
Close (05/30/2001) 100000 lots of GBPUSD @ 1.4257 - 177929 lots of USDCHF @ 1.7799
Profit = $319.97
---
Open (05/31/2001) 100000 lots of GBPUSD @ 1.4257 - 177989 lots of USDCHF @ 1.7799
Close (05/31/2001) 100000 lots of GBPUSD @ 1.4182 - 177989 lots of USDCHF @ 1.7951
Profit = $757.13
---
Open (06/01/2001) 100000 lots of GBPUSD @ 1.4182 - 179509 lots of USDCHF @ 1.7951
Close (06/01/2001) 100000 lots of GBPUSD @ 1.4205 - 179509 lots of USDCHF @ 1.7932
Profit = $39.81
---
Open (06/03/2001) 100000 lots of GBPUSD @ 1.4185 - 179509 lots of USDCHF @ 1.7951
Close (07/05/2001) 100000 lots of GBPUSD @ 1.4007 - 179509 lots of USDCHF @ 1.8186
Profit = $539.63
---
Open Trade (07/06/2001) 100000 lots of GBPUSD @ 1.4007 - 181860 lots of USDCHF @ 1.8186
Price if closed (12/28/2001) 100000 lots of GBPUSD @ 1.4501 - 181860 lots of USDCHF @ 1.6742
Unrealized Profit = $-10745.45
---
-------------------------------------
Max Drawdown = -21755.70
Profit = 14058.51
Unrealized Profit = -10745.45
Balance = 3313.05
  • #42
  • Jul 17, 2006 1:28pm Jul 17, 2006 1:28pm
As explained previously, the following is the backtest where we only sell when the unrealized profit for the day is positive. Once it becomes negative it stays negative until it can return to a positive state.

-------------------------------------
- 2002 Results
-------------------------------------
Open (01/01/2002) 100000 lots of GBPUSD @ 1.4527 - 165980 lots of USDCHF @ 1.6598
Close (01/29/2002) 100000 lots of GBPUSD @ 1.4142 - 165980 lots of USDCHF @ 1.7048
Profit = $531.21
---
Open (01/30/2002) 100000 lots of GBPUSD @ 1.4143 - 169679 lots of USDCHF @ 1.6968
Close (01/30/2002) 100000 lots of GBPUSD @ 1.4140 - 169679 lots of USDCHF @ 1.7072
Profit = $1003.67
---
Open (01/31/2002) 100000 lots of GBPUSD @ 1.4140 - 169679 lots of USDCHF @ 1.6968
Close (01/31/2002) 100000 lots of GBPUSD @ 1.4111 - 169679 lots of USDCHF @ 1.7072
Profit = $743.66
---
Open (02/01/2002) 100000 lots of GBPUSD @ 1.4110 - 171739 lots of USDCHF @ 1.7174
Close (02/01/2002) 100000 lots of GBPUSD @ 1.4166 - 171739 lots of USDCHF @ 1.7155
Profit = $369.79
---
Open (02/03/2002) 100000 lots of GBPUSD @ 1.4141 - 171739 lots of USDCHF @ 1.7174
Close (02/03/2002) 100000 lots of GBPUSD @ 1.4162 - 171739 lots of USDCHF @ 1.7155
Profit = $19.79
---
Open (02/04/2002) 100000 lots of GBPUSD @ 1.4161 - 171340 lots of USDCHF @ 1.7134
Close (02/13/2002) 100000 lots of GBPUSD @ 1.4291 - 171340 lots of USDCHF @ 1.7008
Profit = $30.66
---
Open (02/14/2002) 100000 lots of GBPUSD @ 1.4291 - 168750 lots of USDCHF @ 1.6875
Close (02/14/2002) 100000 lots of GBPUSD @ 1.4288 - 168750 lots of USDCHF @ 1.7008
Profit = $1289.59
---
Open (02/15/2002) 100000 lots of GBPUSD @ 1.4287 - 169749 lots of USDCHF @ 1.6975
Close (02/15/2002) 100000 lots of GBPUSD @ 1.4318 - 169749 lots of USDCHF @ 1.6967
Profit = $229.97
---
Open (02/17/2002) 100000 lots of GBPUSD @ 1.4315 - 169749 lots of USDCHF @ 1.6975
Close (02/22/2002) 100000 lots of GBPUSD @ 1.4322 - 169749 lots of USDCHF @ 1.6998
Profit = $299.69
---
Open Trade (02/24/2002) 100000 lots of GBPUSD @ 1.4314 - 169959 lots of USDCHF @ 1.6996
Price if closed (12/31/2002) 100000 lots of GBPUSD @ 1.6111 - 169959 lots of USDCHF @ 1.3813
Unrealized Profit = $-21194.52
---
-------------------------------------
Max Drawdown = -21194.52
Profit = 4518.03
Unrealized Profit = -21194.52
Balance = -16676.49
  • #43
  • Jul 17, 2006 1:28pm Jul 17, 2006 1:28pm
As explained previously, the following is the backtest where we only sell when the unrealized profit for the day is positive. Once it becomes negative it stays negative until it can return to a positive state.

-------------------------------------
- 2003 Results
-------------------------------------
Open (01/01/2003) 100000 lots of GBPUSD @ 1.6105 - 138489 lots of USDCHF @ 1.3849
Close (01/03/2003) 100000 lots of GBPUSD @ 1.6087 - 138489 lots of USDCHF @ 1.4018
Profit = $1489.63
---
Open (01/05/2003) 100000 lots of GBPUSD @ 1.6085 - 140190 lots of USDCHF @ 1.4019
Close (01/08/2003) 100000 lots of GBPUSD @ 1.6139 - 140190 lots of USDCHF @ 1.3985
Profit = $199.16
---
Open (01/09/2003) 100000 lots of GBPUSD @ 1.6138 - 138520 lots of USDCHF @ 1.3852
Close (01/29/2003) 100000 lots of GBPUSD @ 1.6458 - 138520 lots of USDCHF @ 1.3570
Profit = $321.39
---
Open (01/30/2003) 100000 lots of GBPUSD @ 1.6457 - 135710 lots of USDCHF @ 1.3571
Close (01/30/2003) 100000 lots of GBPUSD @ 1.6536 - 135710 lots of USDCHF @ 1.3560
Profit = $679.90
---
Open (01/31/2003) 100000 lots of GBPUSD @ 1.6535 - 135599 lots of USDCHF @ 1.3560
Close (01/31/2003) 100000 lots of GBPUSD @ 1.6467 - 135599 lots of USDCHF @ 1.3637
Profit = $85.66
---
Open (02/02/2003) 100000 lots of GBPUSD @ 1.6475 - 135599 lots of USDCHF @ 1.3560
Close (02/02/2003) 100000 lots of GBPUSD @ 1.6452 - 135599 lots of USDCHF @ 1.3637
Profit = $535.65
---
Open (02/03/2003) 100000 lots of GBPUSD @ 1.6451 - 136769 lots of USDCHF @ 1.3677
Close (07/01/2003) 100000 lots of GBPUSD @ 1.6629 - 136769 lots of USDCHF @ 1.3531
Profit = $304.25
---
Open (07/02/2003) 100000 lots of GBPUSD @ 1.6629 - 135309 lots of USDCHF @ 1.3531
Close (09/29/2003) 100000 lots of GBPUSD @ 1.6692 - 135309 lots of USDCHF @ 1.3474
Profit = $57.59
---
Open (09/30/2003) 100000 lots of GBPUSD @ 1.6691 - 132430 lots of USDCHF @ 1.3243
Close (10/05/2003) 100000 lots of GBPUSD @ 1.6602 - 132430 lots of USDCHF @ 1.3360
Profit = $269.74
---
Open (10/06/2003) 100000 lots of GBPUSD @ 1.6601 - 133630 lots of USDCHF @ 1.3363
Close (10/15/2003) 100000 lots of GBPUSD @ 1.6696 - 133630 lots of USDCHF @ 1.3285
Profit = $165.42
---
Open (10/16/2003) 100000 lots of GBPUSD @ 1.6695 - 132840 lots of USDCHF @ 1.3284
Close (10/16/2003) 100000 lots of GBPUSD @ 1.6750 - 132840 lots of USDCHF @ 1.3333
Profit = $1038.19
---
Open (10/17/2003) 100000 lots of GBPUSD @ 1.6751 - 133340 lots of USDCHF @ 1.3334
Close (10/21/2003) 100000 lots of GBPUSD @ 1.6752 - 133340 lots of USDCHF @ 1.3341
Profit = $79.96
---
Open (10/22/2003) 100000 lots of GBPUSD @ 1.6752 - 133420 lots of USDCHF @ 1.3342
Close (10/22/2003) 100000 lots of GBPUSD @ 1.6950 - 133420 lots of USDCHF @ 1.3297
Profit = $1528.48
---
Open (10/23/2003) 100000 lots of GBPUSD @ 1.6949 - 132969 lots of USDCHF @ 1.3297
Close (10/28/2003) 100000 lots of GBPUSD @ 1.7009 - 132969 lots of USDCHF @ 1.3275
Profit = $379.63
---
Open (10/29/2003) 100000 lots of GBPUSD @ 1.7010 - 132739 lots of USDCHF @ 1.3274
Close (10/29/2003) 100000 lots of GBPUSD @ 1.7001 - 132739 lots of USDCHF @ 1.3289
Profit = $59.83
---
Open (10/30/2003) 100000 lots of GBPUSD @ 1.7002 - 132899 lots of USDCHF @ 1.3290
Close (10/30/2003) 100000 lots of GBPUSD @ 1.6954 - 132899 lots of USDCHF @ 1.3339
Profit = $8.20
---
Open (10/31/2003) 100000 lots of GBPUSD @ 1.6953 - 133379 lots of USDCHF @ 1.3338
Close (10/31/2003) 100000 lots of GBPUSD @ 1.6940 - 133379 lots of USDCHF @ 1.3403
Profit = $516.85
---
Open (11/02/2003) 100000 lots of GBPUSD @ 1.6954 - 133379 lots of USDCHF @ 1.3338
Close (11/02/2003) 100000 lots of GBPUSD @ 1.6949 - 133379 lots of USDCHF @ 1.3403
Profit = $596.85
---
Open (11/03/2003) 100000 lots of GBPUSD @ 1.6950 - 134029 lots of USDCHF @ 1.3403
Close (11/04/2003) 100000 lots of GBPUSD @ 1.6858 - 134029 lots of USDCHF @ 1.3630
Profit = $1312.18
---
Open Trade (11/05/2003) 100000 lots of GBPUSD @ 1.6859 - 136290 lots of USDCHF @ 1.3629
Price if closed (12/31/2003) 100000 lots of GBPUSD @ 1.7845 - 136290 lots of USDCHF @ 1.2391
Unrealized Profit = $-3756.90
---
-------------------------------------
Max Drawdown = -10465.32
Profit = 9628.56
Unrealized Profit = -3756.90
Balance = 5871.66
  • #44
  • Jul 17, 2006 1:30pm Jul 17, 2006 1:30pm
As explained previously, the following is the backtest where we only sell when the unrealized profit for the day is positive. Once it becomes negative it stays negative until it can return to a positive state.

-------------------------------------
- 2004 Results
-------------------------------------
Open (01/01/2004) 100000 lots of GBPUSD @ 1.7838 - 124199 lots of USDCHF @ 1.2420
Close (01/02/2004) 100000 lots of GBPUSD @ 1.7929 - 124199 lots of USDCHF @ 1.2379
Profit = $498.64
---
Open (01/04/2004) 100000 lots of GBPUSD @ 1.7932 - 124199 lots of USDCHF @ 1.2420
Close (01/05/2004) 100000 lots of GBPUSD @ 1.8102 - 124199 lots of USDCHF @ 1.2316
Profit = $651.23
---
Open (01/06/2004) 100000 lots of GBPUSD @ 1.8103 - 123150 lots of USDCHF @ 1.2315
Close (01/06/2004) 100000 lots of GBPUSD @ 1.8197 - 123150 lots of USDCHF @ 1.2334
Profit = $1129.70
---
Open (01/07/2004) 100000 lots of GBPUSD @ 1.8197 - 123339 lots of USDCHF @ 1.2334
Close (01/07/2004) 100000 lots of GBPUSD @ 1.8155 - 123339 lots of USDCHF @ 1.2457
Profit = $797.85
---
Open (01/08/2004) 100000 lots of GBPUSD @ 1.8156 - 124580 lots of USDCHF @ 1.2458
Close (01/09/2004) 100000 lots of GBPUSD @ 1.8484 - 124580 lots of USDCHF @ 1.2198
Profit = $624.57
---
Open (01/11/2004) 100000 lots of GBPUSD @ 1.8471 - 123059 lots of USDCHF @ 1.2306
Close (01/27/2004) 100000 lots of GBPUSD @ 1.8266 - 123059 lots of USDCHF @ 1.2558
Profit = $419.41
---
Open (01/28/2004) 100000 lots of GBPUSD @ 1.8266 - 124290 lots of USDCHF @ 1.2429
Close (01/28/2004) 100000 lots of GBPUSD @ 1.8161 - 124290 lots of USDCHF @ 1.2563
Profit = $275.71
---
Open (01/29/2004) 100000 lots of GBPUSD @ 1.8160 - 125639 lots of USDCHF @ 1.2564
Close (01/29/2004) 100000 lots of GBPUSD @ 1.8143 - 125639 lots of USDCHF @ 1.2599
Profit = $179.02
---
Open (01/30/2004) 100000 lots of GBPUSD @ 1.8142 - 125979 lots of USDCHF @ 1.2598
Close (01/30/2004) 100000 lots of GBPUSD @ 1.8250 - 125979 lots of USDCHF @ 1.2570
Profit = $799.38
---
Open (02/01/2004) 100000 lots of GBPUSD @ 1.8241 - 125979 lots of USDCHF @ 1.2598
Close (02/03/2004) 100000 lots of GBPUSD @ 1.8381 - 125979 lots of USDCHF @ 1.2492
Profit = $331.01
---
Open (02/04/2004) 100000 lots of GBPUSD @ 1.8381 - 124909 lots of USDCHF @ 1.2491
Close (02/08/2004) 100000 lots of GBPUSD @ 1.8536 - 124909 lots of USDCHF @ 1.2339
Profit = $11.29
---
Open (02/09/2004) 100000 lots of GBPUSD @ 1.8535 - 123150 lots of USDCHF @ 1.2315
Close (02/09/2004) 100000 lots of GBPUSD @ 1.8644 - 123150 lots of USDCHF @ 1.2312
Profit = $1059.99
---
Open (02/10/2004) 100000 lots of GBPUSD @ 1.8645 - 123119 lots of USDCHF @ 1.2312
Close (02/10/2004) 100000 lots of GBPUSD @ 1.8697 - 123119 lots of USDCHF @ 1.2362
Profit = $1017.96
---
Open (02/11/2004) 100000 lots of GBPUSD @ 1.8696 - 123609 lots of USDCHF @ 1.2361
Close (02/11/2004) 100000 lots of GBPUSD @ 1.8922 - 123609 lots of USDCHF @ 1.2296
Profit = $1606.56
---
Open (02/12/2004) 100000 lots of GBPUSD @ 1.8922 - 122969 lots of USDCHF @ 1.2297
Close (02/12/2004) 100000 lots of GBPUSD @ 1.8938 - 122969 lots of USDCHF @ 1.2293
Profit = $120.00
---
Open (02/13/2004) 100000 lots of GBPUSD @ 1.8938 - 122930 lots of USDCHF @ 1.2293
Close (02/17/2004) 100000 lots of GBPUSD @ 1.9082 - 122930 lots of USDCHF @ 1.2246
Profit = $968.19
---
Open (02/18/2004) 100000 lots of GBPUSD @ 1.9081 - 122459 lots of USDCHF @ 1.2246
Close (02/19/2004) 100000 lots of GBPUSD @ 1.8923 - 122459 lots of USDCHF @ 1.2407
Profit = $9.10
---
Open (02/20/2004) 100000 lots of GBPUSD @ 1.8924 - 124090 lots of USDCHF @ 1.2409
Close (02/25/2004) 100000 lots of GBPUSD @ 1.8745 - 124090 lots of USDCHF @ 1.2596
Profit = $52.24
---
Open (02/26/2004) 100000 lots of GBPUSD @ 1.8745 - 125969 lots of USDCHF @ 1.2597
Close (03/01/2004) 100000 lots of GBPUSD @ 1.8674 - 125969 lots of USDCHF @ 1.2688
Profit = $193.48
---
Open Trade (03/02/2004) 100000 lots of GBPUSD @ 1.8673 - 126880 lots of USDCHF @ 1.2688
Price if closed (12/31/2004) 100000 lots of GBPUSD @ 1.9182 - 126880 lots of USDCHF @ 1.1393
Unrealized Profit = $-9331.98
---
-------------------------------------
Max Drawdown = -12778.99
Profit = 10745.33
Unrealized Profit = -9331.98
Balance = 1413.35
  • #45
  • Jul 17, 2006 1:30pm Jul 17, 2006 1:30pm
As explained previously, the following is the backtest where we only sell when the unrealized profit for the day is positive. Once it becomes negative it stays negative until it can return to a positive state.

-------------------------------------
- 2005 Results
-------------------------------------
Open (01/02/2005) 100000 lots of GBPUSD @ 1.9188 - 115079 lots of USDCHF @ 1.1508
Close (01/28/2005) 100000 lots of GBPUSD @ 1.8879 - 115079 lots of USDCHF @ 1.1854
Profit = $268.98
---
Open (01/30/2005) 100000 lots of GBPUSD @ 1.8850 - 118470 lots of USDCHF @ 1.1847
Close (01/30/2005) 100000 lots of GBPUSD @ 1.8856 - 118470 lots of USDCHF @ 1.1854
Profit = $129.96
---
Open (01/31/2005) 100000 lots of GBPUSD @ 1.8856 - 118850 lots of USDCHF @ 1.1885
Close (02/02/2005) 100000 lots of GBPUSD @ 1.8828 - 118850 lots of USDCHF @ 1.1950
Profit = $366.47
---
Open (02/03/2005) 100000 lots of GBPUSD @ 1.8829 - 119500 lots of USDCHF @ 1.1950
Close (02/03/2005) 100000 lots of GBPUSD @ 1.8817 - 119500 lots of USDCHF @ 1.2023
Profit = $605.56
---
Open (02/04/2005) 100000 lots of GBPUSD @ 1.8817 - 120229 lots of USDCHF @ 1.2023
Close (02/04/2005) 100000 lots of GBPUSD @ 1.8756 - 120229 lots of USDCHF @ 1.2103
Profit = $184.70
---
Open (02/06/2005) 100000 lots of GBPUSD @ 1.8717 - 120229 lots of USDCHF @ 1.2023
Close (02/06/2005) 100000 lots of GBPUSD @ 1.8731 - 120229 lots of USDCHF @ 1.2103
Profit = $934.71
---
Open (02/07/2005) 100000 lots of GBPUSD @ 1.8731 - 121350 lots of USDCHF @ 1.2135
Close (03/04/2005) 100000 lots of GBPUSD @ 1.9233 - 121350 lots of USDCHF @ 1.1689
Profit = $389.82
---
Open Trade (03/06/2005) 100000 lots of GBPUSD @ 1.9228 - 118130 lots of USDCHF @ 1.1813
Price if closed (12/30/2005) 100000 lots of GBPUSD @ 1.7205 - 118130 lots of USDCHF @ 1.3138
Unrealized Profit = $-8316.30
---
-------------------------------------
Max Drawdown = -8743.59
Profit = 2880.20
Unrealized Profit = -8316.30
Balance = -5436.10
  • #46
  • Jul 17, 2006 1:38pm Jul 17, 2006 1:38pm
First, let's clear up a few things...I did NOT add the interest roll-over because the interest for the year would have been static. The interest WILL help offset the losses.

The results turned out mixed. We had profit in 3 of the 5 years back-tested. However the max drawdown most years exceeds $10K and this is trading a single standard lot (100,000K currency).

The next test I will be an hourly test to see if we can't improve the odds. I will make the purchase 2 hours before the roll-over to see if that doesn't help things. Sells will come whenever the profit can be safely taken using the rules. HOPEFULLY it will yield better results.
  • #47
  • Jul 17, 2006 1:48pm Jul 17, 2006 1:48pm
Quoting mrmikal
First, let's clear up a few things...I did NOT add the interest roll-over because the interest for the year would have been static. The interest WILL help offset the losses.

The results turned out mixed. We had profit in 3 of the 5 years back-tested. However the max drawdown most years exceeds $10K and this is trading a single standard lot (100,000K currency).

The next test I will be an hourly test to see if we can't improve the odds. I will make the purchase 2 hours before the roll-over to see if that doesn't help things. Sells will come whenever the profit can be safely taken using the rules. HOPEFULLY it will yield better results.
Where does drawdown come from if you never close a position for a loss? Don't forget that as your account balance grows, you can trade more lots and earn more interest. Remember to take profit when it presents itself, then immediately reopen the position. Unless you are overleveraged, you will not get a margin call. Therefore there is never, ever a reason to close a position for a loss even with negative float. I admire you a great deal mrmikal, your tenacity will be rewarded. I'm still not sure if you can backtest this.
  • #48
  • Jul 17, 2006 1:56pm Jul 17, 2006 1:56pm
Mrmikal, did you ever get a margin call? I'm not sure where the losses come from if you never have to close a postion unless it's for a profit.
  • #49
  • Jul 17, 2006 2:09pm Jul 17, 2006 2:09pm
Quoting SisterCurare
Where does drawdown come from if you never close a position for a loss? Don't forget that as your account balance grows, you can trade more lots and earn more interest. Remember to take profit when it presents itself, then immediately reopen the position. Unless you are overleveraged, you will not get a margin call. Therefore there is never, ever a reason to close a position for a loss even with negative float. I admire you a great deal mrmikal, your tenacity will be rewarded. I'm still not sure if you can backtest this.
Sis,

OK...the perhaps your stuck on the semantics. The drawdown is the maximum UNREALIZED profit/loss.

As far as the numbers go, they are accurate. Although I'll try it again with an IMMEDIATE open of position. It is possible for gaps to happen, but I think the case is rare since the starting time of the buy was at the first available tick of the day (either midnight or 5pm on Sundays).

This has nothing to do with over-leveraging! If you read the example there is no mention of leverage what-so-ever, if you read all the results carefully (did you actually SEE all the trades the system made?? I made them on the previous page of the thread...so perhaps you might want to go back and examine the actual work) you will see that the back-test is only purchasing 100K units of the GBPUSD and the corresponding required units of the USDCHF. Leverage could be 1:1 for all I care. Point is, the unrealized P/L reaches lows > $10,000.

Your absolutely right, you never have to take a loss if you don't want to, but the results are pretty self-explanatory but let me ask you if you would want to carry -$20K or more in unrealized profit losses? that's the point of the back-test. At some point in the test (in 2002), the rates diverged to a point such that you were carrying $20K+ in losses...and while you very well could NOT take a loss, if you had an account of < $20K you would have produced a margin call. So...that basically means that you require an account larger than $20K to prevent yourself from having too much of a drawdown (unrealized profit/loss). The interest you would have gained would be less than $5,000 which wouldn't cover the negative change in equity.

So let me ask you this...why do you have so much faith in this system anyway? Is it so difficult to believe that this system might not have the fantastic return of 75% a year? Why can't this system be back-tested?
  • #50
  • Jul 17, 2006 2:18pm Jul 17, 2006 2:18pm
Quoting SisterCurare
Mrmikal, did you ever get a margin call? I'm not sure where the losses come from if you never have to close a postion unless it's for a profit.
Are you aware of how margin calls actually work in Forex?

If your equity dips blow the margin maintenance, you will get called...so if the margin maintenance on a transaction is $1000 and you have a $20,000 account, if the unrealized loss for your transaction hits $19,000.01 you will receive a margin call. Technically, most times the broker will just liquidate your position at that point.

Trust me, you either need a BIGGER account to house this strategy or you need to take smaller lots (which will subsequently shrink the amount of interest you gain).
  • #51
  • Jul 17, 2006 2:25pm Jul 17, 2006 2:25pm
I saw your work and I applaud the effort, but this is what I see:

Adding in total interest of about $5000, over a four year period, you've made almost $43000 on $100000 with minimal risk? Would you agree?
As I've mentioned before I am presently holding hedged positions at 100:1 and 50:1. Your thorough backtesting showed there were opportunities for profit. Now, if I am able to hold leveraged postions without margin calls, take profit when available, and compound the interest while I increase the number of lots, would not the results be more impressive?

And yes, I know precisely how margin calls work.
  • #52
  • Jul 17, 2006 2:42pm Jul 17, 2006 2:42pm
I just found out no one pays interest at 100:1, I didn't know that. So the experiment with the 100:1 account is over. We'll see what happens at 50:1.
Mrmikal, why did you take profits when you did? Would there have been more opportunities to take less profit and increase overall profit? A question of 2 x 10 = 20 or 8 x 5 = 40.
  • #53
  • Jul 17, 2006 2:44pm Jul 17, 2006 2:44pm
Quoting SisterCurare
Where does drawdown come from if you never close a position for a loss? Don't forget that as your account balance grows, you can trade more lots and earn more interest. Remember to take profit when it presents itself, then immediately reopen the position. Unless you are overleveraged, you will not get a margin call. Therefore there is never, ever a reason to close a position for a loss even with negative float. I admire you a great deal mrmikal, your tenacity will be rewarded. I'm still not sure if you can backtest this.
Sis,

The more I read this statement, the more ridiculous I think it is and I'm beginning to think you're quite mistaken and perhaps are going down the wrong path.

First off, if you aren't aware, when you open a position, your equity is affected because as the rate moves up and down, your unrealized profit/loss changes your equity. It's quite possible that you weren't aware of this. That means that if you $10 in your account, if your unrealized LOSS becomes $10 or more, you will have nothing left in your account, and you will be liquidated. You will have no position to hold. In case you weren't aware by holding both the GBP/USD and the USD/CHF the movements aren't negatively correlated EXACTLY. The prices of both of the rates could fall or rise at the exact same time. Therefore it is possible for the unrealized profit to go into negative numbers.

Secondly, you can only trade more lots based on your equity. IF your equity is affected by your negative unrealized p/l, then you WON'T be able to trade more lots.

Thirdly, and this is the most baffling statement. Why would you take profit the MOMENT that it presents itself and then IMMEDIATELY open another position? That makes absolutely no sense. You'd basically pay the spread to be in a worse position you were a few seconds earlier. No matter how you slice that theory, it's just messed up. For example:

price of GBPUSD is at 1.8300 you decide to sell and take a profit at a 4 pip spread.

Now you have a profit, but you buy again at 1.8304?? You have to hope that the price goes UP again from there in order to make another profit. Why wouldn't you just have held 1.8300 until it reached the higher mark.

I know then you'll probably tell me, "don't take profit until you make 20 pips"...well same thing...price at 1.8300 goes up to 1.8320 you have 20 pips in profit, but you have to immediately open another position @ 1.8324...so you have to hope the price continues to rise...what the hell good is that???

Fourthly, the leverage versus the margin call. What the heck are you talking about? leverage and margin are only related by the margin maintenance. However, you become OVER-leveraged when your EQUITY dips BELOW your combined margin maintenance. sorry to say, but your EQUITY is affected by how well your trades are going. You cannot indefinitely hold a trade if continues to go against you...there is a threshold where you will get a margin call and that is the point where your unrealized p/l causes your equity to dip below your margin maintenance requirement.

Fifthly, never a reason to close a negative floating position? sure there is, when your account is 0...at that point you have no more leverage...you have to give the position up.

Lastly, can't back test this?? why the hell not? I just did on 5 years, mind you. Where's the contrarian proof?
  • #54
  • Jul 17, 2006 2:52pm Jul 17, 2006 2:52pm
Quoting SisterCurare
I saw your work and I applaud the effort, but this is what I see:

Adding in total interest of about $5000, over a four year period, you've made almost $43000 on $100000 with minimal risk? Would you agree?
As I've mentioned before I am presently holding hedged positions at 100:1 and 50:1. Your thorough backtesting showed there were opportunities for profit. Now, if I am able to hold leveraged postions without margin calls, take profit when available, and compound the interest while I increase the number of lots, would not the results be more impressive?

And yes, I know precisely how margin calls work.
OK...where the hell did you get $43000...please show your work. $5000 (which IS NOT the actual interest that you've gained, btw...it's less than that...probably closer to $10 a day).

You REALLY don't get it, do you? You may have collected $43000 in profit + interest...but your unrealized profit puts your equity at $113,485.47 (and that's with the generous interest when it's probably at least $1,000 less).

On an account of $100,000 That's 13% gain in 5 years...annualized gain, that's less than 3% a year...my savings account does better than that.
  • #55
  • Jul 17, 2006 2:55pm Jul 17, 2006 2:55pm
Quoting SisterCurare
I just found out no one pays interest at 100:1, I didn't know that. So the experiment with the 100:1 account is over. We'll see what happens at 50:1.
Mrmikal, why did you take profits when you did? Would there have been more opportunities to take less profit and increase overall profit? A question of 2 x 10 = 20 or 8 x 5 = 40.
Wrong again...FX Sol pays interest at 400:1 if you want.

I took profits at the end of the day (last tick of the day) if there were any profits to be taken and I do mean ANY profits. Like I mentioned in a previous post, you're in trouble if you think you can pick a profit point and then re-enter immediately. You have to have a set time to enter (at least).
  • #56
  • Jul 17, 2006 2:56pm Jul 17, 2006 2:56pm
I believe your backtesting did show it was possible to make a profit. And as far as margin calls go, I've held hedged positions at 100:1 and 50:1 since Sunday evening at 9pm and have not gotten a margin call even with todays volatility. If I never get a margin call, and that is a big if, your argument has no merit. If I do get a margin call, the experiment is over, and I am wrong, end of story. Wouldn't be the first time and certainly not the last. But, if i don't receive a margin call and am able to make profit what then. And i'm using 90% of my balance!
  • #57
  • Jul 17, 2006 2:58pm Jul 17, 2006 2:58pm
Quoting mrmikal
Wrong again...FX Sol pays interest at 400:1 if you want.

I took profits at the end of the day (last tick of the day).
Why would you wait until the end of the day if there were opportunities to profit during the day?
  • #58
  • Jul 17, 2006 2:59pm Jul 17, 2006 2:59pm
Quoting SisterCurare
Why would you wait until the end of the day if there were opportunities to profit during the day?
Did you not get my post that I was using DAILY data???? To try to process tick by tick would have been too processor intensive.
  • #59
  • Jul 17, 2006 3:02pm Jul 17, 2006 3:02pm
Quoting SisterCurare
I believe your backtesting did show it was possible to make a profit. And as far as margin calls go, I've held hedged positions at 100:1 and 50:1 since Sunday evening at 9pm and have not gotten a margin call even with todays volatility. If I never get a margin call, and that is a big if, your argument has no merit. If I do get a margin call, the experiment is over, and I am wrong, end of story. Wouldn't be the first time and certainly not the last. But, if i don't receive a margin call and am able to make profit what then. And i'm using 90% of my balance!
OK...how does my argument have no merit just because you don't get a margin call?

Let's put it this way...

If during the experiment you decide to close up shop, how much do you expect to take out of your account??

If you have unrealized P/L you have to PAY that when you liquidate. Furthermore you're going to have to pay taxes on your REALIZED P/L while not being able to count your unrealized P/L as losses.

Yes, you can make a profit using this system, as it has shown. It's just less than what I'll be making in my savings account...not exactly comforting.
  • #60
  • Jul 17, 2006 3:05pm Jul 17, 2006 3:05pm
Quoting mrmikal
OK...where the hell did you get $43000...please show your work. $5000 (which IS NOT the actual interest that you've gained, btw...it's less than that...probably closer to $10 a day).

You REALLY don't get it, do you? You may have collected $43000 in profit + interest...but your unrealized profit puts your equity at $113,485.47 (and that's with the generous interest when it's probably at least $1,000 less).

On an account of $100,000 That's 13% gain in 5 years...annualized gain, that's less than 3% a year...my savings account does better than that.
14058.51 at end of year one...
4518.03 at end of yeat two...
9628.56...
10745...

14058.51 + 4518.03 + 9628.56 + 10745.33 = 389504.43.
I mistakenly assumed you meant $5000 dollars per year in interest.
And again your fixation with unrealized profit is misguided if you never have to turn it into a realized loss. Why not wait until you've relealized a profit and then close all postions and liquidate your balance?
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