Disliked{quote} Yep, but some of them are over 1 month old.... You know as ancient saying goes: {image} You gotta catch them all, these trends.Ignored
Kacccccchiiiiing.
2
Diversified Trend Trading Approach
- #3,582
- May 15, 2018 10:33am May 15, 2018 10:33am
- | Commercial User | Joined Apr 2013 | 4,366 Posts
GBPUSD From 1 Jan 2018 to 4 May 2018 and the simulation ended with more to come.
Profit Factor 3.72 LOL :-)
Profit Factor 3.72 LOL :-)
- #3,583
- Edited 3:14pm May 15, 2018 1:31pm | Edited 3:14pm
- Joined Oct 2009 | Status: Exploiting psychology of the crowds | 1,426 Posts
GBPUSD From 1 Jan 2018 to 4 May 2018 and the simulation ended with more to come. {image} {image} Profit Factor 3.72 LOL :-) {image}
I start to backtest too
If you want to have actual ATR value from the past, you can use attached indi.
ATR daily values on NZD JPY changed from 110 pips to 55 pips in matter of 2 months.
Open daily chart too and put it there. Must have enough days in the chart to calculate i.e. 15 days.
Looks like this:
If attached doesn't work, you have to download it through Market tab in your MT4 - name ATR Values
Isn't Kaufmann genius?
Now we have to optimize ATR value for position sizing. Maybe whole daily ATR is too much?
From what I saw on NZDJPY, price retreated right after opening position mostly 40% of daily ATR.... Work in progress
I am entering as pending order below last candle after the cross, some whipsaws are avoided this way.
Like here at the right edge of price:
Inserted Video
Inserted Video
Inserted Video
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
- #3,584
- May 15, 2018 2:36pm May 15, 2018 2:36pm
{quote} Mate with Instant KARMA on all the time we are going to get anything that moves an inch. I am getting some eye bulging metrics at the moment. Whipsaws are eaten by the momentum and it is across all the instruments I have randomly selected so far. :-) Kacccccchiiiiing.
As far as I am concerned, I was never fond of being continuously in the market, by reversing any given position.
Since you like the "Kacccchiiiig" sound, please test this combo as well.
Two TFs H1 and M30.
Apply KAMA indicators to both of them.
Entry when both TFs agree
Close position according to M30
tk
Enter Signature
- #3,585
- Edited 4:38pm May 15, 2018 3:43pm | Edited 4:38pm
- Joined Oct 2009 | Status: Exploiting psychology of the crowds | 1,426 Posts
30m testing but seen on 1h time frame. Less whipsaws, but with worse exits and entries.
If you are worried about SWAP, I think length of trades is similar to 30m, but much less losses.
Another idea:
1. Entry according to M30
2. Exit according to H1.
Completely unnecessary chop done on M30 seen from H1:
If you are worried about SWAP, I think length of trades is similar to 30m, but much less losses.
Another idea:
1. Entry according to M30
2. Exit according to H1.
Completely unnecessary chop done on M30 seen from H1:
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
- #3,586
- Edited 5:36pm May 15, 2018 5:23pm | Edited 5:36pm
- Joined Oct 2009 | Status: Exploiting psychology of the crowds | 1,426 Posts
1 year of Karma of NZDJPY from 1 Sep 2011 to 1 Sep 2012
Using Dukascopy, so spread is included.
Position: 1 daily ATR
1% of account (compounding)
M30 TF
Result: +35%
My reaction:
Using Dukascopy, so spread is included.
Position: 1 daily ATR
1% of account (compounding)
M30 TF
Result: +35%
My reaction:
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
- #3,588
- May 15, 2018 6:14pm May 15, 2018 6:14pm
- Joined Oct 2009 | Status: Exploiting psychology of the crowds | 1,426 Posts
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
- #3,590
- May 15, 2018 6:45pm May 15, 2018 6:45pm
- | Commercial User | Joined Apr 2013 | 4,366 Posts
{quote} Dear C As far as I am concerned, I was never fond of being continuously in the market, by reversing any given position. Since you like the "Kacccchiiiig" sound, please test this combo as well. Two TFs H1 and M30. Apply KAMA indicators to both of them. Entry when both TFs agree Close position according to M30 tk
Sounds logical.
The intent for the first stage of the EA is to test continuous trading but there will be lots of variations we will build in relating to selective trading. It looks promising and perhaps there are many types of variants we can isolate that have their unique return distributions that together will smooth the portfolio curve.
Our first efforts need to be placed on breaking the strategy. Finding the weak spots and in what conditions they occurred. Sideways ranging whipsaws are not as devastating as other forms of crossover such as the moving average cross as the indicator only moves on a signal as opposed to what it defines as noise. There is a bit going on with this indicator and it has a lookback to assist in discriminating between what it terms signal versus noise yet also make it quite adaptive.
More here
Great to see you crunching this T. Keep me posted with any observations. C
- #3,591
- May 15, 2018 6:50pm May 15, 2018 6:50pm
- Joined Oct 2009 | Status: Exploiting psychology of the crowds | 1,426 Posts
{quote} H1 test of same period is coming up.
All is the same as in 30M test, except this:
1. Position is 0.75 ATR daily. About 5 full SL hit during year.
2. Time frame is 1h
+50% profit in a year.... so we put portfolio of 20 uncorrelated markets and we get conservatively calculating up to 1000% yearly?
My reaction:
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
- #3,593
- May 15, 2018 6:54pm May 15, 2018 6:54pm
- | Commercial User | Joined Apr 2013 | 4,366 Posts
{quote} So here it is. All is the same as in 30M test, except this: 1. Position is 0.75 ATR daily. About 5 full SL hit during year. 2. Time frame is 1h {image} {image} {image} My reaction: {image}
Double kaboom. I dare you to touch my head!!!!!
- #3,594
- May 15, 2018 7:02pm May 15, 2018 7:02pm
- Joined Oct 2009 | Status: Exploiting psychology of the crowds | 1,426 Posts
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
- #3,595
- Edited 7:55pm May 15, 2018 7:21pm | Edited 7:55pm
- | Commercial User | Joined Apr 2013 | 4,366 Posts
{quote} And the MAR ratio? Do I calculate it correctly? 50.2%/7.31% = 6.83
Under such a high MAR....there is lots of room to dilute and still get wicked returns which may be necessary under a *no stops* regime in a portfolio context. I am testing on 0.5% position sizing. Are you on 1%?
Pretty astounding. It is the fidelity of the indicators movement that freaks me out and what it discriminates between noise and signal :-)
- #3,596
- May 15, 2018 7:37pm May 15, 2018 7:37pm
- Joined Oct 2009 | Status: Exploiting psychology of the crowds | 1,426 Posts
{quote} Yep mate. That's it. A years worth of % returns/Max Draw = MAR or if a longer time series CAGR/Max Draw Under such a high MAR....there is lots of room to dilute and still get wicked returns which will may necessary under a *no stops* regime in a portfolio context. I am testing on 0.5% position sizing. Are you on 1%? Pretty astounding. It is the fidelity of the indicators movement that freaks me out and what it discriminates between noise and signal :-) {image}
Entry on gold vs breakout.
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
- #3,599
- May 15, 2018 8:13pm May 15, 2018 8:13pm
- | Commercial User | Joined Apr 2013 | 4,366 Posts
Testing DAX now.
Just into it and kaboooom....16 x R !!!! It gives you so much more of the meat of the move with compressed position sizing. This smells a lot like DIBS and Millipede.
Just into it and kaboooom....16 x R !!!! It gives you so much more of the meat of the move with compressed position sizing. This smells a lot like DIBS and Millipede.
- #3,600
- Edited 9:02pm May 15, 2018 8:49pm | Edited 9:02pm
- | Commercial User | Joined Apr 2013 | 4,366 Posts
DAX completed 1 Jan 2018 top 5 May 2018
Here is how it ended up.....and still has future long potential.
Here are the metrics using approx 0.5 x ATR for position sizing and 0.5% trade risk or in this case a fixed $500 amount.
Key Point: The avoidance of stops is a key factor of success for this continuously *on* strategy. Defensive stops by their nature introduce adverse drawdowns into the strategy. There is no way around this as your worst temporary adverse excursion will inevitably trigger your stops. With no stops....the result of whipsaws is effectively a random result that could be profitable or unprofitable. Using hard stops...whipsaws are your worst enemy. Under a portfolio...performance exits are usually favored to hard stops.
As a single strategy unfortunately stops cannot be avoided for survival long term but as a portfolio play they can..... provided that the trade risk % is sufficiently small and you use performance based exits that are non-lagging in nature. For example a 0.5% trade risk would allow you to get through the famous Swissy event with a max 2% loss. Most portfolio managers in the professional space do not use stops in their portfolios as the whole purpose of the portfolio itself is to manage risk through playing dozens of low correlated return streams.
Here is how it ended up.....and still has future long potential.
Here are the metrics using approx 0.5 x ATR for position sizing and 0.5% trade risk or in this case a fixed $500 amount.
Key Point: The avoidance of stops is a key factor of success for this continuously *on* strategy. Defensive stops by their nature introduce adverse drawdowns into the strategy. There is no way around this as your worst temporary adverse excursion will inevitably trigger your stops. With no stops....the result of whipsaws is effectively a random result that could be profitable or unprofitable. Using hard stops...whipsaws are your worst enemy. Under a portfolio...performance exits are usually favored to hard stops.
As a single strategy unfortunately stops cannot be avoided for survival long term but as a portfolio play they can..... provided that the trade risk % is sufficiently small and you use performance based exits that are non-lagging in nature. For example a 0.5% trade risk would allow you to get through the famous Swissy event with a max 2% loss. Most portfolio managers in the professional space do not use stops in their portfolios as the whole purpose of the portfolio itself is to manage risk through playing dozens of low correlated return streams.