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Stack MM

  • #161
  • Mar 24, 2019 5:57am Mar 24, 2019 5:57am
Quoting braintheboss
{quote} Its evident 3400p is so much. But first you need do that for be sure how trade your system and can adapt MM for minimize risks. About that kind of trades your are suffering extreme effect. As you told happens when you get a wrong trade at end of trend. And i agree are a nightmare. If you have many of that and made that kind of DD evidently is better change as you did. Anyway even with that problem your report didnt look bad then it should encourage you for continue your research. If a system having that extreme effect is still giving profits,...
Another reason why I change my strategy because all allowed limit open trade has been achieve. I thought without growth my equity by close small pips would be danger my account. It more than nightmare rather than drawdown...

Quote
I told you about exits because I'm not fan about force closes at fixed pips. You always must let run profits like you do with losses ( at least in many systems ). Grid and others can be more flexible about when you close ( forcing smaller profit per trade ) but its always better try improve profit per trade independently system you are using
I already change fixed pips into ADR.
God always good for us...
Just Small Pips Return Today: na
  • #162
  • Mar 24, 2019 6:45am Mar 24, 2019 6:45am
Quoting nangkring
{quote} Another reason why I change my strategy because all allowed limit open trade has been achieve. I thought without growth my equity by close small pips would be danger my account. It more than nightmare rather than drawdown... {quote} I already change fixed pips into ADR.
In last test post I pointed about look is more important constant profit than cut fast DD. Really DD not affect much if your profit/win ratio is good.

Its a interesting behavior because this simply a lot how build strategies. In auto systems is better not apply any limit ( only important rule is one per pair ). Even in pairs to use but this is not mandatory...
Try don't lose pants never...
  • #163
  • Edited 7:43am Mar 24, 2019 6:48am | Edited 7:43am
I have other test analysis to post. This uses normal exit ( not keep trades with big DD ). Even is better in profit now ( only 1 week limit so much stack effect ) it have some surprises. I know for previous tests it will performs lower in long term even it will still good in overall
Try don't lose pants never...
  • #164
  • Mar 24, 2019 11:49am Mar 24, 2019 11:49am
Quoting braintheboss
I have other test analysis to post. This uses normal exit ( not keep trades with big DD ). Even is better in profit now ( only 1 week limit so much stack effect ) it have some surprises. I know for previous tests it will performs lower in long term even it will still good in overall
I am anxious to see the difference. Still contemplating getting rid of my ATR SL.
  • #165
  • Edited 5:12pm Mar 24, 2019 2:33pm | Edited 5:12pm
Now I will show an opposite test. Its same system but allowing normal exits ( not using Stack MM )
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Comparing with previous test ( overloaded Stack MM ), we have a better performance in overall. Win ration is lower but we have a positive avg per trade. Profit factor is quite good thinking our win ratio is not high.

DD is very low too but we have some trades in nasty area ( 2 trades above -200p ). Something not should happens but auto systems have this kind of problems sometimes

In overall performance not show big difference with a Stack MM working with forced bad conditions. Really profit is only double ( taking current equity ) and avg is 4 pips more per trade ( 12 vs 8 ). But now we will see why this good performance without use Stack MM have trap

When you use SL max profit is current ( or lower if you have DD ). But with Stack MM your potential profit ( closed profit ) is different. We will see our "disabled" Stack MM when we remove his DD
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All changes a lot. Avg per trade and profit factor grows exponentially. Even having a big avg loss ( due to a few nasty area trades closed ), his effect in performance is low as numbers shows.

We have think Stack MM effect improve over time. These tests only have 1 week and Stack MM and constant profit effect is still low. For don't miss the perspective we will compare with a long time test in optimal conditions
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Its difficult our test with "SL" can get this kind of performance. Traders must think when you cut bad trades fast you carry some negative effects and it will have big effect in the future. I will show this in next post

For finish we will see how looks performance in chart
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Try don't lose pants never...
  • #166
  • Mar 25, 2019 3:50am Mar 25, 2019 3:50am
Quoting braintheboss
Now I will show an opposite test. Its same system but allowing normal exits ( not using Stack MM ) {image} {image} Comparing with previous test ( overloaded Stack MM ), we have a better performance in overall. Win ration is lower but we have a positive avg per trade. Profit factor is quite good thinking our win ratio is not high. DD is very low too but we have some trades in nasty area ( 2 trades above -200p ). Something not should happens but auto systems have this kind of problems sometimes In overall performance not show big difference with a...
How often should I analyze my trades- daily or once a week? Do you just take screenies or do you dump results int a spreadsheet?
  • #167
  • Mar 25, 2019 3:54am Mar 25, 2019 3:54am
Quoting PipFlak
{quote} How often should I analyze my trades- daily or once a week? Do you just take screenies or do you dump results int a spreadsheet?
Weekly. In my case I use TE trades list + my own report tool in html ( i showed in my other thread ). But its free how you want do it...
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PD: I will post later second part post with 3 trades taken for see how SL affects.
Try don't lose pants never...
  • #168
  • Mar 25, 2019 3:58am Mar 25, 2019 3:58am
Quoting braintheboss
{quote} Weekly. In my case I use TE trades list + my own report tool in html ( i showed in my other thread ). But its free how you want do it... {image} PD: I will post later second part post with 3 trades taken for see how SL affects.
Ok thanks. Nice tool I thought it was some kind of spreadsheet.
If I do 2 weeks with my ATR SL and 2 weeks without a SL will that be enough info? I trying to decide which is a better course to take.
  • #169
  • Mar 25, 2019 4:07am Mar 25, 2019 4:07am
Quoting PipFlak
{quote} Ok thanks. Nice tool I thought it was some kind of spreadsheet. If I do 2 weeks with my ATR SL and 2 weeks without a SL will that be enough info?
Never its enough time from reliability perspective. But using week analysis give you enough wide view about what things are not working. Inside a week you have all kind of market behaviours. Normally are incomplete ( like strong trends ) but effect in your system are enough strong for get an idea.

Then when you finish first week you will be able to work about weak areas in your system...
Try don't lose pants never...
  • #170
  • Mar 25, 2019 5:59am Mar 25, 2019 5:59am
First effect of SL is how trades are closed. Normally are closed as batch. You get a good batch followed by a bad batch. Its same movement that waves and this effect is explained itself due this movement market behaviour.
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This shows why SL is not a good idea or at least is not optimal if you want discard bad trades. Use "short" SL makes fake closes everytime price moves against you in their nature wave movement. Then you are not closing bad trades. You are closing fake bad trades. Because while markets moves in range any trade is "bad" because its normal have an oscillation around trades open.

We will see 2 examples of wrong close
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For avoid some temporal DD we got 2 losses. In my system even this don't happens always and I have close after max DD ( when start a restest of last top/bottom ). And how shows captures the profit miss is big. Then finally we reduced our closed profit, we didn't avoid carry some big DD and we miss a lot of profit.

Other effect of use SL ( normally in auto systems ) is lack of efficency. As entries, we have some bad timing when we have close. In this case this capture is a good example:
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We suffer big DD and even now is slighly bigger looks its going to recover. All this effects showed are common when you force early closes. Really a early good close is rare in overall

This kind of things many times are ignored when people search solutions. People thinks if "I have -30p loss is better than carry -70p DD. I can enter later". The truth is if you use this approach you will need compensate previous loss and you never will be sure new re-entry is safe until movement happens. What will happens if market is in range and you have other new opposite movement in re-entry? Yes, you will have a second loss for cover an old DD you suffered first time making loss + DD bigger than previous trade.

For that Stack MM uses a different approach. Keep trades enough time for have a clear picture about if DD is produced by natural price oscillation or by real opposite movement.

When you are sure a trade is really bad then its the moment to apply Stack MM and convert bad trade just in a small trading issue
Try don't lose pants never...
  • #171
  • Mar 25, 2019 8:20am Mar 25, 2019 8:20am
Pivots ( its Davit base but with my signal rules )

https://www.forexfactory.com/showthr...8#post12152968
Try don't lose pants never...
  • #172
  • Edited 4:59pm Mar 26, 2019 4:45pm | Edited 4:59pm
We finished 2 days of second week and we start to have interesting things in our new tests. Now strongs and weaks are being show.

Forced overloaded stack test dont need much talk. Its falling without signs can recover the situation. Its normal. Stack cycle is not working due we force trades with profit close with big profit ( +40p ). Its hard take this in trades were in big DD then normally system fails to close them, making a new loss cycle and blocking new fresh trades with more chances to make more some profit for compensate stack loses.

No more words about this test
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Next tests have some interesting things. Thread TE clone shows a divergence between DD and profit. It make a new top in profits while DD didn't move from last week close. As I commented some times when stack stabilize, DD moves around a range while profit make growth account without increase the risk. This effect is you can see in both charts in TE. Basically this new week DD effect is zero
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The bad news is last TE ( with normal exits ). DD growth 2 times ( from -100p ). But profit chart shows total decreased. Then profit closes didnt be able to compensate bad trades. As I commented last day when you cut so early bad trades you are closing some will be sure future profit. Loss + miss profit makes a double negative effect.

Other effect is how growth account. While stack was empty account growth fast but when stack was full this growth decreased very fast. We have a big peak but growth base is very linear ( and slow )
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When you merge this with closed profit you get the full view about what is happening. More double profit is the difference. "SL" test shows how early bad closes eats a big part of profit without guarantee closed profitables can cover this lost money.

Not a surprise as I commented last week. This test had better profit but when Stack MM benefits begins, difference start to be huge...
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I will keep this tests this week. After that and final analysis we will be able to sort our nasty area. We will learn base for calculate close edge
Try don't lose pants never...
  • #173
  • Mar 26, 2019 5:29pm Mar 26, 2019 5:29pm
I know some people thinks account without SL and some big DD will blow at the end. Ok, we will have many months for see if this is real but I would like talk about people forget:

Probabilities and Statistics

One big mistake is believe things will happen due to some ambiguous reasons. In Forex we have many of this "facts". In manual trading its normal these "facts" happens due to human effect. Really that human effect is who created that "facts". But never a fact without a scientific and mathematical basis can be taken as absolute truth. And when we talk about persons things are complex because every trader is a different story.

But TE is not a human. Its a software and his facts are math. Then common human facts not work with software.

I know for my own research ( 4 years testing and improving this is much time ) when you remove human factor of trading, probabilities of success growth exponentially. But we need base this in other side:

The Statistics

One day i will talk about this deeper but today I will do a fast explanation. If you have a high win ratio + stable DD + good balance profit/loss its just impossible reverse profit trend. Why?

If you add profit every week but your DD is always same ( inside a range ), your profit will be positive always. And the funny thing is will be net profit. This is easy see it in thread TE:

1) DD is around 2000p last 2 weeks
2) Closed profit was 2500+1500 = 4000p

Then if I have a 4000p net profit and DD can't growth more due Stack clean cycle, how an account will blow? Where are the math showing this possible fail?

Are 2 months enough for get a solid base? Statistically, only a small enough representative sample is needed, to have a sufficient response close to reality. How is taken this information and how is processed is other story.

Then after 380 trades of all kind and 55 days with many market behaviour ( all possibles ) we can have a good sample for get a closer idea how will finish this. Evidently you can support your opinion in feelings but then I wonder why system growth and not fall as human logic says...
Try don't lose pants never...
  • #174
  • Mar 29, 2019 4:26pm Mar 29, 2019 4:26pm
1 week and 1 day of Brain's MM. Everything was great until the Euro took a nosedive.
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  • #175
  • Mar 30, 2019 12:35am Mar 30, 2019 12:35am
Quoting PipFlak
1 week and 1 day of Brain's MM. Everything was great until the Euro took a nosedive. {image}
First weeks are the most critical because mistakes can't be covered fully with profit. But things can change fast. Next week is new month and last trend can change. You will have a fun watching how that DD will develop
Try don't lose pants never...
  • #176
  • Mar 30, 2019 7:54am Mar 30, 2019 7:54am
Last 3 days were very interesting. But before analysis we will do fast review. A special mention about Overloaded Stack test. As i commented to force an unbalanced stack behaviour will make test fails. Is not a surprise if I tell now is happening
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This show effectively how stack cycle is important in have DD under control. But I have do a small clarification about a problem have all tests don't lock bad closes. As I don't have tool for do automatically nasty trades exits ( time, have X times profit since that open, etc ), closes are made by normal exits when loss reach a limit ( -100p ).

Evidently as shows next capture we have closes with only 2 days ( very far of avg bad trade life ) doing fake closes. This trade went in a big profit later then a big part of losses shouldn't happens if you use Stack MM rules. Anyway performance will be worst due forced bad behaviour and give us a clear picture why is important keep trades some time before mark them as bad trades

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Then this test will finish after shows what areas in Stack MM are important for have a stable behaviour and how affects to performance when some of them are removed or capped
Try don't lose pants never...
  • #177
  • Mar 30, 2019 8:08am Mar 30, 2019 8:08am
And this is the interesting part. Before a fast refresh about how were tests at end of Tuesday and at end of week

"SL" ( after 2 days ):
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"SL" ( end of week ):
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Stack MM ( after 2 days ):
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Stack MM ( end of week )
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Front TE info says "SL" test is still a winner. Before post the surprise I will let some time for people give their opinion
Try don't lose pants never...
  • #178
  • Mar 31, 2019 3:27am Mar 31, 2019 3:27am
Brain,

subcribed.

I' m going to study your System.

Best regards,
renko
  • #179
  • Mar 31, 2019 4:06am Mar 31, 2019 4:06am
Quoting renkotop
Brain, subcribed. I' m going to study your System. Best regards, renko
I will be here for help if you have questions. Later I will show how raw numbers lies and how Stack MM give strong reliability to systems analizying this week behavior
Try don't lose pants never...
  • #180
  • Mar 31, 2019 8:53am Mar 31, 2019 8:53am
We start with hidden numbers. As we show "SL" test ( NBC II ) have better absolute profit than Stack MM test ( NBC Juan )
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But some numbers don't fit with this. We have 2 measures for see performance. Profit Factor and Pips per Trade. Both have closer relationship because first shows overall while second shows individual.

Both are lower than "SL". Why are lower if we have higher profit? Answer is DD accumulated in Stack MM. DD mask max performance made by Stack test due to smooth effect I will show later
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Evidently real profit will be one between Equity report and Balance report. As DD lost weight over time then real performance will be closer to max performance. While DD stay in a stable range, all profit taken will be net and will boost all performance fields ( win ratio, pip per trade, profit factor, absolute profit... )

Other way to see this is difference between current and max performance ( Balance vs Equity )

"SL" numbers are closer. Really current performance looks it don't have more room to improve. We see win ratio is not impressive. As I commented is a common system as you can find in FF. It don't have any special for have success

1.34/1.41 - 9.9p/11.9p - 55.9%/55.6%

The other side things are different. The most significative is PF and PT are higher that max performance in "SL" test

1.43/Not data yet - 12.3p/46.0p - 74.3%/100%

It can be a shock how a system carry -1600p it can have better performance. Maybe next post will show the reason of all this weird behaviour
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Try don't lose pants never...
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