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Trading multipair triangles, no stoploss

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  • #41
  • May 28, 2019 2:51am May 28, 2019 2:51am
Thanks. Seeing your balance curve, I'm getting excited in digging deeper into understanding this kind of strategy.

Is it possible to use Google Sheets to do this or do you really need MS Excel?
  • #42
  • May 28, 2019 3:31am May 28, 2019 3:31am
Quoting zotium
Thanks. Seeing your balance curve, I'm getting excited in digging deeper into understanding this kind of strategy. Is it possible to use Google Sheets to do this or do you really need MS Excel?
Google sheets is sufficient if it is about calculation - it can do that.
MS EXCEL however has VBA (Visual Basic for Applications).
I use it to semi-automate my work:

I prepare form -> MSEXCEL makes a table of orders (this can be done by google sheets) -> EXCEL VBA script sends every order to brokers server through http request in REST API format.

Yet I cannot do it, but the same can be done by javascript. Javascript is even better in handling http responses in REST API, but like I said - I cannot do it yet and have insufficient time to work it out.
Also keeping this in excel gives me all of excel functions to calculate and visualize before actually sending the orders.
  • #43
  • May 28, 2019 3:40am May 28, 2019 3:40am
I just thought about these questions:

1. When the smaller sized orders have concluded (taken profit), do you repeat the same order? When and how do you adjust your triangle orders?
2. What do you think is the achilles heel of this strategy? What does the market have to do to make this strategy very unprofitable?
  • #44
  • May 28, 2019 4:13am May 28, 2019 4:13am
Quoting zotium
I just thought about these questions: 1. When the smaller sized orders have concluded (taken profit), do you repeat the same order? When and how do you adjust your triangle orders? 2. What do you think is the achilles heel of this strategy? What does the market have to do to make this strategy very unprofitable?
Those are very good and important questions zotium.

1. In this thread I am focusing on relatively short periods of time. Therefore I don't put new orders to a place of closed ones. When trading longer periods it is better to reuse areas where price was oscillating or making long moves. However if some time has passed, before putting new orders, possible scenarios should be rethinked , and our strategy should be regulated accordingly.

2. If we talk about Achilles heel as a biggest risk of the strategy; This would be too high expectation of interest. Interest comes from exposing to a risk and letting time to bring profit out of it. If we have too high expectations we expose too much to risk:
- trying to use too high leverage we risk, that the most profitable trades will not open due to exceeding leverage. In that case we are exposed to market only at poor prices.
- trying to shorten a time of exposure we can loose a chance of price reversals which is often desired when trading grid-alike strategies.

Later I'll try to make some case study of my biggest mistakes.
  • #45
  • May 28, 2019 9:31am May 28, 2019 9:31am
Quoting marecki
{quote} Later I'll try to make some case study of my biggest mistakes.
That will be a great way to understand the strategy better.
  • #46
  • Edited 10:42am May 29, 2019 10:12am | Edited 10:42am
I have organized a trade explorer.
I closed all positions that I could. I left only sugar and soybeans that couldn't be closed due inactive to market hours.
I decided to leave it, as maybe it is gonna be good example of how to manage losing trades with triangles.
All other pending orders on this account (605) were closed.

Let's start then.
First USDJPY.
Attached Image

Attached Image (click to enlarge)
Click to Enlarge Name: uj29maygraph.png Size: 17 KB


Then EURUSD
Attached Image (click to enlarge)
Click to Enlarge Name: eu29may.png Size: 47 KB
  • #47
  • May 30, 2019 1:48am May 30, 2019 1:48am
Hi marecki,

I couldn't fully understand your system just yet, but maybe after more trades come in in the trade explorer trades list it will be more apparent.

You are taking a lot of trades that gain/lose less than 10 pips. Oanda's spread on USDJPY is around 1 pip. That makes it already 10% of your gains/losses. Do you think your system will be more profitable if you only took trades that gain/lose more than 10pips?
  • #48
  • Edited 3:04am May 30, 2019 2:10am | Edited 3:04am
Quoting marecki
I have organized a trade explorer. I closed all positions that I could. I left only sugar and soybeans that couldn't be closed due inactive to market hours. I decided to leave it, as maybe it is gonna be good example of how to manage losing trades with triangles. All other pending orders on this account (605) were closed. Let's start then. First USDJPY. {image} {image} Then EURUSD {image}
When will you share the Excel sheet?

Your system will surely work if pockets are deepened by using lower entry lots, not necessary by topping up with dollars.

Looks like it is another way of cost averaging in case of positions going out of favour or varying lots on the way to TP.

Still not clear.
Practice makes a person perfect
  • #49
  • May 30, 2019 3:14pm May 30, 2019 3:14pm
Hi simnz

Here is Excel sheet You asked for (yet without macros for sending orders to the server and for closing orders).

https://drive.google.com/file/d/1mDs...ew?usp=sharing
(I cannot attach it directly here because I get error that this is not supported type of file)

This file can be used for checking how we are preparing the sets of orders.
I have tried and opened it through google sheets and I see that is not very compatible so preferable is ms excel.
If there are any problems let me know. This one is saved in quite new version of excel and in a format supporting macros.
  • #50
  • May 30, 2019 8:50pm May 30, 2019 8:50pm
hi marecki,
interesting way of gridding.
100% gain in 8 months is really awesome. however we have to dig deeper to see how high the risk is you`re taking to get that 100%.
in your example of 19 pending orders in G/J, 8 sell orders are above the price of 140.08.
if all of them are executed and no profit is made from these orders, I assume you`re looking at a high DD. any idea how high that will be?
what was your maximum DD during those 8 months?

the position size of the pending orders go from 1 up to 8.
what is the size of the first order (1), so I can calculate the size of the other orders?
thank you for sharing your system......
  • #51
  • Edited 4:22am Jun 1, 2019 3:32am | Edited 4:22am
Quoting yonnie
hi marecki, interesting way of gridding. 100% gain in 8 months is really awesome. however we have to dig deeper to see how high the risk is you`re taking to get that 100%. in your example of 19 pending orders in G/J, 8 sell orders are above the price of 140.08. if all of them are executed and no profit is made from these orders, I assume you`re looking at a high DD. any idea how high that will be? what was your maximum DD during those 8 months? the position size of the pending orders go from 1 up to 8. what is the size of the first order (1), so...
Hi yonnie,
Thank You for Your opinion, nice to hear. You are absolutely right, 100% in 8 months rarely comes without pain or without stress.
Maximum DD (if we talk about consecutive losses) was quite low, maybe around 100$ when account Balance was around 1000$.
But this doesn't tell much about a real risk that we face when trading such strategies.
When trading any strategy, both should be controlled by a trader: Equity and Balance.

Attached Image (click to enlarge)
Click to Enlarge Name: BE1.png Size: 21 KB


When some strategy incorporates both TPs and SLs, Balance will be going up or down.
But grid-alike strategies, like the one I present here, first collects TPs. This makes Balance go beautiful up if only there are any TPs catched.
However what should be really controlled is Equity level in relation to two points:
1. Balance (blue rectangles)
2. Starting Equity (red lines)

Attached Image (click to enlarge)
Click to Enlarge Name: BE2.png Size: 22 KB


This in my opinion is a good and quite reliable indicator of a strategy. And thinking about a risk as a temporary distance between Equity and those points there were moments witihin those few months when I had to think much what to do.
1. I had long AUD positions open at the end of the 2018 year. Unexpected moves on the beginning of a new year caused that my equity was around 50% of Balance (and around 90% of starting equity, which meant around 10% absolute loss). I decided to wait and equity level recovered after few minutes.

2. Another situation was few weeks ago, when I decided to try trading only currencies that should move a lot due to planned important data on FF.
I was also trying to trade with higher leverage, just to check. When preparing I made few mistakes, e.g. instead of putting one set of GBPAUD short I put it 3 times.
GBPAUD moved much more then I expected and that caused too fast exceeding of available margin -> this caused opening triple positions only at not desired price levels -> Pending orders of best prices at the moment of triggering were cancelled because of exceeded leverage -> other pairs orders were not able to open so there was no risk compensation.

For a very short time (few hours) my equity level was again at around 50 - 60% of Balance (!). This showed up another important fact about this method (and generaly about grids): it is important to have wide margin so there is a time and ability of triggering pending orders at best price levels.
But this stressful lesson also gave me another idea how to manage losing positions. In next post I will show how to use triangles to lower a position just in order to widen expected range of price moves.
USDJPY looks like able to go lower (I now trade it long) so maybe it is gonna be good example.
  • #52
  • Jun 1, 2019 7:59pm Jun 1, 2019 7:59pm
Let's take a look on another example of equity-balance chart:

Attached Image (click to enlarge)
Click to Enlarge Name: BE3.png Size: 23 KB


I put also account's close out level on this chart.
This is to show what we should be avoiding when trading grids.
If we see such situation as above the reason of it might be one or mix of below:

  1. aggregation of open orders that are not likely to catch their TPs for a long time
  2. inappropriate scenarios planning (situations of markets MUCH different than expected)
  3. volatilities higher than expected
  4. insufficient/inappropriate or lack of losses management
  5. insufficient or even lack of risk compensation by another currencies
  6. too tight TPs (causing faster exposure changing to opposite)
  7. poor COGs of pending orders set
  8. over leveraging

Above points may be caused by the following:

  1. lack of trader's market knowledge
  2. lack of time for constant management
  3. rush and mistakes caused by it
  4. lack of patience
  5. real events, impossible to predict, that had high impact to the market

Chart in this thread shows final Equity above starting level, however it is not a rule. Often when things go wrong final Equity will be lower then preliminary and this will mean absolute loss.

  • #53
  • Jun 1, 2019 8:56pm Jun 1, 2019 8:56pm
As I wrote on the end of #Post 51 USDJPY looks like need some management - I now trade it long and it looks like going more down.
As I still have available margin I don't need to reduce position which would actually make some drawdown.
Having margin I can smart hedge, e.g. using triangles.

Attached Image (click to enlarge)
Click to Enlarge Name: loss management1.png Size: 73 KB


Above is an example of how it can look like.
I can put another triangular sets of orders. This example of hedging will be helpful if price drops below 105.5.
However if price will go only to 107 and then reverse, this hedging will not help - it will make situation worse.
In that situation the highest probability of opening have the nearest orders (short , big size). The lowest probability of open have the farest orders (long, big sizes).
We might want to avoid that, for example with another type of management, e.g.:

Attached Image (click to enlarge)
Click to Enlarge Name: loss management2.png Size: 78 KB


or

Attached Image (click to enlarge)
Click to Enlarge Name: loss management3.png Size: 91 KB
  • #54
  • Jun 2, 2019 2:56am Jun 2, 2019 2:56am
Continuing #Post 55 I decided to send following orders:

Attached Image (click to enlarge)
Click to Enlarge Name: loss management UJ.png Size: 21 KB

Attached Image (click to enlarge)
Click to Enlarge Name: loss management UJ2.png Size: 18 KB


we'll see how good decision it was.

Other trades will be taken on other pairs.
I'll try to find some pair that is likely to oscillate.
  • #55
  • Jun 2, 2019 3:13am Jun 2, 2019 3:13am
Quoting marecki
As I wrote on the end of #Post 51 USDJPY looks like need some management - I now trade it long and it looks like going more down. As I still have available margin I don't need to reduce position which would actually make some drawdown. Having margin I can smart hedge, e.g. using triangles. {image} Above is an example of how it can look like. I can put another triangular sets of orders. This example of hedging will be helpful if price drops below 105.5. However if price will go only to 107 and then reverse, this hedging will not help - it will make...
hi marecki,looks like you deleted the last 2 U/J orders @ 108.228 and 108.10.the last candle is unusually large due to market uncertainty after Trump wants to place tariffs on Mexican goods coming into the US.it could very well be that price will retrace Monday to 109.00 and then it wouldn`t look so bad.mind you, the yen is strong across the board for awhile now with all the trade wars going on.personally I would have the sell triangle higher with the biggest orders near 110 and stretched out to about 106.but of course your guess or anybody`s guess is as good as mine. the market will decide! good luck.
  • #56
  • Jun 2, 2019 6:05am Jun 2, 2019 6:05am
Quoting yonnie
{quote} hi marecki,looks like you deleted the last 2 U/J orders @ 108.228 and 108.10.the last candle is unusually large due to market uncertainty after Trump wants to place tariffs on Mexican goods coming into the US.it could very well be that price will retrace Monday to 109.00 and then it wouldn`t look so bad.mind you, the yen is strong across the board for awhile now with all the trade wars going on.personally I would have the sell triangle higher with the biggest orders near 110 and stretched out to about 106.but of course your guess or anybody`s...
Hi yonni,
Nope, these orders are still in place.
I don't know much what happens on the market last days so thanks for above info.
The question for me, when I was trying to locate sell orders, was actually from which point it is gonna retrace and also if it's gonna retrace at all.
You say that You would dispose sell orders higher - You might be right.

These orders however are planned for the price further move down. Positioning such set of orders higher is of course much more profitable (higher COG), but with one crucial condition:

Price before move down MUST first go higher than highest order, or otherwise the set will not be totally opened.
If price will move only down (which now is very probable) it will open only part of the set and this will cause, that when moving down I will be more exposed with long positions than with short positions. This would cause more losing for the whole time a price goes down. That's why I was trying to make some "compromise between profitability and probability".
  • #57
  • Jun 2, 2019 7:22am Jun 2, 2019 7:22am
I think your hedging ideas are very smart. do you think its best to cancel the last 2 pending orders seeing that you believe price will go down more?..it will be interesting to see what will happen. good luck.
  • #58
  • Jun 2, 2019 9:47am Jun 2, 2019 9:47am
Quoting LDFX
{quote} For many years yet no stop loss ? Where is your Trend Explorer ? Do you really think a kind of triangle way to enter wouldn’t prevent you from losses ? I can agree that perhaps you have a way to enter the market, but without a way to exit the market, it is totally useless. And I am speaking about stop loss. Otherwise anyone can do it, no skill involved.
read again bro... you are not understanding the strategy.
Staying in my lane...
  • #59
  • Jun 2, 2019 12:39pm Jun 2, 2019 12:39pm
No stop loss is fine, provided you can survive a 1500 pip black swan..
  • #60
  • Jun 2, 2019 3:49pm Jun 2, 2019 3:49pm
Quoting cuchuflito
No stop loss is fine, provided you can survive a 1500 pip black swan..
I think you should read the whole thread before commenting........now you sound so ignorant
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