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The Ghillyoar System (buying highs and selling lows)

  • #121
  • Apr 28, 2021 1:44pm Apr 28, 2021 1:44pm
Quoting danjuma
Something that baffles me! Did a quick backtest using MT4 strategy tester (I know it's not completely reliable) using the following settings (Tradesize=0.05, ExitProfit=20, TargetStep=50, MaMethod=1) on USD5000 starting balance, on GBPUSD, USDCAD and EURUSD between 01/12/2019 to 10/03/2021. GBPUSD and USDCAD returned decent profits with decent max drawdown, but EURUSD returned a massive loss with big drawdown. What gives! GBPUSD: net profit = 1405.10 Max DD = 952.34 (18.16%) USDCAD: net profit = 719.39 Max DD = 803.48 (14.05%) EURUSD: net profit...
Here is my backtest using the same settings, thats why i believe in forward test much more than backtest. 2 people doing the same backtest very very different result !
Attached Image (click to enlarge)
Click to Enlarge Name: 5a0affe329a8358d7597f7f007eb2474.png Size: 68 KB
  • #122
  • Apr 28, 2021 2:42pm Apr 28, 2021 2:42pm
Quoting neosqualls
{quote} Here is my backtest using the same settings, thats why i believe in forward test much more than backtest. 2 people doing the same backtest very very different result ! {image}
Which pair was this for?
  • #123
  • Apr 28, 2021 2:48pm Apr 28, 2021 2:48pm
It was EURUSD from 01/12/2019 to 10/03/2021. ExitProfit = 20, TargetStep = 50, MaMathod = 1 I set initial capital de 5000EUR.
  • #124
  • Apr 28, 2021 3:42pm Apr 28, 2021 3:42pm
Quoting neosqualls
It was EURUSD from 01/12/2019 to 10/03/2021. ExitProfit = 20, TargetStep = 50, MaMathod = 1 I set initial capital de 5000EUR.
Thanks
  • #125
  • Apr 28, 2021 3:51pm Apr 28, 2021 3:51pm
eurusd 1.12.19 to 10.3.21 ..............with adjusted lot size
Attached Image (click to enlarge)
Click to Enlarge Name: Gillyoar with adjusted lot size.gif Size: 12 KB
  • #126
  • Apr 28, 2021 5:09pm Apr 28, 2021 5:09pm
hi people,
buy the highs - sell the lows at certain intervals.= a directional grid
sorry, but you all look in the wrong places......it is very profitable, BUT you got to trade the right instruments which are trending like crazy......unfortunately the forex world is not trending that much......all those backtests on E/U etc. are completely useless.....did you look if those pairs were trending during that period???....look at equities and commodities.....
oil last year $16, now around $60....lumber up 50% in 1 year.....and the list goes on....I`ll go out on a limb and say that you all can be millionaires within 5-10 years.....just do backtests on oil, lumber etc and you see what I mean.....
  • #127
  • Apr 29, 2021 1:34am Apr 29, 2021 1:34am
About the stoploss... If we use the "original" SL we know, it will be bad. It works like this:

1. Your trade will go downhill
2. You will get a SL and trade will be closed
3. Price will reverse where You wanted it to be before.

Or margin call will happen in the worst scenario and same thing happens. Price will reverse immediately.

Everyone knows this also happened to everyone. Why we still do it? Glad it is not here.

SF
  • #128
  • Apr 29, 2021 8:40am Apr 29, 2021 8:40am
Quoting Paddy9
eurusd 1.12.19 to 10.3.21 ..............with adjusted lot size {image}
Thanks Paddy9! Good tip - adjust lot size / be conservative with lot size in relation to account size!
  • #129
  • Apr 29, 2021 8:46am Apr 29, 2021 8:46am
Quoting yonnie
hi people, buy the highs - sell the lows at certain intervals.= a directional grid sorry, but you all look in the wrong places......it is very profitable, BUT you got to trade the right instruments which are trending like crazy......unfortunately the forex world is not trending that much......all those backtests on E/U etc. are completely useless.....did you look if those pairs were trending during that period???....look at equities and commodities..... oil last year $16, now around $60....lumber up 50% in 1 year.....and the list goes on....I`ll...
Hi yonnie. Thanks for stopping by and gracing us with your usual solid tips in relation to grid trading. My question, you mention things like equities, how do you apply grid trading to equities (where you cannot easily sell as such like in forex but short - subtle difference)? Oil, commodities, metals etc have their own issues as well in terms of working out pip sizes etc.
  • #130
  • Apr 29, 2021 8:54am Apr 29, 2021 8:54am
Quoting Paddy9
eurusd 1.12.19 to 10.3.21 ..............with adjusted lot size {image}


Arround 81 trades, arround 63 trades direct to target step.
Total profit arround 3200$
Average win per trade is 50$ 3200/63=50.7$

Parameters are the same as original post, except the lot size. Will have to go back from work to search more.
  • #131
  • Apr 29, 2021 9:00am Apr 29, 2021 9:00am
Quoting neosqualls
{quote} Arround 81 trades, arround 63 trades direct to target step. Total profit arround 3200$ Average win per trade is 50$ 3200/63=50.7$ Parameters are the same as original post, except the lot size. Will have to go back from work to search more.

Hmmm! strange, same params with USD5000 starting balance and 0.02 lots but I got: 488.54 total net profit, and 56 total trades, max DD 243.09 (4.6%)
  • #132
  • Apr 29, 2021 10:19am Apr 29, 2021 10:19am
Hi All!

I've been doing some testing, and have a couple of ideas to improve, maybe too obvious for some, but I wanted to bring them anyway, in case it helps anyone.

I like to do extreme parameters experiments first to test the EA limits, and using TargetStep = 150 (01.01.2018 - 31.03.2021), the system was doing fine until a couple of death trades blew the account (see the picture).

I'm still just scratching the surface, but here a couple of ideas that I'll try to add to the code:
- Emergency StopLoss. One way is to set a wide SL per trade, to avoid taking too much loss per trade, or as the Exit Rule, implement an Amount / Percentage Loss of the Account that will trigger and cut early a potential extreme dent.
- Adding the option to use the TargetStep /TradeSize as Percentage of the Account, to be more flexible, and avoid using a lot that its too high for the account size.
- And, still trying to figure out one of the Paddy's questions, the exit rule, that avoid large losses without reducing profitability. In the example would have been better to close early all sell orders because the price closed above EMA, but in other cases it resumed the trend and the orders turned out as profitable.. So still thinking..
Attached Image (click to enlarge)
Click to Enlarge Name: EURUSD Test.png Size: 84 KB
  • #133
  • Apr 29, 2021 10:29am Apr 29, 2021 10:29am
Quoting Paddy9
eurusd 1.12.19 to 10.3.21 ..............with adjusted lot size {image}
Maybe Paddy changed the frequency of trading ? less than a trade per day?
  • #134
  • Apr 29, 2021 10:48am Apr 29, 2021 10:48am
So taking last paddy's backtest :

eurusd 1.12.19 to 10.3.21
Account = 100000
Trade Size = 0.5
Exit Profit = 20
Target step = 50
Attached Image (click to enlarge)
Click to Enlarge Name: TesterGraph.gif Size: 25 KB
  • #135
  • Apr 29, 2021 11:01am Apr 29, 2021 11:01am
EURUSD
1st January 2018 to 1st April 2021
Attached Image (click to enlarge)
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  • #136
  • Apr 29, 2021 12:01pm Apr 29, 2021 12:01pm
From 1st January 2013 to 1st April 2021
Drawdown is 9%
Net profit 1727 (Initial account 10000)
Attached Image (click to enlarge)
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  • #137
  • Apr 29, 2021 12:51pm Apr 29, 2021 12:51pm
From 1st January 2013 to 1st April 2021
Drawdown is 33%
Net profit 8613 (Initial account 10000)
Attached Image (click to enlarge)
Click to Enlarge Name: 132240a2f51683e3efa07de06cbd91a8.png Size: 63 KB
  • #138
  • Apr 29, 2021 12:52pm Apr 29, 2021 12:52pm
What is an acceptable drawdown for you ?
  • #139
  • May 2, 2021 3:46pm May 2, 2021 3:46pm
Hi!

I don't know if Paddy's is still reading the Thread, but as promised and I hope it can help some of you, I did an interesting tweak that has brought me good results in backtesting, but first a little introduction.

I firmly believe that a great system has to work across all pairs, do NOT has to be profitable in every one all the time, because it would be a truly Holy Grail, but suming all together must be better than running it in just one or two pairs. So, I'm testing the EA in different pairs and Timeframes, and found out that sometimes Rules#1 and Rule#2 do NOT get triggered for LONG periods of time, I mean, months, acumulating swaps and unrealized drawdowns if there are open positions. What happens is that the Buy and Sell Benchs get to Wide and the price oscillate in between indefinitely, so:

1. The tweak consist in adding a Rule #3, that consist in resetting the Buy and Sell Benches if X amount of Bars has passed, so the system can get moving again and either Rule#1 or #2 can be trigger.
2. I added a few visual helps, as a Horizontal Buy/Sell Bench and HighestEverFunds.

The tweak improved some currencies, like EURUSD (see the images), I used 140 Bars as a Parameter.. But, I still have problems when the system opens too many trades in a peak or bottom, and when the price reverses, struggle to match the Buys and Sells to exit with Rule#2.. Still figuring this one out.

Anyone has more ideas to try?
Attached Image(s) (click to enlarge)
Click to Enlarge Name: EURUSD 1H 2020-2021 +32% (Before Rule3).gif Size: 9 KB
Click to Enlarge Name: EURUSD 1H 2020-2021 38% (After Rule3).gif Size: 9 KB
  • #140
  • May 3, 2021 1:28pm May 3, 2021 1:28pm
Hi JoanGuz,

You have done great work

I totally agree about the swap and unrealized drawdown. Do you think the bench should be adapted to average range ?

Also here is an idea coming from a friend of mine :

Exit rule #3 :
Exit if account equity is less than highest equity * 95%.
Reset the highest equity level after the exit.

Regards.
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