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WaveTrade

  • #461
  • Apr 29, 2007 10:39pm Apr 29, 2007 10:39pm
Quoting Northpro
April 19, 2007

Wave Signal
Trade #67

GBP/USD
Short

Entry: 2.0020
1st Target: 1.9820 (For the first lots, the second lots have no TP yet)
Stop: 2.0220

If we see a reversal signal generated, I will close trade manually, before the S/L.

Once the TP1 is hit we will move the stop for the remaining to +20 pips in the money.
Potential: 200 pips
Risk: 200 pips
RR: 1 to 1
Success Rate: 56%

Northpro
April 29, 2007

Re Trade #67
GBP/USD

We are getting a conflict of signals, therefore I am doing a manual close until a clear direction can be identified...which at this point could be upward, time will tell.

Manual Close: 9967
Gain: +53 pips

Total Realized April: -712 pips
Total Realized since start: +964 pips
Overall Success Rate to Date: 61.2%

Northpro
  • #462
  • May 1, 2007 10:04am May 1, 2007 10:04am
May 1, 2007

April recap:

Huge sigh...I was delaying the posting of this...part due to disappointment, part frustration, and yes I am humbly embarrassed. This was the biggest loss that Wavetrade has incurred since posting began. I wish I could say why or that it won't happen again, but the fact of the matter is, that it will happen again and I really do not have a concrete answer as to why. This is the nature of the system, to pick up on over extensions, regardless of trend. This system is a range system, I am however in the process of introducing a method to ride the waves a little longer on trends (letting profits run) before the reverse range signal is taken, as always, a work in progress. Here are last months results, brace yourself!

We had 9 Trades of which all have been completed, 2 winners and 7 loser.

April Gain/Loss: -712
Total gain since start: +964 (120.5 per Month)

Realized Pips
Trade 59: -141
Trade 60: -70
Trade 61: -87
Trade 62: -67
Trade 63: -63
Trade 64: -173
Trade 65: 20
Trade 66: -184
Trade 67: 53
Total: -712

Northpro
  • #463
  • May 1, 2007 11:27am May 1, 2007 11:27am
Hi Northpro,

I feel sorry about what happened to your trades recently. However you've put money management into strict practice so I'm sure you'll recover from those losses, the time will come.
I want to thank you personally for your MM lesson last time during fixme's webinar. That was the best MM lesson I've ever got.
Tra-X
  • #464
  • May 7, 2007 5:42pm May 7, 2007 5:42pm
May 7, 2007

Well as stated before, I have been re assessing all data from previous trades that have occurred as an evaluation effort to see where the Wavetrade stands. As of today, the G/U trades have been far outperforming the other pairs significantly, followed by the USD/CHF pair. When I developed my system I did so with certain things in mind. The system had to recognize certain exhaustion within a currency pair with a degree of probability, we had to have a reasonable target once entry was established, and we could never risk more than what we were trying to gain. On top of all that, it had to be setup on a daily basis so as to not handcuff myself to the computer on smaller timeframes. Both GBP/USD and USD/CHF have done that to a satisfactory degree and AUD/USD and USD/CAD have also made gains, but only marginally. Although I wanted to run Wavetrade in it’s existing form until the end of the year, there have been too many evolving results that cannot be ignored, primarily the 2 steps forward, 1 ½ steps backward that we have been subject too. Sure, with proper money management, we are making money, but not enough to warrant the present system without some improvements, furthermore, being a Canadian and subject to Canadian IDA regulations, my broker is drastically changing the margin criteria for Forex accounts, severely limiting my exposure, however, we are working around that, and we do have some options. In the meantime Wavetrade will continue, but only with GBP/USD trades and eventually USD/CHF trades. I will continue reporting base pip gains/losses although my lot position sizes will be not reported as they are a reflection of my account balance, money management criteria, and broker margin requirements. These will be reported in my personal trade log.

Wavetrade to date has only netted a profit expectancy of 22 cents for every dollar traded, G/U and U/CHF have independently netted a profit of 50 cents over and above every dollar traded over the past 67 trades. In a decent system, a reliability of 50% with a profit expectancy for every dollar traded of 50 cents is really the minimum one would consider worthwhile. We therefore are now only targeting the most profitable in terms of reliability and expectancy, those being G/U and eventually U/CHF. There are some changes as well to signal entry and most importantly exit criteria within “Wavetrade - New Generation”. 1) All trades will still be based on daily chart data. 2) There will be no initial target point set, however, we will only execute an entry if a reasonable expectation of TP can be realized. 3) All entries will have an initial Stop loss of +/- 200 pips. This a safety net and more times than not, trades will be manually closed prior to S/L being hit. 4) We will be entering still with exhaustion criteria, however we have implemented a “triple screen” criteria to enter only in the direction of the overall market, no more swimming against the current. 5) As a trade becomes exhausted, we will exit manually eliminating the need for a fixed TP. 6) Practical Money Management techniques.

My forecasts under the new Wavetrade:
*Unfortunately, less trades per month, sometimes as low as 1, and longer position holding. ( I am working on a side account with a 4hr TF to increase frequency, which is a key element to profitability, however, the system is not the worry, it is my availability every 4hrs. I will report on that in time)
*Increase Lot position sizes, due to the decrease in pairs traded. (These will be not displayed on the FF journal.)
*I expect to see a reliability factor of > 60% winners vs. losers
*The Win Loss ratio (pips gain/pips loss) is expected to be > 2 to 1
*A relative profit expectancy of > $1.50 for every dollar traded.

This is a bold move for me as I have invested a lot of time and effort into the present system and although it is making money, which is the whole idea, it is not consistent enough for my liking. I have learned a great deal from very intelligent traders both within the FF and elsewhere and this evolving knowledge has assisted in reforming my present system, improving my system, and improving my trading psychology. I am excited and about the next generation of Wavetrade, and look forward to posting trades as they materialize.

Thanks to all of those who continue to give support and encouragement.

Cheers,
Northpro
  • #465
  • May 8, 2007 9:11pm May 8, 2007 9:11pm
Hi Northpro.

I want to back test some stratagie, so how to do that.
I need to have data and then the software which will display charts.
Please give some information on that.
Your help will be appreciated.

Thanks.
  • #466
  • May 9, 2007 10:13am May 9, 2007 10:13am
Quoting play62ca
Hi Northpro.

I want to back test some stratagie, so how to do that.
I need to have data and then the software which will display charts.
Please give some information on that.
Your help will be appreciated.

Thanks.
Hello Play,
When I do a backtest...the first thing is to have a strategy in mind. You can use conventional trend indicators, ossilators, price action, elliot wave principle, or a combination of some or all these, or whatever floats your boat.

method A:
The data is derived from my charting service. Primarily High/low/open/close of the pair for whatever timeframe you are testing. You can normally get this in an excel format from the chart providor going back a few years. After that is downloaded into the excel. I then put in the hard numbers of my indicators of choice..example, stochastics and sma's for every closed candle in the date range I am testing. Frome here you can derive mathematical formulas into the data to generate probability on market movement. At the end of the day, if your data and formulas are accurate (easier said than done), it should spit out some number of probability. The rest is up to you for entry and exit and money management.

method B:
Start with a basic strategy, go back into your charts for the TF you want to trade on, say 4HR. I would go back as far as you think would give you some accurate description of your technique. I always go back a min of 1 yr initially. If the results are promising, then I'll backtest for 5yrs worth of data. In 5yrs, most pairs have gone through good times and bad times, strange times...etc. The 1st step of testing it on 1yr helps you define your entry/exit criteria as well as stop loss criteria, before you launch into the 5yr test.

At the end of the day I look for a reliability of at least 50%...Reliability is trades winners/losers.
A win loss ratio as large as possible..ideally 1.5 minimum. W/L = pips won/pips lost.
I look for frequency. The more the better but that is a reflection of the timeframe you are tradeing which is based on your lifestyle and availability. Some people do 4hr TF's, but if you have to get up at 1 and 5 in the morning, thats no big deal for a month...but do that for years if your system is working..that would not be my idea of a good time.
Next, I look for expecancy. To determine expectancy, you record all the trades in the test and determine your avg loss, say 54 pips. I would round it off to 50 for easy math. Then I would determine how many trades won were between 1 and 150 pips ( 1 to 1), how many from 151 to 300 (3 to 1), 301-450 (6 to 1) etc..... so if I have 150 trades all together and 90 are at the 1 to 1 level, then we would divide 90/150=.6x1=.6. 50 at the 151-300 level would be 50/150=.333x3=1.0. 10 at the next level would be 10/150=.066x6=.4...add them all up would be 2.0 expectancy on the winners. Do the same for the losers in the same sequence. Subtract loser value from winner value, and you end up with your overall expectancy, based on 150 trade history. The expectancy = the average gain per dollar invested and should be a min of 0.50..

At the end of it all I throw in the money management. This is really the lifeblood of the system. I have explained my MM technique within my journal, but that is just a guide. Develop your own set of MM rules and follow them to a T....it will keep you alive in the bad times.

Backtests are backtests and are estimates. Try and be as unbiassed as possible and ALWAYS be over conservative. You want to paint the worst case scenario all the time. Remember, when trading real time, we cannot see the right side of the chart yet, unlike a backtest, so be extra cautious.

When all is said and done, if I get a what I think is an ok system with good MM in place, I then take all the numbers and apply a 25% reality factor onto it, meaning I take 25% off the gains and add 25% onto the losers and rerun the numbers. If the results are still ok, then I will consider it a good system. The 25% should take into account some of the psychology, the miss trades, and the biased factor on the backtest..etc.

Hope this gives you some help. It is a pretty basic idea of what I do.

Cheers,
NP
  • #467
  • May 10, 2007 12:35am May 10, 2007 12:35am
Thanks for detalied advise.

Quoting Northpro
Hello Play,
When I do a backtest...the first thing is to have a strategy in mind. You can use conventional trend indicators, ossilators, price action, elliot wave principle, or a combination of some or all these, or whatever floats your boat.

method A:
The data is derived from my charting service. Primarily High/low/open/close of the pair for whatever timeframe you are testing. You can normally get this in an excel format from the chart providor going back a few years. After that is downloaded into the excel. I then put in the hard numbers of my indicators of choice..example, stochastics and sma's for every closed candle in the date range I am testing. Frome here you can derive mathematical formulas into the data to generate probability on market movement. At the end of the day, if your data and formulas are accurate (easier said than done), it should spit out some number of probability. The rest is up to you for entry and exit and money management.

method B:
Start with a basic strategy, go back into your charts for the TF you want to trade on, say 4HR. I would go back as far as you think would give you some accurate description of your technique. I always go back a min of 1 yr initially. If the results are promising, then I'll backtest for 5yrs worth of data. In 5yrs, most pairs have gone through good times and bad times, strange times...etc. The 1st step of testing it on 1yr helps you define your entry/exit criteria as well as stop loss criteria, before you launch into the 5yr test.

At the end of the day I look for a reliability of at least 50%...Reliability is trades winners/losers.
A win loss ratio as large as possible..ideally 1.5 minimum. W/L = pips won/pips lost.
I look for frequency. The more the better but that is a reflection of the timeframe you are tradeing which is based on your lifestyle and availability. Some people do 4hr TF's, but if you have to get up at 1 and 5 in the morning, thats no big deal for a month...but do that for years if your system is working..that would not be my idea of a good time.
Next, I look for expecancy. To determine expectancy, you record all the trades in the test and determine your avg loss, say 54 pips. I would round it off to 50 for easy math. Then I would determine how many trades won were between 1 and 150 pips ( 1 to 1), how many from 151 to 300 (3 to 1), 301-450 (6 to 1) etc..... so if I have 150 trades all together and 90 are at the 1 to 1 level, then we would divide 90/150=.6x1=.6. 50 at the 151-300 level would be 50/150=.333x3=1.0. 10 at the next level would be 10/150=.066x6=.4...add them all up would be 2.0 expectancy on the winners. Do the same for the losers in the same sequence. Subtract loser value from winner value, and you end up with your overall expectancy, based on 150 trade history. The expectancy = the average gain per dollar invested and should be a min of 0.50..

At the end of it all I throw in the money management. This is really the lifeblood of the system. I have explained my MM technique within my journal, but that is just a guide. Develop your own set of MM rules and follow them to a T....it will keep you alive in the bad times.

Backtests are backtests and are estimates. Try and be as unbiassed as possible and ALWAYS be over conservative. You want to paint the worst case scenario all the time. Remember, when trading real time, we cannot see the right side of the chart yet, unlike a backtest, so be extra cautious.

When all is said and done, if I get a what I think is an ok system with good MM in place, I then take all the numbers and apply a 25% reality factor onto it, meaning I take 25% off the gains and add 25% onto the losers and rerun the numbers. If the results are still ok, then I will consider it a good system. The 25% should take into account some of the psychology, the miss trades, and the biased factor on the backtest..etc.

Hope this gives you some help. It is a pretty basic idea of what I do.

Cheers,
NP
  • #468
  • Edited 6:46pm May 15, 2007 6:28pm | Edited 6:46pm
May15, 2007

Here we go!
This is a signal on the revised Wavetrade. My confidence in this one is marginal as I have been beat up in Wavetrade of late, so I am gingerly stepping back into the water. If I don't like how the progression is, I will manually close.

Wave Signal NG
Trade #68

GBP/USD
Long

Entry: 1.9858
Target: Open
Stop: 1.9658

I have only put 1/2 the Lot size calculated by my MM at this point. If a second confirmation signal is generated, we will buy additional lots.

Risk: 200 pips
Success Rate: 56%

Northpro
  • #469
  • May 16, 2007 5:18pm May 16, 2007 5:18pm
Nice post, and very informative. I will print this off to read it once again over the weekend during my free time. Please keep us advised on your US/CAD projections.

Thanks, talk to you soon,

Ken
  • #470
  • May 16, 2007 5:38pm May 16, 2007 5:38pm
Quoting Northpro
May15, 2007

Here we go!
This is a signal on the revised Wavetrade. My confidence in this one is marginal as I have been beat up in Wavetrade of late, so I am gingerly stepping back into the water. If I don't like how the progression is, I will manually close.

Wave Signal NG
Trade #68

GBP/USD
Long

Entry: 1.9858
Target: Open
Stop: 1.9658

I have only put 1/2 the Lot size calculated by my MM at this point. If a second confirmation signal is generated, we will buy additional lots.

Risk: 200 pips
Success Rate: 56%

Northpro
OH MY GOD. Floating now -100pips.... crazy
  • #471
  • May 16, 2007 6:51pm May 16, 2007 6:51pm
Quoting KipperII
OH MY GOD. Floating now -100pips.... crazy
Great post Kipper...keep up that positive energy! Seriously, what was the meaning of that, if you're bored, start your own thread...you can call it "Oh Your God!" or "Crazy", regardless, if you cannot say something constructive or educational, please post somewhere else.
Thank you.
  • #472
  • May 16, 2007 6:58pm May 16, 2007 6:58pm
Quoting Northpro
Great post Kipper...keep up that positive energy! Seriously, what was the meaning of that, if you're bored, start your own thread...you can call it "Oh Your God!" or "Crazy", regardless, if you cannot say something constructive or educational, please post somewhere else.
Thank you.


Hi NP,

We both know that with our risk management, 100 pips is no big deal in the long haul. Now, if you were risking half your account that would be different but we know that's not the case

I just hope Mr Kipper hasn't spotted my journal or I could be in for some serious bashing

Keep on trucking my friend - the tide will turn and you'll be there to ride the wave.

Kind Regards
Steve
  • #473
  • May 16, 2007 7:06pm May 16, 2007 7:06pm
Quoting steviet


Hi NP,

We both know that with our risk management, 100 pips is no big deal in the long haul. Now, if you were risking half your account that would be different but we know that's not the case

I just hope Mr Kipper hasn't spotted my journal or I could be in for some serious bashing

Keep on trucking my friend - the tide will turn and you'll be there to ride the wave.

Kind Regards
Steve
Hey Steve,

Not too worried..had a feeling that might happen that's why I only put 1/2 the normal lot size in....same with the G/Y that I am trading long outside wavetrade. In the meantime we wait for confirmation signals long or signal to get out. Keep up the good attitude my friend! Makes the bad times not so bad.

Cheers,
NP
  • #474
  • May 16, 2007 10:19pm May 16, 2007 10:19pm
Yeah agreed NP. Keep up the great work bro this chop chop foolishness is about to turn soon....... Chat later bro


FiX


Quoting Northpro
Great post Kipper...keep up that positive energy! Seriously, what was the meaning of that, if you're bored, start your own thread...you can call it "Oh Your God!" or "Crazy", regardless, if you cannot say something constructive or educational, please post somewhere else.
Thank you.
  • #475
  • May 19, 2007 7:02pm May 19, 2007 7:02pm
I wished I was only down 100 pips. LOL

Trading the G/U anywhere right now will be profitable especially since were looking for that second test of the 2's area.

I expect 9700 area to be a strong support, especially since it held us under for so long the past few months. I only wished I was awake Friday morning to get about 10 lots at 9710 area, but sleep is more important than pips at times.

I did get into Long G/U at 9745 to 9775 area for 7 lots, and will hold these till we get to around 9900 area or higher depending on the Daily and 4 Hr candle at that time.

I did take that Long Usd/Cad on Friday morning at 0901 and 0884 area, and that adds to my continual enter and exit strategy that all traders must do to gain profits.

I was down on E/U for about 65 pips on Thursday night, and that was with about 20 mini lots, so no problem here when we talk drawdown, the profits will be great once we reach 1.9672 area or higher.

Keep up the great work, inform us of your profits from G/U and U/Cad when you can.

Have a great weekend, talk to you Monday!
  • #476
  • May 24, 2007 8:39am May 24, 2007 8:39am
Quoting Northpro
May15, 2007

Here we go!
This is a signal on the revised Wavetrade. My confidence in this one is marginal as I have been beat up in Wavetrade of late, so I am gingerly stepping back into the water. If I don't like how the progression is, I will manually close.

Wave Signal NG
Trade #68

GBP/USD
Long

Entry: 1.9858
Target: Open
Stop: 1.9658

I have only put 1/2 the Lot size calculated by my MM at this point. If a second confirmation signal is generated, we will buy additional lots.

Risk: 200 pips
Success Rate: 56%

Northpro
May 24, 2007

Here is the second half of the trade lots now entered. I would have liked to get in yesterday in the 97's but the move was pretty big as you can see. Expected some retrace, but none really occurred so we will enter to complete the positioned lots.

Wave Signal NG
Trade #68a

GBP/USD
Long

Entry: 1.9869
Target: Open
Stop: 1.9669

Second half of lots.
Avg. Price: 1.9864

Risk: 200 pips
Success Rate: 56%

Northpro
  • #477
  • May 29, 2007 10:48pm May 29, 2007 10:48pm
May 29, 2007

Wave Signal NG
Trade #69

USD/CHF
Short

Entry: 1.2245
Target: Open
Stop: 1.2445

Risk: 200 pips


Northpro
  • #478
  • May 30, 2007 4:30pm May 30, 2007 4:30pm
Quoting Northpro
May 24, 2007

Here is the second half of the trade lots now entered. I would have liked to get in yesterday in the 97's but the move was pretty big as you can see. Expected some retrace, but none really occurred so we will enter to complete the positioned lots.

Wave Signal NG
Trade #68a

GBP/USD
Long

Entry: 1.9869
Target: Open
Stop: 1.9669

Second half of lots.
Avg. Price: 1.9864

Risk: 200 pips
Success Rate: 56%

Northpro
May 30, 2007

Re Trade #68 and 68a
GBP/USD

We are getting a conflict signal. Although I am some what suprised at this GBP position prior to news tomorrow I am sticking to the rules and closing the trade on a reversal signal, even though it is weak.

Manual Close: 9757
Loss Avgerage between 2 entries: -107 pips

Total Realized May: -107 pips
Total Realized since start: +857pips
Overall Success Rate to Date: 60.3%

Northpro
  • #479
  • Jun 8, 2007 8:51am Jun 8, 2007 8:51am
Quoting Northpro
May 29, 2007

Wave Signal NG
Trade #69

USD/CHF
Short

Entry: 1.2245
Target: Open
Stop: 1.2445

Risk: 200 pips


Northpro
June 8, 2007

Re Trade #69
USD/CHF

That big candle reversed us out in a hurry turning a profitable trade into a loser. I have been very busy with another system that works on the 4hr TF, so my lack of postings on Wavetrade has suffered as is the attention the system requires. Although I am up overall pips, I think it is clear that I am becoming more dissappionted with the mechanics of Wavetrade. For the time being Wavetrade will be going through some modifications and will be traded less frequently until some bugs can be worked through. I will continue to post as trades are taken, albeit delayed more than likely.

Manual Close: 2298
Loss: -53

Total Realized June: -53 pips
Total Realized since start: +804 pips
Overall Success Rate to Date: 60.3%

Northpro
  • #480
  • Jun 13, 2007 7:40pm Jun 13, 2007 7:40pm
June 13, 2007

Wave Signal NG
Trade #70

USD/CHF
Short

Entry: 1.2442
Target: Open
Stop: 1.2642

Risk: 200 pips


Northpro
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