FXTradepro: Strategy using a “Semi-Martingale” Position Sizing | Page 27 | Forex Factory

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FXTradepro: Strategy using a “Semi-Martingale” Position Sizing

  • #521
  • Sep 28, 2007 9:14am Sep 28, 2007 9:14am
Another 40 pips on the GBP overnite.......1 progression on the break of a previous high at 2.0298.
  • #522
  • Sep 28, 2007 5:31pm Sep 28, 2007 5:31pm
I just received an e-mail from FXTradepro now saying he is going to have to charge everyone to use his EA as of January 1st,2008! If everybody remembered in post #36 Scott the moderator asked him this:

Quote
Ok, I am going to cut to the chase here. I am a moderator as I am sure you know... This is a very nice presentation and I thank you for it... Very professional. However, Self Promotion is not allowed here at FF without prior approval from the Admin, so if this is not a promotion, that is just great and you are to be commended.. If it is a way of building a following and then charging for the services, that would be considered self promotion and would cause the thread to be deleted and the member to be banned.

I am just laying my cards out, so we understand each other I mean nothing other than that.

It would just be a shame to lead people down a path and then discontinue that.

So, do I have your assurance that this is not the case? If so, this could develop into a very interesting thread, if not, in all fairness, I do not want to waste your valuable time...

Thanks for your understanding in this,
__________________
Scott
And he responded by saying he wasn't going to charge people for using it. I don't know about everyone else, But this has turned into an obviously blatant self promotion in my opinion.

Dan, if you feel your expenses for keeping your website running (which in not an elaborate web site by any means) warrants you charge everyone a $249.00 a year subscription fee, you can keep it to yourself. Please remove me from your FXTradepro forums and do not send me any more e-mails regarding your Ea as I will be sending a copy of this post to the moderators. I hope everyone sees what he is doing and will no longer follow his threads or visit his website.
  • #523
  • Edited 11:26pm Sep 28, 2007 9:27pm | Edited 11:26pm
Quoting mer071898
I just received an e-mail from FXTradepro now saying he is going to have to charge everyone to use his EA as of January 1st,2008! If everybody remembered in post #36 Scott the moderator asked him this:

And he responded by saying he wasn't going to charge people for using it. I don't know about everyone else, But this has turned into an obviously blatant self promotion in my opinion.

Dan, if you feel your expenses for keeping your website running (which in not an elaborate web site by any means) warrants you charge everyone a $249.00 a year subscription fee, you can keep it to yourself. Please remove me from your FXTradepro forums and do not send me any more e-mails regarding your Ea as I will be sending a copy of this post to the moderators. I hope everyone sees what he is doing and will no longer follow his threads or visit his website.
Hello mer.........The email you received was sent to and directed at my PRIVATE FORUM Members and not this Thread at Forex Factory (So Sorry to mention the PF here Scott). As a Member of our Private Group you certainly would have received that correspondence. As you have requested, I have canceled your FREE Membership. Please note that I had every intention of continuing to Post the EA and about the Method/Strategy here, however, in light of your inflammatory remarks perhaps I should not continue.

Let it be known that in large part, the Membership of My Private Forum IS NOT comprised of people that have found me here at FFactory and I feel that what I do at the Private Forum has absolutely no bearing on my status here. I have not approached anyone directly at Forex Factory to purchase anything from me and I had every intention of continuing to Post my EA in this Thread. Unfortunately, people like you have given me a "bad taste".

I will leave it to Scott and the other Moderators here to decide if this Thread should continue. If they decide it should not, then I will certainly abide by that decision.

Dan
  • #524
  • Sep 29, 2007 2:22am Sep 29, 2007 2:22am
I am a member of Dans private forum - and as such have had the benefit of Dans detailed experience with this EA. Sorry Dan if I am breaking a little of your confidence here but I felt it worthwhile.

I know for a fact that Dan has advanced versions of the EA as I am part of the testing group. No doubt members of Dans private forum will in time have these versions made available to them. I am personally testing (in conjunction with Dans testing program) an addition to the EA that gives it a further HUGE advantage.

And as far as I understood the new version(s) will only be made available to members in the private forum - at a reasonable cost...of which I am happy to pay. Some of you may well be able to build these EA's, most can't, and in my 5 years of full time trading, I have found that many are crap. Dans is robust and professionally developed - and with a proper trading plan you can make consistent profits (even building in a possible partial blowout of your account).

Having got to know Dan, I can say that one of the key reasons Dan is charging on the PRIVATE forum is because he is only keen to have those on board there who appreciate value. I think you can all see from his replies that he is a no nonsense guy and he sticks to his focus on the topic.

So all the free loaders ...get over yourselves, and either move on, stick around this board for general comment, or join a committed group on the private forum.

Tim
  • #525
  • Sep 29, 2007 10:53am Sep 29, 2007 10:53am
I'm sorry but what part of this statement is not understood?

Quote
If it is a way of building a following and then charging for the services, that would be considered self promotion and would cause the thread to be deleted and the member to be banned.
How do you think he gets members to his site, by teasing and promoting for free here, enough said.

And Timmy, I am far from a freeloader, I have paid thousands of dollars on EA's and for acct. management services over the years. The point is when someone says to a moderator he's not going to charge a fee for his EA, then invites everyone to his "private" forum then decides to charge everyone, it's the same as self promotion on this forum, plain and simple.
  • #526
  • Sep 29, 2007 10:57am Sep 29, 2007 10:57am
Hmm... don't be so angry. The strategy is clear, there are no secrets. It's easy to put this into an own EA.

I just have to thank him to share this strategy. The EA is not the most important part of this - just my opinion.

Regards - Xaron
  • #527
  • Sep 29, 2007 11:00am Sep 29, 2007 11:00am
Quoting mer071898
I'm sorry but what part of this statement is not understood?

How do you think he gets members to his site, by teasing and promoting for free here, enough said.

And Timmy, I am far from a freeloader, I have paid thousands of dollars on EA's and for acct. management services over the years. The point is when someone says to a moderator he's not going to charge a fee for his EA, then invites everyone to his "private" forum then decides to charge everyone, it's the same as self promotion on this forum, plain and simple.

mer.......To be clear on this I will say that over the past few weeks some people have added Links from their Blogs to my PF and the response has been huge. I was not prepared for that situation and as such need a way to weed out the curious onlookers from the Serious Traders. I am sorry that you do not like the solution.

I really don't think that this is the place to discuss your problems with this. Besides, I am still not asking anyone at FFactory for anything. Let's please move on and let Scott and the Moderators decide what to do.

Dan
  • #528
  • Sep 29, 2007 11:52am Sep 29, 2007 11:52am
I've read several posts here from people worrying about the EUR/JPY going so deep into the progression. Here's some information I hope will help. I've spent the past week doing a statistical analysis of this money management system along with the viability of pairs to trade. What it boils down to is that the EUR/JPY is actually the BEST pair suited to this style of trading. HOWEVER, you can not use a 10 pip stop loss. This pair is FAR too volatile (a good thing for the system) for a 10 pip stop. You must increase it to at least 20 pips, and also increase the take profit to 80 pips to keep the 4-1 RR ratio in tact. If you reduce the ratio, your profits will not be large enough to cancel out your losses. The second thing is, if you don't understand the economic news, don't trade this system. After checking the dates of some posts and some charts that were posted, some of you are experiencing problems because you are trading on days before or during major news. If you're unfamiliar with how news effects the Forex, you must start following along with the calendar here on FF, it's the best. To get you started, you should NEVER trade this system the day before a day with two orange or one red "impact" icons on the calendar on either of the currency pair you're trading. The market will definitely range tightly for sometimes more than a day in this situation. Therefore your 10 pip stop will get hit too often, and even though the adjusted ratio of 20-80 might not get stopped out as often, it has almost no prayer of hitting the 80 pip t/p. This is a general rule of thumb, but will probably help you filter out most of those over 20 progressions. Also, you need to understand that the huge USD releases like Non-Farm Payroll will affect ALL pairs. The nice thing about EUR/JPY is it has fewer volatile news releases than a pair like GBP/USD (the second best pair for this system, BTW) so you can trade it more often.

Sorry for the "basics" for those of you who understand news, but I hate to read posts by people losing money in their trades when there's a simple answer.

Remember, preparing to trade can also mean sitting on the sidelines... maybe even for days at a time.
  • #529
  • Sep 29, 2007 12:23pm Sep 29, 2007 12:23pm
Almost forgot... one more thing. This progression is robust enough to withstand even the news events with the 20/80 settings on the EUR/JPY... I only ran into one time in two years of backtesting tick by tick data where it wasn't. However, if you don't have the stomach for those 20+ progressions, stay away from before big news!
  • #530
  • Sep 29, 2007 1:13pm Sep 29, 2007 1:13pm
Thanks Haystack, I guess you're right.

What about a sl of 15 and a tp of 60 for the EUR/JPY. What do your backtests say there?

Regards - Xaron
  • #531
  • Sep 29, 2007 1:58pm Sep 29, 2007 1:58pm
Hi Xaron-

15 pip s/l on this pair (EUR/JPY) is also too tight. 20 seems to be the smallest I could use without experiencing too many stops during any "normal" (not pre-news) ranging times. These times include "off market hours" of after NY close and before London open (if the trade doesn't hit t/p by the end of the NY session).

Just a reminder to everyone... this is not a trading system in itself, but in essence a stop and reverse that helps you win a trade if the market reverses on you. Part of the success of this progression is that you need a tight enough stop to put you back in the trade quickly enough to capture enough pips in the opposite direction in your 4-1 RR ratio. Just making your stop loss as big as you're comfortable with, or that your account size can handle will not work. Using too big a stop loss will keep you from getting back in the trade in the right direction soon enough. This is a delicate balance designed around the ADR of the pair, and it changes depending on which pair you are trading. I've found that 20-80 works best for the EUR/JPY, and the EUR/JPY pair works best for this progression system. Of course this could all change tomorrow or next week if the ADR of the pair changes enough. As with any system (or component of a system) you should understand EXACTLY what you are doing before risking any real money.

Good luck (and of course skill) to everyone... may the pips be with you!
  • #532
  • Sep 29, 2007 2:48pm Sep 29, 2007 2:48pm
I am a new member but I have been following this thread daily for a while.
I thank Dan for presenting his Forex strategy with an accompanying EA.
Some here seem to be concerned about the fact that Dan may be benefiting from this in his private forum. Frankly, I was never naive as to think he wasn't. But he has done us a great service by presenting this Forex startegy publicly. This strategy can be tested and traded manually. I vote to keep the thread going. I would not be here otherwise.

coldrunner
  • #533
  • Sep 29, 2007 3:56pm Sep 29, 2007 3:56pm
The ideas and methods being discussed in this thread have helped me advance one of my own systems much faster than I could have without it. While working on my own system, I've used the method laid out here and made many adjustments, like changing the progression so that it carries less risk and extends past 24 levels, doing a lot of research and math to determine which pairs suit the method, and optimizing the stop loss and take profit for those pairs that I've found are best suited for it. (A word of advice... Dan's method will not work for just any pair with a 4 pip or less spread). Dan's EA was a big help with the backtesting, which I used to have to do by hand. I don't have to tell you how excruciating that is.

While some of you who joined Dan's private forum may be upset that Dan has asked you to pay for the EA after January 1st, let it go. He did do a lot of work and if he decides he wants to do this, he's not holding a gun to your head. He didn't solicit in this thread, and he didn't email his solicitation to anyone through FF. This method can be used manually, although you'd have to make some adjustments. You can also do what Dan did and code an EA or hire someone to code it for you... he was nice enough to give you everything you needed to know with the current EA (except the code of course). He's also been nice enough to respond quickly to any questions regarding it.

Just my 2 pips worth... but I hope that this thread remains active. I intend to continue to use the ideas and experiences being shared here to my own benefit... and I hope the contributions that I make will be to the benefit of others... that's what this forum is all about!
  • #534
  • Sep 29, 2007 4:33pm Sep 29, 2007 4:33pm
Quoting timmy
Hi Walt,
Here are some stats to consider with your approach.

Running GBP/JPY with an SL = 25 (assuming 9 pip spread), TP = 105, and a prog level out to 24, you will have a risk of failure at 1:23, assuming you just entered randomly - which I know you are not but it does serve as a comparison since if you traded Dans progression in the exact same manner the comparitive risk is 1:66 ... which is much safer!

Conclusion - why trade GBP/JPY!!!!!!!! You are taking on nearly three times the risk than you would if you just traded using your entry method and Dans original progression sequence.

You may be making more profit since your progression requires at least twice the capital outlay compared to what Dans does - so I doubt your releative return is that much better, and any additional profit is relative to the risk you take.

If is also false to assume it is a good pair to trade because of its volatility - the brokers compensate by increasing the spread - so you have actually had to compensate for this by increasing your SL - which in turn forces you to increase your TP to get a meaningful progression sequence - and a reasonable profit curve.

So forget the idea that you are going to make more, or gain better volatility that will improve your odds. In fact you are trading with much more risk when trading the GBP/JPY and the progression sequence you suggest.

If you want to assess which pairs are best to trade- then a possible way to rank them is to look at what I call the "Risk Coefficent" (RC) - that is the Average Daily Range (over ~10 days) divided by the broker spread. The higher the RC the better the pair is to trade from a (theoretical) risk versus volatility perspective.

So for example:

Euro/USD = 70/2 = 35
GBP/USD = 150/4 = 37.5
Euro/JPY = 165/4 = 41.25
GBP/JPY = 290/9 = 32

So you can see there are probably better pairs to trade than GBP/JPY.

Tim
Hi Tim,

I appreciate your technical/statistical abilities. By far, you have been the most statistically oriented person in this thread. The ratio of average daily range to spread is an excellent approach. However, in your calculations I believe that when you consider the average daily range, it would be an incorrect assumption to use the "mean" average. Instead the "mode" average is best because it determines the "range frequency" or the range that accurs most freqently.

Let me explain... Although the EUR/JPY has a ratio of 41.25 (with an average range of 165) and the GBP/JPY has a ratio of 32 (with an average range of 290), if the most frequent daily range over a given period of time is 118 for EUR/JPY and 275 for GBP/JPY, then the ratio for GBP/JPY is higher than EUR/JPY (30.56 vs. 29.50).

Food for thought...

Thanks,

Walt
  • #535
  • Sep 29, 2007 5:00pm Sep 29, 2007 5:00pm
Walt,

I've also done extensive research, math and backtesting on many pairs, and without going into all of the details (which include many formulas, some of which are proprietary) I can assure you that the EUR/JPY is a better pair (in fact the best pair) to trade. Tim's simple analysis is correct... no matter how you slice it, the fact is the more than double the spread of the GBP/JPY eats into your Risk/Reward ratio too much. And if you increase the t/p to compensate for it, even by only a few pips, you only increase your chances of hitting the s/l before the t/p and increase the number of progressions needed for a winning trade. In other words, trading the GBP/JPY instead of the EUR/JPY will only increase your risk of ruin. You are much better off trading the EUR/JPY or GBP/USD even though the ADR is lower. Please read my earlier posts regarding the best adjustment to the s/l and t/p on the EUR/JPY. If you insist on trading the GBP/JPY using this method, you should find a broker that offers the pair at a lower spread, preferably 5 or 6 pips.
  • #536
  • Sep 29, 2007 5:02pm Sep 29, 2007 5:02pm
Haystack and Coldrunner.....Thanks for the kind words !

Haystack.....You have a very good understanding of the Strategy and your input is greatly appreciated. Let's hope they allow us to keep the Thread going.

Dan
  • #537
  • Sep 29, 2007 5:20pm Sep 29, 2007 5:20pm
I emphatically support Dan's efforts (pay or no pay)... I have benefited from the information shared herein.

Dan, understand that there are many of us that want this thread to continue. The information here and in the private forum is invaluable. Personally, I believe it is fair and appropriate for you to be compensated for the information provided, if that's your preference.

BTW... what are the new and improved EA features that Timmy was eluding to in an earlier post that he's assisting with?

Thanks,

Walt
  • #538
  • Sep 29, 2007 5:25pm Sep 29, 2007 5:25pm
Quoting jones247
I emphatically support Dan's efforts (pay or no pay)... I have benefited from the information shared herein.

Dan, understand that there are many of us that want this thread to continue. The information here and in the private forum is invaluable. Personally, I believe it is fair and appropriate for you to be compensated for the information provided, if that's your preference.

BTW... what are the new and improved EA features that Timmy was eluding to in an earlier post that he's assisting with?

Thanks,

Walt
Thanks Walt....We are testing a Spread Monitor option that would enable the EA to PAUSE when the Spread exceeds a specified number and then resume when Spreads return to normal. I think the benefit of this is obvious assuming that we can get the function to work properly. So far, so good............Can't say more on this yet.

Thanks again for your support Walt.....Gotta run now....Be back Tomorrow!

Dan
  • #539
  • Sep 29, 2007 5:54pm Sep 29, 2007 5:54pm
Quoting Haystack
Walt,

I've also done extensive research, math and backtesting on many pairs, and without going into all of the details (which include many formulas, some of which are proprietary) I can assure you that the EUR/JPY is a better pair (in fact the best pair) to trade. Tim's simple analysis is correct... no matter how you slice it, the fact is the more than double the spread of the GBP/JPY eats into your Risk/Reward ratio too much. And if you increase the t/p to compensate for it, even by only a few pips, you only increase your chances of hitting the s/l before the t/p and increase the number of progressions needed for a winning trade. In other words, trading the GBP/JPY instead of the EUR/JPY will only increase your risk of ruin. You are much better off trading the EUR/JPY or GBP/USD even though the ADR is lower. Please read my earlier posts regarding the best adjustment to the s/l and t/p on the EUR/JPY. If you insist on trading the GBP/JPY using this method, you should find a broker that offers the pair at a lower spread, preferably 5 or 6 pips.
Thanks Haystack for your advise... However, I'd like to mention that I'm working on applying this system to a swing trader method. In testing GBPUSD I observed that over the last 8 years (2063 daily charts) that there is almost a 50/50 split between ranging days and trending days. For clarity, a ranging day is when today's price direction is opposite of yesterday's price direction; however, a trending day is when today's price direction is the same as yesterday's price direction. Actually the results are: trending - 52% of the time; ranging - 48% of the time. Using the FXTradepro semi-martingale would be excellent for swing trading in this dymanic. The only challenge is the SL and TP. Currently I setting my SL @ 50 or 75 and TP @ 100 or 150, depending on the currency pair. For GBBUSD, I'm inclinced to use SL-75 & TP - 150.

This is the potential problem: With a 2:1 r/r ratio I can extend about 5 progressions comfortably before my money management becomes problematic. However, if I wait for two consecutive trend days before I enter a position, then that increases the likelihood of obtaining my TP within 5 progressions. Furthermore, I set my long entry at a support point materially below the day's open if my trend entry order is buy; and I set my short entry at a resistance point materially above the day's open if my trend entry order is sell. At the end of the day, even if I did not obtain my TP, but have gained from a trending position, then I will close my position. Thereafter, at the start of the new day I will open with a trend position with a cushion (support or resistance) entry order.

The missing link is this: I need to determine how many times over the last 8 years did any pair have more than 7 or more consecutive ranging days. If I can get assistance with that then I think applying this system to swing trading would be exceptionally successful. I think this form of swing trading with the FXTradepro system can yeild more than 400 pips per month.

Your thoughts....

Walt
  • #540
  • Sep 29, 2007 6:23pm Sep 29, 2007 6:23pm
Quoting Haystack
Walt,

I've also done extensive research, math and backtesting on many pairs, and without going into all of the details (which include many formulas, some of which are proprietary) I can assure you that the EUR/JPY is a better pair (in fact the best pair) to trade. Tim's simple analysis is correct... no matter how you slice it, the fact is the more than double the spread of the GBP/JPY eats into your Risk/Reward ratio too much. And if you increase the t/p to compensate for it, even by only a few pips, you only increase your chances of hitting the s/l before the t/p and increase the number of progressions needed for a winning trade. In other words, trading the GBP/JPY instead of the EUR/JPY will only increase your risk of ruin. You are much better off trading the EUR/JPY or GBP/USD even though the ADR is lower. Please read my earlier posts regarding the best adjustment to the s/l and t/p on the EUR/JPY. If you insist on trading the GBP/JPY using this method, you should find a broker that offers the pair at a lower spread, preferably 5 or 6 pips.
Haystack,
Good work. I agree with your analysis also.

I have written the probability formula to work out your risk for any progression ...I think I did this on Dans private forum and not on this one. So you can find it there - it is not hard to use. If you haven't done your own formula (which, from your comments you may have), then you can get it on the private forum.

The probability of failure (assuming random entry) for Euro/JPY with a 4 pip spread and SL=20, TP = 80, and using 24 progressions....is 1:66.

Using Sl = 10, TP = 40 instead gives you a probability of failure of 1:22 (this is in fact Dans random risk everytime he trades his standard progression using any pair with a 4 pip spread. Of course Dan does not enter randomly so his odds improve). So you are absolutely correct 20/80 is significantly better. Whilst at the same time allowing you to run Dans identical progression sequence if that is what you want to do. (However the downside is that you will likely spend more time in the market with the EA running...and as you will see from my comments below - there is some advantages to being out of the market quickly.)

So there is a major difference.

(By the way Walt using SL = 15 and TP = 60 would give you 1:45 so you are have better odds than 10/40 but not as good as Haystacks 20/80)

Now of course these odds only relate to a random entry BUT they are also important if we are comparing different progression settings IF WE USE THE SAME IDENTICAL ENTRY METHOD FOR EACH SETTING.

It is clear that this type of trading is best employed during uni-directional volatility in the market .... in other words when the market is moving in one direction with good volatility.

The best times for this is around the news releases. As soon as the news release is out, if there is a decent deviation from the expected then we get this situation occuring. We wait for the brokers to lower the spread to normal (this is important to ensure that your odds remain the same as you initially built your progression sequence for), then activate the EA.

I have built a news trading progression that runs odds of 1:26 with a TP = 14 pips. Now the balance of variables that we can manipulate for these progressions,for me, is this:

1/ I am happy to accept the higher risk (which is actually better than Dans progression - based on random entry) since I will only trade this progression when the news release gives a reasonable deviation from the norm...producing good sustained price action. As a result the real risk is much better than 1:26 since I start my EA in the same direction as the fundamental market movement that the news release creates.... so I have created an edge to trade with giving better odds.
2/ I am in and out of the market often within minutes because of my small TP.
3/ I am able to activate the EA a second, or even third time, within a big news release move. I plan on doing this whenever I close on level 1 of my progression. In other words I allow the market volatility to dictate when I should stop. So I treat the progression levels themselves as a kind of filter.
4. Trading only around the news allows me to plan my week.... I can almost guarantee a profit every time I run this EA and as there are usually at least ~3 good market moving news events each week I can probably get at least 5 runs of the EA. Now my setup makes me on average about $100 per run of the EA. Go figure.....
5. Now here is the kicker.....because I am able to schedule these trades - and I am in and out of the market quickly - it means I can use this account for other trading systems in between trading this method.... and so this method makes my account returns super efficient.

So this works out at a return of about 75% p.a., based on the required account size to cover all the progression levels. For some of you this may seem like a small return - but for any full time trader who has been doing this game for real for any length of time - they would be happy to add this little baby to there trading portfolio.... and remember you can trade other systems around this system if you are in and out quickly.

Tim
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