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Super Carry Trade Trading System

  • #61
  • Edited 12:39pm Feb 18, 2008 10:55am | Edited 12:39pm
Dreamliner, I'd love to backtest all of January. Would you please ask my wife to let me do it You see, she doesn't even know I'm fiddling with FOREX. I'm trying to win enough to convince her that I can do it. First I have to convince myself though. But this is why EAs are so important to me. I really need to be able to set and forget, because who knows when I'll have some private time. If I got a full blessing I'd be writing my own EAs, and I'd make my services available to others like Hayseed here. But I just can't get the time alone to make it happen right now. So, I will try to get the rest of January done, but it could literally be a couple of days before I get a chance.
  • #62
  • Feb 18, 2008 1:46pm Feb 18, 2008 1:46pm
hello Hayseed, Can you attach your EA please' thank you
  • #63
  • Feb 18, 2008 2:50pm Feb 18, 2008 2:50pm
hey faust..... still workin on it..... tryin to code out the pain of the august 07 drawdown..... some might say such situations only come along once a year but then so does april 15th..... and hayseeds have such a low tolerance for pain.....

just lookin at makes me wanna cry......h
Attached Image (click to enlarge)
Click to Enlarge Name: painted timefreedom.gif Size: 22 KB
to trade and code, keep both simple... no call to impress....h
  • #64
  • Feb 18, 2008 4:40pm Feb 18, 2008 4:40pm
No problem, Qman, I understand the time crunch and appreciate the backtesting you've done so far.

Personally I don't think EA's are the way to become profitable in Forex trading, but everybody has their different methods, and I'm quite sure there are indeed some EA's that are profitable. They just aren't for me right now.

Quoting Qman
Dreamliner, I'd love to backtest all of January. Would you please ask my wife to let me do it You see, she doesn't even know I'm fiddling with FOREX. I'm trying to win enough to convince her that I can do it. First I have to convince myself though. But this is why EAs are so important to me. I really need to be able to set and forget, because who knows when I'll have some private time. If I got a full blessing I'd be writing my own EAs, and I'd make my services available to others like Hayseed here. But I just can't get the time alone to make it happen right now. So, I will try to get the rest of January done, but it could literally be a couple of days before I get a chance.
  • #65
  • Feb 18, 2008 4:42pm Feb 18, 2008 4:42pm
I doubt this drawdown would have been more than 10% with my rules.

Quoting hayseed
hey faust..... still workin on it..... tryin to code out the pain of the august 07 drawdown..... some might say such situations only come along once a year but then so does april 15th..... and hayseeds have such a low tolerance for pain.....

just lookin at makes me wanna cry......h
  • #66
  • Feb 18, 2008 4:45pm Feb 18, 2008 4:45pm
Hi Hoef,

Good question. If you only have 1 trade open, yes the effect of interest (carry trade) is negligible. However, with this system we can get as many as 20-30 open trades (danglers) which makes the effect of carry trading huge. The point is, we make double digit profits with carrying, we make triple digit gains with the buy stops. Either way is fine.

Quoting Hoef
hey dreamliner, with only 0.05% of available capital as trade size, isn't the effect of the "carry trade", the interest, negligible?

For example, with $10k in the account, a position is only 130 units .... or am I missing something?
  • #67
  • Feb 18, 2008 4:51pm Feb 18, 2008 4:51pm
Right on, Qman! Good thoghts here. I am running right at 100%/year right now with this method. I expect it to increase, of course, as the lot sizes increase with the increasing balance.

Quoting Qman
Well, as a very small example check this out. Early this month I had a micro position in GBPJPY of .03, which was holding $1.50 of my margin. That position was held through the close of the NY session and so it earned swap of 8 cents. That is what I get for holding the position Monday, Tuesday, Thursday or Friday. On Wednesday, they pay out for the weekend as well, so on that day I would receive 24 cents. 8 Cents on $1.50 is 5.33%. 24 Cents on $1.50 is 16%. In a week therefore, I could earn 37.33% of whatever amount I put at risk in margin.

So, by my calculation, if you had a $1000 account, and you were taking a 1/2% position (.005), the standard swap earned would be just under 18 cents. For a week the total swap earnings would be about $1.24. If you didn't earn anything but this for a year straight, and didn't increase your trade size at all; your return just from the swap for the year would be $64.71... or a 6.47% return.

That beats what I can earn in a bank here. But put that on top of the further winning advantage Dreamliner's system promises, with increasing trade sizes as your account grows (and hence increasing swap earnings) and I think you could end up with a pretty staggering return.

In the end, that 6%+ is a bit small compared to what the grid part of this system is going to potentially earn. Still, it is because of the large swap payment that we choose this pair, and expect the market to continue in the direction of the favorable swap from a fundumental standpoint.

You would know to move out of this pair when the swap dropped "enough". What is enough? Well, we haven't had that discussion yet. I think it can only be evaluated relative to other major pairs that might be available. Right now on IBFX this pair is the best by far. Next in line is NJ, then AJ, and then GBPUSD.

I'm not an expert at this - still learning. So I hope I've gotten this correct, and I hope it helps those reading here understand better. When we get an EA up and running we will be able to backtest and see if a position larger than .005 is likely to blow up our accounts or not. It may be possible to trade with a higher percentage successfully. In the meantime, it is still possible to trade with a higher percentage --- Just realize that you are leaning much more towards gambling (and not very professionally, I might add), not trading.
  • #68
  • Feb 18, 2008 7:45pm Feb 18, 2008 7:45pm
Quoting Dreamliner
Hi Hoef,

Good question. If you only have 1 trade open, yes the effect of interest (carry trade) is negligible. However, with this system we can get as many as 20-30 open trades (danglers) which makes the effect of carry trading huge. The point is, we make double digit profits with carrying, we make triple digit gains with the buy stops. Either way is fine.
Yeah agree ... though I'd like to see some back testing data on that especially since 1% is used before. How many "danglers" do you have on average for the months you been trading this system?
  • #69
  • Feb 18, 2008 8:04pm Feb 18, 2008 8:04pm
I had nearly 30 at one time, that was the most I've had, but that was the hybrid system I was trading before this. In the other system, I believe Knightrider said he had 22 max. I am being very conservative with .5 percent, I'm sure others would use higher.

Quoting Hoef
Yeah agree ... though I'd like to see some back testing data on that especially since 1% is used before. How many "danglers" do you have on average for the months you been trading this system?
  • #70
  • Feb 18, 2008 8:13pm Feb 18, 2008 8:13pm
This has been one of the most enjoyable threads .. tx! I am a n00b when it comes to automated trading, assuming that what EA is. What platform does that work on, will it work with OANDA too?
  • #71
  • Feb 18, 2008 8:17pm Feb 18, 2008 8:17pm
EA's only work on MT-4 brokers, and Oanda is not an MT-4 broker. IBFX is and there are many more that you can find as well. I like Oanda because of small spreads, ease of platform use, and excellent customer support (via live chat).

Quoting Hoef
This has been one of the most enjoyable threads .. tx! I am a n00b when it comes to automated trading, assuming that what EA is. What platform does that work on, will it work with OANDA too?
  • #72
  • Feb 18, 2008 8:24pm Feb 18, 2008 8:24pm
Quoting Dreamliner
EA's only work on MT-4 brokers, and Oanda is not an MT-4 broker. IBFX is and there are many more that you can find as well. I like Oanda because of small spreads, ease of platform use, and excellent customer support (via live chat).
ok .. tx! Though your method does requires a lot of order entry :-)
  • #73
  • Feb 18, 2008 8:25pm Feb 18, 2008 8:25pm
Quoting Hoef
ok .. tx! Though your method does requires a lot of order entry :-)
Yes it surely does. It takes me a good 5 minutes each and every day!
  • #74
  • Feb 18, 2008 8:25pm Feb 18, 2008 8:25pm
I backtested from 07.20.07 to 08.27.07 and as you can see by the chart, we survived by using original carry strategy. Initially we had an unwind starting 07.23.07, which closed above the Avg. Price Line (242.08) on 08.08.07. The second unwind started immediately on 08.08.07 and closed above Avg. Price Line (232.80) on 08.24.07.

Edit: You would have incurred an Absolute Drawdown of 213.69 (21%) on $1,000.00 initial deposit during this August '07 unwind. No too bad in my opinion.

Quoting hayseed
hey faust..... still workin on it..... tryin to code out the pain of the august 07 drawdown..... some might say such situations only come along once a year but then so does april 15th..... and hayseeds have such a low tolerance for pain.....

just lookin at makes me wanna cry......h
Attached Image (click to enlarge)
Click to Enlarge Name: [ea]_aphids_aug07_unwind_01.gif Size: 13 KB
  • #75
  • Feb 18, 2008 8:28pm Feb 18, 2008 8:28pm
Quoting TimeFreedom
I backtested from 07.20.07 to 08.27.07 and as you can see by the chart, we survived by using original carry strategy. Initially we had an unwind starting 07.23.07, which closed above the Avg. Price Line (242.08) on 08.08.07. The second unwind started immediately on 08.08.07 and closed above Avg. Price Line (232.80) on 08.24.07.
Time Freedom, thanks for this; any chance of seeing what the difference would be with the buy stops, and the .05%?
  • #76
  • Feb 18, 2008 8:38pm Feb 18, 2008 8:38pm
Waiting for Hayseed's EA to do an extensive backtest comparison.

TimeFreedom

Quoting Dreamliner
Time Freedom, thanks for this; any chance of seeing what the difference would be with the buy stops, and the .05%?
  • #77
  • Feb 19, 2008 2:23am Feb 19, 2008 2:23am
thank you very much to Dreamliner for this interesting threat, and Timefreedom, for his EA. I'm thinking, may be a 200 ma can be a good filter? only new trades if price is above 200 ma.
What are you thinking about?
  • #78
  • Feb 19, 2008 6:57am Feb 19, 2008 6:57am
hey timefreedom..... a 3200 pip drop in 20 days is a stiff drink.... and your ea survived it with no loss while being long only..... that's a tall order and the very reason i've admired your ea's logic.....

it took a while for me to see the thought behind closing all positions when you were at breakeven and then just open a new position.... your chart shows the neccessity of that "close all at breakeven"..... and thank goodness for that brief 2 day breather in that drop, cause without it ,,,,,????......


surviving the drawdown vs avoiding the drawdown , not sure which is better..... sometimes trying to avoid things can work against us...... still studing on it.....h
to trade and code, keep both simple... no call to impress....h
  • #79
  • Feb 19, 2008 7:41am Feb 19, 2008 7:41am
Impossible to avoid draw-down entirely. The best we can do is minimize its effects.

Quoting hayseed
hey timefreedom..... a 3200 pip drop in 20 days is a stiff drink.... and your ea survived it with no loss while being long only..... that's a tall order and the very reason i've admired your ea's logic.....

it took a while for me to see the thought behind closing all positions when you were at breakeven and then just open a new position.... your chart shows the neccessity of that "close all at breakeven"..... and thank goodness for that brief 2 day breather in that drop, cause without it ,,,,,????......


surviving the drawdown vs avoiding the drawdown , not sure which is better..... sometimes trying to avoid things can work against us...... still studing on it.....h
  • #80
  • Feb 19, 2008 7:44am Feb 19, 2008 7:44am
Quoting Faust
thank you very much to Dreamliner for this interesting threat, and Timefreedom, for his EA. I'm thinking, may be a 200 ma can be a good filter? only new trades if price is above 200 ma.
What are you thinking about?
You will lose much profit and will not avoid as much drawdown doing it that way. This morning I have already taken 1% profit on the pull back of the 250 pip drop of GBP/JPY last night, which I would not have taken with a 200 ma filter. Multiply that by several times every week and you have a huge loss in profit and a much larger drawdown.
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