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Super Carry Trade Trading System

  • #241
  • Mar 8, 2008 11:14am Mar 8, 2008 11:14am
Quoting jones247
Of course the major drawback would probably be with the swap rate that you'd have to pay on the short positions. However, since most of the shorts will have closed out with a tp, only the short dangler will have a swap interest payment. That's not a problem because it'll offset the swap interest receipt from the long position dangler.

Walt
While your point is well made, and is/will be interesting to study, you are describing a system that would be a clear departure from the original intent here. The basis for making money in this system is NOT the 10 pip TPs. That is the gravey. In the bigger scheme, the whole purpose is to make money on the swap. As I said last week, we tend to want to curse those danglers, but we need to understand that is where the money for this system is supposed to come from. You MUST have danglers in this system. The more you have, the merrier, as far as the rules go. So our objective is to wisely manage those based upon our account size and the market conditions. TP on a short will eventually lead to having short danglers, and they will guarantee you a loss over time, as opposed to the original plan, which guarantees you MAKE money over time. It is simple, but it isn't easy. But the money is free and certain if you can tolerate the risk.

That said, your proposal will be of interest to many people at FF if you can show that it actually makes money. If you start a thread and prove it, you will become famous... at least here. I don't want to discourage you from investigating, or from trying to get somebody to help you investigate. But I'm afraid this thread is probably not the place to do it because your are sort of flying against the original intent.

Good luck. I hope to read more about your ideas.
  • #242
  • Edited 11:31am Mar 8, 2008 11:28am | Edited 11:31am
Quoting jones247
Of course the major drawback would probably be with the swap rate that you'd have to pay on the short positions. However, since most of the shorts will have closed out with a tp, only the short dangler will have a swap interest payment. That's not a problem because it'll offset the swap interest receipt from the long position dangler.

Walt
I'm assuming you would close out the short dangler(s) when all the trades are above average price? The disadvantage I see is that the short dangler(s) work against lowering the average price on a big price drop. The flip side is, we're taking profit on the downside. It just would take longer to close the trades and start over. This is like a grid system.

Qman, I agree about the interest. This is the jewel of this system.
  • #243
  • Mar 8, 2008 3:11pm Mar 8, 2008 3:11pm
I have just completed the thread and have a question to work through. How to average down the cost of the danglers?

As I understand it - these are the money makers and the underlying goal of this system is to have as many danglers as possible and use the 10 pip profits to offset the downside risk of the danglers. As I see it in my mind at the moment - if I entered new trades every day for a year I could possibly have over 200 danglers - I get here by setting my trades up at the open of the market every day, which would give me a new dangler everyday. granted market action would keep this number less but I am thinking worst case to see if I can live with the risk. So in a year I sit with 200 danglers (which is really good because they are generating cash) but the market is less than my danglers - Ouch. So the question about lowering the cost of the danglers so that I can sit on them becomes very important. This can only be done through money management because the market is not taking out the danglers with price action. What would work - my mind isn't seeing an answer yet and I wonder if there is one. With this answer this system would effectively become relatively risk free - hopefully a better mind than mine can come up with the answer.
I make money anywhere in the world by taking orders
  • #244
  • Mar 8, 2008 4:00pm Mar 8, 2008 4:00pm
I hope I didn't overstate my point about "wanting as many danglers as possible". They are called danglers because they are above the current market price, and represent an unrealized loss. The ultimate would be to have as much of your money in winning positions, and still earning swap. But you have to be able to see the future to be right all the time. None of us will be right ALL the time.

The system you seek, is really already before you. I think somewhere it was said that in the depth of the unwinding this past August there was something like 24% drawdown by strict rules. That is easily survivable for me, and not for others. Past 50% I would be getting worried. And there are diminishing returns too, because the more money you have sunk into the averaging, the more you lose as the market tanks. So, believe me, I don't think you can play with the rules and positioning and get much better than this. The improvement, in my mind, comes from pacing the market. So you average down less often as price accelerates down. If it goes down at a slower rate, you average down more often. That kind of flexibility might pay off, in my mind.... .... But I admit, I am sometimes so easily persuaded by foolishly by the randomness of the market.
  • #245
  • Mar 9, 2008 2:10pm Mar 9, 2008 2:10pm
hey walt.... next time you talk with your friend, ask him this......

if the goal is to subsidize trades for sake of interest, would it not be better to subsidize our loosing long gbpjpy trades with trades of some other pair also paying positive interest.....

the same ea could trade many different pairs while being attached to only one chart..... so it would be in effect watching multiple pairs..... if the gbpjpy trades were going against the trend the ea could add trades on other positive interest pairs with favorable trend to subsidize those gbpjpy long trades........h
to trade and code, keep both simple... no call to impress....h
  • #246
  • Mar 9, 2008 4:00pm Mar 9, 2008 4:00pm
... Simply brilliant.
  • #247
  • Mar 9, 2008 9:00pm Mar 9, 2008 9:00pm
Quoting Dreamliner
Super Carry Trade Trading System


6.At any time you have more than 1 order open, and the market is above the average price, close all orders (Oanda makes this easy to do).
Dreamliner,

Do you close all orders one by one? Or is there a shortcut to close all order at once?

Thanks!
  • #248
  • Mar 9, 2008 9:58pm Mar 9, 2008 9:58pm
Quoting hayseed
hey walt.... next time you talk with your friend, ask him this......

if the goal is to subsidize trades for sake of interest, would it not be better to subsidize our loosing long gbpjpy trades with trades of some other pair also paying positive interest.....

the same ea could trade many different pairs while being attached to only one chart..... so it would be in effect watching multiple pairs..... if the gbpjpy trades were going against the trend the ea could add trades on other positive interest pairs with favorable trend to subsidize those gbpjpy long trades........h
Hayseed,

Actually, we've been testing the eurusd in conjunction with the usdchf, as they are about 98% anti-correlated. You would not want another currency pair that was correlated because if one goes down, then the likelihood of the other going down is great. When they are anti-correlated, as with the eurusd and the usdchf, then one will go up as the other goes down. Both pay swap interest for long positions. The fundamental problem with the correlated/anti-correlated strategy is that the amount of pips lost from the losing currency pair FAR OUTWEIGHS the interest earned from swap rates. For example, earning swap on the gbpjpy over the course of a year will incur about 720 pips in swap earnings. However, over the same time period the gbpjpy could have a "net" loss of several thousand pips. Please refer to a thread in the discussion forum by Paogeh call "Carry trade for 3 --5 years". Particularly, on post #23 by byorfx... his ytd results are as follows: unrealized p/l = -3,614389; interest = +330.71
  • #249
  • Mar 9, 2008 10:02pm Mar 9, 2008 10:02pm
This is the very reason why I favor the countertrend aspect of earning on the downward trend in 10 pip increments in addition to the traditional 10 pip uptrend. I am respectful that this component may be outside the scope of this thread. Therefore, I will not elaborate on some of the specifics that I'm incorporating to still hedge toward the upside trend. However, if Dreamliner wishes to entertain such discussions, then I'd be happy to share.

BTW, how come Dreamliner hasn't posted anything in a while?

Walt
  • #250
  • Mar 9, 2008 10:17pm Mar 9, 2008 10:17pm
Quoting 34107
Dreamliner,

Do you close all orders one by one? Or is there a shortcut to close all order at once?

Thanks!
On OANDA, you can close all the open trades in one click by clicking on the 'Positions' tab, then clicking anywhere on the GBP/JPY row. A popup window will ask you if you want to close out GBP/JPY. Select 'OK' to close all open GBP/JPY trades.

Warning: If you have other G/J that are not associated with this system, they will be closed also.

Glen
  • #251
  • Mar 10, 2008 12:44am Mar 10, 2008 12:44am
Guys...this sounds pretty fabulous. It took some deep concentration to get it, but I think now I got it.

It is late though so I will check in later. I look forward to following this with you.
"Keep your eyes on the helpers" - Mr. Rogers
  • #252
  • Mar 10, 2008 10:26am Mar 10, 2008 10:26am
Quoting jones247

BTW, how come Dreamliner hasn't posted anything in a while?

Walt
My guess is, he wasn't especially interested in the EA development, and is happy trading his original rules. I don't know if he looks at this thread anymore or not. As you probably read, this system was adapted from one he found on another Forum, and that one has months and months of posts and a very devoted following. He might just be hanging out over there... If you really want to find him. You can also try sending him a PM.
  • #253
  • Mar 10, 2008 12:01pm Mar 10, 2008 12:01pm
hey walt..... thanks.... just read those posts you mentioned and that supports my reluctance to trade against the trend.....

from the fwiw depatment,,,,,, just opened another account for foward testing, might take a day for the account to become active.....

i'll place 4 ea's in it ..... timefreedoms, dreamliners version of timefreedoms, along with 2 of mine, spiderman and superman.....

will figure out a place to posts the results so as not to clutter this thread.....

line'em up and let's play......h
Attached Image (click to enlarge)
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to trade and code, keep both simple... no call to impress....h
  • #254
  • Mar 10, 2008 12:41pm Mar 10, 2008 12:41pm
Quoting hayseed
i'll place 4 ea's in it ..... timefreedoms, dreamliners version of timefreedoms, along with 2 of mine, spiderman and superman.....

will figure out a place to posts the results so as not to clutter this thread.....

line'em up and let's play......h

Looking forward to it...

Walt
  • #255
  • Mar 10, 2008 2:23pm Mar 10, 2008 2:23pm
hayseed,

What is that last equity curve of? Will you be posting spiderman and superman?
  • #256
  • Mar 11, 2008 1:24pm Mar 11, 2008 1:24pm
hey jeta.... that graph is a slight version of the same ea...... i was just trying a new way to keep it under control, hence the name on the graph..... when allowing the ea to have full control over the moneymanagement, if it ever takes off it will ramp up aggressively..... it's a precentage thing.....

that precentage controll is all well and good untill the trend turns..... it takes about 30 days for the ea to see that trend change and get out, all the while those last positions can be moving agressively against you.....

still undecided about posting anything else, the inability to edit posts, or at least edit attachments, annoys me..... really annoys me..... h
Attached Image (click to enlarge)
Click to Enlarge Name: new way.gif Size: 29 KB
to trade and code, keep both simple... no call to impress....h
  • #257
  • Mar 11, 2008 4:47pm Mar 11, 2008 4:47pm
Hayseed.... Come on man! ... If you post an EA here that lets me grow an account from, what.... $3000? to 2.2 million, in -- less than 2 years is it?, I PROMISE I won't curse you when I then see an $800K downturn in my account balance .... As for others whinners, the day my account goes over $1million, I will personally pay for your continuous protection from any deranged person that wants to blame you for a 35% account drawdown.

So, whadoyasay, buddy? Deal, or no deal? Hhhhhmmmm?

Your stuff looks bloody good my man. Some day you are going to have to start a thread on your Superman/Spiderman thingys.... It keeps coming up, and I'm sooooo curious. In the meantime, I hope you get confident enough with what you are tweaking that you'll let us get our hands on at some point. I mean... I promise to do nano positions to start.... really, I PROMISE....

Oh, by the way. I do believe if you originate a thread, you can continuously edit the original/lead posting.... So, if that is the case, that would be a way to maintain some control. The best way of see to handle this is to just put a link in that first post to skip to the point in the discussion with your latest change and the associated explanation.
  • #258
  • Mar 12, 2008 9:54am Mar 12, 2008 9:54am
hey qman.... one way to improve almost any equity curve is to observe the weekly and monthly trends..... if a true trend exists, set your profit targets at the average monthly range in pips but also place a trailing stop to start at 1/2 or 1/3 the monthly range...

if the average monthly range in pips is 600, we might start the trailing stop at 200..... check the average monthly range of the gbpjpy......

for the averaged down orders, using something like psar to set the " AddLotsThreashold " can set threashold according to the trend.... so if the weekly or monthly trend is down we would add additional averaged down orders only at levels much lower than the -100, such as dreamliner suggested..... and if the trend was favorable we would add averaged down orders at values accordingly.....


similarly, the actual lots value could be adjusted to be heavy when the trend is up and light when trend is down or unknown.....

the bottom line tends to improve when we backoff and look at the big picture, which should reflect the thoughts of those with a true grasp of economics..... ain't no hayseeds moving that monthly chart up and down.....

the metastock fourm has kinda spoiled me..... over there i have almost unlimited abilities..... it helps...... i'll look into your suggestion about starting a thread..... it will be in the beginner section......h
Attached Image (click to enlarge)
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to trade and code, keep both simple... no call to impress....h
  • #259
  • Mar 12, 2008 10:07am Mar 12, 2008 10:07am
Very good reasoning. I like the cut of your jib, man. Do you use the same handle over at Metatrader? Is that the MT4 dot com place, or someplace else?

Would you mind if I quoted your post here in another thread? I think you know the one. We're just getting started conversing on optimization. I think this would give some folks good perspective over there.

Thanks for sharing. I presume this is the basic thinking behind Superman and Spiderman... or whatever you are calling them (no disrespect).
  • #260
  • Mar 12, 2008 12:20pm Mar 12, 2008 12:20pm
hey qman.... i was refering to metastock, which is equis's /reuters program..... over there i'm group manager of one of the special interest groups.....

feel free to quote anything...... and yes, i'm hayseed on almost every internet fourm involving finance, stocks, options, forex or any other way of losing money......h
to trade and code, keep both simple... no call to impress....h
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