Super Carry Trade Trading System

Quoting scottyb159

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Very basic QUestion - How do you what .05% of NAB is? Assuming not using Oanada, with initial $10k in account, what would you buy?

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Quoting SedonaPipper

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If you take a profit on the very first entry of your ladder during the day you will end up with a dangler with a take profit trade associated with it - so the next day the market opens lower and you enter another ladder - now the question about how to build this ladder and average down the dangler seems to be confusing - my thought is to enter 2 orders at the lower price and rebuild the ladder taking profit on one position and leaving the other to actually average down your higher dangler. Then the question becomes how high do you build the second ladder - just to the first dangler or higher? if you go just to the first dangler you now have a postion at a lower price -and no danglers - the other side you miss out on a profitable run of price above your first dangler - this then becomes a question of risk tolerence. the other scenario is you end up with a dangler lower than your first dangler and then have to rebuild the ladder again using 2 orders from the lower price. Just a thought to work through. Eventually you will end up with a lot of danglers above your current price unless I am missing something in my thought process.

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Quoting gnllr

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I've been following the original thread at another forum too. This post from tiklado caught my eye:

I haven't gone back that far yet in my price history study, but I think it's not likely for G/J to move 35,000 pips (or 15,600 or 9,000 even) without a significant retracement.

However, it does raise a few questions. How far, using 0.5% Net Asset Value trade sizes, can the market drop without a retracement and not have a margin call (or other 'uncomfortable' level of drawdown).

Fxknighttrader, on the other forum, originally traded 1% NAV, 100 pip drops, on two currency pairs since Dec 2005 and was able to withstand the drops since then (though he did switch to 0.5% NAV, and 200 pip drops like Dreamliner's method here).

I like Timefreedom's idea of hedging all the long trades with one big short trade if the DD is at a certain level, but OANDA will not let you do this.

So I'm thinking about ways to eliminate more danglers, like using the ladder of pending orders, but when the price drops a certain amount below the topmost dangler, then I'll not use the pending orders. I don't know yet what that level is. At some point the dollar and the pound have to bottom out and then we're in business again for a while. Any thoughts or suggestions?

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Quoting TimeFreedom

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It's only a matter of time before we have an unwind that no matter how much averaging-in we do our accounts will not be funded adequately to wait long enough for a retracement, therefore hedging at a predefined DD level is important. IMO if you miss one average-in opportunity while in an unwind it can be the difference of closing all open buy trades on a small retrace vs. having to continue averaging-in because we missed an opportunity. IMO learning how to sustain an unwind while hedged is the key to making a ton of money with this strategy.

Again, what I have realized is that once my account is in 10-15% equity DD I will hedge with one sell trade equivalent to all my open buy trades, and then on a daily basis open sell trades half the size of my original buy trade lot size with 100 pip trailing stop. Once price heads back up past the original hedge open price we can use a 200 pip SL on the sell hedge order, which will get us out of the hedge and hopefully back up to the average open price. Not 100% sure here, but my thoughts is once the sell hedge is stopped out we can begin to average-in again back to the average price.

Please feel free to question what I have written because this is how we learn best.

TimeFreedom

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   if((iClose(NULL,0,1) > iSAR(NULL,43200,psarfirstvalue,psarsecondvalue,1)) )       {monthpsarbuy  = true;}        else {monthpsarbuy  = false;}
       if((iClose(NULL,0,1) < iSAR(NULL,43200,psarfirstvalue,psarsecondvalue,1)) )       {monthpsarsell = true;}        else {monthpsarsell = false;}
 
 
if(monthpsarsell)   {AddLots    = addlots;}      else {AddLots   = AddLotsThreashold;}
 
 
//--------------or to vary with a moving average--------------------
 
 
     double fast        = iMA(NULL, 1440, fastmaperiods, 0,  fastmethod, fastprice, 1); // 
     double fast2       = iMA(NULL, 1440, fastmaperiods, 0,  fastmethod, fastprice, 2); //   
 
     double AddLots;
 
     if((iClose(NULL,0,1) < fast))   {AddLots    = addlots;}      else {AddLots   = AddLotsThreashold;}
 
//-------------------------you would edit the average down  line------------------
 
bool BelowByThreashGood=false;
if((MarketInfo(Symbol(),MODE_BID) - LtWtAveragePrice())<= AddLots*Point){BelowByThreashGood=true;}
 
 
//----------------------------to vary lots--------------------
 
double lotsvalue = 0.0;
     if((iClose(NULL,0,1) > fast)) {lotsvalue = 0.01;} else {lotsvalue = 0.0;}
 
//-----------------------------edit this line to add lotsvalue-------------------------
 
ticket=OrderSend(Symbol(),OP_BUY,LotsOptimized() + lotsvalue,NormalizeDouble(Ask,Digits),Slippage,0,NormalizeDouble(Ask,Digits)+TakeProfit*Point,EAComment,MagicNumber,0,RoyalBlue);

Quoting hayseed

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hey kman..... the lack of edit ability has me concerned about posting attachments.... metastock code is very different than metatrader code, so it would not have much benefit over there...... still studying on how best to procede......


hey walt.... if your using timefreedoms ea, you can add something like the code below which will allow for the "AddLotsThreashold" to be varied to match current conditions....



the lots value can be varied in a similar fashion, this would be in addition to the mm control.... .... my backtests suggest lots should be increased in up trends and lowered to bare minimum in downtrends..... with trend being defined using the monthly chart.....

the screaming starts when the rollercoaster breaks over the top...... ie, rsi falls below 50.....h

Inserted Code

 
 
   if((iClose(NULL,0,1) > iSAR(NULL,43200,psarfirstvalue,psarsecondvalue,1)) )       {monthpsarbuy  = true;}        else {monthpsarbuy  = false;}
       if((iClose(NULL,0,1) < iSAR(NULL,43200,psarfirstvalue,psarsecondvalue,1)) )       {monthpsarsell = true;}        else {monthpsarsell = false;}
 
 
if(monthpsarsell)   {AddLots    = addlots;}      else {AddLots   = AddLotsThreashold;}
 
 
//--------------or to vary with a moving average--------------------
 
 
     double fast        = iMA(NULL, 1440, fastmaperiods, 0,  fastmethod, fastprice, 1); // 
     double fast2       = iMA(NULL, 1440, fastmaperiods, 0,  fastmethod, fastprice, 2); //   
 
     double AddLots;
 
     if((iClose(NULL,0,1) < fast))   {AddLots    = addlots;}      else {AddLots   = AddLotsThreashold;}
 
//-------------------------you would edit the average down  line------------------
 
bool BelowByThreashGood=false;
if((MarketInfo(Symbol(),MODE_BID) - LtWtAveragePrice())<= AddLots*Point){BelowByThreashGood=true;}
 
 
//----------------------------to vary lots--------------------
 
double lotsvalue = 0.0;
     if((iClose(NULL,0,1) > fast)) {lotsvalue = 0.01;} else {lotsvalue = 0.0;}
 
//-----------------------------edit this line to add lotsvalue-------------------------
 
ticket=OrderSend(Symbol(),OP_BUY,LotsOptimized() + lotsvalue,NormalizeDouble(Ask,Digits),Slippage,0,NormalizeDouble(Ask,Digits)+TakeProfit*Point,EAComment,MagicNumber,0,RoyalBlue);

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Quoting gnllr

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Are you currently using this hedging technique with your Aphid EA? (Or turning off the EA and then hedging?) Those performance numbers from 1997 to the present (using Ryan MM) didn't include the hedge. Do you know what the performance for this combination would be?

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if(HourGood && ScanOpenOrders()>0 && PriceAboveGood && openday!=DayOfYear()){CloseTrade=true;}//close for swap prof.   //

Quoting hayseed

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hey timefreedom.... we would not be reducing the lot size in the drawdown per se....

in a drawdown period, as defined in the chart, all control is turned back over to your ea's rules .... so all values would revert to your math.....

in an uptrend, again as defined by the chart, the extra bit of code would add a pinch more lots to the averaged down orders.... this in effect would lower the average..... for those of you that have not looked at timefreedoms math, it's not really the average but a lotweighted average.....

so if our inital lot size is 0.01 and the averaged down order has a lot size of 0.02, the amount of retrace need is smaller.... the obvious downside is that if it does not retrace you will have 0.03 lots hanging over your head.... that's why it must only be used in uptrends.... backtests seem to show it's favorable.....

we could add lots to both both the inital order and the averaged down orders in differing amounts in times with high probability of success.... backtests here again seem favorable....

i had also taken out the 'HourGood' out of this line.... there are times when the average lotweighted price is hit but the market falls back before the hour() is true so the group will not close..... can't remember the outcome.....h

Inserted Code

 
if(HourGood && ScanOpenOrders()>0 && PriceAboveGood && openday!=DayOfYear()){CloseTrade=true;}//close for swap prof.   //

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Quoting hayseed

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i had also taken out the 'HourGood' out of this line.... there are times when the average lotweighted price is hit but the market falls back before the hour() is true so the group will not close..... can't remember the outcome.....h

Inserted Code

 
if(HourGood && ScanOpenOrders()>0 && PriceAboveGood && openday!=DayOfYear()){CloseTrade=true;}//close for swap prof.   //

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