Balls Of Steel Method

I agree lol just kidding



i dont think the semi-martingale position sizing is about reversing your trades like jackos aunty hedge strategy.... thats not it at all

you need to know for a fact that you aren't going to lose more than X times in a row on your strategy...and if you do you must be prepared to take the loss if the X increasing lot sized trades..... we must adjust to have sufficient capital accordingly......see the so-called semi-martingale as postiion sizing...IE it is nothing more than reverse scaling......

if your sysytem loses more than it wins you can still do great..... IF you know for a fact that you won't lose more than x in a row.....


it can be optimized for even the situation you mention where u have many losses in a row.....

no system is perfect


regards



d

This is Balls of Steel Thread & not Martinagale thread of any sort

ok have fun.....


good luck



see ya........





postion sizing i guess doesnt matter at all..... thats fine

i guess rr is irrelevant too and MM as well



i didnt realize u had it all figured out already my bad


feel free to delete my worthless posts

Hi all,

I have backtested this method with historical data from october 2005 until now:

EUR/CHF return: -863 pips std: 110 max: 277 min: -234 result/(max-min) -1.69
EUR/GBP return: 193 pips std: 122 max: 429 min: -226 result/(max-min) 0.29
EUR/USD return: -2393 pips std: 258 max: 816 min: -495 result/(max-min) -1.82
USD/JPY return: -28 pips std: 227 max: 604 min: -438 result/(max-min) -0.03
GBP/USD return: -971 pips std: 296 max: 851 min: -791 result/(max-min) -0.59
USD/CHF return: -2039 pips std: 319 max: 842 min: -523 result/(max-min) -1.49
AUD/USD return: -109 pips std: 384 max: 685 min: -569 result/(max-min) -0.09
USD/CAD return: -726 pips std: 399 max: 1014 min: -727 result/(max-min) -0.42
EUR/JPY return: -25 pips std: 252 max: 992 min: -552 result/(max-min) -0.02
CHF/JPY return: -707 pips std: 159 max: 619 min: -409 result/(max-min) -0.69
NZD/USD return: 228 pips std: 290 max: 661 min: -499 result/(max-min) 0.20
AUD/JPY return: 1544 pips std: 294 max: 973 min: -657 result/(max-min) 0.95
EUR/CAD return: 23 pips std: 258 max: 586 min: -509 result/(max-min) 0.02
CAD/JPY return: 1579 pips std: 356 max: 924 min: -781 result/(max-min) 0.93
AUD/CHF return: 1399 pips std: 181 max: 350 min: -579 result/(max-min) 1.51
AUD/CAD return: -355 pips std: 225 max: 443 min: -592 result/(max-min) -0.34
GBP/CHF return: 368 pips std: 358 max: 1340 min: -754 result/(max-min) 0.18
NZD/JPY return: 2385 pips std: 247 max: 1112 min: -506 result/(max-min) 1.47
GBP/JPY return: 2917 pips std: 515 max: 1539 min: -1118 result/(max-min) 1.10
EUR/NZD return: 2056 pips std: 655 max: 2247 min: -1283 result/(max-min) 0.58
EUR/AUD return: 1477 pips std: 336 max: 669 min: -1067 result/(max-min) 0.85
AUD/NZD return: 1306 pips std: 201 max: 433 min: -377 result/(max-min) 1.61
GBP/AUD return: -1325 pips std: 362 max: 1103 min: -947 result/(max-min) -0.65
The "return" number shows a linear regression fit through the result data - accumulated results often vary drastically over time so just taking the result at a specific date is pretty much random with lots of pairs. Linear regression is a more robust measure that calculates a linear fit through the data, which does not depend that much on the start/end date.

The remaining numbers show the deviation of actual return curve to this linear fit. The std is the standard deviation of the difference - high for jerky curves, low for near to the line. Min and max are maximum deviations from the linear fit - I did not calculate DD, but min/max show the risk quite well. You should have high return with low std/min/max figures for highest peace of mind. The last number shows this ratio.

Just for comparison, the same with data from the last 10 months:

EUR/CHF return: -345 pips std: 79 max: 248 min: -197 result/(max-min) -0.78
EUR/GBP return: 464 pips std: 85 max: 175 min: -159 result/(max-min) 1.39
EUR/USD return: 350 pips std: 109 max: 277 min: -224 result/(max-min) 0.70
USD/JPY return: 325 pips std: 145 max: 302 min: -286 result/(max-min) 0.55
GBP/USD return: -475 pips std: 222 max: 484 min: -466 result/(max-min) -0.50
USD/CHF return: 610 pips std: 146 max: 393 min: -330 result/(max-min) 0.84
AUD/USD return: 1037 pips std: 205 max: 454 min: -341 result/(max-min) 1.30
USD/CAD return: 1256 pips std: 190 max: 401 min: -413 result/(max-min) 1.54
EUR/JPY return: 133 pips std: 226 max: 835 min: -450 result/(max-min) 0.10
CHF/JPY return: -314 pips std: 175 max: 529 min: -376 result/(max-min) -0.35
NZD/USD return: 883 pips std: 214 max: 567 min: -491 result/(max-min) 0.84
AUD/JPY return: 67 pips std: 274 max: 725 min: -555 result/(max-min) 0.05
EUR/CAD return: 234 pips std: 186 max: 464 min: -395 result/(max-min) 0.27
CAD/JPY return: 1131 pips std: 297 max: 586 min: -763 result/(max-min) 0.84
AUD/CHF return: 103 pips std: 149 max: 341 min: -341 result/(max-min) 0.15
AUD/CAD return: -558 pips std: 147 max: 385 min: -333 result/(max-min) -0.78
GBP/CHF return: 1217 pips std: 378 max: 964 min: -714 result/(max-min) 0.73
NZD/JPY return: 708 pips std: 292 max: 932 min: -609 result/(max-min) 0.46
GBP/JPY return: -332 pips std: 252 max: 1073 min: -593 result/(max-min) -0.20
EUR/NZD return: -107 pips std: 772 max: 1847 min: -1483 result/(max-min) -0.03
EUR/AUD return: -22 pips std: 302 max: 559 min: -576 result/(max-min) -0.02
AUD/NZD return: 467 pips std: 189 max: 396 min: -328 result/(max-min) 0.65
GBP/AUD return: -2 pips std: 436 max: 1004 min: -1029 result/(max-min) -0.00

- Martin

thanks martin for your backtest,

i can see on the results that it is not so good for this system,
so i will be looking for some other trading system
looking allready at the I-Trend indicator,with some interesting developments

So to all....thanks for your inputs and comments,and i think you all showed me that this method was not good,and in the future i hope we are all succesfull

thanks,
hollandpippin

There is a story of a man who had discovered a gold mine and bought equipment and supplies to mine it. Then the vein ran ouit. He sold all his equipment and went home. The person who bought the equipment hired a geologist. He found that the vein had ended due to a ground fault. He suggested to dig forward another 3 feet and the vein would resume.

This is not a comment on this system - but in the tendency of so many to go from system to system.

Let's say we checked at the beginning of 2006, which pairs give a positive result (again lin. regression):
EUR/GBP return: 163 pips std: 44 max: 87 min: -151 result/(max-min) 0.69
CHF/JPY return: 116 pips std: 57 max: 198 min: -202 result/(max-min) 0.29
AUD/JPY return: 532 pips std: 120 max: 288 min: -449 result/(max-min) 0.72
EUR/CAD return: 512 pips std: 183 max: 466 min: -481 result/(max-min) 0.54
CAD/JPY return: 73 pips std: 86 max: 373 min: -300 result/(max-min) 0.11
AUD/CHF return: 927 pips std: 154 max: 339 min: -364 result/(max-min) 1.32
GBP/CHF return: 455 pips std: 128 max: 326 min: -340 result/(max-min) 0.68
NZD/JPY return: 1323 pips std: 195 max: 324 min: -577 result/(max-min) 1.47
GBP/JPY return: 694 pips std: 204 max: 426 min: -651 result/(max-min) 0.64
EUR/NZD return: 980 pips std: 270 max: 989 min: -954 result/(max-min) 0.50
EUR/AUD return: 1045 pips std: 218 max: 497 min: -500 result/(max-min) 1.05

Taking these pairs together from Oct. 2005 up to now gives a net result of 11000 pips



But of course, how stable is this selection...
And the result does not account for spread - assuming 300 trades/pair, for these 11 pairs we get 3300 trades, so with an average 4 pip spread, we are below zero...

If you add to the position during the right times I suspect this system would be positive over a large enough time frame, provided you don't overtrade. Reminds me of the "turtle" system a bit in that there are large periods of drawdown with big short bursts of success.