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Super Carry Trade Trading System

  • #481
  • Jun 8, 2008 4:16pm Jun 8, 2008 4:16pm
Quoting BenQ
And you're still trading these pairs in only the swap positive direction? I'm still on the hunt for an ideal basket.

yup...
  • #482
  • Jun 11, 2008 11:15pm Jun 11, 2008 11:15pm
Hi Guys,

Firstly, thanks to Dreamliner for this excellent thread. My question...

Can someone kindly help to confirm whether I have to go long or short on Oanda for USD/JPY to collect the positive swap interest.

Thank You.
Vincent
  • #483
  • Jun 12, 2008 1:04pm Jun 12, 2008 1:04pm
Quoting goldcourse
Hi Guys,

Firstly, thanks to Dreamliner for this excellent thread. My question...

Can someone kindly help to confirm whether I have to go long or short on Oanda for USD/JPY to collect the positive swap interest.

Thank You.
Vincent
I trade thru IBFX, and I need to go long to get the positive swap interest.

Walt
  • #484
  • Jun 12, 2008 1:06pm Jun 12, 2008 1:06pm
How's your account performing with this system thus far, especially regarding the drawdown level?

Do you or any other member have any ideas on how to minimize the drawdown impact?


Thanks,

Walt
  • #485
  • Jun 12, 2008 8:25pm Jun 12, 2008 8:25pm
Quoting jones247
I trade thru IBFX, and I need to go long to get the positive swap interest.

Walt
jones247,

Thanks for the reply. I guess it is to go long for the +ve swap interest.
  • #486
  • Jun 13, 2008 2:37pm Jun 13, 2008 2:37pm
Quoting goldcourse
jones247,

Thanks for the reply. I guess it is to go long for the +ve swap interest.
goldcourse,
Just type in some values to the calculator.
http://fxtrade.oanda.com/tools/fxcal...lculator.shtml

take a look at the interest rates page below, you should be able to work out what pays what...
http://fxtrade.oanda.com/tools/stati...st_rates.shtml

When it comes to bid -vs- ask the easyest what to guess-timate the interest value is to use the one that is not in your favour i.e the one that makes you less money
Attached Image
What if the Hokey Cokey is what its all about?
  • #487
  • Jun 13, 2008 3:21pm Jun 13, 2008 3:21pm
Quoting SvenFoster
When it comes to bid -vs- ask the easyest what to guess-timate the interest value is to use the one that is not in your favour i.e the one that makes you less money
Indeed.
You are paid BID interest (lower one) on the currency on which you are LONG (for example, on USD/JPY long, you are being LONG USD - SHORT JPY) and you pay ASK interest (higher one) on the currency you are being SHORT.
The difference is the positive or negative swap, so if the interest you're getting on the "long" currency is higher than the "short" one, swap will be positive.

As per the table:

LONG USDJPY
LONG USD BID 1.95
SHORT JPY ASK 0.80

difference: 1.95 - 0.80 = 1.15 positive swap on LONG USDJPY


SHORT USDJPY
LONG JPY BID 0.25
SHORT USD ASK 2.50

difference: 0.25 - 2.50 = -2.25 NEGATIVE swap on SHORT USDJPY

The inverse occurs when the interest of the FIRST currency is lower than the interest of the SECOND currency, as is the case in EURGBP or USDCAD.
  • #488
  • Jun 15, 2008 2:08am Jun 15, 2008 2:08am
Quoting SvenFoster
goldcourse,
Just type in some values to the calculator.
http://fxtrade.oanda.com/tools/fxcal...lculator.shtml

take a look at the interest rates page below, you should be able to work out what pays what...
http://fxtrade.oanda.com/tools/stati...st_rates.shtml

When it comes to bid -vs- ask the easyest what to guess-timate the interest value is to use the one that is not in your favour i.e the one that makes you less money
SvenFoster,

Thanks for the useful information.
  • #489
  • Jun 15, 2008 2:10am Jun 15, 2008 2:10am
Quoting doblece
Indeed.
You are paid BID interest (lower one) on the currency on which you are LONG (for example, on USD/JPY long, you are being LONG USD - SHORT JPY) and you pay ASK interest (higher one) on the currency you are being SHORT.
The difference is the positive or negative swap, so if the interest you're getting on the "long" currency is higher than the "short" one, swap will be positive.

As per the table:

LONG USDJPY
LONG USD BID 1.95
SHORT JPY ASK 0.80

difference: 1.95 - 0.80 = 1.15 positive swap on LONG USDJPY


SHORT USDJPY
LONG JPY BID 0.25
SHORT USD ASK 2.50

difference: 0.25 - 2.50 = -2.25 NEGATIVE swap on SHORT USDJPY

The inverse occurs when the interest of the FIRST currency is lower than the interest of the SECOND currency, as is the case in EURGBP or USDCAD.
doblece,

Thanks for explaining how the interest swap works. Very clear now.
  • #490
  • Jun 16, 2008 9:27am Jun 16, 2008 9:27am
Quoting BenQ
And you're still trading these pairs in only the swap positive direction? I'm still on the hunt for an ideal basket.

BenQ and all,

I'm wondering how you're progressing in developing the ideal basket of pairs to trade this? Right now, I'm demoing the GBPJPY and NZDUSD, and just using original rules except for a 100 pip average in for the Kiwi, which of course is in the crapper right now. Any thoughts?


Cheers,
Richard
  • #491
  • Jun 17, 2008 6:49am Jun 17, 2008 6:49am
I'm thinking along the same lines, Richard7 & everyone.
I've been investigating swap rates and especially currency correlations relationship.

It seems to me that a optimum compromise can be found using:

swap rates
correlated factor number
ATR
ATR relationship % daily/week/month - (shows likelyhood of range of retrace or pull-back)
Average-in index
Position sizing
Average-in sizing
Average out sizing (for un-winds which are long on time to retrace)
Anything else that might pop up from this study.

My guess is this needs to be looked at weekly, or maybe ever other.
I just thinking about it at this point.
Spent past weekend learning & gathering data, etc.
Probably won't take a crack at it till this weekend.
Be happy to share result (if any) if anyone interested.

Good luck & good work everyone here.

Peter O
  • #492
  • Jun 17, 2008 11:03pm Jun 17, 2008 11:03pm
This is one of my favorite threads, I always come back here to read the next piece of forex wisdom, seriously, no irony included. Needless to say that I hate indicators since I haven’t seen the reliable one yet.

It seems like one of the latest topic here lately was "to grid or not to grid" because of the spread for each pended trade in the grid, one or more danglers on the top of the ladder, etc, etc.

Here is what I'm gonna do. I'll modify the EA created by Hayseed in a way to remove the grid. So, we start as we normally do with market order let's say with TP=100 and Trailing Stop=30 pips, but no grid. These two parameters of course require optimization, but we are not curve-fitters, are we? J All other Averaging-In and Closing logic stay the same, but also no grid of course.

After that I will run back testing for both EAs let's say for 3 years and see what happens.
  • #493
  • Jul 13, 2008 4:15pm Jul 13, 2008 4:15pm
Greetings all,

I'm having some poeple PM me asking if I still trade this system, the answer is yes. I have been trading this, modifying it slightly to reduce drawdown, and still very successful at it, averaging about 6% per month, which would be over 100% per year when compounding.

So just wanted to check in and say I still love trading this way, it's the most successful I've ever been at trading. Up until this method I was excellent at picking tops and bottoms: I would buy at the very top and sell at the very bottom. Now I average in and don't care which way it goes and know that I'm still profiting.

Thanks all.

Mike
  • #494
  • Jul 13, 2008 6:36pm Jul 13, 2008 6:36pm
Hi Dreamliner,

I would be appreciative if you could share with me the enhancements you have made to your great trading strategy...especially with respect to reducing drawdown.

Thanks,
Bob
  • #495
  • Jul 14, 2008 9:58am Jul 14, 2008 9:58am
Quoting Dreamliner
Greetings all,

I'm having some poeple PM me asking if I still trade this system, the answer is yes. I have been trading this, modifying it slightly to reduce drawdown, and still very successful at it, averaging about 6% per month, which would be over 100% per year when compounding.

So just wanted to check in and say I still love trading this way, it's the most successful I've ever been at trading. Up until this method I was excellent at picking tops and bottoms: I would buy at the very top and sell at the very bottom. Now I average in and don't care which way it goes and know that I'm still profiting.

Thanks all.

Mike

Dreamliner,

Good to hear from you, and thanks again for your excellent method. I have been testing the method using the GBPJPY and NZDUSD. My results so far in about two months of testing have been about 6% per month, just as you have experienced. Pretty good in this slow, sideways market.

Please do share with us your modifications regarding drawdown. Although drawdown for my demo testing period has been small, in backtesting I found that DD could be quite large. Let us know what you have come up with.


Thanks,
Richard
  • #496
  • Jul 14, 2008 9:46pm Jul 14, 2008 9:46pm
Quoting Bobcat2
Hi Dreamliner,

I would be appreciative if you could share with me the enhancements you have made to your great trading strategy...especially with respect to reducing drawdown.

Thanks,
Bob
Am working on that now.
  • #497
  • Jul 14, 2008 10:06pm Jul 14, 2008 10:06pm
Dreamliner,

Would you consider capping your drawdown and increasing the amount of entries? For example, if the market moves 500 pips against you, then close all positions and absorb the losses. Further, instead of buying only when the market moves 200 pips down, buy everytime the market moves 30 pips down.

your thoughts...

Walt
  • #498
  • Jul 14, 2008 10:32pm Jul 14, 2008 10:32pm
Quoting jones247
Dreamliner,

Would you consider capping your drawdown and increasing the amount of entries? For example, if the market moves 500 pips against you, then close all positions and absorb the losses. Further, instead of buying only when the market moves 200 pips down, buy everytime the market moves 30 pips down.

your thoughts...

Walt
Walt, in doing this you are increasing your risk, and increasing the chance of getting above the average quicker. One is bad, the other is good.

For instance, if you purchase every 30 instead of 200, you are risking more chances of "danglers" and thereby increasing your margin usage and risk of blowing the account if the market does not retrace in time to get above your average.

But you are also lowering your average price quicker, thereby making it possible to get out of the trade with a smaller retrace.

So it is really what you are most comfortable with. Personally I would not like to cap drawdown and get out at a huge loss. I would rather develop a method of limiting drawdown initially, which is what I am currently working on and have found a good way to do this. I'm putting it together now.
  • #499
  • Jul 15, 2008 12:17am Jul 15, 2008 12:17am
Quoting Dreamliner
Walt, in doing this you are increasing your risk, and increasing the chance of getting above the average quicker. One is bad, the other is good.

For instance, if you purchase every 30 instead of 200, you are risking more chances of "danglers" and thereby increasing your margin usage and risk of blowing the account if the market does not retrace in time to get above your average.

But you are also lowering your average price quicker, thereby making it possible to get out of the trade with a smaller retrace.

So it is really what you are most comfortable with. Personally I would not like to cap drawdown and get out at a huge loss. I would rather develop a method of limiting drawdown initially, which is what I am currently working on and have found a good way to do this. I'm putting it together now.
I can hardly wait! Much anticipation!

Thanks,
Bob
  • #500
  • Jul 15, 2008 7:54am Jul 15, 2008 7:54am
I have been following/trading (with real money) the SuperCarryTrade/Dreamliner strategy since March 08.
During that time I have increased my portfolio size by an average of 7% per month. March was my worst month with just 4.8% and May the best so far at 12.5% increase.

I have been a full time/professional trader for the past three years. Until I happened upon this strategy I was in the camp of two steps forward, two steps back. I was making money but without any consistency.

I have studied trading strategies from Elliot Wave to Gann Theory, Used chart patterns and Fibonacci Retracement, followed moving averages and various oscillators. In my opinion, the SuperCarryTrade/Dreamliner strategy is superior because all of the aforementioned methods rely upon predicting the market. ( I think price will…. Because of the wave count, gann line, trend line break/bounce, Fib level, EMA5x13 cross or MACD move). With SuperCarryTrade/Dreamliner you are not predicting the market move but reacting to it.

I have made a slight modification to the strategy because it was initially devised using the GBP/JPY cross which is extremely volatile. I am trading the AUD/JPY which moves much less than the original pair so I have decreased the “drops 200” pips to establish a new position. If you check the average ATR of GBP/JPY you will find that it come out around the 200 pip level, however the AUD/JPY registers only about 125. Therefore, the only modification I have made is to establish a new position and trade ladder when the chosen pair drops below the 125 mark. I have maintained the 10 pip take profit ladder even though I know I am giving back 4 pips for ever ten I take, but it just works out easier for me (less math) to do the 10 pip TP with a 5 pip separator on the ladder.


My draw down has never exceeded 20% but I maintain a strict 0.05% NAV position size.

Im not sure if SuperCarryTrade/Dreamliner strategy can be considered the holy grail, but it has the great advantage ,as far as I am concerned, of putting a great deal of logic ( collect interest, trade in only the direction of the long term trend ) into the whole trading game.

Just me two pips worth.

DrZ
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