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Super Carry Trade Trading System

  • #501
  • Jul 15, 2008 12:50pm Jul 15, 2008 12:50pm
Here is example scenario 10k account:

Open with $2000 position

Price: 7700 PT 7715 BUY LIMIT 7725 PT 7740 BUY LIMIT: 7750 and so on.

Let's say first position PT hit second not;

I now have 1 position at 7725 and current ATR(10) is 100

At 7625 price (1 atr(10) below average) I open $1000 position with PT +15 and buy limit + 25 (7650) etc.

If overnight first position at 7625 hits PT and only original 7725 position is open and price is 1 ATR(10) below average price, I open new position with PT 15 and new buy limits ( position sizes 1/2 original.

This method should only when hell freezes over have danglers I believe.

I hope this is all clear enough.[/quote]

ftraderx,

Thanks for sharing Your ideas.
Sorry, but I still don't get how You get rid of danglers in the way You described.
When the price hits Your BUY LIMIT order and then retraces down without hitting PT, You have a dangler. Thus 7725 is a dangler.
Next day at 7625 You open position with PT+15 and limit buy at +25. Let's say, price goes up to 7635 and then goes down again. Now You have another dangler at 7635.
This way You accumulate danglers easily on the carry unwinds. Of course, You can possibly kill them later, when price goes up more than ATR range, but until then You keep danglers.
Or am i wrong? please explain. Thank You.
  • #502
  • Jul 15, 2008 1:02pm Jul 15, 2008 1:02pm
Quoting kvzambo
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
Is it 0,05% or 0,5% NAV?
  • #503
  • Jul 15, 2008 2:07pm Jul 15, 2008 2:07pm
sorry. that should be 0.5% NAV
  • #504
  • Jul 15, 2008 2:20pm Jul 15, 2008 2:20pm
Quoting kvzambo
sorry. that should be 0.5% NAV
OK, I thought so. I trade 0,5% NAV (leverage 50), too. I am afraid to trade higher positions without SL.
just one question: are You making those profits with one pare AUD/JPY on this strategy only, or there is something more?
Thanks.
  • #505
  • Jul 15, 2008 2:40pm Jul 15, 2008 2:40pm
LTU,

I'm confused... I don't understand theTP and Limt order relationships...

Walt
  • #506
  • Jul 15, 2008 2:58pm Jul 15, 2008 2:58pm
LTU,

Can you please explain your method a little more clearly...

Walt
  • #507
  • Jul 15, 2008 4:49pm Jul 15, 2008 4:49pm
I'll have to admit I scaled back some and am carrying 20 1KLOTS of Nzd/JPY
I should have bought that NZD/USD at .75 I told my dad to buy a boat load there he didnt.

Ive got less than 10 1K GJ lots spread from 211.75 down to 210.00.
I made a killing on todays wild runs scalping. Yeah I have 1000 pips of GJ drawdown and banked 100 pips or more by far a good day.

Expect GJ to go soaring back up. You know she will try to look back and she if she ever didnt

But where most traders error is by judging the present through the eyes of the past.

Analysis doesn't matter to some but it sure tells me where to concentrate my orders.
  • #508
  • Jul 15, 2008 10:03pm Jul 15, 2008 10:03pm
Does anyone understand LTU's explanation on how to avoid the danglers? I tried, but it just does not make sense to me...

Walt

Quoting LTU
Here is example scenario 10k account:

Open with $2000 position

Price: 7700 PT 7715 BUY LIMIT 7725 PT 7740 BUY LIMIT: 7750 and so on.

Let's say first position PT hit second not;

I now have 1 position at 7725 and current ATR(10) is 100

At 7625 price (1 atr(10) below average) I open $1000 position with PT +15 and buy limit + 25 (7650) etc.

If overnight first position at 7625 hits PT and only original 7725 position is open and price is 1 ATR(10) below average price, I open new position with PT 15 and new buy limits ( position sizes 1/2 original.

This method should only when hell freezes over have danglers I believe.

I hope this is all clear enough.
ftraderx,

Thanks for sharing Your ideas.
Sorry, but I still don't get how You get rid of danglers in the way You described.
When the price hits Your BUY LIMIT order and then retraces down without hitting PT, You have a dangler. Thus 7725 is a dangler.
Next day at 7625 You open position with PT+15 and limit buy at +25. Let's say, price goes up to 7635 and then goes down again. Now You have another dangler at 7635.
This way You accumulate danglers easily on the carry unwinds. Of course, You can possibly kill them later, when price goes up more than ATR range, but until then You keep danglers.
Or am i wrong? please explain. Thank You.[/quote]
  • #509
  • Jul 16, 2008 12:41am Jul 16, 2008 12:41am
Quoting LTU
Here is example scenario 10k account:

Open with $2000 position

Price: 7700 PT 7715 BUY LIMIT 7725 PT 7740 BUY LIMIT: 7750 and so on.

Let's say first position PT hit second not;

I now have 1 position at 7725 and current ATR(10) is 100

At 7625 price (1 atr(10) below average) I open $1000 position with PT +15 and buy limit + 25 (7650) etc.

If overnight first position at 7625 hits PT and only original 7725 position is open and price is 1 ATR(10) below average price, I open new position with PT 15 and new buy limits ( position sizes 1/2 original.

This method should only when hell freezes over have danglers I believe.

I hope this is all clear enough.
ftraderx,

Thanks for sharing Your ideas.
Sorry, but I still don't get how You get rid of danglers in the way You described.
When the price hits Your BUY LIMIT order and then retraces down without hitting PT, You have a dangler. Thus 7725 is a dangler.
Next day at 7625 You open position with PT+15 and limit buy at +25. Let's say, price goes up to 7635 and then goes down again. Now You have another dangler at 7635.
This way You accumulate danglers easily on the carry unwinds. Of course, You can possibly kill them later, when price goes up more than ATR range, but until then You keep danglers.
Or am i wrong? please explain. Thank You.[/quote]

Example scenario with 10k account is written by ftraderx on page 31. I didn't understand the logic of it, so I posted my question below. But I did in a wrong way, so it looks like my posting instead of ftraderx. Sorry for the confusion.
Anyway, I would appreciate if ftraderx could explain about how he gets rid of danglers, which are number one problem in the strategy like this, since they are accumulating on the carry unwinds.
Thanks.
  • #510
  • Edited 4:11am Jul 16, 2008 4:10am | Edited 4:11am
LTU

The original method doesn't have a profit target when you open a position after price falls. It does however have a buy limit grid with profit targets. This means you could have 2 positions opened if the buy limit is hit above position you opened and profit target on buy limit doesn't close trade. This is an extra dangling position. By putting a profit target on position you open on price fall, you insure only one position total will be added because if the price moves up, the PT will close the position before the next buy limit is opened.

I don't think you understand how the method is originally explained or you would be able to recognize the difference. Maybe if you read and understand original method again and then apply the idea that all opened positions will have a profit target. Then you may see what danglers are eliminated.

The old profit targets are adjusted for TOTAL POSITION breakeven the next day if a new lower buy down position is opened of course. At some point in the future, I'll try to explain the whole concept the way I have been using it successfully since May 15 2008.

Hope it is more clear.
  • #511
  • Jul 16, 2008 4:32am Jul 16, 2008 4:32am
Quoting ftraderx
LTU

The original method doesn't have a profit target when you open a position after price falls. It does however have a buy limit grid with profit targets. This means you could have 2 positions opened if the buy limit is hit above position you opened and profit target on buy limit doesn't close trade. This is an extra dangling position. By putting a profit target on position you open on price fall, you insure only one position total will be added because if the price moves up, the PT will close the position before the next buy limit is opened.

I don't think you understand how the method is originally explained or you would be able to recognize the difference. Maybe if you read and understand original method again and then apply the idea that all opened positions will have a profit target. Then you may see what danglers are eliminated.

The old profit targets are adjusted for TOTAL POSITION breakeven the next day if a new lower buy down position is opened of course. At some point in the future, I'll try to explain the whole concept the way I have been using it successfully since May 15 2008.

Hope it is more clear.

ftraderx,

Yes, it is more clear. Thanks for explaining.
  • #512
  • Jul 16, 2008 6:41am Jul 16, 2008 6:41am
fTraderx,

when you first position freezes and the price never come back, you never close this position ?

Thanks, (mechanical translation)
  • #513
  • Jul 16, 2008 10:02am Jul 16, 2008 10:02am
Okay. I am going to explain my tweeks on this method by referencing the instructions from the first post on this thread. I will color changed items red in dreamliner and give blue what I use.

GPB/JPY ( NZD/USD , USD/JPY and EUR/JPY) ALL THREE)
Long trades only (interest positive)

Use 0.5% of your Net Available Balance on each trade (Oanda does this automatically)

1.Enter at any time with a market order I include a 15 pip profit target on this order.

2.Place limit orders (long) at 10 pips above initial entry (10 pips above profit target of initial entry with a 15 pip profit target )

3.Place 10 pip profit targets on all limit orders, up to 200-400 pips above current market (15 pip on ALL orders)

4.If market drops (carry trade unwinds) by 200 pips (I use ATR(10) to calculate how far price drops before I enter a market order once a day. I am not going to explain ATR so don't ask. If you don't know how to use ATR to figure average pip move in a day go study forex books please) enter a market order once per day, with no take profit, in an attempt to lower the average price of all orders to within 100-200 of current market. Each additional market order lowers the “average” of your orders. (I open this order at .25% of net available balance (1/2 size) and I put 15 pip profit target on this position. I'll remove this profit target the next day if it isn't hit. This means I am building my position when price is declining at 1/2 the rate because I am using only 1/2 position size (.25% vice .5%) when price declines. This substantially reduces drawdown.)



5.Enter limit orders (long) at 10 pips above this market order, up to the orders already entered. I use 15 pips and I start 10 pips above the profit target of the market order. Dreamline doesn't put profit target on that first order.

Special note : On the next day, I remove the profit targets that haven't been hit on the previous days order and readjust all profit target and buy limits from new order. I remove profit target orders when I open another new down position the next day. Once the profit target is removed, all open positions with no profit target of 15 pips will close when market reaches average price of current total position (ref next paragraph)

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).

7.If market continues to drop, continue to place orders (as in numbers 4-6 above), attempting to keep the “average price” within 100-200 pips of current price. I use atr(10) calculation for daily pip range instead of flat pip rate.

It's important to explain that I remove the profit targets on the down price positions after 1 day when new lower positions are open. If you don't do this, you will never see lower average price enable total position to close when price rebounds.

If you can understand the basic method, you can see with these modifications no more than 1 new position can be opened each day. Original rules allow 2 new possible positions each .5% every day with original market order (#4.) plus 1 limit order that opens and doesn't hit profit. I have 1 x .25% position open and original method may have 2 x .5% open ... big difference.
  • #514
  • Jul 16, 2008 10:11am Jul 16, 2008 10:11am
First position 7750 with TP 15 pips.

Market drop 7700, if atr10 = 50 pips, buy again.

Now 2 positions average 7725 ;

if market up to (7725+15) 7740, close all positions

if market down below atr value average down, open another position.

Ok ?

Thanks
  • #515
  • Jul 16, 2008 10:14am Jul 16, 2008 10:14am
Quoting maje
fTraderx,

when you first position freezes and the price never come back, you never close this position ?

Thanks, (mechanical translation)
The position closes according to rule number 6 of this method posted in the first page. I follow all the rules of this method only with tweeks in position size , profit targets, and currency pairs.
  • #516
  • Jul 16, 2008 10:17am Jul 16, 2008 10:17am
Quoting maje
First position 7750 with TP 15 pips.

Market drop 7700, if atr10 = 50 pips, buy again.

Now 2 positions average 7725 ;

if market up to 7725, close all positions

if market down below atr value average down, open another position.

Ok ?

Thanks
with my tweeks the second position would have hit a 15 pip profit and if price is still below atr(10) 50 you open another position. See my new post above.
  • #517
  • Edited 10:40am Jul 16, 2008 10:27am | Edited 10:40am
Quoting LTU
ftraderx,

Thanks for sharing Your ideas.
Sorry, but I still don't get how You get rid of danglers in the way You described.
When the price hits Your BUY LIMIT order and then retraces down without hitting PT, You have a dangler (Yes, but you have 2 danglers in original method). Thus 7725 is a dangler. With original dreamline method you would have original market order plus this dangler which means two open positions instead of only one. The danglers are the extra positions at each price level you get from having initial position with NO PROFIT TARGET plus new position from buy limits. Next day at 7625 You open position with PT+15 and limit buy at +25. Let's say, price goes up to 7635 and then goes down again. Now You have another dangler at 7635. Yes but in original method you would have TWO MORE DANGLERS.......So now with my method you have 1 position at opening and 1 more position at lower price. TOTAL IS TWO. ORIGINAL METHOD HAS TWO at opening and TWO at lower prices. A TOTAL OF FOUR POSITIONS OR DANGLERS. I HAVE ONLY TWO POSITIONS AND ONE IS 1/2 SIZE. This way You accumulate danglers easily on the carry unwinds. Of course, You can possibly kill them later, when price goes up more than ATR range, but until then You keep danglers. Original method accumulates possibly twice as many danglers and position sizes are twice as big as mine.
Or am i wrong? please explain. Thank You.
Example scenario with 10k account is written by ftraderx on page 31. I didn't understand the logic of it, so I posted my question below. But I did in a wrong way, so it looks like my posting instead of ftraderx. Sorry for the confusion.
Anyway, I would appreciate if ftraderx could explain about how he gets rid of danglers, which are number one problem in the strategy like this, since they are accumulating on the carry unwinds.
Thanks.[/quote]


Sorry I am not better at clearly explaining things. It's much easier for me to see in my mind and do than to explain.

You need to understand original method has potential of opening TWO positions at each new entry...one from initial market order with no profit target and one extra from buy limits that stay open and don't hit profit target. This is true at each new level down when price falls as well as initial first opening. If you clearly understand how original method works you will understand this.
  • #518
  • Jul 16, 2008 11:38am Jul 16, 2008 11:38am
I like Scottie's modifications (posts on page 27, I think) and believe his method reduces drawdown. I've been trading it positive swap on GBP/JPY and EUR/USD (fairly negatively correlated), and not long and short on G/J, like Scottie becuase paying swap is just too depressing for me.

Looking forward to your ideas, Mike!

Glen
  • #519
  • Jul 16, 2008 11:40am Jul 16, 2008 11:40am
Ftraderx,

I too have been trading a variation of this successfully for several months, albeit with a different mix of pairs and a few tweeks.

In your explanation above, Item #4, you re-enter at half size. Do you then remain at half size until you close all orders? It seems the only time you are at full size is on the initial order and the ladder above it, but as soon as it unwinds you're always at half size until the final cash out, correct?

In your second to last paragraph, you say that you "...remove the profit targets on the down price positions after 1 day when new lower positions are open. If you don't do this, you will never see lower average price enable total position to close when price rebounds."

Are you saying you remove just the tp on the orders, or the orders themselves? Can you expand on that paragraph a bit. Thanks.
  • #520
  • Edited 10:34am Jul 17, 2008 10:32am | Edited 10:34am
Quoting BenQ
Ftraderx,

I too have been trading a variation of this successfully for several months, albeit with a different mix of pairs and a few tweeks.

In your explanation above, Item #4, you re-enter at half size. Do you then remain at half size until you close all orders? It seems the only time you are at full size is on the initial order and the ladder above it, but as soon as it unwinds you're always at half size until the final cash out, correct? Absolutely correct.

In your second to last paragraph, you say that you "...remove the profit targets on the down price positions after 1 day when new lower positions are open. If you don't do this, you will never see lower average price enable total position to close when price rebounds."

Are you saying you remove just the tp on the orders, or the orders I only remove the TP the order stays open until the final cash out. themselves? Can you expand on that paragraph a bit. Thanks.
I remove the tp on the old order and enter new order with tp. On next day if I am opening another new order I remove tp on old positions and recalculate the new grid of limits and pts.

Sounds like you have a complete grasp of the basic method. I've had maximum open position drawdown only 5% since May 15 and I am getting about 4% per month. I have to say I mirror exactly dreamliners sentiment of past experience with different methods. I really love this method and I have tweeked it to suit my level of risk aversion.
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