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Super Carry Trade Trading System

  • #581
  • Aug 4, 2008 2:18pm Aug 4, 2008 2:18pm
Nice EA, Zen ,
but mine opens correctly the first 3 ladders, then the price falls under the average and it opens only buy position, without buy stop orders, then price goes up, closes all the buy stop orders in profit, but never close the buy orders, so I hang with 6 open positions at +300 pips each..... do we need to close them manually?


Quoting Zen_Leow
Made some amendments to the ordering logic.

ver1 close off primary ladder and opens a new one prematurely.
rectified in version 2.

version 2 also contains one more input. "CustomSpread". This is actually the additional spacing between the buy stop orders. so the space between each order is TakeProfit + Spread. It does cut down on danglers but you'll get less trades as well. if you don't need this additional spacing, just set it to 0.
I don't say
  • #582
  • Aug 5, 2008 2:00am Aug 5, 2008 2:00am
ZEN LEOW,

1st of all, congratulations for the EA! I'm really impressed with the method.

I have a dought. You EA follow the rule #6?

"At any time you have more than 1 order open, and the market is above the average price, close all orders"

Quoting Zen_Leow
I realised the EA opened too many pending orders on the secondary ladder, when it should really stop when it reaches the first ladder. I'll have to look through my codes again.

the zero divide problem was due to my careless programming. thanks shiva for pointing out my mistake.

ronaldosim, in version 2, all orders placed should have TP, except for the starting order of the second ladder onwards, this is so that it will help bring down the average. we shouldn't just look at the lowest price. we should look at the average of all the currently running positions. It will close out all opened trade and pending orders when the current bid is higher than the average price during the predefined hour stated in the "Input" tab.

I can provide a true/false option for the EA to close out all trades as soon as this condition is met regardless of the current time. that'll be in version 3 and note that this means moving away from dreamliner's orginal strategy and I wanna keep this kinda changes to a minimum.

I'm sorry for those using mini accounts as I've not catered for symbols ending with 'm'. for the time being, please use the "Lots" value for fixed lots and set "MoneyManagement" to false.

will post version 3 when its ready. currently having quite a few projects on hand so it might take a while. please be patient.
  • #583
  • Aug 5, 2008 5:14am Aug 5, 2008 5:14am
Quoting dragosd1
Ok, guys, here's my observations....
.......
So, for everyone willing to help, we need to make some adjustments to the logic of the EA, if you want a stable and profitable one...
Ok, if someone knows about PipMaker EA, it's something we need, it's logic is to place countertrend trades at a specified distance/spacing from the initial position. Spacing can be a fixed value or determined by STDDEV/ATR. It can place both direction orders buy & sell, but we are interested in buys only. So, if one of you guys (since I have not the skills) might have a look at the code of this EA to "collect" the neccesary sequence and to implement it in Demo_only EA, of course, with the author's OK, I think we can start backtesting a more stable & promising modified EA.
What do you think?
hi dragosd1
thks for pointing out Pipmaker - very interesting concept; i had a look and it
is quite hard to grasp what Pipmaker is trying to do; wld u be able to explain the whole concept or point us to a specific source/page/doc
  • #584
  • Aug 5, 2008 6:00am Aug 5, 2008 6:00am
The thread is located on ForexTSD forums....
Pipmaker opens countertrend positions at a fixed/dinamically calculated spacing, then it close them in some average price + profit. It can work in martingale mode or liniar mode....
I don't say
  • #585
  • Aug 5, 2008 11:32pm Aug 5, 2008 11:32pm
Quoting dragosd1
The thread is located on ForexTSD forums....
Pipmaker opens countertrend positions at a fixed/dinamically calculated spacing, then it close them in some average price + profit. It can work in martingale mode or liniar mode....
here are my initial findings on Pipmakerv15.1 for eurusd 2jan08 - 5aug08
a) default settings
crashed
b) set ReverseDirection =false (to compare like for like with SuperCarryTrade)
crashed
c) only good results when TradeShort=false;
which means that the countertrend shorts are not working well

i will set the parameters for pipmaker and supercarry to be as similar as possible and see what kind of results both give
  • #586
  • Aug 5, 2008 11:51pm Aug 5, 2008 11:51pm
Quoting ronaldosim
here are my initial findings on Pipmakerv15.1 for eurusd 2jan08 - 5aug08
a) default settings
crashed
b) set ReverseDirection =false (to compare like for like with SuperCarryTrade)
crashed
c) only good results when TradeShort=false;
which means that the countertrend shorts are not working well

i will set the parameters for pipmaker and supercarry to be as similar as possible and see what kind of results both give
Arough comparison
For pipmaker (not using countertrend cos results crashed)
Autiospacing=false
Trendspacing =10
Spacing =100
TradeShort=false
ReverseDirection=false
Lot=0.01, no increment


For Supercarry
GridTotal=10
GridStep=10
Lot=0.01
Threshold=-100
Attached Image(s) (click to enlarge)
Click to Enlarge Name: pipmaker_long1.gif Size: 6 KB
Click to Enlarge Name: supercarry.gif Size: 6 KB
  • #587
  • Aug 6, 2008 4:04am Aug 6, 2008 4:04am
Try the same with USDCHF, which is inverse with EURUSD!


Quoting ronaldosim
Arough comparison
For pipmaker (not using countertrend cos results crashed)
Autiospacing=false
Trendspacing =10
Spacing =100
TradeShort=false
ReverseDirection=false
Lot=0.01, no increment


For Supercarry
GridTotal=10
GridStep=10
Lot=0.01
Threshold=-100
I don't say
  • #588
  • Aug 9, 2008 7:51pm Aug 9, 2008 7:51pm
Is the EA working good so far ???
  • #589
  • Aug 13, 2008 9:25am Aug 13, 2008 9:25am
Hey, how's everybody doing during this unwind? Just trading the GJ, I'm in a 30% DD right now. I'm starting to spread my average in entries to 400 pips or so to limit the damage. The Pound is in bad shape and could drop a lot more. How about you all? BTW, I'm not using an EA.

Cheers,
Richard
  • #590
  • Aug 13, 2008 7:38pm Aug 13, 2008 7:38pm
Quoting Richard7
Hey, how's everybody doing during this unwind? Just trading the GJ, I'm in a 30% DD right now. I'm starting to spread my average in entries to 400 pips or so to limit the damage. The Pound is in bad shape and could drop a lot more. How about you all? BTW, I'm not using an EA.

Cheers,
Richard
Hey Richard,

I've had a max 15% combined DD using Scottie's method, most of it on the E/U (closed my G/J trades before the drop). I'm trading both the G/J and E/U. We're seeing the largest monthly drop on the Euro since early 2007.

I've got a 200 Month MA sitting around 190.25 and a monthly trendline in the 176.00 area for the pound before it could bounce up...so, I agree, it could fall hard. Hopefully not though ;-)
  • #591
  • Aug 15, 2008 4:09pm Aug 15, 2008 4:09pm
Quoting Richard7
Hey, how's everybody doing during this unwind? Just trading the GJ, I'm in a 30% DD right now. I'm starting to spread my average in entries to 400 pips or so to limit the damage. The Pound is in bad shape and could drop a lot more. How about you all? BTW, I'm not using an EA.

Cheers,
Richard
I am keen to start trading this system on a demo account. Like to know how this system has performed during the pounds largest drop vs USD in 34 years.

Should look into ways of limiting DD.
  • #592
  • Aug 16, 2008 7:58am Aug 16, 2008 7:58am
Quoting soldintime
I am keen to start trading this system on a demo account. Like to know how this system has performed during the pounds largest drop vs USD in 34 years.

Should look into ways of limiting DD.

I'm in about 6% drawdown on the EUR/JPY NZD/USD combined, but I deveated from what I've posted here by shorting both along with long as a hedge. When the hedged positions had enough profit to offset the loss of the top position long , I closed it out and reopened smaller hedge position matching long total. This reduced size of my positions and lowered price at same time. I am trying to reduce and get out of NZD/USD and EUR/JPY and trade only USD/JPY which has continued up. I never traded gbp/jpy and don't forsee doing so in the future. I don't like GBP pairs. My results since May 15 to date is about 35% up and max 10% open draw down.
  • #593
  • Aug 16, 2008 3:32pm Aug 16, 2008 3:32pm
Hi ftraderx,

Correct me if I'm wrong, but are you stating that you go long and short on the same currency pair simultaneaously? Or, do you go short against the long position when a huge drop (downward retracement) occurs? The problem with going short to offset the danglers is that the market may turn and start back in the upward direction. When this happens, the short positions will prevent you from profiting on the upward movements.

Walt

Quoting ftraderx
I'm in about 6% drawdown on the EUR/JPY NZD/USD combined, but I deveated from what I've posted here by shorting both along with long as a hedge. When the hedged positions had enough profit to offset the loss of the top position long , I closed it out and reopened smaller hedge position matching long total. This reduced size of my positions and lowered price at same time. I am trying to reduce and get out of NZD/USD and EUR/JPY and trade only USD/JPY which has continued up. I never traded gbp/jpy and don't forsee doing so in the future. I don't like GBP pairs. My results since May 15 to date is about 35% up and max 10% open draw down.
  • #594
  • Aug 17, 2008 5:29am Aug 17, 2008 5:29am
Quoting jones247
Hi ftraderx,

Correct me if I'm wrong, but are you stating that you go long and short on the same currency pair simultaneaously? Or, do you go short against the long position when a huge drop (downward retracement) occurs? The problem with going short to offset the danglers is that the market may turn and start back in the upward direction. When this happens, the short positions will prevent you from profiting on the upward movements.

Walt
I went short when the fundamental situation changed on the NZD and EUR. And maintained my long positions. Instead of buying when the price drops, I close short position and remove top long. This reduces my position size and lowers average price of long position. Each time I do this my overall risk drops. Yes, a rise offsets profit, but as the price continues down, my long average gets lower and overall short and long positions get smaller. I have locked in a guaranteed loss of 3% at this point if I close all positions. I expect to get out of this with no losses, but worst case I get out with maybe 2-3% loss on position which will be no loss if you count my profit on USD/JPY. Both eur and nzd will be going down for a while. I am not worried about it at all. This is not part of system, but I am precisely controlling my risk and know exactly what I stand to lose in worst case. RBNZ is going to lower rates over next months and ECB will lower rates as soon as it gets the slightest easing in inflation concern. If I'm wrong, I lose 2-3% which I can make back in 2-3 weeks. If I'm correct, I will continue making 35 - 50% with maximum maybe 10% open drawdown. I believe I stated in earlier posts that a change in fundamental situation means all bets are off. My goal is to get out of these NZD/USD EUR/JPY positions. I see USD/JPY now and USD/CHF later when US rates rise above CHF rates as pairs I will use over next 12-18 months probably.
  • #595
  • Aug 18, 2008 9:18am Aug 18, 2008 9:18am
Greetings,

I too have deviated from the original concept and slightly modified the original "demo only" to be slightly more protected against downtrend spikes.

My ea:

open buy position -> open set of buystops
as the buy is open, check if there are any sellstop, if there are, delete them

then open a set of sellstop under the buy position. no stoploss no takeprofit, these sellstops are trailstopped (10 pips)

one more sellstop is opened at buy position - 110 pips, this sellstop has orderlots equal to total buy orderlots (sum of every buy order still in the market) (even this is trailstopped)

in the case a spike drop down, the last sellstop should save yr account...

ps equity is still a problem, as in heavy downtrend, we still have lots of positions opened.
i'll try to test the system with 50k and orderlots scaled down to pretend we have 5k or less.

this morning test with 50k and 3k sized lots showed capabilities of whithstanding a spike > than 5-6k pips

---------------------------------------------------------

ps, i'm very interested in what ftraderx is saying, as he closes positions so he is in fact with less positions in the market, resulting in a bigger equity throught time.
  • #596
  • Edited 3:15pm Aug 18, 2008 3:14pm | Edited 3:15pm
did another tuning to my strategy.

as the last buystop put in serious danger my equity as it can occour a s/l sometimes, and because it just occourred as i was holding something like 105 buy positions, i lost 4.20 lots (because is 0.04*120) * 20pips, so i decided to edit orderentrysize of stoploss orders, and equally divide the total number of lots entered in buy positions between them, now i have 10 sellstop orders with lotsize changing depending on how many buy positions i have in the market.
of course if lotsize is less than market minimum, default 0.01 microlots are ordered.
  • #597
  • Aug 19, 2008 5:09am Aug 19, 2008 5:09am
Quoting ftraderx
I went short when the fundamental situation changed on the NZD and EUR. And maintained my long positions. Instead of buying when the price drops, I close short position and remove top long. This reduces my position size and lowers average price of long position. Each time I do this my overall risk drops. Yes, a rise offsets profit, but as the price continues down, my long average gets lower and overall short and long positions get smaller. I have locked in a guaranteed loss of 3% at this point if I close all positions. I expect to get out of this with no losses, but worst case I get out with maybe 2-3% loss on position which will be no loss if you count my profit on USD/JPY. Both eur and nzd will be going down for a while. I am not worried about it at all. This is not part of system, but I am precisely controlling my risk and know exactly what I stand to lose in worst case. RBNZ is going to lower rates over next months and ECB will lower rates as soon as it gets the slightest easing in inflation concern. If I'm wrong, I lose 2-3% which I can make back in 2-3 weeks. If I'm correct, I will continue making 35 - 50% with maximum maybe 10% open drawdown. I believe I stated in earlier posts that a change in fundamental situation means all bets are off. My goal is to get out of these NZD/USD EUR/JPY positions. I see USD/JPY now and USD/CHF later when US rates rise above CHF rates as pairs I will use over next 12-18 months probably.

i see the logic on your system.
I have thought a way to do it without constantly hedging positions thus jeopardizing profits if market trends up.
I am constantly trying out to modify demo_trade EA as it gets profits in almost all conditions other than huge spikes and fast market.
Your idea (as i get it) is to go long and short at the same time (correct if i'm wrong) or (not sure between the two, clarification needed) to put a sellstop order matching (what do you mean by matching? i can guess but detailing that part should help finetune yr system) long positions.

Leaving the idea of going directly with market orders, the case of putting a sellstop sized as the total has proven to me unprofitable, i would instead first calculate pips lost for first opened buy positions (as they could vary between situations, eg. constant loss or market ranging), then put 10 sellstop orders (like previously explained on my posts, with trailingstops) and divide that pips between them, leaving a margin to whithstand occourring losses of some sellstops, and some margin to guarantee a profit.
i would then calculate the sum of their profit. (minus the possible stoploss damage)
if that profit is > than first buy losses, calculate if it's so big that it can close more than 1 buy position, then close the appropriate number of buy positions, store the difference of profits - buypositionlosses in a variable (could be of help in closing the next buy position), then repeat the iteration doing the same with the next topmost buy position.
if the profit is <, store in a variable that loss and retry next time with another set of sellstops, until is > than the fist position

now i will implement this on buystop ea, let me know if you liked.

ps. just one problem... when buy orders are small, eg. 1, or 2 or 3 positions i think it's not worth it, because demo_trade and Dreamliner's System overall takes profit from averaging price and having huge lots taking a "small" pip gain (average position-bid price), i realize the risk in having that amount of lots in the market, but i can't realize the "right amount" of orders to be kept in market....
Pheraps we should regulate that basing on the account size... what's your point on that one?



just my 2 cents.
  • #598
  • Aug 19, 2008 5:12am Aug 19, 2008 5:12am
what happens to the system in cases of rapid interest rates changes, as it happened in us last year??
lol
  • #599
  • Aug 19, 2008 5:55am Aug 19, 2008 5:55am
if you talk about backtesting ea, no interest is considered so if it's profitable you can trade on a swap free broker. if you consider though that interest gain is positive for a period, you could be in danger if you don't exit with the positions for a longer period of negative interest.
  • #600
  • Aug 19, 2008 7:08am Aug 19, 2008 7:08am
I have an idea:

Once we start with a market order with a TP of 10 pips we will only have one dangler when the market goes up 10 pips and then retratces. This is due to the limit orders at 10 pips interval with 10 pips TP placed above each market order.

If this is done with each average down order too ( a TP of 10 pips) than we also have here a maximum of one dangler a day in case the market goes up 10 or more pips.

What this will do though is it might take a bit longer to reach average to sell out. But in severe unwind it will leave you less draw down.
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