Super Carry Trading Strategy - Expert Advisor

Hi everyone,
As many of you I had been trading currencies for many years, I tried a lot of trading strategies, until I read in this forum about Carry Trading, thats why I studied this system and developed this awesome Expert Advisor, with the objective of testing it in the past years (principally during the huge volatility of 2007), and see what it does during this big unwindings scenarios, the main characterisitic of the EA are the following:

- The EA was tested on AUDJPY 30M
- The EA sends a buy limit order 10 pips below the actual ask price, with a Profit target of just 10 pips
- The EA will only execute one order at a time, if the AUDJPY goes down it waits until the profit factor is above the Profit Target (considering the interest earned during that period), so we do not have to wait until the price recovers to our ask price.

As you will see the results are quite good, the following report shows a return of more thatn 100% per year, I have been trading live with this EA during the last 2 months with a return of more than 40%.


Strategy Tester Report
Carry
FXDD-MT4 Live Server (Build 216)

SymbolAUDJPY (Australian Dollar vs. Japanese Yen)Period30 Minutes (M30) 2005.01.01 00:00 - 2008.07.01 23:30 (2005.01.01 - 2008.07.02)ModelEvery tick (the most precise method based on all available least timeframes)ParametersTakeProfit=10; Trades=1;LotSizer=2500;

Initial deposit 10000.00
Total net profit 43775.66
Gross profit 48521.67
Gross loss -4746.01
Profit factor 10.22
Expected payoff 97.28

I hope this will help you win some pips,

Regards,
Luis

Could you explain the lot sizer parameter? What does 2500 mean?
How about the MM field also?

Thank you.

In order to "size" the number of lots, I divide the total equity with a factor, 2500, I tested during the 2007 and it seems that with this we will not get a margin call if we live an scenario like 2007

I just put your EA on an Alpari demo.

It created a pending order for 3.1 lots, with a BUY LIMIT price of 102.68 and a SL of 75.66. That is over 2700 pips away. That is more than the total amount of the present equity, which is $77,204.

Did it function properly?

I notice a big drop at the end of the curve. Obviously the "Close at Stop" order.

As I see it, you're really running at a floating loss most of the time. Is there anything aside from the accruing interest to protect against that?

billbss http://www.forexfactory.com/images/s...ser_online.gif
Senior Member
Member Since Apr 2006
Posts: 1,714


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I just put your EA on an Alpari demo.

It created a pending order for 3.1 lots, with a BUY LIMIT price of 102.68 and a SL of 75.66. That is over 2700 pips away. That is more than the total amount of the present equity, which is $77,204.

Did it function properly?



This was maybe the last order, the Strategy Tester closed the position in the last day of the simulation, the EA did not consider a SL, it closes automatically the order when the Profit Target is achieved (incluidng the Interests).

Ronald Raygun
17 Yr old Trader/Programmer
Member Since Jul 2007
Posts: 1,002


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I notice a big drop at the end of the curve. Obviously the "Close at Stop" order.

As I see it, you're really running at a floating loss most of the time. Is there anything aside from the accruing interest to protect against that?


The EA will close the order when the Profit target is reached, if a unwinding event occurs, maybe we have to seat for a while, is important to state that if the gap from interest rates from AUD an JPY is a key element fro this strategy.

helloluisdosa

can you backtest this ea from 1999 to now?
thanks

rzamany
Member
Member Since Sep 2006
Posts: 31


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helloluisdosa

can you backtest this ea from 1999 to now?
thanks


Strategy Tester Report
Carry
FXDD-MT4 Live Server (Build 216)

SymbolAUDJPY (Australian Dollar vs. Japanese Yen)Period30 Minutes (M30) 1999.01.11 23:30 - 2008.07.01 23:30 (1999.01.01 - 2008.07.02)ModelEvery tick (the most precise method based on all available least timeframes)ParametersTakeProfit=10; Trades=1; AccountBegBalance=5592; AccountBegBalanceMonth=7451.62; LotSizer=2500; Bars in test115504Ticks modelled12818287Modelling quality89.92%Mismatched charts errors99Initial deposit 10,000.00
Total net profit 404,150.04

the potential problem i see with this backtests is that your SL and TP were 10 pips....

normally, M1 data (even at 90% MQ) will not give accurate backtests for systems based on TPs and SLs less than 20

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the potential problem i see with this backtests is that your SL and TP were 10 pips....

normally, M1 data (even at 90% MQ) will not give accurate backtests for systems based on TPs and SLs less than 20
__________________
My ideas are never trade advice.



The strategy does not include any SL, just a TP of 10 pips

hello
what max and releative drawdown?

do the entries of your 2 month forward test match the backtest?

that is key...



one other thing... the way i understand your description, you only have one position open at a time, so a massive unwinding will not bankrupt the account. correct me if i am wrong..

Thats correct, I just have one trade open at a time, in the last to months I earned 40% of my trading capital

So how does the EA handle the situation when the price goes against the trade and with no SL? Are we "hoping" for no margin call based on the LotSizer computation

luis what is the point of taking profit? are you compounding your wins?

the only benefit i can see of taking profit every ten pips is to compound the account, thus increase lot size for the exposure to interest....

otherwise, you are paying out spreads on every trade.... and when the price retraces down, your equity will be the same as if you never closed any trades.....

Quick question. When it closes out at 10 pip tp, does it then open another trade or open an order 10 pips away as with first order?

Luisdosal,

The system you post is too poor to be used with real accounts. I investigate the source code and I realisied that it only work on strong bulish trends. And that is particularly because :
- system only opens BUY positions and never goes on sell positions.
- it does not manage the risk at all (no stop loss!)
- it does not work with no indicators, nor it calculates S/R or any relevant information which the trader uses when he takes decision on entering a position

The system is completely "blind" working - the profit you describe is just a good luck. Make a test with a downtrend and you will see what I'm talking about.

It's also too old as it's one year old and situation has changed since that time.

Thanks for the archeology lesson

Want to see the updated sutuation then...if any...