Research Journal

Ive grown interested in grid trading and will be researching and trying to counteract death trades.. it just seems like there should be some way to do it ... seems simple so im gonna try this is for recreational purposes only this is not how I trade and should not be how u trade and this is not a system... just a fun thing to do on the side.

16.67% of data sampled.

Estimated Compounded Average Yearly Return : 148.94% so far.

Day1-Day30 : +7.89%
Day31-Day60 : +11.22% (open month)

After looking through alot of grid trading systems it seems like the death trade is probably caused by price shocks major and minor.

So Im going to try doing a couple of things

converting the grid to a % base grid
use price shock volatility to control grid size
use a long term grid with interest rates
and develop an algorithm to allow for small lot placement that equals longer term lot placement over smaller tf

http://img697.imageshack.us/img697/4...eenshotnof.png


this would be a trade with this type of grid long.. starting at triangle with buys every 225 pips.

i think that one more safety factor in building a grid strategy may be diversification among positions not sure how diversified you should be with a grid strategy to add safety from price shocks.

To limit exposure now with this Strat ill work AUD/CAD
EUR/USD
NZD/JPY
GBP/CHF


with a maximum of all tapped out positions accumulated = 2:1 leverage in the account.

aud/cad i think I would start entering here as well with buys every 185 pips

360 day hand forward test should be a good sample..

so Ill start this way I can see max drawdown and what causes death trade if we hit one with the new rules.

day 2

bought some AUD/CAD

Net Interest payments = $.09
unrealized P/L = $-40.33

Holdings
Aud/CAD
EUR/USD

started a position in GBP/CHF long

DAY 3

Net Interest Received = $.36

Unrealized P/L = $-127.83

Positions held

USD.MXN
AUD.CAD
GBP.CHF
EUR.USD

day 4

bought some more gbp/chf nearing 2nd entrance on aud.cad grid
so far the basket is stopping the price shocks like I hoped it would
eur/usd turning positive.

Net interest received = $.60

unrealized P/L = $-155.33

Same Positions

Day 5

Net Interest received = $.96

unrealized P/L = $-164.34

Same Positions

Day 6

Net Interest received = $3.07

Unrealized P/L = $ -251.18

Same positions

Negative interest has been accrued in GBP/CHF as oanda is using different rates that true rates.. so the position shouldnt have been taken but we will ride it till its BE as its total weight is less than .75%

DAY 7

Net Interest Accrued = $ 3.56

Unrealized P/L = +$46.98

Realized P/L = +$61.38

Positions

AUD/USD
AUD/CAD
EUR/USD

Usually I post at 6:00 after interest is accrued but a shift in the gbp/chf allowed me to exit with a slight profit + negative interest accrued. Since gbp/chf was net - carry it was against rules.

Day 8

Net Interest Received = $4.22

Realized profit + Interest = 65.63

Unrealized Profit = +$72.58

Shorting again usd.mxn

thoughts: surge in aussie pushed our net position up as the eur.usd should weaken

Need to work on position algorithm

trend as I see it in the aud

day 9

net interest received = $5.10

realized P/L + Interest = $66.40

Unrealized P/L = $+142.96

Surging in Auss powering majority of the move.. eur.usd starting to show some confusion and strength at first entry.

In an effect to increase transparency in my research im going to be posting a account balance floating P/L shot .. current balances like we create at the shop but not as pretty lol I dont have time for that.. and also this graph Im building to show the Draw Downs visually how they occur when .. if something gets out of hand well know right away what is not normal.

could use some feedback to if anyone has something to say out there.

day 10

Net Interest Received= $5.90

Realized P/L + interest = $67.20

Unrealized P/L (this morning)= $+248.55

Unrealized P/L=$+93.05

liquidated some positions for market reopen everything is rebalanced and lower orders are still in place.

recovering from computer failure this week. got to rebuild my files.