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Trend Trading All Pairs

  • #9,821
  • Dec 31, 2010 6:08am Dec 31, 2010 6:08am
Quoting Custos
there is a difference in limit and stop orders.

With limit orders you generally get favorable prices, positive slippage. With stop orders you very often get unfavorable prices, negative slippage.

Well, just to give you an example. I tested out a strategy on eur/usd.
First with high win-loss and low R:R. Now I could increase the slippage per trade to max 3 pips before it went unprofitable. I know it is already pretty good, because 3 pips slippage on each trade shouldn't happen normally.

But with a low win-loss and high R:R I could increase the...

well, I suppose it means we gotta wait for retracement and not to enter aggressively with stop order, right? it is what actually James16 advocates.
also, in this case we can have smaller stop and still higher R:R. even 1.2-1.5:1 will be significant. just recall as every time we enter with stop order price retraces on us...it is later all pip that would have been in our had we always waited for retracement. I can tell this with high accuracy cause I have spent countless hours watching my trades entered with stop orders reetracing on me.
  • #9,822
  • Dec 31, 2010 6:11am Dec 31, 2010 6:11am
Quoting shiko
well, I suppose it means we gotta wait for retracement and not to enter aggressively with stop order, right? it is what actually James16 advocates.
also, in this case we can have smaller stop and still higher R:R. even 1.2-1.5:1 will be significant. just recall as every time we enter with stop order price retraces on us...it is later all pip that would have been in our had we always waited for retracement. I can tell this with high accuracy cause I have spent countless hours watching my trades entered with stop orders reetracing on me.
yeah, still lots of interesting things to test out.
  • #9,823
  • Dec 31, 2010 6:11am Dec 31, 2010 6:11am
we can use Fib retracement on previous candle or wave or something to set out limit orders.
  • #9,824
  • Dec 31, 2010 6:13am Dec 31, 2010 6:13am
Quoting Custos
yeah, still lots of interesting things to test out.

I can tell only one thing, it is a rare thing that price breaks and doe snot come back. But you have seen it that price often at least tests previous low/ high along the trend. yeah, a lot of data to test. BTW, that Numex Smith is a statistics freak. His strategies based on statistics, but it is a different market.
  • #9,825
  • Dec 31, 2010 6:17am Dec 31, 2010 6:17am
Quoting shiko
I can tell only one thing, it is a rare thing that price breaks and doe snot come back. But you have seen it that price often at least tests previous low/ high along the trend. yeah, a lot of data to test. BTW, that Numex Smith is a statistics freak. His strategies based on statistics, but it is a different market.
thanks for the hint, gonna read up on him.
  • #9,826
  • Dec 31, 2010 6:20am Dec 31, 2010 6:20am
Custos, I think I have his book somewhere on PC. send me your email. I will email it to you if I have it. I actually tried to trade it when going to prop shop trading stocks, but it was impossible. they wanted us to scalp with 3-5 ticks stop..,..he has good ideas and I have seen some thread on FF which actually was devoted to trading his daily range strategy. it is practically mechanic thing. Happy New Year!
  • #9,827
  • Dec 31, 2010 7:33am Dec 31, 2010 7:33am
I believe Hector mentioned some sort of time stop loss on his website? if i can find it i will let you know.

Andy
  • #9,828
  • Edited 5:42am Jan 1, 2011 5:21am | Edited 5:42am
A note concerning in-trade management.

I also tested out, how in-trade management can affect the profitability to the better.

Specifically I tested putting stop to b/e and a pip trailing stop.

What is of concern again is that accuracy is much needed with those two techniques to stay profitable.

However, profitability vastly increases especially with a pip trailing stop, cause of much less drawdown. I could increase the lotsize 10 times and still only have a 30% drawdown, compared to leaving stop where it is. Of course biggest problem is that we have limited lotsize available. Thus trailing stops or moving stops to b/e is limited in its functionality by the lotsize we have available. So, after a certain value trailing stops and moving stops to b/e becomes less profitable than leaving it where it is, cause we might not have enough leverage.
  • #9,829
  • Jan 1, 2011 3:20pm Jan 1, 2011 3:20pm
Quoting Custos
A note concerning in-trade management.

I also tested out, how in-trade management can affect the profitability to the better.

Specifically I tested putting stop to b/e and a pip trailing stop.

What is of concern again is that accuracy is much needed with those two techniques to stay profitable.

However, profitability vastly increases especially with a pip trailing stop, cause of much less drawdown. I could increase the lotsize 10 times and still only have a 30% drawdown, compared to leaving stop where it is. Of course biggest problem...
Custos, could you go more into details? I fail to understand 30% DD. Did you mean 30% DD of the whole account??? and pip by pip trailing stop what you mean is trailing stop that moves 1 pip for each 1 pip the pric emoves in your favor?
what if price moved against you?
  • #9,830
  • Jan 1, 2011 3:21pm Jan 1, 2011 3:21pm
Yes, happy New year everyone!!!
  • #9,831
  • Jan 1, 2011 3:57pm Jan 1, 2011 3:57pm
Quoting shiko
Custos, could you go more into details? I fail to understand 30% DD. Did you mean 30% DD of the whole account??? and pip by pip trailing stop what you mean is trailing stop that moves 1 pip for each 1 pip the pric emoves in your favor?
what if price moved against you?
yes, I mean 30% DD on the whole account. I generally try standardizing the DD's so I can compare their profitability in relation to 30% max DD.

The pip trailing stop is a kind of volatility trailing stop. So the bigger the previous bars, the more room the trade has to breath until the trailing stop kicks in.
For example, if we had an average volatility of 40 pips in the last few bars, the trailing stop will kick in once I am 40 pips in profit and will then trail 40 pips behind each newly made high.

I give you an example of what I tested. Let's say I don't use a trailing stop:
I use 1 lot and get a max 30% DD with a 200% return on account.
Now if I use a trailing stop and I only use 1 lot, the DD will be significantly decreased to maybe only 5% with a return on account of 60%.
Now I can max up the lot-size to reach my standard 30% DD again. That would make it 6 lots now, 30% DD and a return of 360%. Hope that makes sense so far...

Now let's further develop this example:
Let's say the maximum buying power available in my account is only 3 lots. Now we have a problem with our trailing stop, since we can't get to our 6 lots anymore.
3 lots, 15% DD and a return of 180%.
Originally without the use of the trailing stop we had 1 lot, 30% DD and a return of 200%.

So here we got a trade-off. Now, with the trailing stop we have to use more lots to achieve less return but also maybe less DD compared to not using a trailing stop. That is the problem I wanted to get at. This is just a simplified example..

So, as you can see we can increase our return with trailing stops. BUT we have to have enough lots available in order to increase it. If we don't have enough buying power in relation to our account, it sometimes makes no sense to tighten up the trailing stop even more. There should be a balance between how your account is leveraged and how tight your trailing stop is. Otherwise you just reduce drawdown, but can't increase the return, or might even decrease the return.

Does it make more sense now?
  • #9,832
  • Jan 1, 2011 4:11pm Jan 1, 2011 4:11pm
Quoting Custos
yes, I mean 30% DD on the whole account. I generally try standardizing the DD's so I can compare their profitability in relation to 30% max DD.

The pip trailing stop is a kind of volatility trailing stop. So the bigger the previous bars, the more room the trade has to breath until the trailing stop kicks in.
For example, if we had an average volatility of 40 pips in the last few bars, the trailing stop will kick in once I am 40 pips in profit and will then trail 40 pips behind each newly made high.

I give you an example of what I tested. Let's...
Custos, I do not get it, you mean such risk per trade or per series of trades? or it is a hypothetical situation?
  • #9,833
  • Jan 1, 2011 4:16pm Jan 1, 2011 4:16pm
Quoting shiko
Custos, I do not get it, you mean such risk per trade or per series of trades? or it is a hypothetical situation?
I mean over thousands of trades, a max drawdown of 30% on the account. But the example was anyways hypothetical and simplified.
I know it's a bit difficult to grasp. But I have given that much thought.
  • #9,834
  • Jan 1, 2011 4:16pm Jan 1, 2011 4:16pm
Quoting Custos
I mean over thousands of trades, a max drawdown of 30% on the account.
ah, that's ok

I assume risk per trade is 1%?
  • #9,835
  • Jan 1, 2011 4:20pm Jan 1, 2011 4:20pm
I have never thought of or tried trailing stops.
  • #9,836
  • Jan 1, 2011 4:21pm Jan 1, 2011 4:21pm
Quoting shiko
ah, that's ok

I assume risk per trade is 1%?
well, depends a lot on the pair. But between 0.5 and 1.5%.
  • #9,837
  • Jan 1, 2011 4:24pm Jan 1, 2011 4:24pm
Quoting shiko
I have never thought of or tried trailing stops.
yeah, I also didn't use them. But I thought today of trying to test mechanical intrade management tools a bit. And the results are really interesting. As I mentioned, there is definitely a big reduction in DD, but it also reduces (by a lesser degree) the return on account, if one doesn't adjust the lot-size.
  • #9,838
  • Jan 1, 2011 4:29pm Jan 1, 2011 4:29pm
Quoting Custos
yeah, I also didn't use them. But I thought today of trying to test mechanical intrade management tools a bit. And the results are really interesting. As I mentioned, there is definitely a big reduction in DD, but it also reduces (by a lesser degree) the return on account, if one doesn't adjust the lot-size.
But as I see it is is your time in front of screen effective. I really was taking all set ups on those trades I have shown even on pairs I did not like and did everything pretty mechanically.
If strategy has positiove expectancy higher than 50% hit rate and slightly higher TP against stop can be very effective. i want to continue testing this way, but probably should cut some pairs off.
  • #9,839
  • Jan 1, 2011 4:30pm Jan 1, 2011 4:30pm
what kind of strategy you test? NightMoves?
  • #9,840
  • Jan 1, 2011 4:34pm Jan 1, 2011 4:34pm
Quoting shiko
what kind of strategy you test? NightMoves?
yeah, the strategy on this thread was amongst the strategies I tested. All of them showed similar results regarding intrade management.
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