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  • #221
  • Edited 11:05pm Jan 31, 2011 10:54pm | Edited 11:05pm
Hi cgrey,

I feel like such a newb for asking this, but I was wondering how you calculated your lot size from knowing the following (details of your account on myfxbook):

50:1 Leverage
$3000 Opening Balance
We want to use only 2.5% of our Balance
That 2.5% equals our 20 pips SL

I have been going nuts trying to calculate the lot size, please help?

Thanks,
the-game.
  • #222
  • Feb 1, 2011 3:07am Feb 1, 2011 3:07am
Quoting roundrock
chris, great data and analysis.

can you do same analysis for years 2009, 2008 ? when i optimized with MT4 each year i got different set of numbers. so i stick to the original post. in 2010 may be GMT6 is good but in 2009 may be GMT04
Hi!!

I will do....my first backtest has been very quick so is better if I go deeper in my tests...

One thing to notice is that in my backtest I'm not using the 2,5% position sizing and compounding, so what you see are the monthly results without compounding, what does it mean? It means that the first month the percentage is "real", but the following months the percentage is calculated on the "initial capital" and not on the "actual capital", so the percentage is "less" that in reality.
Anyway I did not run the backtest to have real numbers and real percentage...but just to have an idea if the strategy is overall profitable or not...and it seems it is...

I will do more tests...but I have to implement something in my code.
Market is like a puzzle, YOU have to fit the pieces!!
  • #223
  • Edited 5:34am Feb 1, 2011 4:58am | Edited 5:34am
Quoting the-game
Hi cgrey,

I feel like such a newb for asking this, but I was wondering how you calculated your lot size from knowing the following (details of your account on myfxbook):

50:1 Leverage
$3000 Opening Balance
We want to use only 2.5% of our Balance
That 2.5% equals our 20 pips SL

I have been going nuts trying to calculate the lot size, please help?

Thanks,
the-game.
2.5% of $3000 is $75
$75 divided by 20-pips = $3.75 per pip.

The rest depends on whether your account uses nano, mini or standard lots. In my case, I have standard lots (1 lot = $10), so it becomes roughly 0.37 lots (slightly different due to spread and daily compounding).
  • #224
  • Feb 1, 2011 5:17am Feb 1, 2011 5:17am
Thanks cgrey, seems I was thinking too hard about that one
  • #225
  • Feb 1, 2011 5:23am Feb 1, 2011 5:23am
Today, if we went long instead of short as per the rules, we would have made our 10% for the month already

Today's trade went the other way for 80 pips! Same thing on the 25th Jan.

Looks like Money Management IS the system... very clever cgrey
  • #226
  • Feb 1, 2011 5:35am Feb 1, 2011 5:35am
Quoting the-game
Today, if we went long instead of short as per the rules, we would have made our 10% for the month already

Today's trade went the other way for 80 pips! Same thing on the 25th Jan.

Looks like Money Management IS the system... very clever cgrey
Not quite. The 08:00 candle opened at 1.6054 and closed at 1.6058. We would have taken 4 pips instead of losing 7, but the big move didn't come until the 09:00 candle, when we would have already been out.
  • #227
  • Feb 1, 2011 5:36am Feb 1, 2011 5:36am
Quoting the-game
Thanks cgrey, seems I was thinking too hard about that one
No problem. We humans tend to over-complicate things
  • #228
  • Feb 1, 2011 5:49am Feb 1, 2011 5:49am
Quoting cgrey
Not quite. The 08:00 candle opened at 1.6054 and closed at 1.6058. We would have taken 4 pips instead of losing 7, but the big move didn't come until the 09:00 candle, when we would have already been out.
My comprehension is getting worse as I get older, which is a bad thing!

When you say taken 4 pips, you meant lost 4 pips, since were supposed to go short today?
  • #229
  • Feb 1, 2011 5:55am Feb 1, 2011 5:55am
I just had one of those "how could I have not thought of this before" moments...

Triggered by something the-game said earlier, but I can't believe it took until now to this of this.

I hate to add any complexity, but I have a fairly simple change to make that is all upside with no additional risk. I have some morning routine stuff to take care of (I have to get my son ready and take him to school, and then watch the NYSE open - can't abandon my regular trading, after all)....

But I will be back later this morning to spell this all out.
  • #230
  • Feb 1, 2011 6:18am Feb 1, 2011 6:18am
Quoting cgrey
I just had one of those "how could I have not thought of this before" moments...

Triggered by something the-game said earlier, but I can't believe it took until now to this of this.

I hate to add any complexity, but I have a fairly simple change to make that is all upside with no additional risk. I have some morning routine stuff to take care of (I have to get my son ready and take him to school, and then watch the NYSE open - can't abandon my regular trading, after all)....

But I will be back later this morning to spell this all out.
Hi....I made new backtests today...

Unfortunately I can't go before August 2009 because I have some missing data....

Anyway...I found that the best results come with comparing the 08:00 GMT candle to 01:00 GMT candle
This is obviously an optimization...so the "perfect" setting doesn't exists...

I tried also to put a 80 pips goal every month and what I found is that most months the target is achieved, and there are just 2 losing months from 08/2009.

The drawdown is very little (11,02%)

In any case the best overall results (in money) come without the daily target, because some months the gain is much more than 80 pips.

I'm not seeking perfection with backtests, because they are always optimized and they can not perform the same in the future...but what I can say for sure is that this strategy is viable and makes money.

Only a forward test can tell us the truth.

Here is a screenshot of the monthly results...
Ignore the % profit because it's calculated every month on the current capital, and not the initial capital (1000$).
Money Profit is what you need to watch for, 1$ is 1 pip.
Some months the profit is more than 80$ because my backtest doesn't recalculate the target every day.

Again...this is not compounded, it's just a linear backtest, imagine compounding and the results will be way better...

Anyway the results are positive..this is what matters...
Attached Image (click to enlarge)
Click to Enlarge Name: newtest.JPG Size: 74 KB
Market is like a puzzle, YOU have to fit the pieces!!
  • #231
  • Feb 1, 2011 6:23am Feb 1, 2011 6:23am
Quoting cgrey
I just had one of those "how could I have not thought of this before" moments...

Triggered by something the-game said earlier, but I can't believe it took until now to this of this.

I hate to add any complexity, but I have a fairly simple change to make that is all upside with no additional risk. I have some morning routine stuff to take care of (I have to get my son ready and take him to school, and then watch the NYSE open - can't abandon my regular trading, after all)....

But I will be back later this morning to spell this all out.
I cant wait...
  • #232
  • Feb 1, 2011 6:52am Feb 1, 2011 6:52am
Quoting microsuck_36
I cant wait...
same here
  • #233
  • Feb 1, 2011 7:21am Feb 1, 2011 7:21am
I'm going to take a guess and say he'll suggest opening a trade in both directions. You split the risk into both trades (1.25% each - in case they both whipsaw into your stop). You would do this in hopes of catching the big candle, which will effectively be more than your 20 pip stop. Of course due to negating trades, it may (or may not) take longer to reach the monthly profit target, but it should increase the probability of overall profitability. I thought about this, but didn't bring it up earlier to not add 'complexity' to the thread.
  • #234
  • Feb 1, 2011 7:40am Feb 1, 2011 7:40am
Quoting cgrey
I just had one of those "how could I have not thought of this before" moments...

Triggered by something the-game said earlier, but I can't believe it took until now to this of this.

I hate to add any complexity, but I have a fairly simple change to make that is all upside with no additional risk....
I rarely have that effect on people, can't wait to see what you've thought up.

I think 2+2=4x is on the right track
  • #235
  • Edited 11:47am Feb 1, 2011 7:50am | Edited 11:47am
It's never a good thing to do anything that requires thought until you're fully awake. Coffee and a short drive can quickly bring the brain back to reality...

I'll share my "big idea", and I'll also share why after some rational thought, it won't work. Well, it COULD, but it would be rare that the outcome would be any different than what we do today.

The concept was to basically analyze where we are at the 09:00 candle open, and decide whether or not to exit instead of exiting automatically. If we were down, we'd exit to cut our losses, if we were up, we'd stay in the trade, moving the stop to the close of the 08:00 candle. If we were to reverse during the 09:00 candle, the worst position we'd be in would be the same as if we closed out with the 08:00 candle close.

Then, reality hit... If the very first tick of the 09:00 candle goes against us, we're out. So, the only way this change would make any difference is if we caught the 09:00 candle open right at a point that it is in a move and not reversing. 09:00 would have to be a candle that the open was the extreme, and price never crossed back over the open price. Possible, but uncommon.

Like I said - it took the brain a little while to realize that. Then I started thinking about "well, if we're up by 10 pips, maybe be willing to give back 5 to see if the gain continues... and so on....". And I quickly came to the conclusion that something like the latter would be a radical change to the underlying system itself. Plus, I am not in the habit of giving anything back - even if we only gave 2 pips back, do that a few times a month and it could mean the difference between a winning month and a losing month.

Maybe someone else will want to take this concept and work with it. For me, after giving it more thought, I'm sticking with the original plan.

So, sorry for the false alarm. I'll make sure I've had my coffee before coming up with any more bright ideas
  • #236
  • Feb 1, 2011 7:51am Feb 1, 2011 7:51am
Quoting 2+2=4ex
I'm going to take a guess and say he'll suggest opening a trade in both directions. You split the risk into both trades (1.25% each - in case they both whipsaw into your stop). You would do this in hopes of catching the big candle, which will effectively be more than your 20 pip stop. Of course due to negating trades, it may (or may not) take longer to reach the monthly profit target, but it should increase the probability of overall profitability. I thought about this, but didn't bring it up earlier to not add 'complexity' to the thread....
I'm in the US, and since I can't use a foreign broker, I can't open trades in opposite directions (within the same account, anyway).

For that reason, I never really gave this any thought. I wouldn't expect it to work, but I can be proven wrong should anyone experiment with this.

EDIT: here's why I won't expect it to work.... Most days, we close the trade somewhere between SL and TP. If you're in both ways, evey day (except the day you hit target) is a loser. Your trades cancel each other out (+5 and -5, for example), but you'll still pay spread and/or commission.
  • #237
  • Feb 1, 2011 7:52am Feb 1, 2011 7:52am
Quoting the-game
I rarely have that effect on people, can't wait to see what you've thought up.

I think 2+2=4x is on the right track
Well... It was more that when you pointed out those specific dates that I realized the 9:00 candle will sometimes continue the move that started with the 8:00. That got me on the track...
  • #238
  • Feb 1, 2011 8:00am Feb 1, 2011 8:00am
I was going to add it might be close half the position at 9 GMT and move stop up, but we probably would of picked up on the 9 GMT candle not reversing by now. I agree, it's best to keep it the way it is, which is nice and simple.
  • #239
  • Feb 1, 2011 9:39am Feb 1, 2011 9:39am
Quoting Chris_B
Hi....I made new backtests today...

Unfortunately I can't go before August 2009 because I have some missing data....

Anyway...I found that the best results come with comparing the 08:00 GMT candle to 01:00 GMT candle
This is obviously an optimization...so the "perfect" setting doesn't exists...

I tried also to put a 80 pips goal every month and what I found is that most months the target is achieved, and there are just 2 losing months from 08/2009.

The drawdown is very little (11,02%)

In any case the best overall results (in money) come...
Chris - there are a few things that confuse me about the results.. For example, some months only show 5 or 7 or 8 trades. Are you doing anyhting to filter some trades out? There should be one trade every day. That would be in the neighborhood of 20-24 per month, depending on how weekends fall...
  • #240
  • Feb 1, 2011 9:46am Feb 1, 2011 9:46am
Quoting cgrey
Chris - there are a few things that confuse me about the results.. For example, some months only show 5 or 7 or 8 trades. Are you doing anyhting to filter some trades out? There should be one trade every day. That would be in the neighborhood of 20-24 per month, depending on how weekends fall...
When you see only 5 or 7 trades is because the 80 monthly pips are reached (your 10% for example) so the strategy stops to trade until next month...
It's 1 trade per day until it reaches the target (in some case it exceeds the target)...
Market is like a puzzle, YOU have to fit the pieces!!
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