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Would this work?

  • #61
  • Jul 17, 2006 5:07pm Jul 17, 2006 5:07pm
Quoting mrmikal
Did you not get my post that I was using DAILY data???? To try to process tick by tick would have been too processor intensive.
This is why backtesting would not work. Or would you deny there would be opportunities during the day, perhaps more than one, to take profit?

Thanks for the tip about FXSol, I'll try the experiment with them also.
  • #62
  • Jul 17, 2006 5:12pm Jul 17, 2006 5:12pm
Quoting mrmikal
OK...how does my argument have no merit just because you don't get a margin call?

Let's put it this way...

If during the experiment you decide to close up shop, how much do you expect to take out of your account??

If you have unrealized P/L you have to PAY that when you liquidate. Furthermore you're going to have to pay taxes on your REALIZED P/L while not being able to count your unrealized P/L as losses.

Yes, you can make a profit using this system, as it has shown. It's just less than what I'll be making in my savings account...not exactly comforting.
Why would you liquidate with an unrealized loss, when you know the position will turn in your favor at some point?
  • #63
  • Jul 17, 2006 5:13pm Jul 17, 2006 5:13pm
And how would the interest you earn be constant even over the last few years when the Fed has raised rates multiple times? You estimated the interest earned didn't you? That is the most important part of this system. You can't just pick and choose what you want to verify, that's not fair. The only way you can truly test this entire system is tick by tick by tick, which I'm doing with demo accounts.

You disappoint me mrmikal, but I still respect you a great deal.
  • #64
  • Jul 17, 2006 5:41pm Jul 17, 2006 5:41pm
Sis,

OK...I disappoint you...honestly? that's a really shitty thing to say...you have done ZERO work. I spent valuable time in my day to at least get SOME direction here. Tell you what...why don't YOU do the rest of the back-testing...or find out the hard way...whatever...my results, I'll keep them to myself.

Honestly...if you're so intent on doing this...why don't you just buy any pair with a good interest rate and do the same thing. If your logic holds, you won't have to worry about 2 pairs...right?? After all you can just hold your pair, collect the interest and then just sell whenever you go into positive, right???
  • #65
  • Jul 17, 2006 5:42pm Jul 17, 2006 5:42pm
what about this, instead of entering all at once, divide the total number of units you want by say 3, and enter at completely different times. enter a third of your order, wait until the market is in a completely different place, say in a postive deviaion, enter your second third, and then wait and enter your 3rd part at a different spot. i don't know if i'm right or not but if you enter at many different times wouldn't the ups and downs of the market hurt (or help) you less. but it would give less drawdown and give you less risk. correct me if i'm wrong.
PipMasterFlex
  • #66
  • Jul 17, 2006 5:42pm Jul 17, 2006 5:42pm
There are two things about your backtest that concern me:

1. You did not allow for opportunities to take profit, during the day, at least once.
2. At about $10 per day, let's say 200 trading days a year, you have $2000, that's another $10000 over the 5 year period, which is not insignificant. The return would be more pronounced with the use of leverage would it not?
  • #67
  • Jul 17, 2006 5:45pm Jul 17, 2006 5:45pm
Quoting SisterCurare
Why would you liquidate with an unrealized loss, when you know the position will turn in your favor at some point?
From my memory from ElectricSavant's work here, Oanda - while they constantly calcualte interest, they only add the interest to your account apon liquidation of the position. Hence one would need to liquidate positions regularly to enjoy the compounding effect of the interest.
The theory is liquidating both +ve and -ve side of the spread would cancel eachother, and core income is from the interest.

I have not used Oanda, someone else may know better.

SilverB
In trading you are only as smart as your dumbest mistake. - Ralph Vince
  • #68
  • Jul 17, 2006 5:47pm Jul 17, 2006 5:47pm
Quoting mrmikal
Sis,

OK...I disappoint you...honestly? that's a really shitty thing to say...you have done ZERO work. I spent valuable time in my day to at least get SOME direction here. Tell you what...why don't YOU do the rest of the back-testing...or find out the hard way...whatever...my results, I'll keep them to myself.

Honestly...if you're so intent on doing this...why don't you just buy any pair with a good interest rate and do the same thing. If your logic holds, you won't have to worry about 2 pairs...right?? After all you can just hold your pair, collect the interest and then just sell whenever you go into positive, right???
Holding one pair will not work, you know this. Without a way to hedge the pair, you leave yourself vulnerable to unfavorable changes in rates. You know this. I'm sorry, I did not mean to insult you, but I am doing work, in the form of several demo accounts. My results just won't be available as quickly as yours are. I just don't think you can backtest this system unless it's tick by tick.

You didn't answer my questions:
Why would you close a postition with an unrealized loss when you know it will come back in your favor?
Would you agree there would be at least one opportunity in the day to collect some profit?
  • #69
  • Jul 17, 2006 5:53pm Jul 17, 2006 5:53pm
hey guys i know not as much forex as you guys do, but i think i may be on to something with my post about entering at different times, i dont know, i may be wrong, but give it a look.
PipMasterFlex
  • #70
  • Jul 17, 2006 5:53pm Jul 17, 2006 5:53pm
Quoting SliverB
From my memory from ElectricSavant's work here, Oanda - while they constantly calcualte interest, they only add the interest to your account apon liquidation of the position. Hence one would need to liquidate positions regularly to enjoy the compounding effect of the interest.
The theory is liquidating both +ve and -ve side of the spread would cancel eachother, and core income is from the interest.

I have not used Oanda, someone else may know better.

SilverB
I have a demo with Oanda right now, and they are unique in that they constantly calculate interest. I would think liquidating once daily could be considered regularly.
  • #71
  • Jul 17, 2006 6:21pm Jul 17, 2006 6:21pm
Quoting SliverB
From my memory from ElectricSavant's work here, Oanda - while they constantly calcualte interest, they only add the interest to your account apon liquidation of the position. Hence one would need to liquidate positions regularly to enjoy the compounding effect of the interest.
The theory is liquidating both +ve and -ve side of the spread would cancel eachother, and core income is from the interest.

I have not used Oanda, someone else may know better.

SilverB
SilverB

You are correct...and that's actually true of most brokers. FX Sol is the same way, they only pay you the premium when you liquidate the position.

Sis,

I'm not saying $10,000 is insignificant...I'm just saying that I'll make MORE than that using my savings account. SIGNIFICANTLY more than that. SIGNIFICANTLY more than I would have using this system for the last 5 years...That's what makes this semi-ridiculous...Why would I hold onto a losing position for an indeterminant amount of time? That doesn't make sense to me.

Look, I'll let you figure it out on your own...if I come up with better results...well...you'll never know unless you guys post the work yourselves.

Sis, why don't you just keep a running journal of your equity, balance and trades. Just keep on believing in this system...there's no end to your hope...which is a great thing. Make sure you keep enough in the account, and you'll be good. I'll keep my $100,000 in my savings account for now, and we can compare our accounts in 5 years...see if I made a mistake.
  • #72
  • Jul 17, 2006 6:22pm Jul 17, 2006 6:22pm
Quoting SisterCurare
I have a demo with Oanda right now, and they are unique in that they constantly calculate interest. I would think liquidating once daily could be considered regularly.
You're only supposed to liquidate when you turn a profit, remember? I'm not so sure you'd be able to turn a profit every day with the spread.
  • #73
  • Jul 17, 2006 6:23pm Jul 17, 2006 6:23pm
Mrmikal, I'm not sure what the problem is, your backtesting proved the system makes money, at an average rate of 10% per year, and you failed to include some pretty important parts. In addition, you did not compund the profits yearly. What you've proven is that there exists a way to make at least 10% on your money anually with no risk. Correct me if I'm wrong, I'm sure you will.
  • #74
  • Jul 17, 2006 6:24pm Jul 17, 2006 6:24pm
Quoting SisterCurare
Would you agree there would be at least one opportunity in the day to collect some profit?
I don't believe you will have a chance to take positive pips everyday. I have monitored the position I set up this morning all day. The closest I got was Even and -3 pips. As was stated earlier.. you will need a larger amount of pip seperation than just breaking into positive, perhaps +10,15 pips? This would pay for the spread you pay on entry and exit on both pairs... also giving you $50 or so to go along with the interest.

Interesting theory, but it is true that someone will make MOST of his money on positive pips taken rather than he would on interest. Making this really no different than a standard hedge? Just a way to get paid to hedge I suppose?

Unless I am missing something, which is actually probable.
The market is my nation. Traders, my family. Hello, brothers and sisters!
  • #75
  • Jul 17, 2006 6:25pm Jul 17, 2006 6:25pm
Quoting mrmikal
You're only supposed to liquidate when you turn a profit, remember? I'm not so sure you'd be able to turn a profit every day with the spread.
That's true you would at least need to cover the spread to avoid "running in place". How many times would you consider reasonable? Three times a week?
  • #76
  • Jul 17, 2006 6:27pm Jul 17, 2006 6:27pm
Quoting StockKJay
I don't believe you will have a chance to take positive pips everyday. I have monitored the position I set up this morning all day. The closest I got was Even and -3 pips. As was stated earlier.. you will need a larger amount of pip seperation than just breaking into positive, perhaps +10,15 pips? This would pay for the spread you pay on entry and exit on both pairs... also giving you $50 or so to go along with the interest.

Interesting theory, but it is true that someone will make MOST of his money on positive pips taken rather than he would on interest. Making this really no different than a standard hedge? Just a way to get paid to hedge I suppose?

Unless I am missing something, which is actually probable.
In a standard hedge, there is no way to profit from positive divergence. And you would be better served by taking a look at your unrealised P/L than the difference in pips.
  • #77
  • Jul 17, 2006 6:27pm Jul 17, 2006 6:27pm
what about this, instead of entering all at once, divide the total number of units you want by say 3, and enter at completely different times. enter a third of your order, wait until the market is in a completely different place, enter your second third, and then wait and enter your 3rd part at a different spot. i don't know if i'm right or not but if you enter at many different times wouldn't the ups and downs of the market hurt (or help) you less. but it would give less drawdown and give you less risk. correct me if i'm wrong.
<!-- / message --><!-- sig -->
PipMasterFlex
  • #78
  • Jul 17, 2006 6:33pm Jul 17, 2006 6:33pm
Quoting SisterCurare
That's true you would at least need to cover the spread to avoid "running in place". How many times would you consider reasonable? Three times a week?
If three times a week were true this theory could work.
The market is my nation. Traders, my family. Hello, brothers and sisters!
  • #79
  • Edited 7:01pm Jul 17, 2006 6:37pm | Edited 7:01pm
I know of no banks that offer more than 10% annually in a savings account, although I don't have $100,000 either, which would probably increase your options.

I would like to know where you can make "SIGNIFICANTLY" more than 10% interest in a savings account. It's just difficult for me to believe. Does anyone have a clue?
  • #80
  • Edited 7:22pm Jul 17, 2006 7:03pm | Edited 7:22pm
Quoting SisterCurare
Holding one pair will not work, you know this. Without a way to hedge the pair, you leave yourself vulnerable to unfavorable changes in rates. You know this. I'm sorry, I did not mean to insult you, but I am doing work, in the form of several demo accounts. My results just won't be available as quickly as yours are. I just don't think you can backtest this system unless it's tick by tick.

You didn't answer my questions:
Why would you close a postition with an unrealized loss when you know it will come back in your favor?
Would you agree there would be at least one opportunity in the day to collect some profit?
Hello Sistercurare,

I am not trying to be in the middle of the argument but I would try to point out some works that I have done.
1. To "collect" interest from the forex market, you don't need tick by tick data at all - what you look at is the long term - either daily or weekly data should be sufficient
2. I have been short EUR/USD >14 months even since the USD interest>Eur interest at 1.28 - what I did is I allow enough margin to survive through the upswing to 1.4 which it never reached and collect the interest even since. And the interest I got just passed 20% of my equity 1 month ago without looking at the PIPs (well....that's very risky approach and I might lose all of my money if it reaches 1.4)
3. There would be no point to "take profit" when you are actually in profit - if you really want to add more lots, when your equity allow you to do it, you can just do it (buy or short) - you don't need to close your position and reopen it again.

Back on the topic - I do think take 2 positions that doesn't have 100% correlation to be as risky as just take 1 position alone - because you need more margin, and if they both moved away from you, you are likely to get margin call as mrmikal calculated.
However if you take 3 pairs, say EUR/JPY, USD/JPY, EUR/USD, then you may be able to collect good interest with some risk - well, no promise on that one as I only just started demo on this method.

Edit: forgot to say, if you look at my statement below, you will find I am still overall short Eur/Usd.

<TABLE cellSpacing=1 cellPadding=3 border=0><TBODY><TR align=middle bgColor=#c0c0c0><TD>Ticket</TD><TD noWrap>Open Time</TD><TD>Type</TD><TD>Lots</TD><TD>Item</TD><TD noWrap>Price</TD><TD>S / L</TD><TD>T / P</TD><TD noWrap></TD><TD noWrap>Price</TD><TD>Commission</TD><TD>R/O Swap</TD><TD>Trade P/L</TD></TR><TR align=right><TD>2999828</TD><TD noWrap>2006/07/07 03:10</TD><TD>sell</TD><TD>1.00</TD><TD>usdjpy</TD><TD>115.17</TD><TD>0.00</TD><TD>0.00</TD><TD noWrap></TD><TD>117.24</TD><TD>0.00</TD><TD>-11.64</TD><TD>-176.57</TD></TR><TR align=right bgColor=#e0e0e0><TD>2999829</TD><TD noWrap>2006/07/07 03:10</TD><TD>buy</TD><TD>1.00</TD><TD>eurjpy</TD><TD>147.15</TD><TD>0.00</TD><TD>0.00</TD><TD noWrap></TD><TD>146.73</TD><TD>0.00</TD><TD>7.44</TD><TD>-35.83</TD></TR><TR align=right><TD>2999831</TD><TD noWrap>2006/07/07 03:10</TD><TD>sell</TD><TD>1.00</TD><TD>eurusd</TD><TD>1.2774</TD><TD>0.0000</TD><TD>0.0000</TD><TD noWrap></TD><TD>1.2521</TD><TD>0.00</TD><TD>6.64</TD><TD>253.00</TD></TR><TR align=right bgColor=#e0e0e0><TD>2999833</TD><TD noWrap>2006/07/07 03:12</TD><TD>sell</TD><TD>8.00</TD><TD>usdjpy</TD><TD>115.17</TD><TD>0.00</TD><TD>0.00</TD><TD noWrap></TD><TD>117.24</TD><TD>0.00</TD><TD>-93.12</TD><TD>-1412.49</TD></TR><TR align=right><TD>2999834</TD><TD noWrap>2006/07/07 03:12</TD><TD>buy</TD><TD>8.00</TD><TD>eurjpy</TD><TD>147.15</TD><TD>0.00</TD><TD>0.00</TD><TD noWrap></TD><TD>146.73</TD><TD>0.00</TD><TD>59.52</TD><TD>-286.60</TD></TR><TR align=right bgColor=#e0e0e0><TD>2999836</TD><TD noWrap>2006/07/07 03:12</TD><TD>sell</TD><TD>8.00</TD><TD>eurusd</TD><TD>1.2774</TD><TD>0.0000</TD><TD>0.0000</TD><TD noWrap></TD><TD>1.2521</TD><TD>0.00</TD><TD>53.12</TD><TD>2024.00</TD></TR><TR align=right><TD colSpan=10></TD><TD>0.00</TD><TD>21.96</TD><TD>365.51</TD></TR><TR><TD colSpan=9></TD><TD colSpan=2>Floating P/L:</TD><TD align=right colSpan=2>387.47</TD></TR></TBODY></TABLE>
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