Disliked{quote} Almost 10:1. 4150 on original...450 on FX mod. There seems to be a huge difference here. I encourage anyone to check my numbers. Maybe later I'll do a different pair for comparison.Ignored
MGH System (Martingale Grid & Hedging)
- #383
- Aug 9, 2014 6:59pm Aug 9, 2014 6:59pm
- Joined Nov 2010 | Status: Snaggin' Some Pips | 2,159 Posts
Did a quick backtest on the GbpJpy for the year, again using a 50 pip grid. The original method didn't do well. Before I got half way through February I had already hit x64...so pretty much a blown account. On the modified, ended up with 5160 pips for the year. Only got up to x8 with about 1600 pips DD. Pretty impressive.
You have saved my Sunday! (I just wonder how could you go through 7 months' worth of data so fast...)As Wilsonch has put it right, even if the modified strategy results in smaller pip gains, the associated smaller (DD) risk allows to run it on a smaller account, so the profit percentage multiples. So we really need to look at the combined picture of absolute gain, DD risk and margin requirement.
One more "brainstorming" idea about TP: It seems that the Hedge function (esp. at x16, x32) can be a "big moneymaker", however, it is a double edged sword as these hedge levels require large margins standing by all the time (tying down funds, creating higher "exposure" and reducing % profit), so - in my opinion - the Hedge function should be used primarily as an "Exit Strategy" (as soon as possible), and not as additional "moneymaker".
What I am trying to say is that the TP should be "reasonable" after deploying Hedge positions, i.e. to let the Hedges do their "job": TO PROVIDE A GRACIOUS and PROFITABLE EXIT.
Personally I would use the combined profit of Level1+Level2+Level3 of the Original Batch as TP when Hedge positions are in play. Using the Modified Version it would be: 10+20+30 pips, i.e. 60 pips max. TP. In other words: whenever the total combined profit (closed + floating) of a batch reaches 60 pips, all positions are closed and a new series is started.
To summarize the expected advantages:
- Smaller, but more frequent profits in the bank (instead of larger floating profits while being exposed to random market moves).
- Closing and starting batches more often would result in significantly reduced need of deploying large Hedge multipliers (i.e. "desperate exit strategies"). There is a good chance that even Hx8 would not be needed, as KFx's idea is so robust.
- Less chance of large multipliers = smaller fund exposure ==> less risk, less strain on the margin, less anxiety ==> better sleep.
- Less chance of large multipliers = smaller margin requirement ==> higher Profit percentage even with smaller absolute pip gain. For example: by being able to reduce the required margin by only 30%, the expected profit return would go up by 42%, while a 50% margin reduction would literally DOUBLE the Profit (%) with the same exact absolute pip gain.
I would like to use the opportunity to emphasize that the basic strategy is KFx's idea and all credits should go to him.
- #389
- Aug 10, 2014 7:22am Aug 10, 2014 7:22am
- Joined Nov 2010 | Status: Snaggin' Some Pips | 2,159 Posts
{quote} the strategy could be deployed even IN BOTH DIRECTIONS at the same time and let both batches run their courses.
Now I have a headache...
- #390
- Aug 10, 2014 7:25am Aug 10, 2014 7:25am
- Joined Nov 2010 | Status: Snaggin' Some Pips | 2,159 Posts
{quote}One more "brainstorming" idea about TP: It seems that the Hedge function (esp. at x16, x32) can be a "big moneymaker", however, it is a double edged sword as these hedge levels require large margins standing by all the time (tying down funds, creating higher "exposure" and reducing % profit), so - in my opinion - the Hedge function should be used primarily as an "Exit Strategy" (as soon as possible), and not as additional "moneymaker".
Another solid idea FX.
I had thought of something similar myself.I think that obviously goes more to MM and I would definitely like to spend more time figuring that out, especially once we nail down the basic method.
Hopefully Kfx will be here soon to comment on all this.
- #391
- Aug 10, 2014 7:32am Aug 10, 2014 7:32am
- Joined Nov 2010 | Status: Snaggin' Some Pips | 2,159 Posts
{quote} (I just wonder how could you go through 7 months' worth of data so fast...)
Not so bad when you're using a 50 pip grid...
{quote} Yes, that's the idea, i.e. starting one "First Batch" in "counter microtrend" direction (as mentioned in KFx's original strategy in Post1) and another one in "microtrend" direction (as mentioned in the Modified Version). Nevertheless, it is just a "brainstorming" idea (came to mind on a lazy Sunday morning) which needs further exploration. Advantages: 1. More profits (harvesting both directions). 2. Potential "auto-hedging". The branch in DD would be partially balanced by the other branch taking profits. Disadvantages: 1. Synchronicity would...
I've considered the worst scenario (nightmare scenario) for every grids: a narrow range market!
Let's see the pics.
in pic.1 we have up a grid with Kfx's original strategy and down your startegy.
As you can see, depending as price moves in the range, one strategy can help the other or disadvantage it.
But at the beginning we don't know which is the best strategy.
So I guess the solution is a careful MM.
In the second pic, I've pointed out a period (blue rectangles) in which the total gain is +60 pips.
At the end of the day, in opposite, the total loss is -160 pips.
Anyway, if we use both strategies, as you correctly said, we can suppose a lowest DD (for a sort of hedging effect).
- #395
- Aug 10, 2014 9:55am Aug 10, 2014 9:55am
- Joined Nov 2010 | Status: Snaggin' Some Pips | 2,159 Posts
{quote} ....trying to continue your thinking..... I've considered the worst scenario (nightmare scenario) for every grids: a narrow range market! Let's see the pics. {image} {image} in pic.1 we have up a grid with Kfx's original strategy and down your startegy. As you can see, depending as price moves in the range, one strategy can help the other or disadvantage it. But at the beginning we don't know which is the best strategy. So I guess the solution is a careful MM. In the second pic, I've pointed out a period (blue rectangles) in which the total...
{quote} Hmmm. At first look it seems overly complicated to me. I think I'd rather diversify into other pairs. However, perhaps further reflection will change my opinion
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{quote} ....trying to continue your thinking..... I've considered the worst scenario (nightmare scenario) for every grids: a narrow range market! Let's see the pics. {image} {image} in pic.1 we have up a grid with Kfx's original strategy and down your startegy. As you can see, depending as price moves in the range, one strategy can help the other or disadvantage it. But at the beginning we don't know which is the best strategy. So I guess the solution is a careful MM. In the second pic, I've pointed out a period (blue rectangles) in which the total...
Running the two strategies simultaneously (without intentional attention to entry direction) would have had some balancing effect, however, each strategy would have started August 8th with -330 pips floating DD at Hx4. Not so good.
Adjusting synchronicity even by EAs would be extremely difficult, so I scratch the idea of simultaneous and opposite direction entries...
Just to see what would have happened on August 7th on GBP/NZD (although due to its large spread I would not have used this pair):
ORIGINAL:
MODIFIED:
{quote} On August 7th, the ORIGINAL (KFx's) version has performed much better on GBP/NZD. The good news is that both versions closed the day with NET EQUITY GAIN. Running the two strategies simultaneously (without intentional attention to entry direction) would have had some balancing effect, however, each strategy would have started August 8th with -330 pips floating DD at Hx4. Not so good. Adjusting synchronicity even by EAs would be extremely difficult, so I scratch the idea of simultaneous and opposite direction entries... Just to see what would...
And why not trying two grids (one for each strategy) shifted for 1/2 step? Example, one grid 1.9860-1.9870-1.9880.....and the other 1.9865-1.9875-1.9885....
Maybe too many points for a brainstorming!
{quote} We should test this double grid strategy with an Ea. I'm agree with moncsicsi. And why not trying two grids (one for each strategy) shifted for 1/2 step? Example, one grid 1.9860-1.9870-1.9880.....and the other 1.9865-1.9875-1.9885.... Maybe too many points for a brainstorming!
I think we can agree that it is a promising strategy, as most Martingales are, except when the "Death Trades" comes. Then it is not so pretty. Personally I would like to see the toughest days for this strategy before getting into programming. The most valuable would be to see a series of unmanageable days leading to the "Death Trades", because we need to know the "worst case scenario" and also, once we find such days, the strategy needs to be made even safer.
So please post ANY DAYS on ANY CURRENCY which you think would have been a major challenge (or unmanageable situation) for this Martingale/Hedge strategy.