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Building an equity millipede

  • #6,581
  • Oct 10, 2014 3:10am Oct 10, 2014 3:10am
Quoting TheRealDeal
@pa_pips: It would work best for the "candle immediately following".
Thanks for the clarification TRD, will study carefully over the weekend.
Much depend on luck, but the more you practice the luckier you get! NT & GP
  • #6,582
  • Oct 10, 2014 4:28am Oct 10, 2014 4:28am
Please accept my apologies in advance for what i am going to say.

What are you looking for in the trades i took? Proof that the "Holy Grail" exists? It isn't there.
Are you trying to figure out how my entry methods work (which i use on my real accounts)? It isn't there.
You want to proove me wrong? Looking to find a reason that the method doesn't work and you have your peace finally?
The reason i added the excel document was to backup the test statistics and to make you do the same.

Instead of taking time to backtest your method and posting here your results, you are picking one by one of my trades and trying to figure out why i entered. I explained already that. However you can probably find some which are not following the engulf religiosly or not making any sense. This is due to the speed i executed the test (less than 2 hours). But i was never following any trend, even if it might look like this. Usually in a uptrend there are not much bearish setups.

Please don't follow my trades, but follow my concept. Entries are something personal. They cannot be copied. And they are not much important either. We can talk on entries some other time.


TRD
  • #6,583
  • Oct 10, 2014 4:46am Oct 10, 2014 4:46am
TRD,

Not looking for proof, i make my own proof as i progress to testing my own set-ups.
Not trying to figure out your entries, woudn't work for me, everybody trades differently, copiing trades has never worked.
Sure as hell not want to proove you wrong, because i'm a believer and want to believe that one can be profitable with trading

All i want to do with the excel sheet is to get me started, but immediately i find lot of trades are missing, (maybe not, but that's why i asked about the order#)
Hope you can clear this one up.

Regards
Persistence will get it. Consistency will keep it.
  • #6,584
  • Oct 10, 2014 4:59am Oct 10, 2014 4:59am
Quoting TheRealDeal
Please accept my apologies in advance for what i am going to say. What are you looking for in the trades i took? Proof that the "Holy Grail" exists? It isn't there. Are you trying to figure out how my entry methods work (which i use on my real accounts)? It isn't there. You want to proove me wrong? Looking to find a reason that the method doesn't work and you have your peace finally? The reason i added the excel document was to backup the test statistics and to make you do the same. Instead of taking time to backtest your method and posting here...
Not trying to prove/disprove anything TRD - just trying to understand atm.

You have obviously spent a lot of time with this method and we can appreciate the amount of effort you put in.

So we are trying to maybe shortcut our learning curve by learning from your experience.

But before I can reach a decision on this method - I need to understand fully what it is - hence my previous question about the seeming contradiction. You say enter both long and short at the same time but the ss shows you don't do that.

I have already, anyway developed a similar millipede style of trading but still struggle with the diversification bit.

Don't take any of these q's as criticisms T we are just trying to learn from your experience rather than ''re-inventing the wheel''
  • #6,585
  • Oct 10, 2014 5:24am Oct 10, 2014 5:24am
Quoting TheRealDeal
Please accept my apologies in advance for what i am going to say. What are you looking for in the trades i took? Proof that the "Holy Grail" exists? It isn't there. Are you trying to figure out how my entry methods work (which i use on my real accounts)? It isn't there. You want to proove me wrong? Looking to find a reason that the method doesn't work and you have your peace finally?
Correct me if I am wrong TRD but what I think you are trying to show that you used a constant lot size and somewhat constant SL but that you did not have a constant TP. Once positions were in profit you moved to BE and just let it grow, just see where the market took the position. You took profit at a later time when you felt you wanted to.

I believe what you are saying is the entry did not matter as much as people think but it was the the exit that matters.
I also assume that the results would have been comparable working off 1 hour, 4, hour, 1 day, 1 week, 1 month charts.
  • #6,586
  • Oct 10, 2014 6:46am Oct 10, 2014 6:46am
take it easy, TRD.
apology accepted.
  • #6,587
  • Oct 10, 2014 11:16am Oct 10, 2014 11:16am
Quoting stewrigh
{quote} You say enter both long and short at the same time but the ss shows you don't do that.''
IMO TRD does not enter buy and sell at the same time: he`s only saying that he places buy and sell orders regardless of the trend.
but only buy order for bullish bars and sell orders for bearish bars.

so the trend is up - bearish engulf - we still place a sell order despite the trend being up.
  • #6,588
  • Oct 10, 2014 11:20am Oct 10, 2014 11:20am
Quoting Sherpa
{quote} Correct me if I am wrong TRD but what I think you are trying to show that you used a constant lot size and somewhat constant SL but that you did not have a constant TP. Once positions were in profit you moved to BE and just let it grow, just see where the market took the position. You took profit at a later time when you felt you wanted to. I believe what you are saying is the entry did not matter as much as people think but it was the the exit that matters. I also assume that the results would have been comparable working off 1 hour, 4,...
I agree - as soon as you see momentum in the market, hop on the train and hope for the best.
  • #6,589
  • Oct 10, 2014 12:19pm Oct 10, 2014 12:19pm
Quoting Sherpa
{quote} Correct me if I am wrong TRD but what I think you are trying to show that you used a constant lot size and somewhat constant SL but that you did not have a constant TP. Once positions were in profit you moved to BE and just let it grow, just see where the market took the position.
Correct. Constant SL (50-70% of the bar size) on H4 scope and TP - on Daily/Weekly scope (diversification).
Plus couple of positions are running for infinite profit.
What do you need more?

Just think about that. Somewhere in March 2007 i would diversify. Why? Because of Weekly/Monthly high in 2004. I will probably close all except my biggest 7 legs:

Buy1 - End of 2006 - 1616 - March 2007 - 1916 - April 2008 - 4316
Buy2 - End of 2006 - 1609 - March 2007 - 1909 - April 2008 - 4309
Buy3 - End of 2006 - 1472 - March 2007 - 1772 - April 2008 - 4172
Buy4 - End of 2006 - 1446 - March 2007 - 1746 - April 2008 - 4146
Buy5 - End of 2006 - 1438 - March 2007 - 1738 - April 2008 - 4138
Buy6 - End of 2006 - 1332 - March 2007 - 1632 - April 2008 - 4032
Buy7 - End of 2006 - 1327 - March 2007 - 1627 - April 2008 - 4027

These 2 years old positions will give you 29140 pips without doing anything.
Imagine how much more you would have added until April 2008.

Entry is not important. Important is to stack heavily when the trend speeds up. You can use any method as entry. (engulf, inside bar, outside bar, even break of last bars high low, pennant) I like very much 30-50% retrace on any bar in trend direction. I believe i used that in the backtesting experiment as well somehow subconsciously. It is very effective.

Exit is important after good growth. I mean if your position is up 5000 pips and next month is 4000 pips. It is still good idea to close it if you sense that trend may change.

i hope i helped
TRD
  • #6,590
  • Oct 10, 2014 12:29pm Oct 10, 2014 12:29pm
Probably you can find it useful (PM with a member):

Quote
Hi T , Thanks for getting back to me.
Just trying to clarify your entry method - for instance on 10 Oct(row 366) you started to enter long orders(total 111) with no diversification. I'm guessing that was bcos it was at the extremes of the range and likely to start going up. negating the need to diversify?

RE: about the entries

Since trade 366 i opened 187 other trades (130 buy and 57 sell) I guess there are two reasons for that.
1. There are not much sell oportunities (big momentum engulfs) in such a uptrend.
2. Looks like i sensed the uptrend and subconsciously started agressively stacking. I tend to do that when trend is is strong.

Why i didn't diversify since Okt 2005? On purpose. The reason i posted 2 posts back "Please notice i diversified actively until Okt 2005. After that i did very few. The purpose was to show, that with constant drawdown you can achieve exponential profits."

Even if you do not diversify the drawdown remains somehow constant, but the profit grows exponentially. That is the beauty and the biggest secret. But don't tell it to anyone

TRD
----
just to add to my prev message. you are also right about entering at extremes.

TRD
----
  • #6,591
  • Oct 11, 2014 9:43am Oct 11, 2014 9:43am
Quoting TheRealDeal
Hello Traders! I am sorry to interrupt your hot discussion about who i am, but i decided to backup what i said in my last posts with some backtesting. In no way i am trying to prove myself, however i will try to prove my point. Unfortunatelly i cannot provide you backtest data of thousands of trades, because i am relatively busy. 420 Trades overall: 90 Wins, 156 BE, 174 loses. Test Time: 2 years (2005-2006) Method: On H4 TF wait until engulf or outside bar forms (bullish or bearish - we enter both sell and buy regardless of the trend) Entry: On...
Hi again TRD,
I've been doing some number crunching on your ss today and have a couple of observations and questions.

1. You are using almost no leverage - for instance even if you had a 40 leg millipede that is only 40-1 and some of those would be diversified anyway so would net out.
2. I also noted that the drawdown(although it seems small anyway) will be minimized by moving legs to BE as soon as poss, also reducing leverage.
3. You made 400% over 2 years - with careful use of leverage I think this could be vastly improved upon.

Q - Is there any particular reason you haven't used any leverage? Not suggesting 100 or 200 to one but think it would increase potential.
  • #6,592
  • Oct 11, 2014 11:56am Oct 11, 2014 11:56am
Quoting stewrigh
{quote} Hi again TRD, I've been doing some number crunching on your ss today and have a couple of observations and questions. 1. You are using almost no leverage - for instance even if you had a 40 leg millipede that is only 40-1 and some of those would be diversified anyway so would net out. 2. I also noted that the drawdown(although it seems small anyway) will be minimized by moving legs to BE as soon as poss, also reducing leverage. 3. You made 400% over 2 years - with careful use of leverage I think this could be vastly improved upon. Q - Is...
Hi stewrigh,

i am sorry but you are wrong about the leverage. It is clear i use 1:100 if you look in the columns Lot, Pips and Profit you will see something like 1 standard lot -->113 pips --> 1114$ profit (swap inclusive). I think leverage is something we should not discuss here. We are backtesting right now. If you try it live one day, you have to adjust your leverage based on your exposure (how many markets you are going to trade). And this is not a question. You SHOULD trade multiple markets, because this will minimize your risk and maximize your profits! Exceeding your margin will prevent you to participate.

stewrigh, i am happy that you started playing with the "system". It is pure mechanical approach and it may not work all time. But it is good starting point to addapt it to your own discoveries. Just add 1-2 things from you and you will improve your odds.
Please do not misunderstand what i said. I am not talking about technical analysis (like fib,s/r,indicators,etc....) These technical tools will rather decrease your odds, i promise!
Think about the market in non technical term. You are testing the H4 chart, right? So you should ask yourself, which H4 candle in 1 trading day is most important? The 3th one of course!! Why?`Because it is around the London open! And which is the other important one? The 4th one! Why because is around New York Open! Did you know that 90% of all trends start within these candles?


I hope i helped

TRD
  • #6,593
  • Oct 11, 2014 12:18pm Oct 11, 2014 12:18pm
Thanks TRD,
And I don't want to labour the point but for clarification, my understanding is that you are trading 1 standard lot = $100,000 - your ballance is $100,000 so one standard lot is 1:1 leverage - none

As you begin to build the millipede and move sl to BE means you are using no leverage again. So the next position takes 1:1 lev again and so on.

Obviously if you add other markets the leverage will increase so we need to take this into account.
  • #6,594
  • Oct 11, 2014 12:37pm Oct 11, 2014 12:37pm
stewrigh:

I am not trying to be rude but I think you missed the point of the lesson. It was simply a demonstration of the concept. The optimal amount of leverage used was not the lesson. Reread post 6589 several times to learn the lesson

Also achieving 400% in 2 years is absolute mind blowing returns. Even if you achieved 1/4 of that performance you would become wealthy beyond your dreams
  • #6,595
  • Oct 11, 2014 12:42pm Oct 11, 2014 12:42pm
Quoting stewrigh
Thanks TRD, And I don't want to labour the point but for clarification, my understanding is that you are trading 1 standard lot = $100,000 - your ballance is $100,000 so one standard lot is 1:1 leverage - none As you begin to build the millipede and move sl to BE means you are using no leverage again. So the next position takes 1:1 lev again and so on. Obviously if you add other markets the leverage will increase so we need to take this into account.

If you have $100,000 in your account trading 1 full lot is the correct size to trade at 100:1
If you only have $1000 you trade 1/10 of a full lot. Trying to do anything more and you risk a margin call and not being able to be in multiple markets.
I think this talk of correct leverage is distracting from the main lesson

This line should give you an idea of what you trade size should be relative to your account size
Average loss to establish all positions: 235 dollars/trade = 0.2% loss per trade on the initial deposit
  • #6,596
  • Oct 11, 2014 12:46pm Oct 11, 2014 12:46pm
Quoting stewrigh
Thanks TRD, And I don't want to labour the point but for clarification, my understanding is that you are trading 1 standard lot = $100,000 - your ballance is $100,000 so one standard lot is 1:1 leverage - none As you begin to build the millipede and move sl to BE means you are using no leverage again. So the next position takes 1:1 lev again and so on. Obviously if you add other markets the leverage will increase so we need to take this into account.
I got it now The only reason would be that i plan to trade up to 100 instruments simultaneously + for some i may use Daily as entry TF, so i will have multiple open positions for longer period before setting them to BE.

TRD
  • #6,597
  • Oct 11, 2014 12:56pm Oct 11, 2014 12:56pm
TRD:
For Daily entries, do you give the position a bit more room to breathe? I only ask because end of day is the only time I have in the day to do my entries
  • #6,598
  • Oct 11, 2014 1:24pm Oct 11, 2014 1:24pm
Quoting Sherpa
TRD: For Daily entries, do you give the position a bit more room to breathe? I only ask because end of day is the only time I have in the day to do my entries
I would put SL behind the Daily bar, if i cannot look at lower TF. But you have to understand that this will increase your drawdown tremendously.
I was just testing a modified version of one of my methodologies, when i read your question. Entries were taken on H4. I switched to Daily and this was the result.

Attached Image (click to enlarge)
Click to Enlarge Name: screen_00018.jpg Size: 197 KB


But it is doable. More patience and less diversification for maximum profits.

TRD
  • #6,599
  • Oct 11, 2014 2:34pm Oct 11, 2014 2:34pm
Unfortunately I will have to find a daily method to try and stack positions. Like many I live on the east coast on N.A and work full time so London open is 4 am and NY open is 8 am (when I am at my day job) I must do my analysis at end of day (after 00:00) and set my pending orders

I understand the results will not be as good but I would gladly take results that are 1/4 of what you have shown.
  • #6,600
  • Oct 11, 2014 3:13pm Oct 11, 2014 3:13pm
Quoting TheRealDeal
{quote} I would put SL behind the Daily bar, if i cannot look at lower TF. But you have to understand that this will increase your drawdown tremendously. I was just testing a modified version of one of my methodologies, when i read your question. Entries were taken on H4. I switched to Daily and this was the result. {image} But it is doable. More patience and less diversification for maximum profits. TRD
The SL for Daily entries is actually meant to look like this.
Attached Image
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