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My first FX martingale attempt

  • #41
  • Mar 11, 2017 10:17pm Mar 11, 2017 10:17pm
It will work,.. use a volatility filter to turn it on and off.. instead of running it all the time.

this will minimize steps to profit target. Key is avoid gap bars post event/news. Usually a few minutes after news gaps lessen and price becomes small bar directional.

large bars increase 'costs'..this method is universal for all price action in the universe of derivatives. The holy grail of price action is how do you beat consolidation zones. Only way is to use martingale position sizing.
Price is the only indicator.
  • #42
  • Mar 11, 2017 10:32pm Mar 11, 2017 10:32pm
If more and more people use martingale techniques. The brokers will have to stop offering micro lots. Micro lots enable many more steps with small effects on equity balance.
Price is the only indicator.
  • #43
  • Mar 11, 2017 10:33pm Mar 11, 2017 10:33pm
Quoting Spectre2006
It will work,.. use a volatility filter to turn it on and off.. instead of running it all the time. this will minimize steps to profit target. Key is avoid gap bars post event/news. Usually a few minutes after news gaps lessen and price becomes small bar directional. large bars increase 'costs'..this method is universal for all price action in the universe of derivatives. The holy grail of price action is how do you beat consolidation zones. Only way is to use martingale position sizing.
Agreed with you mate. I have traded myself structured derivatives for an investment bank previously and vol of vol is the killer for such strategies. I have been working on it but so far mean reverting behavior of volatility is somewhat non-predictable in intraday time frame ( i haven't found a good way but sure there might be better ones available ).

So far, it is doing good so not trying to break it. Don't try to fix it, if it isn't broken !!

Exploring some vol filters as we speak . Thanks for the brain storming .
  • #44
  • Mar 11, 2017 10:36pm Mar 11, 2017 10:36pm
Look into standard deviation and average true range of set number of bars. Wait for a spike in the two than turn on system.
Price is the only indicator.
  • #45
  • Mar 11, 2017 10:40pm Mar 11, 2017 10:40pm
Quoting sbc
{quote} Agreed with you mate. I have traded myself structured derivatives for an investment bank previously and vol of vol is the killer for such strategies. I have been working on it but so far mean reverting behavior of volatility is somewhat non-predictable in intraday time frame ( i haven't found a good way but sure there might be better ones available ). So far, it is doing good so not trying to break it. Don't try to fix it, if it isn't broken !! Exploring some vol filters as we speak . Thanks for the brain storming .
What time frame were you trying to use your mean-reverting methods on?
  • #46
  • Mar 11, 2017 10:41pm Mar 11, 2017 10:41pm
Quoting Spectre2006
Look into standard deviation and average true range of set number of bars. Wait for a spike in the two than turn on system.
Thanks mate , already explored ATR but will give it another go next week .
  • #47
  • Mar 11, 2017 10:42pm Mar 11, 2017 10:42pm
Quoting TGS
{quote} What time frame were you trying to use your mean-reverting methods on?
I have tried on almost every timeFrame you can think of ranging from tick data to 4 hour.
  • #48
  • Mar 11, 2017 10:46pm Mar 11, 2017 10:46pm
Quoting sbc
{quote} I have tried on almost every timeFrame you can think of ranging from tick data to 4 hour.
I use 240 tick data, but lower the timeframe the more crosses or steps that will occur. Lower tick data is better when directional volatility takes place. The higher the timeframes the larger the bar size, so costs for each step are greater.
Price is the only indicator.
  • #49
  • Mar 11, 2017 10:49pm Mar 11, 2017 10:49pm
Quoting Spectre2006
{quote} I use 240 tick data, but lower the timeframe the more crosses or steps that will occur. Lower tick data is better when directional volatility takes place. The higher the timeframes the larger the bar size, so costs for each step are greater.
agreed ( Observed the same )
  • #50
  • Mar 11, 2017 10:58pm Mar 11, 2017 10:58pm
Quoting Spectre2006
{quote} I use 240 tick data, but lower the timeframe the more crosses or steps that will occur. Lower tick data is better when directional volatility takes place. The higher the timeframes the larger the bar size, so costs for each step are greater.
I can't say I've tried mean-reverting methods to the nth degree but I assume you do want the Martingale to kick it a little bit at least in order to cash in with some of those larger lots? So because of that, I'm wondering what time frame you were experimenting with that was giving you the most promising results because I'm trying to compare something on my end with regards to mean-reverting.
  • #51
  • Mar 11, 2017 11:01pm Mar 11, 2017 11:01pm
Quoting TGS
{quote} I can't say I've tried mean-reverting methods to the nth degree but I assume you do want the Martingale to kick it a little bit at least in order to cash in with some of those larger lots? So because of that, I'm wondering what time frame you were experimenting with that was giving you the most promising results because I'm trying to compare something on my end with regards to mean-reverting.
My current algo ( in my first post ) is based on 1min.
  • #52
  • Mar 11, 2017 11:03pm Mar 11, 2017 11:03pm
Quoting TGS
{quote} I can't say I've tried mean-reverting methods to the nth degree but I assume you do want the Martingale to kick it a little bit at least in order to cash in with some of those larger lots? So because of that, I'm wondering what time frame you were experimenting with that was giving you the most promising results because I'm trying to compare something on my end with regards to mean-reverting.
mean reverting in terms of price is a killer since I play directional volatility. Mean reverting in terms of volatility is okay since bar size normalizes but usually ends up being directional for the session.
Price is the only indicator.
  • #53
  • Mar 11, 2017 11:09pm Mar 11, 2017 11:09pm
Quoting sbc
{quote} My current algo ( in my first post ) is based on 1min.
I hope I'm not asking too many questions but another thing, one the M1, with your current or best settings, roughly how many pips does it prefer to run off before it would be good for the price to revert back to your mean-reverting indicator? In other words, how far (how many pips on M1) is considered too far before it starts becoming unconformable with the lots and DD?
  • #54
  • Mar 11, 2017 11:11pm Mar 11, 2017 11:11pm
Quoting TGS
{quote} I hope I'm not asking too many questions but another thing, one the M1, with your current or best settings, roughly how many pips does it prefer to run off before it would be good for the price to revert back to your mean-reverting indicator? In other words, how far (how many pips on M1) is considered too far before it starts becoming unconformable with the lots and DD?
At current settings it can range from 90-150 pips.
  • #55
  • Mar 11, 2017 11:20pm Mar 11, 2017 11:20pm
Quoting sbc
{quote} At current settings it can range from 90-150 pips.
That's a really comfortable range that it is allowed to run off before coming back. I would say with that sort of breathing room, there's good chance it will survive long-term on M1. I'll be looking forward to watching its daily progress.
  • #56
  • Mar 12, 2017 12:45am Mar 12, 2017 12:45am
Quoting Spectre2006
{quote} mean reverting in terms of price is a killer since I play directional volatility. Mean reverting in terms of volatility is okay since bar size normalizes but usually ends up being directional for the session.
Is mean-reverting also your style of trading?
  • #57
  • Mar 12, 2017 11:04am Mar 12, 2017 11:04am
Quoting Spectre2006
Look into standard deviation and average true range of set number of bars. Wait for a spike in the two than turn on system.
Quoting Spectre2006
{quote} I use 240 tick data, but lower the timeframe the more crosses or steps that will occur. Lower tick data is better when directional volatility takes place. The higher the timeframes the larger the bar size, so costs for each step are greater.
hello can you show a chart please ?
  • #58
  • Mar 12, 2017 12:03pm Mar 12, 2017 12:03pm
Condition = STD > 2.0 ATR > .5, get price, turn on algo...
Attached Image (click to enlarge)
Click to Enlarge Name: es.png Size: 88 KB
Price is the only indicator.
  • #59
  • Mar 12, 2017 2:10pm Mar 12, 2017 2:10pm
Quoting Spectre2006
Condition = STD > 2.0 ATR > .5, get price, turn on algo... {image}
Could you elaborate more about those steps?
  • #60
  • Mar 12, 2017 2:33pm Mar 12, 2017 2:33pm
Quoting TGS
{quote} Could you elaborate more about those steps?
don't want to hijack this thread..
Price is the only indicator.
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