Shelley's multi-pair basket trader

[garyfritz]

On the other hand, if his "3 weeks with no losers" is an accurate indication of how the thing performs long-term, the chances of 3 losses in rapid succession are VERY low.

Sure wish we could backtest these things...

[Zypip]

Actually this approach (the 50 pip target a day) should be far safer with SJ which should quickly hit the 50 pips profit without a significant DD.......well as Gary says that's only speculations without backtesting or a significant amount of forwardtesting

[gms]

It also means that 3 shitty days in a row would mean 15 days of catching up You can't really aim for 50 pips take profit and 50 pips stop because we start in drawdown and the SL will get hit first. If you are winning more often than not I'd aim for 100 pip stop and 50 pip TP.

On the other hand, if his "3 weeks with no losers" is an accurate indication of how the thing performs long-term, the chances of 3 losses in rapid succession are VERY low.
Sure wish we could backtest these things...

Jem, the 250 would not be a common SL, is is more an emergency limit (Steve would rather call it Shirt Protection). It should kick in rarely, definitely not 3 days in a row.

Gary, we cannot backtest baskets, but we can test worst case scenarios: I took a leading currency (GBPJPY) and picket a major reverse in the past (Jan 13, 2012). I went further back to the last day with a TMA slope > +/-0.8 and ended up on Jan 2nd, 2012. This was the last day with a >-0.8 value before a major market change. If I had opened a basket on that day, if would have looked like that:
GBPJPY sell
AUDUSD buy
NZDUSD buy
NZDJPY buy
GBPAUD sell
EURAUD sell
AUDCAD buy
GBPNZD sell
EURNZD sell
EURCAD sell
GBPCAD sell
EURCHF sell
EURJPY sell
NZDCAD buy
NZDCHF buy
AUDCHF buy

I backtested those pairs: The basket would have closed with GlobalClosure 50 long before it would have hit ShirtProtection -250.

Maybe my thinking is wrong, but I think that the TMA slope indi keeps me out of bad baskets. Remember only pairs with a TMA slope >+/-0.8 on the Daily can be part of the basket. And I only open a basket, if at least 8 pairs qualify.

Last night I did such worst case tests with three lead currencies: GBPJPY, USDCHF, and EURUSD. All three worst case baskets closed with +50 pips. Will continue forward testing ...

gary

[spotdespot]

Gary - if you are only taking the trades when there are a minimum of 8 qualifying pairs why not use an adaptive TP (and SL) equivalent and run on any number of qualifying pairs? i.e. 50/8 = approx 6 pips adaptiveTP per pair? Having 8 qualifying pairs seems to be rare at the moment!

[Zypip]

Gary - if you are only taking the trades when there are a minimum of 8 qualifying pairs why not use an adaptive TP (and SL) equivalent and run on any number of qualifying pairs? i.e. 50/8 = approx 6 pips adaptiveTP per pair? Having 8 qualifying pairs seems to be rare at the moment!

Agree with Spot, been running Shelley from its creation and haven't seen a 8 pair-basket since the first big runs 3 or 4 weeks ago....having said that I have it setup to kick in at LDN open only so to be more accurate I should have said that I have not seen a 8-pair-basket at LDN open since 3-4 weeks.

gms, if you don't mind me asking, do you time your daily basket entry so as to have at least 8 pairs in the basket no matter the time of the day this actually happens? If yes, an indi giving us the heads up whenever a tradable basket reaches 8 pairs would be a nice addition to the NB10.2-related indi pool

[gms]

Gary - if you are only taking the trades when there are a minimum of 8 qualifying pairs why not use an adaptive TP (and SL) equivalent and run on any number of qualifying pairs? i.e. 50/8 = approx 6 pips adaptiveTP per pair? Having 8 qualifying pairs seems to be rare at the moment!

I think one important reason why this has worked so far is diversification (Markowitz!). Every basket starts with a DD. If I open only two or three pairs and they all develop into the wrong direction without ever looking back, the adaptive Shirt Protection could kick in quickly.

gary

[gms]

gms, if you don't mind me asking, do you time your daily basket entry so as to have at least 8 pairs in the basket no matter the time of the day this actually happens? If yes, an indi giving us the heads up whenever a tradable basket reaches 8 pairs would be a nice addition to the NB10.2-related indi pool

I usually open one or two baskets within the first four hours after London open.
(And I admit that several times I broke my rule and opened a basket of only 6-7 pairs, when those pairs were trending strongly - some of them showing TMA slopes of >+/-0.9.)

gary

[Jemook]

Agree with Spot, been running Shelley from its creation and haven't seen a 8 pair-basket since the first big runs 3 or 4 weeks ago....having said that I have it setup to kick in at LDN open only so to be more accurate I should have said that I have not seen a 8-pair-basket at LDN open since 3-4 weeks.

Lower your tolerance from .8 daily.. I've been taking baskets with .6+ and doing great.

[Zypip]

Agree with Spot, been running Shelley from its creation and haven't seen a 8 pair-basket since the first big runs 3 or 4 weeks ago....having said that I have it setup to kick in at LDN open only so to be more accurate I should have said that I have not seen a 8-pair-basket at LDN open since 3-4 weeks.

Lower your tolerance from .8 daily.. I've been taking baskets with .6+ and doing great.

This is valuable info. Thanks TIJ

[pipguy]

Thank you Steve, Shelley, Jemook.
This has become my favorite EA lately.. I only run this expert on Sunday, Wednesday & Thursday at London open and New York open; the results are promising. Your efforts are very much appreciated.
To Steve, if you ever find yourself in the Orlando, FL area, I have a place on the lake for you to stay, and I'm buying ALL of your drinks.