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| EMA Breakout Trading robot https://www.stevehopwoodforex.com/phpBB3/viewtopic.php?t=41 |
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| Author: | garyfritz [ Sun Nov 27, 2011 5:33 pm ] |
| Post subject: | Re: EMA Breakout Trading robot |
I trade a somewhat similar system, but I place orders at midnight GMT (3pm here in Colorado) using the H/L of the past 24 hours. I only trade on days where the range is less than a percentage of the ADR and take a small TP. That alone is not a very good system. I want to look into this "Asian box" idea. But here is something to consider, something that I don't know if it can be implemented (easily anyway) in Empty4: Position sizing is ***KEY***. I backtest the strategy on all major pairs (no NZ, no minor currencies) and calculate the Kelly value for the strategy on each pair. (Google it if you're not familiar with Kelly betsizing. Simple approximation: Kelly = AverageTrade / AverageWin.) Then I only trade the top 8 pairs, weighting each pair based on a percentage of its Kelly value. I calculate Kellys and select 8 pairs once per quarter, and trade with those selections for the next 3 months. That transforms a barely-breakeven strategy into a fire-breathing monster. In a 1000-trade backtest covering 20 months, this system returned over 17% per month with worst-case DDs around 20-25%. I started trading it live this summer and for 2 months the real-money results *exceeded* the backtest. Unfortunately it took a terrible 35% drawdown in Sept-Oct (naturally, now that I've got real money on the line) but November is back on track, and I'm up 28% this month. So this Kelly betsizing strategy makes an enormous difference to my daily breakout system, and I'm sure it would help this one too. More importantly, I suspect it could be applied to ANY non-basket EAs you gents are working on here, as long as you intend to apply it to a large set of pairs. Gary |
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| Author: | qooyend [ Sun Nov 27, 2011 5:56 pm ] |
| Post subject: | Re: EMA Breakout Trading robot |
These are some interesting ideas on MM. Thanks for sharing them. I am not a Empty4 programmer, but I think the size calculations on trade entrance based on some pair to constant mapping should not be a problem. Regards, qooyend |
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| Author: | garyfritz [ Sun Nov 27, 2011 6:00 pm ] |
| Post subject: | Re: EMA Breakout Trading robot |
Yes, that's basically what I do (in Tradestation). I backtest all pairs & calculate Kelly, then I feed the trade listing & Kelly weighting into an Excel spreadsheet for backtesting the basket. (TS doesn't handle basket testing.) I enter the fixed Kelly values into each chart to control the position sizing for each pair. I'm sure you could do something like that in Empty4. |
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