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| Logic^2 https://www.stevehopwoodforex.com/phpBB3/viewtopic.php?t=856 |
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| Author: | Carioca [ Mon Oct 01, 2012 11:09 pm ] |
| Post subject: | Re: Logic^2 |
Sorry maybe you misunderstood me I meant that I did not understand completely your extrategia One video or a picture is worth than a thousand words |
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| Author: | squared [ Tue Oct 02, 2012 5:30 am ] |
| Post subject: | Re: Logic^2 |
Carioca this strategy does not depend on any indicator. it is very difficult to explain through pictures or charts. I can use different scenarios to explain it. |
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| Author: | glabbeek [ Tue Oct 02, 2012 5:35 am ] |
| Post subject: | Re: Logic^2 |
Hi Squared, You say that you backtested this, but that means you have the ea already, don't it? Secondly, did you backtest this including swap cost, commision and spread? |
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| Author: | squared [ Tue Oct 02, 2012 8:32 am ] |
| Post subject: | Re: Logic^2 |
"If" I back-test a martingale ea and it passed 10 years without failure, then it works even if it will blow up next week, i will accept it. plus, there many martingale/ grid ea that passed 10 years backtest efficiently, but the question is how about the profit? if you accept a 5% profit a month, then you will find a lot of robots to do that easily, especially martingale type. but through modification i explained, I can assure not less than 60% a month profit. I am not kidding. please let have more discussion about the strategy. converting this into an ea will be extremely useful to everyone. |
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| Author: | NeoTrader [ Tue Oct 02, 2012 9:17 am ] |
| Post subject: | Re: Logic^2 |
hi squared, You didn't answered the questions of glabbeek.... Do you backtested it or not? If yes...how did you do it? visually? Do you have any results to present? You only repeat Did you actually have such a backtest...or why/how do you come to this conclusion? I trust garys analysis more and it is also my own experience that martingale can & will blow your account at one time or another...(but you can counter this eventually with a strict risk/money management) At the roulette table where the martingale systems originate you could only survive if you had very, very deep pockets...later on the casinos established the table limit to counter the martingale players that occasionally had success with their strategies ( or their deep pockets ). I knew a couple of martingale based gamblers that had success over a period of time...but at one point or another...most of them gave their earnings back...only very, very few that also implemented a kind of risk/money management where successful over a long period...but this is another story. At Forex it is the same...you can't double ad infinitum....if you have deep pockets or not... And the Martingale per se is based on the fact that you can double ad infinitum. Thats why it works on paper or as a simulation...but this has nothing to do with the reality. You should also describe your strategy that way anyone can understand it... eg...entry rules...exit rules...money management rules...order management rules.... In your previous post I don't see them clearly specified...when do I enter a trade?...when do I exit a trade?...how is the risk/money management implemented? happy trading, NeoTrader - |
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| Author: | glabbeek [ Tue Oct 02, 2012 10:29 am ] |
| Post subject: | Re: Logic^2 |
We are not trying to burn your idea. It's just a healthy reservation. When somebody tells me that he has a system that has been profitable for the last 10 years, I'll be more reserved than if somebody says he has a system that has been profitable for the last 2 years. Markets change and so have the winning trading systems. You'll have to adapt your system yearly or even monthly to keeps profits from dissipating. Maybe you'll have very good system and you'll just have to change some variables, but sometimes you'll have to switch to a whole other system. I'm just asking to show your backtesting results and setup for the tests and as NeoTrader said, make a clear description of your system. Not only "when TP is hit, then enter a buy". But define your exact TP, is it 100 pips, or 5 percent of the close, or2 ATR's, or maybe even 100 CHF! So far it's a lot of air and therefore not interesting enough for people to put time into it. I'm sure that if you can produce just a 10th of what you claim (so 6% per month) everybody will be at your feet and your EA will be written in a heartbeat. |
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| Author: | squared [ Tue Oct 02, 2012 3:56 pm ] |
| Post subject: | Re: Logic^2 |
Well, I have to thank you first for your contribution and comments. I don't have the expert to test it. But, there is a similar "locked" ea with proven results. I will explain the strategy again hopefully in a better way. I will make a simple scenario to explain how ea should work 1- open two trades, buy and sell, 0.02 lot each whenever ea is started. 2- TP is set to be 10 points for each. 3- prices moves up 10 points. buy trade will close on profit. 4- in the same time, 2 new trades will be opened, buy and sell, 0.02 for each. 5- prices moves up again for 10 points, buy trade will close on another 10 points profit. 6- in the same time, 2 new trades will be opened, buy 0.02 and sell 0.02*1.5=0.03 7- TP for sell trades are combined and calculated to get 10 points profit if price wend down. these step will continue to repeat until price goes down to hit TP for sell trades. then, it is a typical grid ea ? No. Conditions will be introduced to change the whole story. Conditions: there are 3 major conditions that have to occur so that "sell" trades (in previous example) are opened. so, if price goes up for 10 points, buy trade will close and new buy trade with new TP will open, but not a new "sell" trade until it satisfies 3 major conditions. 1- Time in previous example, sell trades were in this way 0.02 0.02 0.03 for the 4 trade to open, we have to pass at least 25% from the European market duration. So, it has to wait until 8 or 9 am GMT to open 2- Step even if the time is 9 am, it has to check whether price is more than 10 points from last sell trade or not. if not, no new trade will open. 3- Candlestick size the time now is 9:30 am, price is above last sell trade by 20 points. However, in 15 min frame, we want to check candlestick size. If last candle size is greater than 30 points, we will wait. the price now is not stable and we want to make sure that price is stable for at least 30 min before opening a new trade. - now, and after satisfying all conditions, (time is 9:30, price went up for 20 points, and candle size is 10 points big) a new sell trade will be opened. this trade will be different the previous ones in lotsize. this fourth trade size will be calculated so that is price moves downward for 40% of its way since first sell trade, will close with profit of 10 points. so, let say the price went up for 100 points measured from the first sell trade. Now, we want to calculate lotsize so that if price goes down for 0.4*100=40 points, we will close all sell trades on 10 points profit. - this ratio (40%) is provided by the user. - these step that happened for 4th sell trade, will be repeated for the fifth trade considering some small changes. -time for 5th trade will be 10 or 11 am. ration will be less, 25% - and so will be 6th, 7th, ... --------------------------- this scenario is just an example for a price goes only in one direction. so, these conditions are applied on buy trades also if price went down in the same manner. i really did my best explaining. I know this will work, and I want you to ask more questions and make more comments to explain it more and more. |
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| Author: | garyfritz [ Tue Oct 02, 2012 5:06 pm ] |
| Post subject: | Re: Logic^2 |
This is exactly equivalent to "don't open any trades, then open one short trade when the market moves up 10 points." Except you're paying unnecessary extra spread/commission/etc. But I'll look at it assuming you enter those two hedged positions. OK, you've closed 20 points of profit on your longs. But your shorts are now 30 points in the hole. You're down 10 points so far. OK. So your 3rd sell is 1.5x bigger, and you want 10 points profit. So your TP is 10/1.5 = 6.66? So when the market goes down 6.66, your 3rd sell produces 10 points profit. Score at this point: You started at "position zero" (P0), the price where you initiated your first buy and sell. You've closed 10 points of profit on each of your L1 and L2 longs, for a total of +20 closed profit. You opened your L3 long at P0+20 You shorted once at P0 and once at P0+10, and at P0+20 you shorted 1.5x your base size. Now price drops to P0 + 13.33. Your L3 buy is 6.66 in the hole. -6.66. Your L1 sell is 13.33 pips in the hole, L2 sell is 3.33 in the hole, so your open shorts are at -16.66. Your L3 1.5x short closes at P0 + 13.33 for a profit of +10. So at P0 + 13.33, you're at +20 -6.66 -16.66 +10 = +6.68. So far so good. You could close everything out and start over at this point, so that's a win. (Assuming the costs from your 6.5 trades didn't eat up that 6.68 profit......) But what if the market goes up from P0 + 20, where you entered your 1.33x L3 sell? At P0+30 you close your L3 long for +10. Now you have +30 closed trades. Your L1 sell is at -30, L2 sell is at -20, and your 1.5x L3 sell is at -10*1.5 = -15. You have +30 closed -65 open = -35 points open & closed profit. So if price goes down from P0+20, you get a few points. If it goes UP from P0+20, you LOSE more than 5x more points. The trades haven't closed and booked the losses (yet), but that money is GONE from your account until the market goes down again. If the price continues to go up, your losses will mount exponentially. Like most Martingale/grid systems, you are "picking up pennies off the train tracks." You're taking on enormous risk to bank tiny profits. If you're confident there will always be a pullback, then sure, this will spit out pennies pretty consistently. I have trouble believing 60% per month, but it will definitely produce steady profits with some gut-wrenching open-trade drawdowns and the occasional total blowup. I don't quite see how this will change the behavior so I won't try to analyze it. I'll accept your claim that it helps. If this thing really produces 60%/mo profit, and very seldom blows up, you could use it profitably. For example let's say it blows up about twice a year. You could set aside 10% of your account for trading it. 10 months of the year you'd make 60% on the 10% subset or 6% on your entire account. 2 months of the year it would blow up and lose your entire 10%. 10 * 6% and 2 * -10% compounds to 45% per year. Not bad. If it blows up 4x per year, it's barely breakeven. Any more than that and you're losing. So I'd want to be VERY confident of how often it blows up. If you wanted to trade this -- and I'm NOT recommending it -- I would strongly suggest you figure out the changes to get rid of the hedging. Your pennies of profit are so tiny that spread/etc costs are going to completely eat them up unless you do everything you can to minimize them. So instead of "open one L1 long and one L1 short at P0," do nothing at P0. At P0+10, instead of "close L1 long in profit, open L2 long and L2 short," open one L2 short, and so on. That will dramatically reduce your trading costs and might leave a few of those pennies for you. |
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| Author: | gaheitman [ Tue Oct 02, 2012 5:57 pm ] |
| Post subject: | Re: Logic^2 |
I think the TP for all three sell trades would be set the same, such that hitting it closes out all three for a total 10 pip profit. I'm too lazy to figure out what that means... OK, I think it is about 11.5 pips down from the third entry. You'd get 17, 1.5 and -8.6 equivalent pips of profit from the three trades. IF it goes down 11.5 pips. George |
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| Author: | garyfritz [ Tue Oct 02, 2012 6:22 pm ] |
| Post subject: | Re: Logic^2 |
Hm, you're probably right about combining the TPs, George. And your 11.5 from second entry looks about right -- I get about P0 + 8.6 == second entry - 11.4. So if the market goes up 20 then down 11.4, * You've closed your L1 and L2 longs for +20 * Your L3 long is at -11.4 * Your shorts close for a total profit of +10 So you're at +18.6. You were still at +6.68 at P0 + 13.33, but now you're holding on until P0 + 8.6 so you get more profit. You're relying on the market to drop farther to bail you out more. It's still just as fatal if the market keeps going up. |
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