stevehopwoodforex.com • Slopey Peaky Bob

Author:

eRIKb81 [ Tue Jun 02, 2020 3:24 pm ]

Post subject:

Slopey Peaky Bob

Hi, i've been thinking about a reinvestment strategy after I read about this in the manual of Zorro trader. They sometimes use a square root reinvestment strategy. And i think it could be a nice improvement for systems that will run for years.

It says

Why the square root? Here's the background in short. In short term trading with high leverage, the required capital is mainly determined by the expected maximum drawdown. The maximum drawdown of any trade system increases over time. A system tested over 10 years has worse drawdowns than the same system tested over only 5 years. When modeling drawdown depth mathematically with a diffusion model, the maximum drawdown is proportional to the square root of the trading time. But the maximum drawdown is also proportional to the invested amount: When investing twice the volume you'll get twice the drawdown. Thus, if you would reinvest a fixed percentage of your balance, as suggested in most trading books, the maximum drawdown would grow by both effects proportionally to time to the power of 1.5. It will thus grow faster than your account balance. This means that at some point, a drawdown will inevitably exceed the balance, causing a margin call. There are several methods to overcome this problem, and one of them is to reinvest only an amount proportional to the square root of the capital growth. Thus when your capital doubles, increase the trade volume only by a factor of about 1.4 (the square root of 2), i.e. 40%.

Source: https://manual.zorro-project.com/tutorial_kelly.htm.

It can be implemented in the calculateLotAsAmountPerCashDollops() function in the 'SPH core library.mph' by adding a 'extern double InitialCash = 1000;' and 'extern bool SqrtReinvest = true;' in the inputs of your favorite SPB EA and adding two lines of code after the 'if (UseEquity)' statement:

Code: Select all

   if (UseEquity)
      DoshDollop = AccountInfoDouble(ACCOUNT_EQUITY); 
   
   // Reinvest with the square root of the profit, to reduce long term drawdowns.
   // The EA can use 'extern double InitialCash = 1000;' and 'extern bool SqrtReinvest = true;' to enable it
   if (SqrtReinvest && (DoshDollop > InitialCash))
      DoshDollop = sqrt(DoshDollop/InitialCash)*InitialCash;

Haven't tested it longer than a day yet, the code seems to work.

What you'll see is (assuming a 1k initial account):
100k cash, 1k initial: 10000 available for positions
20k cash, 1k initial: 4472 available for positions
10k cash, 1k initial: 3162 available for positions
2k cash, 1k initial: 1414 available for positions
1k cash, 1k initial: 1000 available for positions, no change from normal
500 cash, 1k initial: 500 available for positions, as we only want to reinvest profits

It will severely limit growth, but will also reduce drawdown headaches. If it is a bit to much, one could just code it with a simple reinvestment factor like 0.7. The code for that would be (DoshDollop-InitialCash)*0.7+InitialCash. a 10k account would give 7300 for positions then.

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Author:	SilverTrader [ Fri Apr 03, 2020 12:59 am ]
Post subject:	Slopey Peaky Bob
A spot of good luck is always most welcome, well done Steve. It has indeed been a good trading time, for counter trend strategies, my own manual trading has paid off way better than it normally does in these times so at this stage anyway, I share in your joy.

Author:	SteveHopwood [ Wed Apr 29, 2020 10:25 am ]
Post subject:	Slopey Peaky Bob
Today we celebrate. I started Thomas's adaptation of SPB for the challenge, on 12th Jan 2019 - using FXT-SPB-3. The challenge is long over and we have added many bells and whistles to the bot, but I left it running to see what happened. The initial deposit was $10,000. Last night the equity reached double that figure. There were trades open so I closed them because I wanted to see the $20,000, so the balance is now $20,269. XAUUSDH1.png You probably need to load the pic into a new tab if you want to see the details - I do. So that is a doubling of the account in just over 15 months, using 0.01 lot sizing. I have recklessly doubled the lot size to 0.02 in the hope of doubling again in the next seven and a half months. This proves that SPB is a successful trading EA so long as the trader has: A decent sized deposit. Patience. Decent VPS capacity. I would never have left the bot running without Eaymon's vps - viewtopic.php?p=156450#p156450. SPB is not quite what I had hoped for - an EA that noobs could leave on a $1,000 deposit starter account. Candle Power and Moving Day are the most likely candidates for that and I have them both trading live a small account that I split off from my main trading account. We shall see. For now:

Author:	trader689 [ Wed Apr 29, 2020 11:59 am ]
Post subject:	Slopey Peaky Bob
£10,000 @ 0.01 lots, all trades closed. One word - incredible! trader

Author:	SilverTrader [ Wed Apr 29, 2020 11:17 pm ]
Post subject:	Slopey Peaky Bob
Well that sir, is a damned fine effort, well played.

Author:	bodavid [ Thu Apr 30, 2020 10:48 am ]
Post subject:	Slopey Peaky Bob
Congratulations! Steve, you can and must be really very proud of your endless creative work! Slopey Peaky Bob is probably one of the best Eas around and I believe many of your other older EAs are also working good for traders who have learned to tame them. Cheers, Ben

Author:	SteveHopwood [ Thu Apr 30, 2020 5:01 pm ]
Post subject:	Slopey Peaky Bob
bodavid » Thu Apr 30, 2020 10:48 am wrote:Congratulations! Steve, you can and must be really very proud of your endless creative work! Slopey Peaky Bob is probably one of the best Eas around and I believe many of your other older EAs are also working good for traders who have learned to tame them. Cheers, Ben Thanks. We live in a world where testing, testing, testing is the name of the game at the moment. Our lives are starting to depend on it. Re trading, I often wonder these days how many more of my EA's would have seen more of the light of day had Eaymon's VPS been available back then. I had my desktop. I did not know then, how to minimise the impact on the cpu of running platforms. I could run three platforms. An EA had a week, tops, to prove itself. Hey ho. Bugger all I can do about lack of experience in the past. Here these days, we have fantastic minds and fabulous software and bucket loads of hard-won experience. No wonder we are doing a bit better these days than once we did.

Author:	Gertje [ Wed Jun 03, 2020 8:19 am ]
Post subject:	Slopey Peaky Bob
I haven't read the manual, only the post above. It sounds from a mathematical point of view like complete BS. 30% DD is 30% DD using the same dollup, no matter how high the balance. Of course the value of the DD will differ between accounts with different balances.

Author:	eRIKb81 [ Wed Jun 03, 2020 2:35 pm ]
Post subject:	Slopey Peaky Bob
It's about the chance of drawdown in time. And therefore reducing risk with time. So 30% DD will be 21% after doubling an account. But you are still trading bigger than you would with a fixed size. It creates a balance between 100% reinvesting like one does with '0.01 per dollop' and fixed size trading.

Author:	Gertje [ Tue Jun 16, 2020 9:24 am ]
Post subject:	Slopey Peaky Bob
Yesterday I asked for the location of the 'xxx-bars back-indi' in Bob's part of the forum. viewtopic.php?f=38&p=170601#p170575 I'm glad bodavid pointed me in the right direction. I got the indi, and put it on the chart. My reason for this is the following; On some pairs both the PL and PH are a long way back, even not visible on the screen. It _might_ happen [if it might happen, it WILL happen] that on a pair the PH switches to PL without the price action touching the PL at all. The previuos PL simply 'expired' by being further away than the 1682 [?] bars that we use for calculating the PH/ PL. When [not if] this happens, open orders will be closed if CSS is pointing the right way. Just to not be surprised by this, I want the x-bars back on the chart to see which pairs are 'in danger'. See below for a screenprint of GBPUSD that will flip PH to PL in an hour. The red dotted line is the 1682-bars back indi that touches the yellow PH-line. GBPUSDH1.png I started examining this because last week a EURCAD sell basket closed without logical cause as far as I was concerned. I then noticed that the PL made a jump in time and level because the previous PL was too long ago. We learn something everyday

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