la poule aux oeufs d'or

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trader689
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la poule aux oeufs d'or

Post by trader689 »

hey celte

can you guve any details about your other simple and profitable system ?

thanks
celte83 » Sat Oct 10, 2015 10:54 am wrote:Hi ,
Thank you Tony for sharing your results. It is a simple but effective system.
I have another simple and profitable strategy but it will be for later.
First, Let's finalize this one.

How do you trade it? Manually or by using Steve's EA, TF etc.?

8-)

bon week-end
jf
idempotent
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la poule aux oeufs d'or

Post by idempotent »

I've been experimenting with this system with some backtesting, and I wanted to report what I found.

My synopsis is that the system, as it stands, is barely profitable on M15. You need to go up to D1 before the average return on a trade seems robust.

But there is room for improvement, as jf said, with the exit. I haven't done this work, and I am debating whether it is worth doing it or not.

I wrote some code that combines the three entry signals into one. And then some code that added the NonLagMA as the exit. The NLMA was a real pain because it uses all the indicator buffers. I ended up writing some shoddy code that wrote all the NLMA colour change points into a database that another indicator could query. This indicator pulls it all together and draws a line from the entry time/price to the exit time/price.
Goosey_visual_test.png
Next all the trades got written to a databse, recording the pair, timeframe, entry time and price, exit time and price, and the number of points (a point being 0.1 of a pip).

I could then plot the profitability of, say, GBPUSD, M15:
GBPUSD-M15-cumulative-points.png
Not looking so crash hot for this pair. Since the beginning of November, we were up about 150 pips, twice, and more than 200 pips in the hole. Currently clawing its way out of the drawdown.

There were 228 trades on that plot, and the average profit was -2.4 pips. Add in spread + commission and you're losing 4 pips per trade.

OK so let's add in lots more pairs.
M15_cumulative_points.png
The lower plots show the cumulative points (points, not pips, remember) for the following pairs:
AUDCAD, AUDCHF, AUDJPY, AUDNZD, AUDUSD, EURUSD, GBPUSD, USDCAD, USDCHF, USDJPY. I picked these because they were the first in the list of what was offered by my broker.

The higher plot is the overlaid cumulative total of all the currencies.

At first glance, pulling in 2500 pips across 10 pairs in 5 weeks, sounds pretty damn good. But this is across 1565 trades. So there's a mean value of 15 points (1.5 pips), without considering spread and commission. With spread and commission, we're got a net losing system.

Here's the breakdown of currency against mean points per trade:

Code: Select all

AUDCAD 31.66875
AUDCHF 15.3
AUDJPY 18.6685714286
AUDNZD 5.9018404908
AUDUSD 26.2388059701
EURUSD 26.9937106918
GBPUSD -7.92993630573
USDCAD -1.90540540541
USDCHF 18.74375
USDJPY 23.1275167785
We can see that none of the pairs are particularly profitable enough to overcome spread and commission, let alone slippage.

So let's consider higher timeframes. For the data I collected, here is the timeframe vs average points:

Code: Select all

1 3.41844542892
5 10.2164268585
15 15.1305876444
240 69.9966468919
1440 190.481132075
For H4 (240min) we are still only clearing 7 pips per trade. If we allow 1.5-3 pips per trade, then that seems pretty expensive - around half our profit goes to spread + commission + slippage.

For D1, we are getting better. At 19 pips (190 points) per trade, we are at least not losing so much in every trade.

Here is the cumulative points since 2010.
D1_cumulative_points.png
16,000 pips over 947 trades. But for periods of up to a year at a time (like 2015), the strategy goes nowhere.

Shortcomings of the testing

There is no consideration for currently open trades. So quite often it will enter a second trade with one trade still open. I observe that the second trade is often less profitable.

Shortcomings of the strategy

We exit only on the close of a bar where the NLMA changes trend. This means the strategy blindly holds onto massive losing trades like the SNB fiasco. If there was some optimised ATR-based stop, that might greatly reduce the impact of losing trades, and improve the profitability.

Exiting in profit when the NLMA changes means we have already given back some profit. Perhaps a trailing stop might be better.

In this testing all pips are treated the same, which is patently not true. If the profitability of a trade was based on something scaled to ADR, that might make it easier to compare profitability of different currencies.

Where to from here

I'm debating whether this is worth more of my time. At this point, coding the ADR-based stop would take some hours.

Feedback welcome.
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retireme
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Post by retireme »

Some very impressive work there idempotent, cheers!
To raise new questions, new possibilities, to regard old problems from a new angle, requires creative imagination and marks real advance in science. - Albert Einstein
celte83
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Post by celte83 »

idempotent » Thu Dec 24, 2015 3:27 pm wrote:I've been experimenting with this system with some backtesting, and I wanted to report what I found...
Hi,
Wow which work!

cordialement
jf
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Post by thomasmore »

Nice analysis !
idempotent
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Post by idempotent »

Thanks for the feedback.

I pushed a little more on the daily analysis. I ended up including all currencies, but filtering out those that were "inefficient". Inefficient one are where the spread is more 1/50th of the 100-day ATR.

Here's the efficiency of all my pairs, as per IC Markets demo account:

Code: Select all

        ticksize        atr  spread  efficiency
symbol
EURDKK   0.00001   0.003530       0         inf
USDHKD   0.00001   0.002747       0         inf
USDDKK   0.00001   0.056915       0         inf
EURUSD   0.00001   0.011205       4  280.122500
USDJPY   0.00100   0.955990       5  191.198000
EURGBP   0.00001   0.006898       4  172.440000
USDSGD   0.00001   0.009582       6  159.698333
EURJPY   0.00100   1.144200       9  127.133333
USDCAD   0.00001   0.011095      10  110.948000
AUDUSD   0.00001   0.008576       8  107.205000
AUDJPY   0.00100   1.171010      11  106.455455
EURAUD   0.00001   0.021029      20  105.143500
GBPUSD   0.00001   0.010963      11   99.668182
GBPAUD   0.00001   0.024600      26   94.615769
EURCAD   0.00001   0.017648      19   92.883684
NZDUSD   0.00001   0.009008      10   90.081000
CADCHF   0.00001   0.008899      10   88.992000
CADJPY   0.00100   1.044440      13   80.341538
GBPJPY   0.00100   1.706430      22   77.565000
EURCHF   0.00001   0.006968      10   69.684000
NZDJPY   0.00100   1.147070      17   67.474706
XAUUSD   0.01000  15.449600      23   67.172174
USDCHF   0.00001   0.009640      15   64.266000
GBPCAD   0.00001   0.018461      29   63.660345
EURNZD   0.00001   0.024120      38   63.473947
SGDJPY   0.00100   0.844520      14   60.322857
AUDCAD   0.00001   0.009444      16   59.024375
AUDCHF   0.00001   0.009858      19   51.884737
AUDNZD   0.00001   0.010684      21   50.876667
GBPCHF   0.00001   0.014630      29   50.449310
CHFJPY   0.00100   1.101830      22   50.083182
GBPNZD   0.00001   0.030374      69   44.019855
NZDCAD   0.00001   0.010875      26   41.825385
EURSGD   0.00001   0.016686      40   41.714250
NZDCHF   0.00001   0.009591      23   41.699565
USDMXN   0.00001   0.188739     472   39.987034
USDZAR   0.00001   0.231361     730   31.693329
XAGUSD   0.00100   0.353840      13   27.218462
USDTRY   0.00001   0.038141     161   23.690000
USDSEK   0.00001   0.091188     470   19.401787
EURNOK   0.00001   0.102909     550   18.710764
USDNOK   0.00001   0.107547     617   17.430583
EURSEK   0.00001   0.066318    1316    5.039369
This left in the following pairs:

Code: Select all

AUDCAD, AUDCHF, AUDJPY, AUDNZD, AUDUSD, CADCHF, CADJPY, CHFJPY,
EURAUD,EURCAD, EURCHF, EURDKK, EURGBP, EURJPY, EURNZD, EURUSD,
GBPAUD, GBPCAD, GBPCHF, GBPJPY, GBPUSD, NZDJPY, NZDUSD, SGDJPY,
USDCAD, USDCHF, USDDKK, USDHKD, USDJPY, USDSGD
I also eliminated XAUUSD because the amount of pips it generated so skewed the results.

Plotting the cumulative pips for these 30 pairs since 2010 (when many of these came online) looks interesting.
daily_cumulative_pips_30_pairs.png
This yields 69,500 pips over 3288 trades over the six years, averaging 21 pips (211 points) per trade. By currency:

Code: Select all

          sum        mean
symbol
AUDCAD  18627  149.016000
AUDCHF  41974  399.752381
AUDJPY  27302  245.963964
AUDNZD  39386  354.828829
AUDUSD  49400  445.045045
CADCHF -14596 -124.752137
CADJPY  12532  109.929825
CHFJPY  19919  197.217822
EURAUD  46915  473.888889
EURCAD  33571  291.921739
EURCHF -12230 -123.535354
EURDKK  -2313  -43.641509
EURGBP -13984 -117.512605
EURJPY  22868  204.178571
EURNZD  59285  529.330357
EURUSD  24662  203.818182
GBPAUD  71848  718.480000
GBPCAD   9424   79.864407
GBPCHF -21721 -182.529412
GBPJPY  43001  349.601626
GBPUSD  27445  198.876812
NZDJPY  36779  360.578431
NZDUSD  -4798  -41.721739
SGDJPY  18128  184.979592
USDCAD  13386  112.487395
USDCHF  26397  229.539130
USDDKK  92428  880.266667
USDHKD  -1121  -15.148649
USDJPY   6671   55.132231
USDSGD  24212  208.724138
Now what?

Bed. Then Christmas. After that, a few things concern me.

I don't like me arbitrarily deciding what pairs to include or not. That's curve fitting. I think it's fair to reject some pairs that are just too exotic. But I want to figure out why XAUUSD skewed things so much.

Take a close look at this zoomed in view of the cumulative points plots.
suspicious_trade.png
One of the darker lines, noted with the arrows, implies there was a trade on that pair from January to December this year, netting some 9,000 pips.

Turns out this is USDDKK. Here's the chart as per IC Markets
USDDKK.png
The quote history stops at 28 January 2015, but the ticks are still coming in. Hence the indicator shows such a stonkingly good trade.

So I have data quality issues.

Comments and thoughts welcome.
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celte83
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la poule aux oeufs d'or

Post by celte83 »

idempotent » Thu Dec 24, 2015 3:27 pm wrote: But there is room for improvement, as jf said, with the exit. I haven't done this work, and I am debating whether it is worth doing it or not.
Bonjour,
Personally I did not find how go out at best or I did not find the ideal filter of entrance(entry) to improve this strategy and make something profitable. Thus difficult for me to advise(recommend) to you ...

bien cordialement
jf
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varso
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Post by varso »

Hi
First thank you for your idea of trade. I like it and i combine with my idea. Yes and this is first time that i share my idea. :)

And this is how the graf can looks like.


Lets dicribe this.

The bottom indicator is your Wilder's DMI book alerts nmc 2 - the indicator lag only one candle - totally perfect.
( P.S. we have in world two types of indicator lagging or repeating. I wtite this that everybody know that. :) another types is magic).

The second from bottom is your Wilder's_DMI + histo mtf + alerts + arrows 2 - also lag only one candle perfect work together.

Now the main window. Maybe is strange for you. And yes is strange is not Time Frame chart is Range bar chart. RB 4 pips.

IMHO is better to use RB4 because what i write before is lag one candlle in this scenario 4 pips plus spread and slippage. Let say 6-7 pips. If we use let say TF15min chart - it will be also spread + slippage + 15min candle pips move. This reason better is use RB.

The blue and green lines are rainbows moving averages for determing trend. I will writte more about this latter.

In this pictures we see nice clear entry. Where was it?

I work also for EA. Im not coder i use fxDreema. The code will be rubish but it will be work, if some coders see potencial here it will be nice too help us.
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nonsense

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Post by nonsense »

varso - I don't see entry. I think we wait buy where it is right now
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Wapen
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Post by Wapen »

Hi Verso,

Thanks for sharing your input! I follow this thread and I'm trading it live with good results!
Your chart show clear entries (thanks)!

Hope some of the good programmers will drop by!

Regards,

Wapen
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