Proof O Concept

[Hotch]

Over recent months my algorithmic forays have got less and less exotic. I really just keep coming back to the same old principles which, while boring, (seemingly) work on most markets & timeframes (note: this doesn't mean m1,m5 etc, more to do with frequency, and what size moves are targeted).

Now, it's not very interesting until you get up to circa 30+trades a day per instrument imo, and while that would be possible to run on any old bucketshop, it's less than optimal and most likely not worth the effort.

So with that in mind, I'm going to run a slooooow version, which will trade once in a blue moon, but won't mind the epic spreads. Hopefully it will keep me motivated to carry on, while I try and sort out how to get going on the fun stuff.

I guess that's one of the big things nobody tells you about trading, finding an edge is easy, trading it for a decade, or getting the required setup is the hard part.

Currently got a pending short @ 1.43, stop 1.4425
This isn't automated atm, because I'm having some coding (Read: me being lazy and using other people's code which isn't really good enough) issues. Due to this I may miss some signals, will try to keep a tally of signals vs signals taken. Doubt anything will happen overnight though.

P.S. there's a lot missing from this, it's rather dumbed down, not optimised at all etc

 

[Doomberg]

Good luck with this mate, will be following

 

[Hotch]

Currently got a pending short @ 1.43, stop 1.4425

Probably should say, this will always be in the market (because it's dumbed down). So this sell will probably be a bit further up.

 

[Hotch]

Ok, maybe that's a bit too slow, so make shall up the frequency a tad.

Pending Buy, 1.451, stop 1.445

(oh, all of these trades are on EURUSD)

 

[Hotch]

Reverse @ 1.448 ,stop @ 1.453

excluding spread & roll:

-30 pips
-.5 R

Actual:

-30.2 pips
-.5R
(got some slippage in my favour)

 

[Hotch]

Eurgh, paying rollover.

 

[Hotch]

Reversed, stop @ 1.432, going out.

 

[Hotch]

Reversed @ 1.433, just couldn't get on to post.

 

[Hotch]

reversed @ 1.431, stop 1.425

(note, these are rounded obv, good old MAs)

 

[Hotch]

Early days, but the point stands:

So far it doesn't look like this has much of an edge, we've made 40 pips on >= 60 pips risk over 4 trades.

BUT if you actually look at the stats.

50% win, average win 60 pips, average loss 40 pips. Now that sounds a lot better eh? Bigger edge than a casino no?

Conclusion:

It's all bull**** and it's bad for ya.

 

[Pazienza]

Nice work in this thread here.

 

[Hotch]

Nice work in this thread here.

Thanks mate.

 

[Hotch]

 

[Hotch]

Balls to it, I'm going to bed.

 

[Hotch]

reversed, 1.429, 80 pip stop.

 

[Hotch]

**** Moodys

 

[Hotch]

**** GDP

reversed

 

[Hotch]

Early days. Any suggestions as to what else I should add to this spread sheet? Entries etc I can get off statements really, so not been bothered with that yet, possible MAE?

I'll give it to supremegizmo to send it off with his funding applications

 

[Hotch]

I have taken the decision to try and close out for the weekend (and do so every week). I didn't in backtesting, but I don't think i should make much odds, and realistically, if I want to run this at size, it's probably what would happen.

 

[Hotch]

Once again (because many of us learn by repetition)

7 trades, 90 pips -no impressive.

43% win rate, Risk:Reward 1:2.5, maybe a little more impressive.

Considering it's all mechanical, a little bit more impressive.

Drawdown of nigh on 50 pips (the following trade wasn't really offside at all). Isn't too bad for 90 pips I guess.

I also think some of my risk #s might be a bit off, hence why I've not focused much on % return.

I know this is all meaningless over 7 trades, but I think it might be good to state them every week. See how they develop.

As stated in the first post, this is for proof of concept, ideally I'd like to up the frequency, lower the stops and targets, and "tear sh*t up yo".

Finally, looking at MFE, could of had a 50 pip target and been up 170 pips (optimisation lulz), be interesting to see if that's still better (and 50 is the optimal) in a few months.