Spot on - On GBP/USD

[JonnyT]

Hi folks,

I have for the very first time tested the Spot On System on the GBP/USD using the standard breakout of 07:00 to 10:00 bar.

I have input different values of the stop loss ranging from 10 pips to 50 pips.

The data is from the GBP/USD June future on Globex using traded prices. Therefore hypothetically there is not slippage to account for, just trading cost of $2.4 per side or $4.8 per day.

This instrument is $6.25 per pip unline the EUR at $12.5 per pip.

Stop Loss Profit Max Draw
10 1247 80
15 1117 120
20 1043 160
25 961 200
30 1065 232
35 935 267
40 963 302
45 1039 337
50 1064 372

This clearly demonstrates that the stop loss should be small...

Of course the Spot On software can automatically trade this instrument

JonnyT

 

[mutantcar]

Jonny,

Thanks again for the sterling work. I may have missed something but over what period are these figures?

Interesting that GBP is less per pip. I was thinking of asking if there's a cheaper way into this. ie. less Draw Down exposure ($). Am I right in saying that if MaxDD is say 300pips, this is 300 x $12.50 = $3,750 (EUR)? If so, it's a bit of a sharp intro to automated trading for me. Anyone know the 'least risky' (cash terms) instrument I can trade with IB? I like the idea of auto-trading with IB, but would prefer to build up to risking that sort of cash.

I've been doing some back-testing myself. This also worries me, as I think the Max DD of 300 may be conservative over the longer term. I'll try & post some results when I'm more confident I've got it right. I notice on this post you have 'Max Draw', on the March Contract you have 'Loss'. Should that be DD as well?

Cheers,

Mute.

 

[JonnyT]

Yes Max Draw and Loss are the same.

JonnyT

 

[mutantcar]

OK Thanks.

My other questions were probably swamped amongst my ramblings:

1. What period do these figures cover?

2. Any idea if there's a 'cheaper' instrument(s) (maximum exposure) to trade with IB, I don't expect you to backtest this, but maybe I could.

Cheers,

Mute.

 

[JonnyT]

1) Since 8th March
2) No there isn't

JonnyT

 

[hammer]

Are those figures with the trade closed at 9:00 pm uk time? Or at a specific level of profit.

Haven't really looked at it but what about moving the stop loss up every 20 points as the trade moves 20 points more profitable. Or something along those lines with a moving stop loss?

Good work Jonny. :cheesy:

 

[JonnyT]

Actually I think I may have boobed with the times.

I normally use data in a US Time format and adjust 5 hours. This was in Central European Time and I think I may have tested a breakout of the 2am to 5am bar, closing out at 15:00 UK time!!!

The results are rather good though so maybe I've discovered something...

I'll double check this and post here.

JonnyT

 

[jakemaven]

hi

 

[TheBramble]

Actually I think I may have boobed with the times.

I normally use data in a US Time format and adjust 5 hours. This was in Central European Time

That does match BST JT, not CET which is currently EST+6..

 

[JonnyT]

I have now done some preliminary testing on the GBP/USD using 07:00 to 10:00

With the stanard 35 pip stop there is a profit for the June contract, but only 2 pips pere trade. I wouldn't trade it

Altering the stop can make the results a little better but to me there are better alternatives.

For instance using a breakout of the 07:00 to 08:00 SL 35 gives 17 pips pere trade, well worth it.
A 15 pip SL gives 18.5 pips per trade with only 135 pips drawdown. (43 trades in total)

Still these results are still behind the 02:00 to 05:00 breakout!!

What this shows is that the dynamics on the GBP/USD is different to the EUR/USD

JonnyT

 

[TBS]

What this shows is that the dynamics on the GBP/USD is different to the EUR/USD

Completely different ball-game, also prone to some indifferent slippage on fills and spreads you could drag a regiment of eyeraki pow's through

 

[JonnyT]

I've testing my software against this contract today, never traded it before.

Sandy have you used Stop Limit orders to try and limit the slippage?

JonnyT

 

[JonnyT]

Had my first fill with 1 pip slippage so mustn't grumble.

JonnyT

 

[rog1111]

JonnyT

Was that 1 pip slippage with a Stop order or Stop Limit ?

Do you ever find yourself unfilled when you should have been, using Stop Limits ?

rog1111

Had my first fill with 1 pip slippage so mustn't grumble.

JonnyT

 

[JonnyT]

Hi Roger,

I have never failed to be filled using a Stop Limit order on the EUR/USD/ I have used them since January and use a limit of 2 pips on entry and 5 on exit.

In practice 60%+ fills have no slippage and I have only had one of 2 pips and none above that.

As the GBP I have tested my software against it today and have never traded it before. I see no reason for the method not to work as the orders are natively accepted on Globex.

JonnyT

 

[rog1111]

Hmm, that's pretty good going. I guess that it's possible though if the market was fast enough, even with a 2 pip entry limit ?

rog1111

Hi Roger,

I have never failed to be filled using a Stop Limit order on the EUR/USD/ I have used them since January and use a limit of 2 pips on entry and 5 on exit.

In practice 60%+ fills have no slippage and I have only had one of 2 pips and none above that.

As the GBP I have tested my software against it today and have never traded it before. I see no reason for the method not to work as the orders are natively accepted on Globex.

JonnyT