Meta-Trader - Forex and the Holy Grail

Welcome back Meta-Traders.

I was going through some Forex marketing material and saw this graphic and just had to use it for a blog post.

Why is it we all spend so much time looking for the Holy Grail in Forex. Is it a lost cause? Does it even exist?

I suppose it depends on your definition of the Grail. For me The Holy Grail is a system that makes 30% to 60% per year on average with no more than 25% to 30% drawdown - or loss of equity from peak to trough. Is that possible? Absolutely!

In my quest, I've come across a new system that I will call "System Q". This EA seems to fit the bill with these key characteristics:

• Regular, Active Daily trading of EUR/USD on M5 timeframe
• Reasonable Take Profit and Stop loss values about 20 pips on average
• Trades during active hours, not just during Asian Scalper times when spreads are widenened
• No Martingales - trades fixed lot sizes which grow or shrink with account size
• Excellent Year to Date back-test results (+121% with -15% Max DD)
• Excellent 7-Year back-test results (Avg +181% with Avg -21% Max DD). Robot would not test prior to 2003.

Also, i've run a 2-week forward demo test with results here System Q1. The vendor also sells an GBP/USD M5 system that has a lower returns and higher risk, so I took a pass on that. They also just recently started selling a AUD/USD system which I have yet to evaluate.

So I will be following this system going forward with an eye toward going live shortly. Also, I will reveal the names of the system to anyone who joins my Yahoo group. Just send a private message at http://twitter.com/tcxmon.

Next, my good buddy Daniel Fernandez has made some excellent strides recently over at Asirikuy. I've started tracking the Atinalla #1 portfolio which deserves a post in itself which I hope to get to later this weekend. Also, DF is in the process of unveiling Watukushay #5 which looks to be the most promising of all his systems.

Granted, DF's system provide an entire level of back/live testing consistency, full revealing of logic, source code disclosure (etc, etc) which make comparison of his systems an Apples and Oranges exercise versus commercial EA's such as System Q.

Finally, live trading this past week was such a non-event, its hardly worth discussing. The Megadroids and Scalper X's barely traded, and appear to be almost completely invalidated by spread-widening. Scalper X lost 2.5% on Monday, then recovered about 0.6% of that loss to end up down about 1.9% on the week.

Overall, i'm still in decent shape on my live and demo accounts. I'm kind of haunted by the fact that both accounts seem to have been capped at 20%. Since I know the brokers trade against me, I wonder if they will allow any of my accounts to make more than 20% on the year.

Can they widen the spreads with System X even during regular market hours? Will the brokers widen the spreads for me specifically and not the rest of the their customers? I don't doubt they are capable of that and who knows what else.

Check back later in the weekend for a post on Atinalla #1 and enjoy your weekend.

Meta-Trader - Scalpers Hit the Wall

Welcome back Meta-Traders.

As explained in yesterday's post, I'm back from a week of vacation. And this past week, most of my robots traded like they were on vacation as well.

God's Gift EUR/USD and God's Gift GBP/USD didn't trade this past week at all. This was a bit of a mystery since a few of the God's Gift ATR accounts over on Asirikuy traded a few days last week.

Similarly, neither Megadroid Live nor Megadroid Demo traded this past week. In fact, neither robot has notched a trade since the first full week of July. What is a bit disconcerting is that the Megadroid accounts at IamFX and FXCM both traded this past week.

Another let down was Scalper X. After gaining almost 4% last week in my post Forex Robot's Jail Break, ScalperX traded on Monday and took an 8-pip profit. It had 1 pip winners on Wednesday and Thursday as well and took a 9 pip loser on Friday. Net result was a 1 pip-profit on the week.

A quick look at the logs under .\experts\logs indicates many, many instances of spread-widenening. So it looks like forex.com is on to me with Scalper X and is now shutting it down in a manner similar to what they do with Megadroid.

So what to do, what's the solution?

I have some good stuff cooking that back-tests as good (or better than) the scalpers. But its not fully-baked so check back later for updates.

Meta-Trader - Comments on Comments

Welcome back Forex Fans.

Before I get to this week's results I just want to reply to some comments left last week by my friends and most loyal blog readers. I apologize for not replying sooner, but I was on a family vacation this past week with very limited access to the Internet.

Daniel - Regarding my comment that the God's Gift ATR account at Asirikuy is running at 10% risk, I based that on the Risk=10 value in the settings file.

I spent some time trying to reconcile that the EA is trading 0.04 lots on a $1,000 account to figure this out. After a while it seemed like too much work and i'm still in vacation mode, so i'll save this one the weekday when the market is open and my brain in back in weekday mode.

JT - Regarding Fredrick, he can leave me a private message on Twitter at http://twitter.com/tcxmon and i'll answer whatever questions he has.

I've found that Megadroid seems to be a solid system, but I haven't yet found a broker that will let it trade as it was intended. So i'm not ready to give up it yet, but let's just say it has some broker dependencies that hold it back in terms of actual execution.

At the same time, a nearly 20% gain on my 2 scalpers year to date isn't too shabby, so take that for what its worth.

Redford - Thanks for the info regarding Dukaskopy and their tick data. I'm finding that the issue with scalpers is not so much in the back testing (they backtest great) but in the execution. I don't think the systems themselves are flawed (I know Daniel will disagree) but the fact that the systems are so effective, that the broker's will not execute them because the brokers loose too much money. I have some data to back this conclusion, but i'll cover that tomorrow.

Finally, in terms of ECN's and other brokers such as IamFX and Interactive Brokers, there comes a point at which their cost of execution is so much lower for a given size that the other spread-based brokers are left in the dust.

It's not unlike equities where pay-per-trade brokers (such as E*Trade) are a complete joke versus pay-per-share brokers (such as Interactive Brokers). No serious professional would trade with an E*Trade versus and Interactive Brokers. But there's a question of scale where a broker such as Interactive Brokers won't work for small guys such as myself but might work when I go to full-size lots. Some day perhaps, but not today.

Thanks again guys for all the great comments and check back tomorrow the weekly summary.

Meta-Trader - Forex Robots Jail Break

Welcome back Forex Robot Fans.

Scalper X has a breakout week and picked up over 4% on the week and is now up 18% for the year since starting it live back on 4/29/2010.

Watching it trade on Wednesday I noticed that it profits from both sides of trading the same pair. After a trade in one direction, it sometimes puts on a trade in the opposite direction on the same pair just before it closes the original.

When this works it has the effect of "sudden vehicle acceleration." Take a look at the statement and pay close attention to Wednesday's trades where it picked up 4% of the account by trading the same pair in 2 opposite directions within a 4-hour period. I also impressed with this robot's ability to deal with loosing trades which we saw on Monday and quickly recovered.

Scalper X was upstaged by God's Gift EUR/USD and God's Gift GBP/USD which picked up 126 pips and 79 pips respectively for the week. These robots are on an absolute tear and at one point this past week, GG GBP was up 43% for the year before it gave back some profits with a 70-pip loss on Friday. GG EUR is now up 34.3% for the year and GG GBP is up 34.7% year to date.

These robots are doing so well in demo, i'm twitching to get them on a live account. I need to get started opening and funding some more accounts to get to my goal of $10,000 under managament as of the start of 2011.

I have yet to reconcile the God's Gift results with with the God's Gift ATR from Asirikuy. The easiest comparison I could find from Asirikuy (10% risk per trade) is up 18% total since opening back in March of 2009. That alone tells you the systems aren't really comparable and as Daniel points out, its an apples and oranges comparison. Suffice it to say that these results will vary from God's Gift ATR with the recommended settings.

Megadroid Live and Megadroid Demo were on the bench this week and didn't field a single trade. This was a bit of a dissappointment given the favorable price action in EUR/USD. The Megadroid Multi-Broker challenge was a yawner also with 8 pips gained by MD FXCM and 4 pips gained by MD IamFX.

Finally, I started testing a new system today (call it Scalper Q?) that utterly blows away every other system I have tested on EUR/USD on a 10-year basis. I've started a forward test on a demo account and we'll see how it pans out before I give you the low down.

For those of you in North America, this the sweet spot of the summer, so enjoy it and i'll see you back next week.

Meta-Trader - Backing and Filling

Welcome back automated forex traders.

It was a week of drawdown for most of the robots i'm following.

Megadroid Live kicked off the week with a 35 pip loss which was seen nearly across the board on my Megadroid accounts. From there, it went into "Recovery Mode", doubling its lot size, and picked up 20 pips on Tuesday and 12 pips on Thursday. So by the end of the week, it recovered most of its losses and is only 2 pips off an equity high.

Megadroid Demo was the only one of my Megadroid's which avoided Monday's loss altogether. Instead it picked up 26 pips on the week and is now up a impressive 37.5% for the year.

Overall, my drawdowns with the Megadroid have been brief and shallow and at some point, i'm going to see a larger drawdown. One thing I've learned from Forex and equity trading is that there's always a larger drawdown ahead!

Scalper X had a solid week. I missed out on Monday's trading due an unhappy face on my Meta-Trader platform. On Tuesday, Scalper X had a 11 pip drawdown which it more than recovered on Wednesday and then closed the week with a pair of 1 pip-gains. Overall, ScalperX remains up an impressive 13.5% for the year and has been out-performing the Megadroid lately.

God's Gift GBP/USD gave back some recent gains with a 70 pip loss on Thursday which was offset somewhat by an 11-pip gain on the same day. God's Gift EUR/USD gave back 49 pips followed by a 4 pip recovery in almost identical fashion. In fact they took the same trades and gained and lost in the same proportion which really goes to show the high degree of correlation between these pairs.

I still owe you all a good accounting of the performance differences between the God's Gift ATR tuned according to recommendations versus the God's Gift 7C which I have been trading. Check back later for that.

The Megadroid Multi-Broker challenge was a bit of a bust this week and here's why. The leader up to to that point (IamFX) gave back -33 pips on the week. It took Monday's loss like the other Megadroid's but didn't trade the rest of the week due to high spreads:

16:59:44 MegaDroid_v1.21 EURUSDiam,H1: Strategy1: Safe spread limit exceeded: spread = 4516:59:44 MegaDroid_v1.21 EURUSDiam,H1: Strategy1: Using DayDirection filter16:59:44 MegaDroid_v1.21 EURUSDiam,H1: Strategy2: Safe spread limit exceeded: spread = 4516:59:44 MegaDroid_v1.21 EURUSDiam,H1: Strategy2: Using DayDirection filter16:59:44 MegaDroid_v1.21 EURUSDiam,H1: Strategy1: Safe spread limit exceeded: spread = 4816:59:44 MegaDroid_v1.21 EURUSDiam,H1: Strategy1: Using DayDirection filter16:59:44 MegaDroid_v1.21 EURUSDiam,H1: Strategy2: Safe spread limit exceeded: spread = 4816:59:44 MegaDroid_v1.21 EURUSDiam,H1: Strategy2: Using DayDirection filter17:00:13 MegaDroid_v1.21 EURUSDiam,H1: Strategy1: Safe spread limit exceeded: spread = 6217:00:13 MegaDroid_v1.21 EURUSDiam,H1: Strategy1: Using DayDirection filter17:00:13 MegaDroid_v1.21 EURUSDiam,H1: Strategy2: Safe spread limit exceeded: spread = 6217:00:13 MegaDroid_v1.21 EURUSDiam,H1: Strategy2: Using DayDirection filter17:00:13 MegaDroid_v1.21 EURUSDiam,H1: Strategy1: Safe spread limit exceeded: spread = 5617:00:13 MegaDroid_v1.21 EURUSDiam,H1: Strategy1: Using DayDirection filter17:00:13 MegaDroid_v1.21 EURUSDiam,H1: Strategy2: Safe spread limit exceeded: spread = 5617:00:13 MegaDroid_v1.21 EURUSDiam,H1: Strategy2: Using DayDirection filter

This is a bit of a depressing development since IamFX looked to be the one broker that would be able to get the full potential out of the Megadroid. Even for a commission, they still can't handle honest execution of this robot. Its starting to look like Megadroid is over played, over traded and just plain tired. Time to look on some new directions.

So I have a few other things cooking, but nothing I can talk about now. I had hoped to spend some more time on EA development, but its not working out that way. So for now, i'm going to leave EA development to the professionals, and focus on EA Evaluation.

Enjoy your Saturday.

Meta-Trader - God's Gift break out week

Welcome back Meta-Traders.

God's Gift GBP/USD had a break-away performance picking up 83 pips on the week and is now up a solid 32.7% for the year!

God's Gift EUR/USD had a less spectacular performance picking up 5 pips, but remains up a respectable 26.3% for the year.

I'm a bit embarrassed to point out that I have been running the God's Gift 7c version that came with Daniel's Fernandez's e-book back in December of 2009 instead of the God's Gift ATR which was also included in the e-book.

The ATR version is modified to adjust the lot size, take profits and stop losses according to the Average True Range of the pair. JT asked in a comment which is better so I set out to find the answer.

I emailed Daniel about the differences in behavior of the EA's and he pointed out that they are so different that it wasn't worth comparing the results. So I started testing the latest GodsGiftATR from Asirikuy in an attempt to try and replicate solid results i've seen year to date with the 7c version.

After a few days of frustration, I was finally able to sort out the differences. If I set the Orders_ATR variable to false, I can see results from GodsGiftATR which are proportional to my year to date demo results with the 7c version.



The differences year to date are significant as shown in this table on the left. I e-mailed Daniel once again and he pointed out that the fixed TP and SL values are going to differ with the ATR based values. That's makes sense, i'm just trying to figure out which settings make more money. I'll do a 10-year back test and let you all know the results.


ScalperX was quiet for most of the week, picking up 1 pip on Monday then was idle Tuesday and Wednesday. On Thursday it came alive and picked up 33 pips in 4 sell trades. This represents about 3% of the account which is pretty impressive in light of my 1% per week goal. Overall, ScalperX is now up 12.5% since I started it live back on 4/19/2010!

Finally, It was a quiet week for Megadroid Live with no trades. Megadroid Demo picked up 11 pips on Thursday.

Things were quiet in terms of the Megadroid multi-broker challenge with no trades from IamFX. Megadroid FXCM picked up 10-pips but the lot size was doubled due to "recovery mode" from its initial drawdown. This trade put Megadroid FXCM into the black for the first time showing that this robot can make money, even with a hostile broker! IamFX is still winning the Megadroid multi-broker challenge by a wide margin, however.

Meanwhile, i'm still on the hunt for 2 more experts to run starting in 2011. So far 3 of the 5 will be Megadroid, ScalperX, God's Gift (EUR and GBP). I have to get cracking and evaluate the rest of the robot's on Asirikuy as well.

Thanks all for now, enjoy your weekend.