Welcome back Meta-Traders.It was a holiday-shortened week in Forex with quiet trading action in most accounts.
One notable development was an all-time low in the EUR versus CHF. The Swissie has been gaining some strength as a reserve currency and in troubled times, money flows back the CHF as a safe haven.
This action led to losses with Scalper X which trades the EUR/CHF in a scalper-like fashion. The system took a 69-pip loss on Monday and a 13-pip loss on Tuesday. On Wednesday it finally eeked out a small gain but the damage was done and the account lost about 9.1% on the week. That move took back a good part of this year's gains and the system is now up about 11.3% on the year.
Note that since the system is in drawdown, the lot size is doubled since the system is in "recovery mode." Profits have been slim in this account lately, so its possible we are going to see some futher drawdown ahead.
Next up is System Q which picked up 55 pips or about 2.7% on the week. This system has now recovered about half its losses and is now down about 13.5% after being down as much as 28% a few weeks back.
Regarding System Q, I have some further back testing to do it assess whether this system is really long-term profitable. The equity curve has a lot of the properties of a Martingale-based system - smooth equity curves followed by the occasional huge drop off. I've also started to test a related system traded on AUD/USD. More to come on that in a future post.
God's Gift EUR/USD finally put in a trade this week, while its cousin God's Gift GBP/USD was idle this week. Both systems lead the pack up in the neigborhood of 40% on the year.
Daniel Fernandez over at Asirikuy released new versions of the God's Gift ATR's this past week which now back-test much cleaner than the old ones. One of my live accounts for next year will definitely be GG ATR trading the EUR/USD and GBP/USD against a single account with 3% risk on each system. I need to get that live account setup and funded shortly with the year quickly drawing to a close.
Speaking of DF, Atinalla #1 took a nice gain on Monday, but gave it all back and then some later in the week with a string of loosing trades. This system is now down -5.8% since starting it back on 7/29/2010.
Finally, Megadroid Demo and Megadroid Live were both idle this past week. Megadroid live continues to hold up well and is up 23.5% on the year.
Check back later for more Forex fun.
Its nice to see the same results on GG. I got the same trade on the EUR/USD. I still have yet to see it trade on the GBP/USD. I wonder if Dan would be willing to give me an update of his GG ATR... I would really like to back test it. He probably would want me to join Asirikuy though...
ReplyDeleteThis week was a very good week for me in development of Mover3. I got 2010 under control and found it could be a gaining year and not alter too significantly the previous 10 years in a back test.
I know I keep saying it but someday I will post some information on Mover3 and show off the results.
Thanks for your updates.
JT
JT-
ReplyDeleteI took the newest GG ATR for a spin recently and got some smooth-as-a-babys-bottom test results on the 10-year back tests for both EUR/USD and GBP/USD.
After that, I went to test the same system on the fixed TP and SL values and found that the OrderATR variable was removed. In other words, its no longer possible to test the GG system with fixed TP and SL values using GG ATR.
That was a bit frustrating since i'm convinced that the fixed values performed way better than the ATR values, and I have evidence to prove it.
But then I compared the 10-year test results with risk=1 (which all DF's back testing and forward tests use) to my prior back-tests of GG 0.7c and found the risk/return to be more or less proportional with results a risk=10. In other works, DF's tests would show a 4% return while mine would show +40% return.
In any case, I don't think GG is the be-all and end-all of trading systems. Watukushay #2, Teyancanni and Atipaq look more promising anyway.
That said, I do intend to run a live account in early 2011, running GG ATR on EUR/USD and GBP/USD against a single 2K account with risk=3 on both accounts. One thing the back test convinced me of is that its a solid long-term system.
Overall, I think Asirikuy is worth the ~7 per month. You won't make 40% per year, but you can have the confidence to scale up which is important for me going forward.
BTW - we both need to get cracking on setting up live accounts for 2010 because the year is wrapping up quickly. Take care buddy,
Chris
Hello Guys,
ReplyDelete@Chris : Thank you very much for your post :o) As always I am very thankful for all the links and kind words. I am glad that you are enjoying you Asirikuy membership. I made the decision to remove the Orders_ATR criteria from the GG ATR after a lot of thinking and evaluation which led me to realize that much better settings are possible (when looking at average compounded yearly profit to maximum draw down ratios) than when using the version with fixed SL, TL and TP values. Another important point is that the equity curves improve from a monthly return distribution standpoint with much better skeweness and kurtosis values for the ATR settings.
@JT : I believe - as Chris said- that the contents within Asirikuy are worth much more than the small monthly fee so I would encourage you to join the website. Just the large amount of available educational material and the profit and draw down statistical analysis tools should be of great value to you and your own system development efforts. Of course, I do not pretend to "make you join" and I will be more than willing to provide you with the latest version of the GG ATR if you don't want to join the website. Also remember that you can join from 7.21 USD from the first month since you previously purchased the ebook. Just send me an email to ekans_ (at) hotmail.com saying how you would want to proceed :o)
I also wanted to tell you guys that I have just moved my website from blogger to its own domain at http://www.mechanicalforex.com. Feel free to visit the new website and leave any comments or suggestions you may have :o) I would also be great if you could update the links within your websites !
Keep up the great work,
Best Regards,
Daniel
I hear you on getting our live accounts ready. I want to do a live alpari account but am not sure what system I want to put there. I was thinking GG ??? but I am not sure which one. I have not been able to get very good results in the back test so I lack confidence in seeing the proof of the system. I had the older version of GG ATR take a trade last night and it showed some weird data on the output like TP 579 or something like that... The trade sprung into positive action on the next bar like it knew exactly what was going to happen, but came back on the next couple of bars to take an eventual loss. The EA closed the position before its SL which was unfortunate as the SL held, and could have made the gain later in the morning.
ReplyDeleteI am now forward testing Mover3 and may stop tweaking it so I can get some complete test results till end of year. Mover3 may end up in my alpari account instead. Back testing shows an average yearly gain of 25% to 31% with 3% risk. I may not shoot for the 25 to 31% though and start out at minimal 1% risk setting.
Tiger Tail will likely stay in my current FXDD account. Tiger Tail is a tough system to trade as it takes only 10 to 14 trades a year (per currency pair). Its profitability hangs on 2 to 4 profitable trades in your favor. An accuracy of 68% or better is desirable. I hope it keeps positive results this year.
Tiger Tail may phase out as Mover3 appears to have far better potential. 10 1/2 year back tests show you can turn 10K into over 120k with Max DD below 20%. You gotta like that potential. Tiger Tail shows more of a 50K in that time frame.
At any rate I suppose that it is all just numbers right now until I can get live results.
JT
Hello Guys,
ReplyDelete@Chris : Thank you very much for the update Chris ! It is great to see that you enjoy your Asirikuy membership and that you appreciate the quality and effort that goes into all those systems. Regarding the new F1 version of the GG ATR and the Orders ATR function I decided to remove it after a lot of analysis which showed that 10 year results with the ATR version gave better results than those of the GG 7c version with fixed SL, TL and TP values (with the ATR version getting better average compounded yearly profit to maximum draw down ratios) . However the most important aspect is not so much the difference in profitability but the increase in quality on the distribution of monthly returns which has a much better skeweness and kurtosis for the ATR version. I might make a video in the future to show these interesting results. Thank you very much again for all your kind words, links and posts :o)
@JT : Definitely I believe that the material within Asirikuy is worth much more than the small monthly fee and I truly believe that you will find not only the systems valuable but also the ton of educational material and the profit and draw down analysis tools. These tools would probably help you a lot in the analysis and development of your own expert advisors. However I do not want you to feel "obliged" to join just to get the latest God's Gift ATR update so I will gladly email it to you if you want it. However also remember that you can join Asirikuy from 7.21 USD from the first month as you are a previous ebook customer. Even if you only join for a month I believe you will enjoy it and I will definitely appreciate the gesture - even if not financially significant - as a token of support :o). Send me an email to ekans_(at)hotmail.com and let me know what you want to do ! I am also really interested in you mover3 as a 1:4 maximum draw down to average compounded yearly profit is very impressive, I would encourage you to look deeply into your code to avoid problems that may be causing over estimations of profitability or underestimations of draw down. Anyway, you will have my faithful readership on that topic :o)
I also wanted to tell you guys that I have changed my blog from fxreviews.blogspot.com to a new independent domain called mechanicalforex.com. It would be great if you could udpate your links. Keep up the great work !
Best Regards,
Daniel
Daniel-
ReplyDeleteThanks for the reply.
I appreciate the explanation regarding the smoothness of the monthly returns on the ATR version versus the fixed values version of the God's Gift. I was definitely impressed with the smooth appearance of the equity curve.
Regarding the $7 a month fee, i've spent a lot more with other vendors, and gotten EA's which are not nearly as transparent, well coded and researched. Not to mention you get the full source code, all the education, etc, etc.
Congratuations on your new site, I have updated the blog link.
Chris