Meta-Trader - Atipaq Review

Welcome back Meta-Traders.

This is 5th in our series of reviews of the systems found on Asirikuy. In this review, we tackle Watukushay #5, also known as Atipaq.

Atipaq is a word in Nahuatl - the language of the Aztecs in Mexico - which means Powerful. It’s powerful because the system can be run on multiple currency pairs in a portfolio fashion.

Here’s the logic:

• Once per day at a fixed time, calculate a box which is measured by the range of the prior N hours price action.


• Examine the range of the box. Discard boxes that are either too small or too large with respect to the ATR.


• If the box size passes the above criteria, put a buy stop above the market at the top of the box, and a sell stop below the market at the bottom of the box. If the orders are not hit within Z-hours, orders are cancelled and the process repeats the next day.


• Take profit is Q-multiple of the box typically 3 or higher so that TP is 3 times the box size so when the system wins, it will make up for 3 losses.


• Stop loss is the bottom of the box for buy orders, top of the box for sell orders.
  

Basically, the system is looking for to enter new orders early into the active market session based on a breakout of the range created by the prior session’s price action. The range has to be relatively narrow, so we are waiting for a price to consolidate prior to the breakout. The startup time, and the other variables are different for each pair, and Daniel has tested and optimized to find the best startup time for each pair. The pairs I tested (and I suspect are the best) are USD/CHF, GBP/USD and USD/JPY.

USD/JPY is a bit of an exception, since the recommended settings put a sell order above the market, and a buy order below. In this case, the system is being used to fade breakouts and buy selloffs. I like this option because it benefits from sideways action, which the market does much of the time.

The correctness of the breakout hour is very important. Daniel warns that incorrect settings can cause the system to lose money, and I have witnessed this first-hand. Getting the breakout hour setting correct is a real mess with multiple brokers and daylight savings time, etc, etc.

Fortunately, Daniel provides a tool which feeds the correct time to the EA’s from a log file created from an Alpari Demo account. The only annoying thing about this is that demo accounts on Alpari expire once a month, so this will require once a month demo renewal. Not a big deal in the larger scheme of things, but worth mentioning.

One interesting thing about this system is that once positions are open, they can be open for many days or even weeks. Meanwhile the daily order setting continues, so it’s possible that multiple positions can be opened at once. There is an NFACompliant setting that will prevent the system from going long and short the same pair at the same time.

What about performance?

Over a 10-year period, USD/CHF turned $216,000 which is about an 8% annual return. Not spectacular, but that is trading 0.5% risk (one half of 1%) and drawdown is low at -3.6% drawdown. As shown on the left, results for GBP/USD and USD/JPY as pretty solid as well. Where this system really shines is trading it on a portfolio approach, where multiple pairs are traded in a single account in a portfolio fashion. Daniel makes a very compelling case that this system really shines when traded as a portfolio.

I will be trading Atipaq as part of the Atinalla #3 portfolio starting in early 2010.

I have uploaded the 10-year back-tests for the 3 pairs mentioned above to my yahoo group at

http://finance.groups.yahoo.com/group/fx-mon/

minus the parameter settings.