Meta-Trader - Steady Gains

Welcome back Meta-Traders.

It was another quiet week in Forex with most traders off to the beach. Here's what I have for you in terms of robots performance this past week.

System Q was once again the winner on the week picking up nearly 6%. Its recovering nicely from its worst drawdown of almost -28% a few weeks back and is now down only about -17%. If it keeps recovering at this rate, we should be back in the positive to mid to late September.

Recall from my post here that a 7-year back test of this system shows an average annual profit of +181% with an average drawdown of -21%. If this system is truly capable of these types of gains, it should quickly climb out of this drawdown. Will it perform true to the back tests? Stay tuned and we'll find out.

Next up was Atinalla #1 which picked up about 3.5% on the week and is now down about -5.3% on since starting it in late July. This EA is a combination of 3 separate systems which are all basically trend followers. These systems do best in a trending environment and so far August has been somewhat choppy.

Next up were my 2 favorite scalpers Megadroid Live and Scalper X which were true to form and picked up about 1% each on the week. Megadroid live is now up about 23% and Scalper X up just under 20% and both systems are at new equity highs.

I have no illusions about the risks of trading these systems and either one can drawdown (at the worst case) about -15% in a single day - even on the same day. In fact that nearly happened this past week when both systems drew down about -10% on an intra-trade basis. They slowly climbed their way back to exit at a 1-pip profit, but I had to go sleep and wake up to find that out. So it seems like these systems they are risking more and making less. Megadroid hasn't taken its full 10-pip profit on a single trade since July 6th. On the plus side, Forex.com has stopped widening the spreads and seems willing to let Megadroid actually trade.

In either case, I think they are the antithesis of trend followers and therefore add good overall portfolio diversification.

Both the God's Gift accounts and Megadroid Demo didn't trade last week. As you can see from clicking the links, the demo accounts expired and I lost my trading history. But i've renewed the accounts based on the last balance and perhaps we'll see some action next week.

2 other items regarding Asirikuy. After being a member for nearly 10 weeks, i've finally found the weekly video newletter which goes through weekly results of the over 40+ live accounts Daniel Fernandez is following that trade his systems. This is the "Forex Robots Horserace" that is sort of what I do on this blog, plus some commentary on market conditions, system characteristics and broker dependencies. Overall, its focus is more on robot's performance which is what I have been looking for beyond the other material on the site which is focused mostly on education.

The other Asirikuy related item is the whole area of loading back-testing statements into Excel and SQL and performing drawdown and profitabiity analysis. I have some interesting ideas of what can be done using that type of analysis. Unfortunately, I having a lot of trouble installing the Microsoft SQL Server Express version. I'm sure i'll work that out eventually, but for now its an obstacle.

That's enough for today. Time to turn off the computer and go out and enjoy the summer-like weather which has returned to the Northeast USA. Enjoy your weekend.

Meta-Trader - Squeaking higher

Welcome back Automated Forex Traders.

It was a quiet week in Forex with weekly range on the EUR/USD less than half of the prior week.

Even so, the trend remains down as funds move back to the USD in the face of global economic malaise. Enough of the macro-babble, did we make any money?

This week's winner was System Q which picked up 45 pips but is still down a nasty 23.6% since starting it back on 8/1/2010. At this pace, its going to take about 10 weeks for this system to get back to scratch.

Next up is Megadroid Live which picked up 7 pips on the week. That was enough to get it out to a new all-time equity high and is up 22% year to date. The new Megadroid v1.3 is definitely an improvement and is now clearly trading where the v1.21 accounts are not.

Next up is Scalper X which picked up 4 pips in a pair of trades on Monday and Tuesday.

ScalperX is struggling a bit on this Forex.com account since the spreads are sometimes as large as 8 pips. On a side note, i've been following ScalperX on FXCM at ScalperX FXCM and its up about 10% since early June, so this could be a winning broker/system combination. We'll be watching this one as a candidate for a live account.

Next up are the God's Gifts GG EUR/USD which dropped 6 pips on the week and GG GBP/USD which hasn't traded since August 4th. Even so, these robots are leading the pack with both up almost 40% year to date.

Next up is Atinalla #1. This robot has been struggling and dropped about 1.8% on the week and is now down about 8.8% since starting it on 7/29/2010. This system (which is actually 3 robots in one) is a trend-trader and went out short 0.05 of EUR/USD in anticipation of lower prices ahead.

Finally, Megadroid Demo hit a stop loss on Monday and lost about 50 pips and is now up only 33.9% year to date which is not too shabby.

Anyway, i'm back into Research and Development mode, so if anyone has any good robot ideas, send them my way and i'll code, test and evaluate.

Enjoy your Saturday.

Meta-Trader - Double Doji EA

Welcome back Meta-Traders.

As promised, I uploaded the Double-Doji Expert Advisor to my Yahoo group this evening. So how does it perform?

Well I was excited to see that it was up about 7.5% year-to-date with 10% risk on EUR/USD with about equal drawdown.

The graphic on the left shows 2 successful trades in a row - where the system enters on a break below the doji line, and takes profit on the entry point plus or minus the doji width.

Unfortunately, for every other year since 2000, the system lost money with an net negative 10-year result and a even larger drawdown!

I had a number of OrderSend() error 130 issues caused by my TP and SL values being within the Stop Level plus the Spread. So I adjusted the system to send the orders with zeros for the SL and TP, and adjusted the EA to "poach", basically wait around for the TP or SL to be hit, then send the order at the market. This is probably a good practice in EA's to keep the broker from hunting stops.

I also tried cancelling orders after certain number of bars with no action taken. I also tried closing trades and taking any type of profit after a certain number of bars (in a Megadroid-type fashion) with no improvement in the results.

I even tried reversing the logic (which usually seems to be the last step before giving up) to find that didnt' work either.

So what are the lessons learned?

1) Coding a long-term profitable system is not easy.

Sure you can go from concept to code in an hour or 2, but after that, the going gets tough. My buddies Daniel Fernandez and JT (as per his recent post Harsh realities in profitability in coding EA's) know this all too well.

2) The forex market commonly "runs" stop and take-profit levels. Once a key and identifyable stop value is formed, it it usually violated in advance of the meaningful breakout which eventually occurs. This caused some otherwise good setups to go bad.

3) A long-term profitable system is a beautiful thing.

After spending many, many hours on this system, I went back and did a 10-year back-test of Watukushay #2 to remind myself what a long-term profitable system look like.

Watukushay #2 is down about 9.5% year-to-date with 4% risk. But its up nicely every other year since 2000 with an average gain of 21.5% per year with a -16.85% average drawdown.

So i'm back to Asirikuy.com to advance my understanding based on the all the hard work of author Daniel Fernandez. I'm also planning a post with the back test results on WA #2 - without revealing the key logic of course.

I'm also starting to sour somewhat on commercial EA's. Sometimes it takes many months to understand the logic of the system since back-testing will only tell you so much.

So learn from those who have come before you and take advantage of their experience!

Stay tuned for a review of Watukushay #2.

Meta-Trader - Double Doji Indicator

Welcome back Meta-Traders.

As promised, I present the double-doji indicator. This idea originated from an e-mail I got from the guys over at Megadroid and originated by a guy named Vladimir Ribakov.

The Doji is a candlestick pattern with a small-real body and a large shadow. The Doji pattern represents indecision on the part of market participants and does not indicate direction.

When the doji occurs twice in a row, its a relatively rare occurrence, signaling the trader to take action on a break above or below the high or low formed by the shadow lines.

The indicator displays a blue dot above and a red dot below the shadow lines indicating the points where the orders should be placed. The author indicates the Double-Doji works best on the 1-hour, 4-hour or daily charts.

For my indicator, I defined the Doji in terms of the percentage of the real body in terms of the entire size of the shadow. I started with a percentage of 0.05 meaning if the real body represented 5% or less of the shadow, it would be considered a Doji. I later changed it to 0.10 or 10% to increase occurence of the condition.

In terms of the rarity of the signals, on the hourly chart, the signal displayed about 23 times on the EUR/USD since the beginning of 2010. The signal appeared 11 times on the 4-hour chart and only once on the daily chart, which just happened to be just recently on July 28th.

I have uploaded the indicator to my Yahoo group. If you would like to join, send me an e-mail at fx-mon@yahoogroups.com or a direct message on Twitter at http://twitter.com/tcxmon.

Stay tuned for the Double-Doji Expert Advisor!

Meta-Trader - System Q Crash

Welcome back Forex systems traders.

Once of my favorite new systems System Q had a spectacular crash this week giving back nearly 25% of its equity in 2 short trading days.

This was a disappointment since I had high hopes for this system and believed it could only sustain this type of loss on a large gap in the underlying - which we did not get this week. Instead, we got a hard sell off of EUR/USD prompted by a rush back to the dollar as the "risk trade" came off in the face of a nasty sell-off in global equity markets.

So what's the lesson learned? Know your system! Based on back-testing history I expected a 30% drawdown with this system. But I believed that could occur only if the system got caught on the wrong side of a news event, or other sudden change in the market. At least I look Daniel Fernandez's advice to demo tests your system for several months before going live. For the time being, i'm sticking with the system to see if it can recover.

In other forex robots action, God's Gift EUR/USD picked up 15 pips and God's Gift GBP/USD was idle this past week.

Megadroid Demo and Megadroid Live came out of their summer slumber this week. MD Demo picked up 12 pips and MD Live picked up 5 pips and probably would have picked up more if not for a mishap on my home computer. This small change was enough to get both accounts out to new equity highs.

The new Megadroid v1.3 installed last weekend seems to have gotten Megadroid off the bench. v1.3 traded 3 days while the v1.21 (on FXDD and IamFX) only traded one day. It does make the point that EA's need to be tweaked occasionally due to changes in the market.

Scalper X had a fine week picking up 33 pips. The Asian Session seems to have returned to its former character where moves between 5PM and 8PM EST are "thrown back" by the end of the Asian Session. This effect caused a -60 pip drawdown in the Megadroid's to come back to exit with a slim 1-pip profit. It's nice to have an edge that given enough occurences, comes through true to character.

Atinalla #1 had an interesting second week. It got caught long EUR/USD going into last weekend, so it got trounced on the USD strength this week. Atinalla #1 is now down about -6.1% so far this year. At one point this past week, it was down about -10%. I'm still trying to learn how to identify each systems individual trades through the comments and magic number. More to come on that.

Finally, to those of you reading this blog looking for coding and system development, I have promised but have not delivered much lately. So stick with me and perhaps I can get the double-doji indicator and EA out by the end of this weekend.

Have a fine weekend, all.

Meta-Trader - Lower Left to Upper Right

Welcome back Forex traders.

It was an interesting week in Forex with some highly directional price action in my favorite pair, EUR/USD. Since the low on June 7th, its been pretty much straight up for this pair which clearly affected results for my robots as follows:

Gods Gift EUR/USD and Gods Gift GBP/USD finally pulled decisively ahead of Megadroid and both accounts are now up almost 40% year to date. God's Gift EUR/USD got onto the trend early in the week and at one point was up almost 160 pips. It gave it back somewhat, but still ended up almost 50 pips on the week. God's Gift GBP/USD was less active, but still took home about 33 pips on the week.

Megadroid Live and Megadroid Demo were idle again this week as were the challenge accounts at FXCM and IamFX. Megadroid live hasn't traded since 6/7/2010. The Megadroid Team announced their v1.3 version on Friday and e-mailed it to registered users. Here's their summary of new features:

1) a small fix to the AutoGMTOffset feature
2) improvements to the strategy
3) improved DLL access speed
4) a small fix to the Journal tab messages

This prompted me to do a back-test both the old and the new versions year-to-date. The results were somewhat disappointing. On the FXDD demo account, v1.21 lost -13.6% year to date and v1.3 lost -20.5%! Modeling quality was high on this test. On the Forex.com live account, v1.21 gained +6.1% and v1.3 gained +11.2 year to date. This tells me 2 important things:

1) Back-tests results aren't worth a damn with this system
2) My broker may have been doing me a favor by not trading it

Seriously though, I'm not sure what to make of this system. Since i'm up about 20% for the year in the live account, I can't complain and i'm going to let it ride.

Scalper X had a bit of a rough week and lost 6 pips. The persistent strength in EUR/USD carried over to EUR/CHF and for the first time in recent memory, price gains made in the early Asian Session (7-10PM EST) were not "thrown back" by the end of the Asian session. Scalper X was therefore on the wrong side of the trade 2 out of 3 times this week, but at least showed decent loss control. Clearly the broker made out this week, netting almost 5 pips on either side of these trades. The net result was that the broker made 30 pips and I lost 6! Oh well, better luck next week.

Newcomer System Q picked up about 7 pips on the week. This system was sidelined on Monday while I resolved some license issues and on Friday when I turned the robot off in advance of Non-Farm-Payrolls. So it didn't really get in a full week. It will be interesting to see if it can continue its barn-burning performance as it is up 6.5% in only 2 weeks time!

Our other newcomer Atinalla #1 started out the week strong and at one point was up over 100 pips. But it gave it all back and ended up down about one half of 1% in closed trades on the week. It ended up going into the weekend long 0.05 lots of EUR/USD so we'll see if the strength in EUR/USD can continue into next week.

Finally, I got a nice freebie from the Megadroid people regarding a system they call Double-Doji. Its a complete trading system with setup, entry, take profits and stop losses. Also, it looks to be very easy to code into an indicator and Expert Advisor. So if all goes well, I should have a post on that in a few days time.

Take care and enjoy your weekend.

Meta-Trader - Welcome Atinalla #1

Welcome back forex people.

Today we welcome the Atinalla #1 portfolio of EA's to the list of systems i'm tracking.

This isn't just an EA, its a collection of 3 EA's, all trading EUR/USD on an H1 timeframe, assembled and tested as a group to produce the 10-year back tests you see on the left. Those results show an average annual profit of 65% with an average drawdown of about 13%.

With this release, author Daniel Fernandez over at Asirikuy continues to raise the bar for the Expert Advisor community. The experts have been modified with the "Internal Balance" concept which means that they expand or contract the lot size based on the amount of profit or loss resulting from that particular expert. That means you can trade multiple EA's against a single account without affecting the number of lots traded.

This arrangement has a number of benefits including more efficient use of capital as well as diversification of the portfolio. The diversification effect would seem to minimize the changes of a catastrophic loss. The net result is that the portfolio performs better than any individual expert on Daniel's site.

You still need to control the overall level of risk the portfolio will take on. The recommended values keep the total exposure at about 6% of account equity open at any one time. That's slightly on the low side as I run the rest of my systems at about 10% risk. Daniel runs many of his systems at 1% account risk per position which is a bit low for my taste.

Two other items to mention. Running this setup with certain brokers require the "Sunday Candle" modifications. DF discusses the fact that some brokers show a daily candle for Sunday's trading. This candle affects the value of the 14-day Average True Range which is central to many of the calculations in Daniel's EA including lot size, Take Profit, Stop Loss, and Trailing stop. DF provides a method of dealing with this that filters out the Sunday Candle and results a a full and true ATR value.

Lastly, DF recommends annual re-balancing of the portfolio which is essential to getting the full diversification affect. The results shown above were performed with an annual re-balancing that restarts each system with the profits and losses of the other 2 EA's.

Overall, the Atinalla #1 portfolio is really an amazing step forward and I thank DF for all his efforts on our behalf. It looks like Atinalla #1 is going to have a spot in my EA roster going forward.

Also, the Watukushay #5 EA looks very promising and its just a matter of time before we are running a "Super Portfolio" of those systems as well against against multiple pairs. The fact that you get all this for $5 a month boggles my mind and continues to be the best bargain in the forex industry.

Finally, I started running the Atinalla #1 robots last weekend with results found here. Last week it picked about about 8 pips and it has about 22 pips open profit in a trade as of this writing.

Thats all for now. Once again - great job Daniel - keep the good work buddy!