Welcome back, Meta-Traders.With all the volatility lately in financial markets, it’s a good opportunity to get back to the basics of what this blog is about. In this post, let’s examine COATL-EUR Centered portfolio from Asirikuy. Recall that I already discussed some details of this portfolio back in part 3 of my review of the COATL system here.
This past weekend, Daniel re-released the COATL system along with a new set of parameters. For this post, I reproduced back-tests for the EUR-Centered Portfolio and compared them with those included with the portfolio. There are a total of 8 COATL-based portfolios on Asirikuy, and I decided to dig into this one because it’s one of the 3 that I am demo-testing over on the right-side pane of this blog.
Reproducing the back-tests for COATL portfolios is very easy as follows:
- Install the latest COATL expert files using the Asirikuy system installer
- Download the daily historical data. Asirikuy provides historical data for 25 different currency pairs dating back as far as 1978.
- Import the historical data for the pair being tested as follows. Select Tools, History Center, double click on the Currency Pair to expand the sub-tree then click on Daily. Click on Import and select the .HST file for the currency pair being tested and click Ok.
- Select View, Strategy Tester to bring up the Strategy tester
- Select COATL for Expert Advisor, Select the Symbol, under Model, select Control Points, and under Time Frame, select Daily.
- Finally (and this step is important) click Expert Properties, click Load and load up the parameter Preset file for the Currency Pair
- 100K grew to 21 Million dollars, versus 14 Million under the earlier COATL system
- Annual Gain was over 66%, slightly better than the earlier version
- Maximum Drawdown was about 15%, much improved from the 21% drawdown from the prior version
- On a monthly basis, the system was profitable in 111 of 132 months, an impressive 85% of the time.
- The largest monthly loss was over 13% while the largest monthly gain was just over 22%, not much different from the prior version.
- The system was profitable in all but one of the 11-years in the back-test period
These results show that the new version is a definite improvement over the prior version. Profitability is improved while drawdown is reduced.
Overall, my results were about 10-15% better than Daniel's. The only thing I can attribute that to would be different spreads on the currency pairs which vary over time even with the same broker. Spreads are fixed and wider on the weekend, and vary throughout the trading day with the narrowest spreads during the most active trading hours.
If I get some time later this week, I will work on some of the other COATL portfolios and post the results here. Let's watch the performance of the new COATL portfolios for the remainder of this year before deploying live capital in 2012.
Make it a great day.
I don't know about you, but I am getting quite discouraged with currency trading. This year has been nothing but a bad year. Atipaq went from being over 30% in my account to down -3%, and I am even using the 1/2 risk setting. I am getting slaughtered on the USD/JPY pair. Additionally Teyacannai is getting slaughtered as well. I was up a bit at the beginning of the year to being down quite a bit. I replaced EUR/USD in my Atipaq account with the Teyacanni so I may be getting some different results than others, but it looks like those are the two that are causing all the problems. I may have to double check my setting for USD/JPY pair just in case I got it wrong, but it seems that pair just can't hit any wins.
ReplyDeleteMy mover3 has had a rough time this year and I have changed it since. I made it a 1:1 on reward to risk per trade. It seems to be treading water to slightly loosing now.
It seems I am learning that even if you put forth tons of effort in designing and back testing. Looking at each individual trade... that does not grantee that trading conditions can't change into something completely horrific to your systems ability to trade successfully. Lets just hope this is a bad year. If it continues for two years I will likely throw in the towel.
JT
JT-
ReplyDeleteYes, its been a rough period lately. I had a good first half of the year, but the last 2-3 months have been rough. Looking at the charts, we haven't had any meaningful trending action in EUR/USD since April, and I think that's at the heart of what's going on.
Nothing is easy, much less Forex Trading. Take it slow and keep a long term perspective and let's see how we are at the end of this year.
Think like a turtle and hang in there! And thanks for reading,
Chris
Hi Chris, it's been a long while since commenting. I still read your blog every week, and follow the ups and downs of your EA's. I agree that currency trading in general has been brutal (boring and unprofitable) lately, and just want to suggest some heresy: try ZuluTrade again. I'm in the process of setting up a live account as I believe, after much study, calculation and demo-ing, that excellent money with manageable drawdown is available through that venue. Of course you need to find a good provider or two, but that is readily doable. What is more important is position sizing and some monitoring to get through the inevitable drawdowns with several positions open (up to 30 or so sometimes). What's more, the Zulu platform has made great improvements and have added several new brokers into the fold, including Interactive Brokers (although IB appears ill-suited for Zulu because multiple positions of the same currency get rolled into one trade). As but one example of a provider that could make you money, check Tenpro (there are several others with similar trading style), download his history into Excel, use a 25k account with lot size of 0.03, then simulate the annual return and max (exaggerated) drawdown. You'll find that you can make high returns with modest drawdown. Using the backtest feature of Zulu you will be able to get an even more accurate picture of profit vs drawdown. I prefer my own simulations because I prefer to exaggerate the drawdown for obvious reasons.
ReplyDeleteDon't ban me bro (lol) for this heresy, just keep an open mind and give it a look see. I'd be most interested in your insightful and considered viewpoint now that almost two years have passed since you threw in the towel on ZuluTrade.
Glen
Glen-
ReplyDeleteThanks for the reading and for the comments.
As for Zulu, I only lost money over there and it ended badly as you know. Let us know how you make out with the live trading, and if you can get in 6 months to a year of good performance with reasonable draw down i'll take a look.
Take care and thanks again for reading,
Chris