Monday, October 31, 2011

Meta-Trader - What's wrong with AT4?

Welcome back Meta-Traders and Happy Halloween!

For a Halloweeen Trick or Treat, let's take a look at my under performing account Atinalla #4.

In order to achieve my annual profit target of 30-60% per year, every account in the portfolio must be operating in top form. And we have a related mystery on our hands with my Atinalla #4 Portfolio from Asirikuy. Based on historical simulations, this account is supposed to return an average of nearly 75% with an average draw down of about 16% However, the link above shows that my account is down -7.26% for the year. What’s the deal?

First of all, we know this is a bad performance by way of comparison. Asirikuy has a total of 7 live accounts running Atinalla #4. Each and every one of them is up at least 20% with the best of them (set to double risk) being up almost 60%! There’s even an instance running FXDD with 1:50 leverage, just like mine. So what gives Meta-Traders?

Peeling back the candy wrapper, I found these facts:

I started trading Atinalla #4 in this account on 1/21/2011. Prior to that, I was running the “Live Twin Scalpers” (Megadroid and Swissie Scalper) in this account. If I filter the account from 1/1/2011 to 1/21/2011 using Myfxbook, I can see the Twin Scalpers lost -2.36% or about -$44 in that 21-day period. I noticed that Myfxbook seems have duplicated each trade (both winning and losing) between 1/21/2011 and 2/18/2011.

Once I noticed that, I took a look at the FXDD Report viewer, a web site provided by the broker for this purpose. According to FXDD, the Twin Scalpers actually lost the same amount, -2.3% or about $44. This means that Myfxbook was reporting the percentages properly, and the duplication of trades was just a display problem.

Then I filtered the account using Myfxbook starting on 1/21/2011 to the present and found the account is down -6.17%. However when I view the same period with the FXDD account viewer, it indicates the P&L is only -$17.28 which is only 9/10’s of 1% or 0.009. Who is correct here? It’s hard to say, so I filtered the account using the FXDD viewer for the entire year, and found I’m down only $62 or about -3.2% of the original cash in the account of $1904!

Another possible conclusion is that FXDD is using a larger starting balance than FXDD for the same period. This is possible since I deposited money into this account and disbursed to my other account from here. If so, this would appear to be a bug in FXDD since it should consider the balances only for the period in question.

Conclusion #1

Myfxbook has some reporting distortions, and I’m not down -7.26%, I’m actually down -3.2%.

Part of that could be due to the fact that FXDD performs a back office netting operation which allows the trader to avoid NFA-imposed restrictions related to FIFO and Hedging. So reporting is clearly part of the problem, but clearly not the whole problem since I’m still losing money.

Conclusion #2

Part of the loss in this account was incurred before I starting trading Atinalla #4 in this account.

What about the performance of Atinalla #4 for the first 21-day period when I was not trading it? How much profit did I miss during that 21 day period?

According to 3 of the instances on Asirikuy, I lost out on between 8% and 24% of yearly profits during that short time period! This makes sense since I’ve found that the Forex market tends to make big moves the first week or 2 of the trading year. I’ll do more research on that and perhaps write a separate post later in the year backed by some statistics.

Conclusion #3

I missed out on a minimum of 10% profit for the year by not trading Atinalla #4 in the 21-day period from 1/1/2011 through 1/21/2011.

What about the rest of the trading year? What can we gather from the data regarding that period?

Taking a deeper dive, I took a look at the performance of each individual system. Daniel’s systems make this easy since the text printed along the upper left of each expert screen shows the P&L for each individual system. Look at each instance (currency pair plus expert) 5 of the 8 instances were profitable. Unfortunately, 2 of the 3 losing instances lost more than any of the other systems putting the account into the red overall.

Here’s where it starts to get interesting. Of the 8 systems instances on Atinalla #4, I am trading 4 of them in other portfolios and for 2 of the 4 with the same broker. This allows for a head to head comparison between the 2 instances. What did that comparison show?

Unfortunately, this thread didn’t pan out for comparison purposes as cleanly as I wanted because the balances earned on the Atinalla #1 portfolio were reset, and the profits shown were not since the beginning of the year, rather since the last balance reset. However it was useful in one regard – I noticed the instance running Watukushay #5 (aka Atipaq) against USD/CHF didn’t seem to be placing its daily limit orders to buy above and sell below the market.

The Atipaq – USD/CHF instance is important since its one of the best performing instances. I checked Atipaq / USDCHF on my “Atipaq Full Portfolio” and it has returned $365 since it started, but the same instance in my AT4 account has only returned $66!

So I took a look at the expert screen and sure enough, it was not creating daily orders at on a regular basis like the one that runs as part of “Atipaq Full Portfolio”.

Conclusion #4

My Atipaq – USD/CHF instance as part of my Atinalla #4 Portfolio is screwed up.

Meta-Trader creates 2 sets of logs as follows:

- General Meta-Trader messages under MetaTrader folder\Logs

- Expert-specific messages under MetaTrade Folder\Experts\Logs

Looking at the General logs, I found nothing but an occasional failure with uploads to MyFxBook.
Looking at the Experts\Logs, I hit pay dirt as follows:

20:58:35 stdlib USDCHF,H1: loaded successfully
20:58:35 WATUKUSHAY_NO5 USDCHF,H1: Error info: 3 description: invalid trade parameters
20:58:36 WATUKUSHAY_NO5 USDCHF,H1: openSellOrder-OrderSend: instrument: USDCHF order size: 0.04 open price: 0.8585 slippage: 30 stop loss: 0.8631 take profit: 0.8512
20:58:36 WATUKUSHAY_NO5 USDCHF,H1: Error info: 3 description: invalid trade parameters

Okay so what's the cause of this error? I look a look and the only thing that strikes me as strange is that the pricing is 4 digits, but its a 5 digit broker. The other trades for this broker show all 5 digits.

Is that the the answer? Check back later to find out and enjoy your day!

Friday, October 28, 2011

Meta-Trader - Best Day Ever

Welcome back Meta-Traders.

It was a wild week in financial markets, full of both the thrill of victory and the agony of defeat. I also had my best day ever, but I'll get to that below.

Monday started off banking a nice profit from the sale of Amazon and collecting the full premium on my short call. On the flip side, pharmacy benefit manager SXCI opened the day Monday with a crushing 14-point downside gap on news of the takeover of SXC customer Healthspring by insurer Cigna. I have 200 shares in each account so that was $2,800 times 2 or $5,600 loss. Ouch and how's that for a way to start a Monday morning?

When life gives you lemons, you make lemonade, so I bought 200 shares in each account at about 43.20 on Monday at about 10AM. Normally, I don't like to average down, but that seemed the only way to profit from a bad situation. Within an hour or 2, I was up about $500 per account and feeling better. Unfortunately, the profits started to fade, so I closed the new positions at about 2PM booking a $380 dollar gain in each account which helped to ease the pain.

Tuesday rolled around and I noticed (using my favorite charting tool that GLD had a bull-elephant bar on Monday and cleared recent congestion to the upside. Also, someone on CNBC noted that huge quantitative stimulus from the Euro-zone via the EFSF will leave to further commodity inflation. So I picked up 100 shares in each account in anticipation at a possible run at the old highs.

Wednesday rolled around and Amazon had a huge gap down after reporting an earnings miss on Tuesday evening. The stock opened close to $200 a share, and I felt pretty good about having recently sold it at an effective price of $229. Investing in individual stocks can really be a mine field and this was a case in point. But no pain no gain as the big boys like to say.

Thursday rolled around the market completely blew out to the upside, opening with about a 2.4% gap in the S&P 500. What really struck me was the strength in energy shares. Oil Services ETF OIH closed Wednesday at close to 126 and gapped up to 130 on the open and traded as high as 135 on the day! I took advantage of this situation and sold a November 131 call at a limit of $5.60 and got filled late in the morning. This trade turned out to be a bit premature since the fund closed the week close to $135. But just 3 short weeks ago, I was down nearly 3K per account on this position, so I felt grateful to get that money back. Plus with this trade I'll book an easy $560 per account in under 3 weeks time.

Thursday closed the day up almost 3% on the major averages. When I calculated all the gains, I was up in the low 5 figures on the day and had by best day ever! I'm not going to say exactly how much, but it was nearly enough to pay cash for my current wheels which is a 2011 Honda Civic, shown above. Of course, I probably had my worst day ever sometime in the August-September sell off. But it is my blog and i'm allowed to accentuate the the positive.

Friday was a bit of a disappointment as health-case cost containment company HMSY reported earnings that beat estimates, but revenues missed. This shot another hole in my portfolio and was another setback along with SXCI. Stocks sometimes sell off after earnings without a good justification and this is a case in point. So I'll just have to wait for reason to prevail.

Forex robots were a sloppy this week to put it kindly. Nearly everything was down except for scalper Megadroid Live, Atinalla #4 and Neural Network trader Sunqu. That Sunqu account is a thing of beauty, so be sure to check it out.

On the development side, my new FXDD account is created and I'm waiting for the check to clear and funds to become available. I've already mapped out my new systems and accounts allocation for 2012 and I will cover that in a separate post.

Also, I started working on another blog post called "What's Wrong with AT4?" which will delve into the performance of my Atinalla #4 portfolio and try to uncover why its under-performing other AT4 portfolios, even on the same broker. Check back for that, its sure to be learning experience - especially for me!

That's all, enjoy your weekend!

Saturday, October 22, 2011

Meta-Trader - Upside Resolution

Welcome back, Meta-Traders.

This past week the rains finally blew out of town leaving a splash of beautiful fall colors along with blue skies and cool, crisp temperatures. Its autumn in the Northeast US and there's nothing quite like it.

Meanwhile the equity markets seemed to shake of their worst fears regarding financial meltdown in Europe. The Dow and the S&P 500 both resolved a nearly 4 month range to the upside on Friday. This was a mere 14 sessions from a fake-out move to the downside where stocks seem to resolve the range to the downside. Equities have been a binary affair lately - either straight up or straight down. There seems to be some optimism things will resolve themselves in Europe - and the world will not come to an end - at least this week.

As for equity trading, my short AMZN Oct 220 call expired and the stock will almost certainly be called away since it closed at 234. That sale will yield almost $1500 profit on sale of the stock plus $960 premium received on the short call makes $2400 times 2 accounts or about $4800 which is not bad. On the downside, my Intel Oct 21-20 put spread expired worthless, so I lost about $100 and change on that trade.

I'm considering a similar position with IBM which recently hit an all-time high at $190, but gapped down to $180 on an earnings disappointment. There's some fat premium on the upside calls to be collected in this one.

As for new equity positions, I added some more Mako Surgical (MAKO). The stock recently broke out to a new all time high at about $43 and dipped back below $40 where I picked some up. I'm expecting a run-up into earnings due out Nov 9 and I might let it run up then sell some premium. I also added a 1 lot of FDO - Family Dollar another one off the new all-time highs list.

For stock scanning, I'm using Its a marvelous tool and you can scan all US stocks for any number of technical conditions in seconds. Plus you get real-time data and real-time intraday charting all for about $300 a year. I recently dumped my E-Signal subscription (saved $1400/year) in favor of this product. Check it out, its really, really good.

Forex was a sloppy affair this week fully of whippy moves and false breakouts. EUR/USD started the week at 1.3870 and ended the week at 1.3886, not far from where it started. EUR seems to be agitating for an upside breakout and a resolution of this debt issue will give it the spark it needs to light the fire. Also, we are starting to see equities signal a year-end rally which will drive USD downward and EUR upward.

Nearly every forex account was down for the week with the exception of Megadroid Live and Sunqu. Sunqu is starting to peak my interest, and shows a lot of potential as a pattern recognition engine to predict the next day's direction - either up or down - based on short-term candlestick formations.

As for development, I have to get my FXDD account funded before the end of next week to get the 5% deposit bonus. Need to get cracking on that.

That's it, enjoy your weekend, you earned it!

Saturday, October 15, 2011

Meta-Trader - 3 Drunks in a Bar

Welcome back Meta-Traders.

It was risk-on this week as equities had their best week since July of 2009 with S&P rising 6% this past week and rising 11% since the plunge lower back on October 3rd. In the past 2 weeks, we plunged to a new low, then turned around and raced right back up to the top of the range. Equities are trading more like futures being priced for both disaster, then recovery, almost by the day. This market is behavior is downright manic.

All this jubilation in equities took USD lower against all pairs with the DXY dropping about 5% on the week and pushing EUR/USD right back to resistance at 1.38.

For me, the highlight of the week was an interview on Bloomberg Radio with Andy Brough from Schroder's Investment Management. "You look at the Euro, your look at the Dollar, the look at Sterling, its a bit like 3 drunks in a bar, propping each other up .. at different times one feels better than the other." You can hear the entire interview here.

As for equities, I didn't make any trades this past week, but it was good to see nearly 10% of my account value - which had recently evaporated - come back almost as fast as it left.

As for Automated Currency Trading, it was a postive week on balance.

Atinalla FE gained about 3% for the week. It would have done better, except it got stuck in a FIFO trading violation where it tried to open and close a new position while it had one open already:

05:58:46 ATINALLA_FE EURUSDFXF,H1: Alert: Cross above CCI threshold detected
05:58:46 ATINALLA_FE EURUSDFXF,H1: open #14568118 buy 0.03 EURUSDFXF at 1.3797 ok
05:58:46 ATINALLA_FE EURUSDFXF,H1: modify #14568118 buy 0.03 EURUSDFXF at 1.3797 sl: 1.3674 tp: 1.3922 ok
06:58:42 ATINALLA_FE EURUSDFXF,H1: Alert: Long entry RSI cross detected
06:58:42 ATINALLA_FE EURUSDFXF,H1: open #14568246 buy 0.03 EURUSDFXF at 1.3773 sl: 1.3674 tp: 1.3922 ok
06:58:42 ATINALLA_FE EURUSDFXF,H1: modify #14568246 buy 0.03 EURUSDFXF at 1.3773 sl: 1.3677 tp: 1.3867 ok
08:58:43 ATINALLA_FE EURUSDFXF,H1: handleBuyTrade: instrument: EURUSDFXF ticket: 14568246
08:58:43 stdlib EURUSDFXF,H1: loaded successfully
08:58:43 ATINALLA_FE EURUSDFXF,H1: Error info: 150 description: prohibited by FIFO rules
08:58:43 ATINALLA_FE EURUSDFXF,H1: Alert: RSI Cross to exit long detected

To unlock this condition, I had to close the first existing open position first at a loss. This is what happens when you trade a non-NFA compliant system on an NFA compliant broker. Thanks alot for that one, Dodd-Frank!

Atipaq full Portfolio have a few losers, but went into the weekend with about 2.5% in unrealized gains.

Megadroid Live and my own EA FX-Regression tacked on some gains as well.

On the development side, i'm hard at work on re-balancing my Forex Portfolios for 2011. It seems that only FXDD will be offering a deposit bonus, so that's where the funding will come in.

I'm also making progress on more FX-Regression improvements, and hope to be ready to share those before 2011 is out.

That's all, enjoy your weekend!

Saturday, October 8, 2011

Meta-Trader - Life, Love and Death

Welcome back, Meta-Traders.

Last week's drubbing in equity markets continued in earnest this week. On Monday, we sliced through the low of the recent range, taking out the lows of the year, and once again putting my open portfolio positions into the red. This was a classic trend continuation move and a confirmation that we were headed lower.

By Tuesday mid-day, I figured we had enough on the downside and decided to take a long position looking for a bounce. I picked Apple Computer since it was the day of the iPhone announcement, and figured with the stock off a recent high of $409 down to $375, it had been punished enough. So I picked up an October 350 call in each account at about $35. After a few wobbles, this position started to work out, and within an hour or so, the stock was at $380 and I was up about $300 in each account. I was shooting for about a 15-point target or about half of the recent $35 dollar downside range.

After lunch, the iPhone event started at 1PM EST. The stock started to wobble and gave back its gains. I watched nervously as the stock started to come apart down to $375, 372, 370. When it broke $370 to the downside, I knew I was in trouble and on the wrong side of this trade. So I bit the bullet and sold the 2 contracts not long after for about a $500 loss per contract or about $1000 loss across both accounts. This loss hurt and I was stung with this loss as well as the other losses for the better part of the next 2 days.

Watching AAPL stock later that day, within an hour or 2, it was $360 and had an intra-day low of $354! So my 5 point loss could have been a 20-point loss, had I not been quick to close it. As it turns out, there was much disappointment in the market that Apple had just released the iPhone 4s, and not a new iPhone 5 has many had expected. But it was a bad trade nonetheless and I learned a good lesson, don't trade the news, particularly when you don't know what its going to be!

As it turns out, I was right about the market, which made a new intra-day low on Tuesday, but closed higher, right at about the bottom of recent support. We rallied for the rest of the week which was a relief.

Wednesday evening brought the shocking news of the death of Apple co-founder Steve Jobs. Apple had a large influence on my life. I learned assembly language on an Apple II running the Motorola 6502 back in college in 1983. I sold Apple Mac hardware as a computer sales guy in the mid 1980's. And Apple stock has been my biggest portfolio winner of the past several years.

On top of all his accomplishments, was the perspective he brought in his commencement speech at Stanford University back in 2005 which you can view here. I highly recommend you take the 15 minutes to watch the speech. There's not a shred of rhetoric, just a few short lessons, live your life without fear, and love what you do.

Most important was a message to realize that death is a fate that awaits us all. "... All external expectations, all pride, all fear of embarrassment or failure just fall away in the face of death leaving only what is truly important. Remembering that you are going to die is the best way to avoid the trap of thinking you have something to lose. You are already naked. There is no reason not to follow your heart."

This powerful message put my small losses in context. The world has lost a tech leader, visionary and extraordinary human being. Rest in Peace, Mr Jobs, you will be missed.

As for Automated Forex trading, we had a mixed week. The recent US Dollar strength peaked on Tuesday and reversed along with the equity markets. This led to losses in all of the COATL portfolios which tend to build up positions over time to benefit from moves which play our over weeks and months.

Atipaq Full Portfolio had 2 huge winners in AUDUSD and NZDUSD which took 5 days to run take profits. Unfortunately, half of those gains were given back on a long USDCHF trade which played out in only 5 hours.

Megadroid Live went on a small winning streak and traded every day this week which is unusual.

FX-Regression took a pounding early in the week, but came back with a series of winners.

All other systems were mixed to negative. Its also interesting to note that Teyacanani when out short EURUSD on Friday in a large move late in the European session. Strange to see that kind of activity so late on a Friday.

Also, I added the God's Gift ATR systems back into my Atinalla #4 portfolio last week. After many months of draw down, these systems are once again showing signs of life and took a few trades this week including a 150+ pip winner in GBP/USD. Daniel - I understand that adding and deleting systems based on recent performance is antithetical to everything Asirikuy stands for so I promise not to make a habit of it.

On the development side, FXDD is running a 5% deposit bonus promotion for the month of October for deposits of $5000 or more. So I will probably take advantage of that to fund my accounts in preparation for 2012.

That's all for now, enjoy your weekend.

Saturday, October 1, 2011

Meta-Trader - Kicked to the curb

Welcome back Meta-Traders.

The 3rd quarter of 2011 came to an end on Friday and without the typical month-end, quarter-end fanfare and window dressing rally. In fact it was the other way around with the bears firmly in control.

Stocks had their worst quarter since the credit crisis in 2008 with the S&P loosing -7.8% for the month and -14.3% for the quarter. The blue-chip Dow Jones Industrial Average fared somewhat better, dropping only -6.03% for the month and -12.09% for the quarter.

Individual stocks told the story even more clearly with a AAPL tracing out a major top and selling off 20 points from the pivot at $400 and closing close to $380 for the week. AMZN was a similar story trading as high as $235 during the week on news of the release of its Kindle Fire, its competitor to the iPad. Amazon gave up the ghost as well and sold off ending the week at $216.

As for stock trading, I only made 2 trades this week. I sold AAPL at about $293 and took profits on the positions I slowly built up earlier in the sell-off. Also, I sold ULTA and took a nasty -8 point loss on a position I took just the week earlier. This was the wrong trade at the wrong time for the wrong reasons and I clearly need to be much more careful going forward.

As for stock positions, i'm still short the AMZN Oct 120 call which is looking good. I'm taking a beating on OIH, Oil Services ETF. I'm in the hole -26 points on this position and taking it on the chin. I should have capitulated already and will probably do so next week. I did some work with, and this ETF has gotten whacked harder than every major index (SPY, DIA), OIL ETF USO and even Goldman Sachs Commodity Index ETF GSG. Brutal, just fricking brutal.

Commodities got whacked as well, with the air continuing to come out of all related items, energy, materials, industrials, financials you name it. The ugly stick was swinging around wildly, whacking off capital and destroying value without discrimination.

The only thing that seems to be working in my direction is the Intel Oct 21-20 put spread which I put on for about $100 and if the stock closes below 20, I make $300. We'll see how that one works out.

All this wreckage in equity markets, was bullish for USD with the dollar rallying strongly against nearly all pairs. EUR/USD resumed its recent downtrend on Friday, but not before shaking out some shorts on an upside excursion to just under 1.37 earlier in the week. This trend continuation was positive for the COATL portfolios which trade USD such as Coatl H1 and Coatl USD-Centered Portfolio.

Atipaq Full Portfolio took no trades, but has some good unrealized gains on a set of long USD trades versus AUD and NZD which are up a combined 238 pips in unrealized gains.

The rest of the system results were pretty lackluster with the exception of the COATL H1 and COATL USD-Centered as I noted above.

Its worth pointing out that my Forex portfolio is up about +16% for the year, versus my equity portfolios which are down about -8% for the year. So that's positive and makes the case for continuing to diversity to Forex. My 5-year plan calls for increasing my forex portfolio to 20K by the start of 2012, so I need to start planning for that.

Also on a positive note, we just started the 4th quarter which is seasonally very good for stocks. So once we get October out of the way, the "Risk On" trade could come back very quickly as portfolio managers try to end the year on a good note. So while we ended the quarter on a bad note, we're looking for better times ahead.

Enjoy your weekend.