This week I’m taking a break from the weekly Forex Robots performance horse race commentary and instead focus on my Forex Robots portfolio line up for 2012. Here are the objectives of this exercise:
- Reward and/or add-to the winners
- Cut and/or eliminate the losers
- Consolidate accounts
- Maximize capital growth through use of a deposit bonus
- Include a Worst Case scenario based on Monte-Carlo simulations. This is the point at which we will stop trading the system.
A quick word on what I consider “winners” and “losers”. A winner is an account that has performed according to expectations and behaved consistent with other instances of that system traded elsewhere. A loser is an account which has not performed to expectations or has not traded consistently with same accounts elsewhere, or accounts for which I have no basis for comparison.
Now let's go through each account and comment on its status:
Atinalla #1 had an excellent year and I’m going to add about $1300 from my FXDD deposit to this account to bring the account total up to about $4000. Worst case scenario based on Monte Carlo simulations is a loss of almost 40%
Next up is Atipaq Full Portfolio which was up nearly 59% and has performed consistent with expectations, so I want to add to this one. Where will I get the money from? Read on. It is important to note that Atipaq Full Portfolio has a worst-case scenario loss of almost 85% which is pretty high.
Both Megadroid and FX-Regression had sub-par years. Megadroid has been a disappointment 2 years in a row and both it and FX-Regression suffer from adverse risk to reward ratios. But at the same time, I don't want to totally give up on these systems just yet. So here's what I came up with. Each account has about a $1000 balance, so I will close the one and transfers the funds over into to Atipaq Full Portfolio bringing its balance up to about $4200.
As for the other account, I'm going to continue to trade Megadroid, plus FX-Regression on USD/CHF and USD/CAD. This way I can keep these 3 together and isolated from the Asirikuy Portfolios and NFA compliant with none of the systems fighting with one another. Since I am consolidating the Megadroid/FX-Regression accounts down to 1, it effectively halves the amount of funds traded and demotes their contribution to my overall performance. Worst case loss is 50% of the account based on my own limit.
Next up is Atinalla FE.
Atinalla FE is a good system and has performed fairly well this year, though nowhere close to my 30-60% target. Part of the reason for the underperformance is that the system itself is not NFA-compliant, yet I’m running it on an account which requires NFA compliance.
I considered adding Atinalla FE to my Atinalla #1 account which runs on FXDD and can therefore handle non-NFA compliant systems. But in combination with the systems in there already, its adds too much risk. So my plan therefore is to close the account trading Atinalla FE, and transfer the funds over to my existing account running Atinalla #3.
Next we have Atinalla #3 which has not performed according to expectations. Similar accounts on Asirikuy are all up at least 20%. I’ve concluded that this difference in performance is due to the USD/JPY instance which is performing poorly when compared to the USD/JPY instance included inside Atipaq Full Portfolio. So I’m going to adjust the parameters on USD/JPY to match Atipaq Full Portfolio and go on with the new funds into 2012. Worst case scenario for Atinalla #3 is a loss of about 54%.
Finally we have Atinalla #4. This account has been a disappointment and is not trading consistent with the other AT4 systems on Asirikuy. Also, the account is under capitalized and shares several system-pair instances in other accounts I’m already trading. So I plan to scrap Atinalla #4 and add funds to start trading a new system. In the course of that, I also add a new account bringing my total number of FXDD accounts to 3.
FXDD Account #1 will run Atinalla #1 portfolio and have about $4000 for starting balance.
FXDD Account #2 will run COATL USD-Centered Account and have about $4500 capital to trade. A 11-year simulation shows an average annual return of nearly 57%, but a maximum drawdown of as much as 30%. This portfolio is going to take a lot of patience and long term perspective to trade, but I have an excellent shot of making my long-term performance objectives. This system has a maximum worst case loss of 34.6% of the account.
FXDD Account #3 will run COATL H1 portfolio and will have about $3660 to trade. A 12-year simulation shows an average annual return of about 52% per year with maximum drawdown of about 24% and a worst-case loss of 34% of the account.
Both COATL account are going to be very difficult to trade psychologically and will take a long-term perspective to be successful.
Here is a summary of the new asset allocations:
$4000 - FXDD - Atinalla #1
$4500 - FXDD - COATL USD-Centered
$3660 - FXDD - COATL H1 portfolio
$4200 - Forex.com - Atipaq Full Portfolio
$1050 - Forex.com - Megadroid EUR/USD and FX-Regression USD/CHF and USD/CAD
$3419 – Forex.com – Atinalla #3
Total accounts now 7, after restructuring, 6. I’m adding one FXDD account bringing the total FXDD accounts to 3. At the same time, I am deleting 2 Forex.com accounts bringing the total account across both brokers to 6.
Total funds now, nearly $13,000, total funds after restructuring about $20,000.
Let’s see how it goes. Take care all.