Meta-Trader - Automated Forex Trading - 2012 Halftime Report

Welcome Back Meta-Traders.

Since 2012 is now half in the books, its a good time to do an assessment of where we are with Forex trading.  This past week is a good place to start, since it was a very active week as Automated Forex Trading goes.  And this past week's action reflects some larger themes that we seen so far in 2012.

The first account up is Atinalla #1. This account had a good week and is now down -3.91% for the year and is up 25.26% since starting it back in November of 2010.  The system had some good results this week taking gains from all 3 embedded systems most notable of which is Teyacanani which is still short EUR/USD of this writing.

Next up is Atipaq Full Portfolio which lost about 5% for the week and is now down a stunning 31.93% for the year, but still up slightly since starting.   The week started out good with gains in GBP/USD and USD/CHF, but ended the week with a sequence of losing trades including 3 consecutive losers on USD/JPY, followed by a loss in USD/CHF then a large loss in AUD/USD.   This account has been a roller-coaster ride being up as much as almost 96% earlier this year and has given it all back and is now up just slightly because I added some funds to it earlier this year.

The first question I ask myself is - are the systems in Atipaq Full Portfolio trading properly?  To find out, I ran a back-test for 2012 to date and got the results shown in the above graphic.  The red line indicates the overall portfolio performance which bears a striking resemblance to my actual portfolio performance.  Plus the fact that I see a similar performance over on the Asirikuy site.  So the short answer is Yes - the systems are trading properly.

Looking at the chart on the left, it seems obvious in retrospect that I could have bought and sold  trendline breaks.  This is a pretty common tactic in equity trading.  Based on a quick visual analysis, I could have been up about 125% - and instead have held onto the gains!   Note that the system is not foolproof of course since I would have bought into the recent uptrend onto to see the system go to a new equity low.

Thinking deeply about Atipaq and its performance, it struck me that its performance could be improved by switching back and forth between buying breakouts (its normal mode of operation) to selling or fading breakouts.

So I flipped the logic to sell breakouts instead of buying breakouts and ran a back test for 2012 to date. I expected to see the mirror image of the systems equity graph, showing about a 30% gain for the year.  Instead, I got the graph shown on the left, where all of the systems trading in reverse mode were unprofitable except for USD/CHF which showed a small profit.   I believe the reason for this is that the system takes larger losses than gains in when running in reverse mode - exactly the opposite of normal Atipaq behavior. Perhaps there are a different set of parameters which takes equal size profits and losses and still comes out ahead to to more breakouts failing (returning to the opposite side of the breakout box) than reaching the pre-defined multiple of the box size to take a profit.

Next up is COATL H1 which has been inactive since earlier this year due to problems with the system.  I'm still looking for a set of systems for which to deploy these funds.  Given the overall record here, I think cash is the safest place for these funds now!

Next up is Atinalla No 3 which suffered from the same losses in USD/CHF and USD/JPY as did Atipaq full portfolio.  Atinalla No 3 is now down about 16% since startup back in January 2011.

Next up is Atinalla Custom which runs Teyacanani, another system from Atinalla No 1 and one system from Atipaq  Full Portfolio.   It had a decent week picking up about 6% but is still down a bruising 32.7% since startup back in November of 2010.  This test is not quite so pure since I have run a combination of systems over time, but it has been stable for the past year or so.

Last up is Sunqu which has been inactive due to a DLL problem.  This is unfortunate since the system had a large spike of profitability on based on other systems on Asirkuy that I missed out on.

So what has been gained and what has been lost so far in my Automated Forex experiment?

What has been gained?

• I am trading transparent systems which I fully understand and are back-test and live test consistent
• I am trading automated systems which can be compared against other systems on Asirikuy on a trade-by-trade basis to get an understanding of whether the systems are trading properly

What has been lost?

• Money - I added it all up, and I am down -$1893 or about -9.2% of the 20,000 I have invested in Automated Trading.  Its interesting to note, however, that I was up as recently as March of 2012 and went into drawdown based on losses in Atipaq full portfolio.>
• This doesn't include the funds I pay to belong to Asirkuy and the electricity required to power my computer which runs the systems. These are small costs of course in the large scheme of things. Also, I never paid any money to run a VPS system, so there was some cost save there.

Despite the loss of funds, Automated Trading has been a good experience and I have gained understanding in the process which is the true goal of Asirikuy. And since I believe fundamentally in the systems I'm going to stick with them until they recover or go bust and the odds of either outcome look equally likely at this point.

That's all for now, enjoy the rest of your weekend and the coming week.