Multiple Instruments Featured

Trading multiple strategies/instruments and max draw-downs

Hi all, One thing I’m greatly interested in at the moment is branching out my fleet of strategies. Ideally I would like to have multiple uncorrelated strategies trading at the same time such that when one is in draw-down, the other is making money. Not only does this apply to multiple different strategies trading simultaneously, but […]

Eureka! The secret to identifying a winning strategy

I always wanted to know “How do I know if my strategy is a winner?” … I keep seeing in my FX research something that really bugs me, and it is this magical risk/reward ratio of 2. There’s so much information out there that says that you should trade with a risk/reward ratio of at […]

What’s the aim of optimization anyway?

While optimizing the results of my TREND_REV strategy on USDJPY, I was getting some very good results. However, when I backtest this configuration against the 2008-2009 period, the results are not that good. It’s a tough call, do I tell myself: “It’s ok, the market is always changing, so just run the current configuration and […]

The Watch and Time Duration Stop

The Watch I created a new monitor strategy called The Watch that sends an email whenever there are any changes to the closed trades table. I find this much more useful than specifically monitoring trade by trade. Time Limit Often I read about strategies that try to exit before the close of the day, or […]

My optimization metrics

I have decided to document what metrics and process I use to determine a “good” strategy. Final Balance:       The amount of money left after the testing PT/LT Ratio:          The number of Profit trades over the number of Loss trades. Exp Profit:             The Total Profit divided by the number of Profit trades. Exp Loss:               The […]

Other Currency Pairs

My existing continuation and panic/retracement strategies have been live for two weeks and not made any trades yet … I’m getting impatient. The ideas behind the strategies are solid, so why not give them a crack on other currency pairs. I’ve discovered the following strategies. Obviously some work better than others, so the ones I […]

Continuation Strategy, Fail-Safes, and Scaling

I’ve been looking for a strategy that trades more frequently. Looking at the m15 chart, I noticed that many mini-trends usually have a significant price move compared to previous bars, and additionally have many bars in the same direction at the start of the trend… i.e. it has strong momentum at the start of the […]

Research continues

The past few days I’ve been doing more reading and research for interesting techniques and strategy ideas. 1)    One important thing I’ve learned is that risk dictates either the position size or stop loss. So if the acceptable loss/risk amount chosen relative to the account balance of $7000 is 1%, that’s $70. –       If I […]

There is no perfect strategy

Staring at the backtesting charts, and optimizing using my gradient checker, I can easily reduce the number of loss trades (and profit trades) during sideways market periods. However, the discovery of the slowly trending in the non-volatile market mentioned in the previous log entry has bothered me a bit. There is a long trend right […]

Optimizing – Lot sizes and Margin Call

Today I updated the strategy such that it is possible to check the slow MA and fast MA gradients for a certain angle. I ran these through the optimizer and of course can find combinations of inputs that make money. However, it seems that the safest strategies are the ones that result in a very […]