BooYa!! I'm hyped up about Forex again :)) - page 2

 
i like cci() reentry 300/-300 as a nice exit..
 

tweaked too much and now it's gone all bonkers on me. ah well, at least the short positions percentage isn't too shabby...

Symbol EURUSD (Euro vs US Dollar)
Period 15 Minutes (M15) 2010.06.21 00:00 - 2010.07.25 23:45 (2010.06.21 - 2010.07.26)
Model Every tick (the most precise method based on all available least timeframes)
Parameters
Bars in test 3401 Ticks modelled 308290 Modelling quality 89.53%
Mismatched charts errors 0
Initial deposit 3000.00
Total net profit 1106660.00 Gross profit 1181420.00 Gross loss -74760.00
Profit factor 15.80 Expected payoff 384.93
Absolute drawdown 240.00 Maximal drawdown 418620.00 (33.20%) Relative drawdown 48.73% (58220.00)
Total trades 2875 Short positions (won %) 874 (96.91%) Long positions (won %) 2001 (69.52%)
Profit trades (% of total) 2238 (77.84%) Loss trades (% of total) 637 (22.16%)
Largest profit trade 2070.00 loss trade -240.00
Average profit trade 527.89 loss trade -117.36
Maximum consecutive wins (profit in money) 801 (220180.00) consecutive losses (loss in money) 276 (-30130.00)
Maximal consecutive profit (count of wins) 636650.00 (626) consecutive loss (count of losses) -41320.00 (269)
Average consecutive wins 124 consecutive losses 35

 
Yeah CCI sure have something to it. Take a look at 19730719 's system for example. Hey 19730719 is this the same system you posted the codes to the other day? Anyways, this thread will probably be my last time posting graphs with equity curves. Let the money makers make money. I wish everyone luck on the real markets.
 

no, it's way more simple. but wont get hyped up 'cause the proof is in the real pudding right? besides the graph is way too boxy.

 
19730719:

no, it's way more simple. but wont get hyped up 'cause the proof is in the real pudding right? besides the graph is way too boxy.


It's also based on ~3000 trades occurring in the rather short time span of ~5 weeks. Not exactly amenable to a live trading environment.
 
Yeah lol thats what I taught. It seem un-real but "who am I to say that" when I posting a system which very well might be un-real as well :) And that's the reason why I'm not posting anymore equity curves. If I start making money with my systems, I'd love to post live account statements just to show people can win in forex, however, something tells me thats a bad idea.
 

yeah wont even go there. i guess the more conservative, ideal scenario would be a single digit drawdown % relative to a triple digit profit %. so boring though.

Symbol EURUSD (Euro vs US Dollar)
Period 5 Minutes (M5) 2010.05.24 00:00 - 2010.07.21 23:55 (2010.05.24 - 2010.07.22)
Model Every tick (the most precise method based on all available least timeframes)
Parameters
Bars in test 13379 Ticks modelled 695781 Modelling quality 59.32%
Mismatched charts errors 0
Initial deposit 3000.00
Total net profit 9070.00 Gross profit 12590.00 Gross loss -3520.00
Profit factor 3.58 Expected payoff 77.52
Absolute drawdown 70.00 Maximal drawdown 810.00 (9.81%) Relative drawdown 9.81% (810.00)
Total trades 117 Short positions (won %) 72 (54.17%) Long positions (won %) 45 (48.89%)
Profit trades (% of total) 61 (52.14%) Loss trades (% of total) 56 (47.86%)
Largest profit trade 1280.00 loss trade -350.00
Average profit trade 206.39 loss trade -62.86
Maximum consecutive wins (profit in money) 6 (700.00) consecutive losses (loss in money) 5 (-200.00)
Maximal consecutive profit (count of wins) 1390.00 (3) consecutive loss (count of losses) -390.00 (4)
Average consecutive wins 2 consecutive losses 2

 
19730719 you're quite the programmer. I've seen examples of your coding style and I must say it's clean cut just like your charts. If your systems are not curve-fitted then you have one hell of a way with Indicators. Have you demo-tested some of these? If so, how did they perform? Giving the short period of time on those trades, shouldn't take too long to realize if you have something solid on your hands right?
 
ubzen:
19730719 you're quite the programmer. I've seen examples of your coding style and I must say it's clean cut just like your charts. If your systems are not curve-fitted then you have one hell of a way with Indicators. Have you demo-tested some of these? If so, how did they perform? Giving the short period of time on those trades, shouldn't take too long to realize if you have something solid on your hands right?

just an enthusiast with a passion for automation and a healthy imagination. probably doesn't do any harm that i'm in the electrical/electronic trade. yes have done some forward testing. let's just say no nasty surprises yet. also doing some number crunching but unfortunately the optimization reports aren't very clean cut.
Files:
 

What would you recommend to help me from giving up too much floating profits? If I'm saying too much here, you can Pm me with any hints. Thank you.


I use MAE and MFE as my critical metrics for assessing the quality of market forecasting my strategy is performing to.

For example if your strategy is hitting its MFE before its MAE then the strategy is bad at price forecasting and market timing. A good entry strategy will have lower MAE than a strategy with high MAE (relative).

Likewise when seeking good exit strategies you look for the ones that have have as little excess MFE as possible.

(I define excess MFE as being the difference between MFE for the trade and the closing price...it is basically how much money you left on the table by holding onto the trade too long "past its peek")

And the MAE is telling you how badly (or well) your entry timing strategy is doing. Ideally your market prediction would perfectly time the bottom of a market swing such that your entry price is the MAE for the trade (by an amount equal to the spread).

If/when the MFE occurs before the MAE then basically your strategy has botched everything, timing and direction are wrong and backwards.

I use the following graphics to explain these principles to my clients. (note I have stripped the author info - even though it is me - from these because the NFA would consider this as advertising and I don't want to get into any of it)





I don't have a graphic depicting the obvious, but the ideal entry/exit strategy pairing is the one for which the MAE is the open price (less the spread) and the MFE is the close price.

(and of course all these graphs are depicting a long position, the same concepts apply to analyzing the predictive accuracy of short positions)