Mp6140's Hedge - page 2
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The great danger of this strategy is that when one side of the hedge hit profit target, the remaining open order is trading naked (without stoploss). If price takes off in one direction without retracing, our account will be in trouble. However, with the breakeven feature this kind of risk and drawdown hopefully will be minimized.
The EA has an option to set a StopLoss, if so desired, although it will sway away from mp6140's principles.
Perhaps saintmo (or anyone) who has a good history data of GBPUSD can run a backtest with optimisation enabled to find out what would be the optimum StopLoss value, and to see the effect of having a StopLoss as opposed to without.
backtest results for 2007
Following are the results of my backtesting for this strategy using the EA. 7 separate runs were made for 2007 using IBFX, $50k account, .1 lot, target 5 pips (4 pip spread for GBP/USD). Results are in order of best to worst by time frame - EST.
10:30 profit $1311, 3.88% dd ($2.5k)
12:00 profit $1103, 6.36% dd ($3.2k)
17:00 profit $872, 3.92% dd ($2.0k)
24:00 profit $581, 5.93% dd ($3.0k)
22:30 profit $520, 5.68% dd ($2.9k)
13:30 profit $341, 5.78% dd ($2.9)
20:00 profit $146, 11.5% dd ($5.8k)
Total profit of $5,008 or about 10% annual return on $50k account. Trading .1 lots looks to be safe (?) for trading a smaller account, but drawdowns could be brutal.
Also, clearly if you can do better than a 4 pip spread the results would be better. I haven't tried to analyze that but may do so since this is a fascinating approach. There were times however when the price just jumped in one direction without ever retracing even a pip.
Following are the first 4 gif files, the other 3 will follow in the next post.
backtest results for 2007 continued
Following are the remaining 3 gif files associated with the backtest mentioned above:
2007 optimizations
Attached are 4 optimization runs for 2007. All trade .1 lots at IBFX using a $50k account.
The first 3 (10:30, 20:00 & 24:00 est) were optimized on tp 1 through 10 at 1 pip steps and sl 0 through 30 at 5 pip steps. The profits improved in many cases (over the original 5 pip tp and 0 sl) and in some cases at the expense of an increased dd. It may be that certain of the times such as 20:00 just need to be dropped due to the drawdown/risk. In all cases sl of 0 was the only sl setting producing profits.
Consequently, I redid the most profitable time frame (10:30 est) with the same tp but with sl settings of 50 through 300 at 25 pip steps to see what a wider sl would produce (image #4). As you will see much reduced profits resulted -- but with lower dd as well.
Enjoy.
No Stoploss is better
Thanks, Saintmo for this backtest. These results confirmed that mp6140's principles are correct by not using stoploss. Thus, the breakeven feature that will be added probably helps in reducing drawdown but not profit. We'll have to wait and test it.
Attached are 4 optimization runs for 2007. All trade .1 lots at IBFX using a $50k account.
The first 3 (10:30, 20:00 & 24:00 est) were optimized on tp 1 through 10 at 1 pip steps and sl 0 through 30 at 5 pip steps. The profits improved in many cases (over the original 5 pip tp and 0 sl) and in some cases at the expense of an increased dd. It may be that certain of the times such as 20:00 just need to be dropped due to the drawdown/risk. In all cases sl of 0 was the only sl setting producing profits.
Consequently, I redid the most profitable time frame (10:30 est) with the same tp but with sl settings of 50 through 300 at 25 pip steps to see what a wider sl would produce (image #4). As you will see much reduced profits resulted -- but with lower dd as well.
Enjoy.Another idea for the EA would be to make the buy and sell comments user defined. This would keep a broker from targeting the EA by name.
Following are the results of my backtesting for this strategy using the EA. 7 separate runs were made for 2007 using IBFX, $50k account, .1 lot, target 5 pips (4 pip spread for GBP/USD). Results are in order of best to worst by time frame - EST.
10:30 profit $1311, 3.88% dd ($2.5k)
12:00 profit $1103, 6.36% dd ($3.2k)
17:00 profit $872, 3.92% dd ($2.0k)
24:00 profit $581, 5.93% dd ($3.0k)
22:30 profit $520, 5.68% dd ($2.9k)
13:30 profit $341, 5.78% dd ($2.9)
20:00 profit $146, 11.5% dd ($5.8k)
Total profit of $5,008 or about 10% annual return on $50k account. Trading .1 lots looks to be safe (?) for trading a smaller account, but drawdowns could be brutal.
Also, clearly if you can do better than a 4 pip spread the results would be better. I haven't tried to analyze that but may do so since this is a fascinating approach. There were times however when the price just jumped in one direction without ever retracing even a pip.
Following are the first 4 gif files, the other 3 will follow in the next post.I am confused about the different times to use
, are the times above the times you entered on the ea?? or did you enter 45min before those times? Thanks
The times I posted are MP's estimated times of market reversal in terms of EST. The times need to be translated to your broker's time and less 45 min in order to not miss the reverse if it is a little early. So since my broker is GMT, 10:30 est translates to 15:30 GMT and 45 minutes before that is 14:45. So the trades were taken at 14:45 for that particular execution of the EA.
Azmel posted all the relevant times in a document included in his zip file with the latest EA.
Thank you saintmo.I think I got it now. But the very first post mp wrote about this hedge, he said "at exactly 8pm est " place the trades, That was what confused me, but I will follow the times in the doc now.
Trade refused?
I placed me hedge trade on North Finance but when I tried to do it on ODL it would not allow me to place the bid. I know they are out of Britain, I don't think that would have anything to do about it.
Maybe they don't allow hedging?
But I have all the times on a sticky stuck to my puter!
raking in the millions LOL.