ctsforex_Sienna_EURUSD_compounded (By winsor)
| Gain : | +1.3M% |
| Drawdown | 0.00% |
| Pips: | 45980.3 |
| Trades | 16607 |
| Won: |
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| Lost: |
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| Model Quality: | 25.0% |
| Bars in test: | 3385409 |
| Ticks Modelled: | 36522468 |
Forward Test is not available
ctsforex_Sienna_EURUSD_compounded Discussion
Jun 24, 2010 at 05:58
2,250 Views
14 Replies
Member Since Oct 28, 2009
1430 posts
Jun 24, 2010 at 06:33
Nice results, is this your own EA?
I actually prefer to see compounded results, providing it's with a sensible risk percentage. You wouldn't be trading 0.1 lots once you had built up your capital.
I actually prefer to see compounded results, providing it's with a sensible risk percentage. You wouldn't be trading 0.1 lots once you had built up your capital.
11:15, restate my assumptions: 1. Mathematics is the language of nature. 2. Everything around us can be represented and understood through numbers. 3. If you graph these numbers, patterns emerge. Therefore: There are patterns everywhere in nature.
Member Since Oct 28, 2009
1430 posts
Jun 24, 2010 at 07:47
Could you explain to me why using a fixed lot size gives a better indication of drawdown than using a fixed percentage risk of the account please? I've never come across this before.
11:15, restate my assumptions: 1. Mathematics is the language of nature. 2. Everything around us can be represented and understood through numbers. 3. If you graph these numbers, patterns emerge. Therefore: There are patterns everywhere in nature.
Jun 24, 2010 at 08:54
Hi - Very impressive results. Can you tell us a little about your strategy?
Looking through the trade lists, you seem to take trades at certain times of the day, and always close them at specific times - e.g. 17:00 / 18:00 / 20:00 etc. Haven't looked through all of 800 odd pages of trades, but this seemed very interesting and very precise and fixed entry points - i'm thinking that you may not use any advanced indicators at all...
Looking through the trade lists, you seem to take trades at certain times of the day, and always close them at specific times - e.g. 17:00 / 18:00 / 20:00 etc. Haven't looked through all of 800 odd pages of trades, but this seemed very interesting and very precise and fixed entry points - i'm thinking that you may not use any advanced indicators at all...
Jun 24, 2010 at 17:28
stevetrade posted:
Could you explain to me why using a fixed lot size gives a better indication of drawdown than using a fixed percentage risk of the account please? I've never come across this before.
I don't think that the conventional wisdom is correct regarding a fixed percentage risk per the account. Let's say that you have two trading systems one with 6,000 pips drawdown and another with 2,000pips drawdown. If you use 3 percent risk on both systems then the system with 6,000 pips will guarantee to blow up first.
Let's say that you have a trading capital of $5,000 for each of the trading system and 1pip =$1. The 6,000 pips drawdown system will blow up because the trading account cannot withstand a 6,000 pips drawdown. Your second account will easily withstand 2,000 pip drawdown when you trade with a fixed lot. In fact, you can trade with 1pip =$2 and it is still OK. Once you go to 1pip =$3 then you will risk blowing up your account. The risk should be calculated based on the drawdown of the system and not a percentage of the account.
Let me know if this makes sense.
Jun 24, 2010 at 17:36
daCoops posted:
Hi - Very impressive results. Can you tell us a little about your strategy?
Looking through the trade lists, you seem to take trades at certain times of the day, and always close them at specific times - e.g. 17:00 / 18:00 / 20:00 etc. Haven't looked through all of 800 odd pages of trades, but this seemed very interesting and very precise and fixed entry points - i'm thinking that you may not use any advanced indicators at all...
Hi daCoops,
You are very observant. I don't believe in indicators. If indicators really work then all the programmers in the world will be millionaires with their forex trading programs. My trading programs are based on the one hour chart and always open the trade at the beginning of the hour. If you go to lower time frames, you will experience lots of noise.
Member Since Oct 28, 2009
1430 posts
Jun 24, 2010 at 21:06
winsor posted:
stevetrade posted:
Could you explain to me why using a fixed lot size gives a better indication of drawdown than using a fixed percentage risk of the account please? I've never come across this before.
I don't think that the conventional wisdom is correct regarding a fixed percentage risk per the account. Let's say that you have two trading systems one with 6,000 pips drawdown and another with 2,000pips drawdown. If you use 3 percent risk on both systems then the system with 6,000 pips will guarantee to blow up first.
Let's say that you have a trading capital of $5,000 for each of the trading system and 1pip =$1. The 6,000 pips drawdown system will blow up because the trading account cannot withstand a 6,000 pips drawdown. Your second account will easily withstand 2,000 pip drawdown when you trade with a fixed lot. In fact, you can trade with 1pip =$2 and it is still OK. Once you go to 1pip =$3 then you will risk blowing up your account. The risk should be calculated based on the drawdown of the system and not a percentage of the account.
Let me know if this makes sense.
I'm fully behind you there and I generally use Kelly Criterion to help give me an idea of the percentage risk that should be used for each strategy. I don't use it hard and fast ( that would be silly ) but it allows you to see which strategies warrant 1%, 2% etc.
I feel that using compounding gives a better idea of how the strategy would be performing at all levels of equity. Once you've made a fair amount of profit on a backtest, opening a 0.1 lot trade would be a very small fraction of the equity. Fixed lot backtests are useful for getting the figures to feed into Kelly though.
It also looks as though the percentage calculations for MyFxBook strategoes seem to work more accurately without compounding. My guess is this is how they intended it to work.
11:15, restate my assumptions: 1. Mathematics is the language of nature. 2. Everything around us can be represented and understood through numbers. 3. If you graph these numbers, patterns emerge. Therefore: There are patterns everywhere in nature.
Member Since Oct 28, 2009
1430 posts
Jun 24, 2010 at 21:09
winsor posted:
daCoops posted:
Hi - Very impressive results. Can you tell us a little about your strategy?
Looking through the trade lists, you seem to take trades at certain times of the day, and always close them at specific times - e.g. 17:00 / 18:00 / 20:00 etc. Haven't looked through all of 800 odd pages of trades, but this seemed very interesting and very precise and fixed entry points - i'm thinking that you may not use any advanced indicators at all...
Hi daCoops,
You are very observant. I don't believe in indicators. If indicators really work then all the programmers in the world will be millionaires with their forex trading programs. My trading programs are based on the one hour chart and always open the trade at the beginning of the hour. If you go to lower time frames, you will experience lots of noise.
Totally agree, indicators are a waste of time for trade entry. They have some uses for other purposes. 90% of the EA developers out there are using them ( they obviously dress them up as genetic based algorithms or whatever the latest pseudo scientific fashion is ) and that's why they end up selling their EA's for $97 instead of trading them live.
11:15, restate my assumptions: 1. Mathematics is the language of nature. 2. Everything around us can be represented and understood through numbers. 3. If you graph these numbers, patterns emerge. Therefore: There are patterns everywhere in nature.
Jun 25, 2010 at 01:13
Are these your results from this year? 2010 pretty rough it looks like.
https://www.ctsforex.com/FOREX-TRADING-SOFTWARE-SELECTION.html
https://www.ctsforex.com/FOREX-TRADING-SOFTWARE-SELECTION.html
Jun 25, 2010 at 16:23
(edited Jun 25, 2010 at 16:24)
Wealth accumulation takes time. Drawdown is expected since risk & reward go hand-in-hand. They will pick up again. That is the reason why I only look at the yearly results and not at monthly results. Too many of us are looking for the holy grail expert advisor to become multimillionaires within months while it should be years.
Member Since Apr 13, 2010
7 posts
Jun 30, 2010 at 18:05
good stuff, can you share with use the concept behind this EA, you think we can emulate even 10% of this result by manual trading?
Jun 30, 2010 at 19:14
Trading is 70% psychology, 20% money management, and 10% method.
Method: SL 50 pips, TP 100 pips. Take 100 trades with only 40% winning, you will make 1,000 pips.
Most people fail in trading are due to greed, fear and lack of discipline! If I knew then what I know now: I would not have started with trading.
Method: SL 50 pips, TP 100 pips. Take 100 trades with only 40% winning, you will make 1,000 pips.
Most people fail in trading are due to greed, fear and lack of discipline! If I knew then what I know now: I would not have started with trading.
Member Since Oct 28, 2009
1430 posts
Jun 30, 2010 at 19:48
winsor posted:
Trading is 70% psychology, 20% money management, and 10% method.
Method: SL 50 pips, TP 100 pips. Take 100 trades with only 40% winning, you will make 1,000 pips.
Most people fail in trading are due to greed, fear and lack of discipline! If I knew then what I know now: I would not have started with trading.
So true, most people never get to grips with the core psychology behind trading.
Always looking around for the system that never loses, when all they really need is a risk/reward ratio that works with the hit rate.
I'd much rather have a system that is right about half the time but makes more when it wins than a system that is right 95% of the time but take half your profits when it's wrong!
11:15, restate my assumptions: 1. Mathematics is the language of nature. 2. Everything around us can be represented and understood through numbers. 3. If you graph these numbers, patterns emerge. Therefore: There are patterns everywhere in nature.
Jun 30, 2010 at 21:30
nickster posted:
Are these your results from this year? 2010 pretty rough it looks like.
https://www.ctsforex.com/FOREX-TRADING-SOFTWARE-SELECTION.html
Nickster,
I just updated the June results and things are picking up again.
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