โพสต์ของ mistificator - หน้า 7

Forex Growth Bot ใน ระบบการเทรด Jan 05, 2012 at 15:43

-- mistakenly posted deleted --

Million Dollar Pips ใน ระบบการเทรด Jan 04, 2012 at 10:11

Not enough short-term volatility in the markets.

Million Dollar Pips ใน ระบบการเทรด Jan 03, 2012 at 12:01

Here is a problem with less orders and MDP: it's not only due to increasing risk but having more orders is a part of the strategy as it adds more orders when move is getting bigger and MDP calculates that probability of win is higher. So having 1-2 orders and actually increasing risk on them most likely will increase draw-downs in my opinion.

Million Dollar Pips ใน ระบบการเทรด Jan 03, 2012 at 11:59

This Universal FX seems to be a shady place. There are different stories on FPA, but I actually sent an email to their support with few questions about regulation, segregation, execution, IB, MAM etc, most of general nature, but haven't seen any reply even though 2 weeks have passed.

Pro Trading By MetaCoder ใน นักเทรดมือใหม่ Dec 31, 2011 at 13:34

Longer term trading?

Million Dollar Pips ใน ระบบการเทรด Dec 31, 2011 at 13:32

Not millions but made me enough to buy let's say a new economy car in less than 3 months.

Million Dollar Pips ใน ระบบการเทรด Dec 28, 2011 at 08:34

I am back-testing using Dukas data exclusively. Sure execution and slippage will change the picture but unless there are systematic problems with slippage (like in your example) or speed, you can get an overall idea of profit distribution curve and risks. I am currently working with another robot, also a mean-reverting strategy, but slightly different to MDP and add another momentum strategies to it, and it works miracles on demo, producing somewhat 2500% gain with 5% risk during 2011 back test. Of course it can't be expected to happen on a live account with any meaningful investment amoun...

Million Dollar Pips ใน ระบบการเทรด Dec 28, 2011 at 08:27

Not sure how you tested it but execution on Oanda MT4 is actually very fast (around 300 ms), live and demo, and slippage is next to none. The problem with Oanda is different and have two factors:1. MDP does not work properly on Oanda as it relies on Magic number and Comment while managing orders (if comment set to empty MDP expects it to be empty in order rather omits the check), while magic is ok with Oanda, comment is not as Oanda MT4 overrides your comment and forcibly sets its own comments reffering to corresponding order number in their java platform2. Once your order sizes with Oanda gro...

Million Dollar Pips ใน ระบบการเทรด Dec 27, 2011 at 22:25

Meta, what broker? Keep me posted. I am planning to invest to develop MDP-like strategy for LMAX platform. Was planning to develop for JForex for Dukascopy but not happy about their slippage. Liquidity, haha.

T&D EA ใน ระบบการเทรด Dec 27, 2011 at 16:20

any real account?

Million Dollar Pips ใน ระบบการเทรด Dec 27, 2011 at 15:19

The slow part is not your VPS or even MT4 client, it's MT4 server, and then MT4-2-ECN bridge then have to use. Still I consider slippage being bigger enemy than execution time. Too bad brokers where execution has been superior also produced significant slippage. So in this case I prefer bit slower broker but little or no slippage. I can adjust algos to require less speed.

Million Dollar Pips ใน ระบบการเทรด Dec 27, 2011 at 15:17

If Algo like MDP can be adopted to Futures or Equities, execution with CME is about 5 ms per order, some other venues like Chi-X claim around 30 MICROSECONDS. Sure to access DMA you need a fat wallet, infrastructure, but all is doable and money can be found is this will work.

Million Dollar Pips ใน ระบบการเทรด Dec 27, 2011 at 13:14

I am interested, but my findings have shown that Dukascopy slips orders way too much for MDP-like scalpers to be profitable enough. Otherwise I am interested.

Million Dollar Pips ใน ระบบการเทรด Dec 27, 2011 at 09:01

He said it is too risky, and I tend to agree. If you configured 8 orders with 2% risk as per recommendation, you have an initial 20 pips stop loss on each (in case move is strong and all 8 are launched), and you are effectively running 16% risk instead of 2 as you might think, be move so violent or broker so lazy those orders won't get a chance to get modified to curtail the SL and lessen the risk.. That can be easily avoided by running 1 order only instead of 8, it can be bit bigger though, like 3-4%. MDP does rely some on multiple orders as it has gradual entry depending on violence of t...

Seeking partner for setting up a FX High-Frequency Trading Desk ใน ทั่วไป Dec 24, 2011 at 08:46

Yeah good resource. But as I said, spreads are indicative but not definitive. Until you put an order you never know where the fill would be. And slippage adds to costs, effectively increasing spread. By the way, thanks for pointing to the LMAX, looks awesome I am going to trial it after festivities.

Seeking partner for setting up a FX High-Frequency Trading Desk ใน ทั่วไป Dec 23, 2011 at 21:55

Not sure if anyone has the experience but.. Dukascopy is notorious for liquidity, but I feel that in reality their liquidity sucks, as slippage is way bigger than anything else, either they aren't doing market making to improve it or their banks aren't doing it, which is pretty bad. I mean you can execute quite huge lots there, but liquidity that matters stays away from the top of the book, in my experience even smallish orders cannot get executed on top of the book and slip through. So who cares if they indicate 0.7 pips spread on euro, if I get slipped 1-2 pips on entry and some on e...

Seeking partner for setting up a FX High-Frequency Trading Desk ใน ทั่วไป Dec 23, 2011 at 18:02

That's what I am saying too. It's speed trading, but hardly HFT.

Seeking partner for setting up a FX High-Frequency Trading Desk ใน ทั่วไป Dec 23, 2011 at 17:23

I have nothing against it! Big players fight to microseconds of advantage between each other. But their biggest problem always is market impact - they need to push big volumes and it limits amount of strategies they can trade A LOT. We small guys are in a much better position and we can have a luxury of trading slower in not precisely HFT manner but still fast.

Seeking partner for setting up a FX High-Frequency Trading Desk ใน ทั่วไป Dec 23, 2011 at 16:53

I guess what you can call manual HFT is an attempt to trade around episodic volatility, i.e. after big moves, like news, when price is stalling aking to reverse or continue. Otherwise in my book HFT stands for more market making trading, like hitting the bid and lifting the offer, towing icebergs, pushing elefants. Add there triangular arbitrage (hardly possible in forex unless you aggregate several ECNs and trade price discrepancies), pair trading, and you have an arsenal. Expense wise it's the most expensive type of trading: co-location with exchanges, DMA access, huge R&D expenses, ...

Million Dollar Pips ใน ระบบการเทรด Dec 23, 2011 at 16:47

Exactly. I can say that I started to test MDP on FinFX ECN Pro. I had hopes for it as the minimum account is 10 000 usd so most of those overloading broker's server with micro orders won't be a problem. But possibly I will move on from MDP as I used some sound principles it has and developed my own system that is less ambitious but more stable, less prone of big losers and has lesser broker requirements.BTW, I only had few transactions on FinFX, but speed is awesome, spread is awesome but as usual with all Integral bridged brokers - slippage is an issue. Entry+Exit almost always over 1...

EURUSD	1.08257	GBPUSD	1.298	AUDUSD	0.66295
USDJPY	151.966	USDCAD	1.38469	USDCHF	0.86679

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