# Autotrader test results



## Stormin_Norman (24 March 2009)

im quite pleased with how the Franklin EA is going in tests.

this is for 'hard' stop loss and take profits. we are currently working on a dynamic SL + TP based on an indicator to add to the trader.

so far 5m timeframe tests have been done on a few major pairs. the other time frame and other pairs are still to be done. then itll be tested on other markets, if i can obtain the data.

but for now - version 2.1 of the Franklin EA initial test results:


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## Stormin_Norman (24 March 2009)

continued:


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## Naked shorts (24 March 2009)

Am I the only one who has no idea what this is about?
Who Franklin?

Is this your new system Stormin? Didnt decide to take the plunge into futures yet? Come over! we've got volume over here


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## Stormin_Norman (24 March 2009)

Naked shorts said:


> Am I the only one who has no idea what this is about?
> Who Franklin?
> 
> Is this your new system Stormin? Didnt decide to take the plunge into futures yet? Come over! we've got volume over here




franklin's a what, not a who. named after the franklin river which wasnt dammed and allowed to flow (trend).

ill be into futures when i can get some historical data, got any for me?

i have another system which is a hodgepodge of indicators which seems to be going ok in initial forward testing too - it can be historically tested on mt4 as i looks across markets to view the USD strength/weakness. im hoping to have a go of that on futures too.

but get me some data


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## Naked shorts (24 March 2009)

Stormin_Norman said:


> franklin's a what, not a who. named after the franklin river which wasnt dammed and allowed to flow (trend).
> 
> ill be into futures when i can get some historical data, got any for me?
> 
> ...




You can get it direct from the CME (as used by most quantitative traders).
http://www.cmegroup.com/market-data/datamine-historical-data/datamine.html
It will cost you about $2000 for 10 years of Euro-Usd futures data.


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## BentRod (25 March 2009)

> we've got volume over here




Where you getting your figures from??:


@Norm..So these are backtest or real results??

Good to see you moving away from the martingale stuff and getting all natural.


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## nulla nulla (25 March 2009)

Is Bunyip still going or has it retired to the billabong?


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## pilbara (25 March 2009)

not sure I understand the graphs, like the EUR/USD on 5min, does it mean it did 40 trades, in some period of time, to take $1000 to $2600 (expectancy = $40 per trade).  I guess the drawdowns are when the long-term trend changes.


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## pj2105 (25 March 2009)

hmmm..strange.


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## Stormin_Norman (25 March 2009)

nulla nulla said:


> Is Bunyip still going or has it retired to the billabong?




there's a tread entitled 'Oh Sh*t' which shows the effects of the nasty fed printing money last week.

account 1: has gone from 7300 to 7600 this week.

account 2: has gone from 6000 to 6600 this week - which is a recovery from the drawdown it received.

i have rewritten some of the code to (hopefully) deal with such a dramatic market movement in the future.



BentRod said:


> Where you getting your figures from??:
> 
> 
> @Norm..So these are backtest or real results??
> ...




backtest results, its just the first step in the long process to getting to a live account. but promising nonetheless. especially the drawdowns, which are very low.

only want one bunjip, a whole gang of them would be dangerous, theyd cause mayhem and much nashing of teeth!

the martingale style bunjip only trades with 5% of my available trading funds, so in effect its operation is not as 'risky' as it seems because of money management.




pilbara said:


> not sure I understand the graphs, like the EUR/USD on 5min, does it mean it did 40 trades, in some period of time, to take $1000 to $2600 (expectancy = $40 per trade).  I guess the drawdowns are when the long-term trend changes.




the period of time on these graphs is 4 years. 260% in 4 years is only 60% p.a. which isnt much (relatively). this however is without money management and on a default lot size of 0.1 per $1000. given the drawdowns the lot size traded will be increased, as it looks for a very specific market condition in which to trade. a very strong trend which can be jumped on. 

drawdowns do occur when this strong trend abruptly changes, but it results have shown this rarely happens, and if it does most of the time it stops out at break even, rather then the initial stop loss.

the method is designed to trade rarely, but have a low drawdown when the event occurs, allowing for quite sure trading opportunities which can be highly leveraged.

it is also imagined that this method can be used to trade a very wide range of market - currency, futures, indexes, commodities and even stocks. but we're only up to step 1. there's a long way to go till the EA is completed for live trading on all of these markets yet.



pj2105 said:


> hmmm..strange.




very.


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## pilbara (25 March 2009)

I get it now, Franklin is looking for evidence of a strong trend before opening a trade, which is quite rare.  It's all about risk/reward, where the shorter term Bunjip can afford more drawdown because it is using less capital, but the longer term Franklin is more of a steady earner with more capital at its disposal.  I reckon there's more potential profit in a scalping EA, it's like a F1 driver can earn more than a bus driver, but the risks are much greater.


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## Naked shorts (25 March 2009)

BentRod said:


> Where you getting your figures from??:




Barchart.com


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## BentRod (25 March 2009)

Naked shorts said:


> Barchart.com




My point was, there is nowhere near the volume in the Futs compared to Spot market. 

Not to mention the static position sizes.


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## Naked shorts (25 March 2009)

BentRod said:


> My point was, there is nowhere near the volume in the Futs compared to Spot market.
> 
> Not to mention the static position sizes.




The two markets are quite in sync with each other, it is hard to tell the difference between the price action on the spot market and the futures market. 

The difference is, one is run by a bunch of market makers on an unregulated market which it is basically impossible to get accurate volume for, and the other is on a regulated market, with a significantly reduced counter party risk, with a growing number of participants and where volume can be measured.


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## Stormin_Norman (25 March 2009)

as long as balance wk1 < balance wk2 ill trade the widget market.


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## BentRod (25 March 2009)

Naked shorts said:


> The two markets are quite in sync with each other, it is hard to tell the difference between the price action on the spot market and the futures market.
> 
> The difference is, one is run by a bunch of market makers on an unregulated market which it is basically impossible to get accurate volume for, and the other is on a regulated market, with a significantly reduced counter party risk, with a growing number of participants and where volume can be measured.




The futures follow spot so what does the volume in futures mean??

If spot moves futs will follow regardless of volume.

Sorry to get off topic Norm.


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## Stormin_Norman (25 March 2009)

im forgiving



> James H. Simons, a former math professor who has made billions year after year for the hedge fund Renaissance Technologies, earned $2.5 billion running computer-driven trading strategies.




http://www.iht.com/articles/2009/03/25/business/25hedge.php


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## Naked shorts (26 March 2009)

BentRod said:


> The futures follow spot so what does the volume in futures mean??
> 
> If spot moves futs will follow regardless of volume.
> 
> Sorry to get off topic Norm.




Futures follows spot, or does spot follow futures? 

I said they are quite in sync, not directly in sync, so you do get some divergence sometimes. Also explain to me how futures are going to just move with-out volume. Do you think that if spot spikes up, then all of the futures traders see this and then pull their orders, allowing for the price to move inline with spot before they start trading again?

Even without volume, currency futs are still on a regulated exchange with an appropriate counter party risk. 

Keep in mind that I'm only relatively new to CME currency futures, so i don't know too much.


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## Uncle Festivus (26 March 2009)

Just wondering if it's possible to code in allowance for certain time's of the day ie market opening/closing & usually market moving announcements are made on the half or top of the hour, so would you be inclined to 'arm' your system(s) to reduce the stop margin around these times then widen again between these times? A dynamic stop based on the time?? I know gold has 'moving' events around the same time every day. Or am I talkin jive


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## GumbyLearner (26 March 2009)

Uncle Festivus said:


> Just wondering if it's possible to code in allowance for certain time's of the day ie market opening/closing & usually market moving announcements are made on the half or top of the hour, so would you be inclined to 'arm' your system(s) to reduce the stop margin around these times then widen again between these times? A dynamic stop based on the time?? I know gold has 'moving' events around the same time every day. Or am I talkin jive




I want to post my Careerbuilder Monkey Business youtube snippet on this thread but I won't for fear of condemnation and ignorance.

BUT..if you go to the Brilliant Youtube Thread it's all there bloggers! :


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## Stormin_Norman (26 March 2009)

Uncle Festivus said:


> Just wondering if it's possible to code in allowance for certain time's of the day




yep. simple.


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## pilbara (26 March 2009)

Naked shorts said:


> The difference is, one is run by a bunch of market makers on an unregulated market which it is basically impossible to get accurate volume for, and the other is on a regulated market, with a significantly reduced counter party risk, with a growing number of participants and where volume can be measured.



sounds like the futures is a more efficient market .... but there are more trading opportunities in an inefficient market


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## pilbara (26 March 2009)

Stormin_Norman said:


> http://www.iht.com/articles/2009/03/25/business/25hedge.php



you can check out the history of the fund at
http://chesler.us/resources/links/jim_simons.pdf


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## Naked shorts (26 March 2009)

pilbara said:


> sounds like the futures is a more efficient market .... but there are more trading opportunities in an inefficient market




But you have people using futures to hedge currency risk, thus creating inefficiencies


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## pilbara (26 March 2009)

I guess there's heaps of arb robots already exploiting the typical divergences between spot and futures?


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## Stormin_Norman (26 March 2009)

pilbara said:


> I guess there's heaps of arb robots already exploiting the typical divergences between spot and futures?




that's true scalping. not the misused common meaning of the term.


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## pilbara (26 March 2009)

The robot would be trading so frequently and I imagine this kind of strategy is only possible if you can get commission costs down. You'd have to be big enough to negotiate a vast reduction compared to "retail" transaction costs.


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## pilbara (27 March 2009)

Stormin_Norman said:


> so far 5m timeframe tests have been done on a few major pairs.



the EURJPY looks the most promising, but what's the difference between the two graphs: is that different versions of the EA, different data providers, or different time periods?


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## BentRod (27 March 2009)

Naked shorts said:


> But you have people using futures to hedge currency risk, thus creating inefficiencies




Could this be the holy grail???   

J/K



> I guess there's heaps of arb robots already exploiting the typical divergences between spot and futures?




Reckon your right there mate.
Thats what keeps the markets inline.


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## Stormin_Norman (27 March 2009)

pilbara said:


> the EURJPY looks the most promising, but what's the difference between the two graphs: is that different versions of the EA, different data providers, or different time periods?




one of the variables which tells the EA how far back to look when making its decision making.

got a lot of result data which we have to go through and look at - these are just the 'best' results.

but finding the right settings isnt about just selecting the 'best' setting, but selecting the setting that are most likely to work.

there is a difference.


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## pilbara (28 March 2009)

Regarding what's most likely to work, I've found monte-carlo style methods are a good way to sort out the "lucky" from the "likely".

I think the reason why the "best" (biggest) result might not be the right setting to choose is due to drawdowns.  I start by maximising the best result in the long term, but then enforce a strict drawdown policy for the medium term.  

For example I'm looking at a system that trades between 50 and 100 trades a day (each trade is short term), so I enforce the drawdown limit on daily results (medium term), using initial parameters that were chosen to maximise the result over a week (long term).  The aim is to have losing days but no losing weeks, with a straight line equity curve showing the edge.


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## pilbara (29 March 2009)

to see if the equity curve is kinda like a straight line, just a draw a line from start to finish and see if there's equal divergence above and below:


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## Stormin_Norman (5 April 2009)

latest version:

10k to about 300k in 4 years non compounding on AUDUSD (one market).

more work yet to do.


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## Naked shorts (5 April 2009)

Stormin_Norman said:


> latest version:
> 
> 10k to about 300k in 4 years non compounding on AUDUSD (one market).
> 
> more work yet to do.




Why is it called "franklin - fixed exit v2" ..... it looks to me that your system moves its stop losses to break even..?

That drawdown at trade 148 must of hurt


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## Stormin_Norman (6 April 2009)

Naked shorts said:


> Why is it called "franklin - fixed exit v2" ..... it looks to me that your system moves its stop losses to break even..?
> 
> That drawdown at trade 148 must of hurt




cause its not a variable stop loss, it does things due to 'fixed' variables on exit.

v3 uses an exit strategy which will change depending on how the market moves resulting in different stop losses and 'stop profits' for each trade depending on the market.

the drawdown @ 148 happens. its looking for trends and can go sideways waiting for said trends.


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