Autotrader test results

[Stormin_Norman]

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:

 

[Stormin_Norman]

continued:

 

[Naked shorts]

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

 

[Stormin_Norman]

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

 

[Naked shorts]

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

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.

 

[BentRod]

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.

 

[nulla nulla]

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

 

[pilbara]

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.

 

[pj2105]

hmmm..strange.

 

[Stormin_Norman]

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.

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.

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.

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.

hmmm..strange.

very.

 

[pilbara]

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.

 

[Naked shorts]

Where you getting your figures from??:

Barchart.com

 

[BentRod]

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.

 

[Naked shorts]

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.

 

[Stormin_Norman]

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

 

[BentRod]

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.

 

[Stormin_Norman]

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

 

[Naked shorts]

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.

 

[Uncle Festivus]

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

 

[GumbyLearner]

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! :