Excel FX autotrader

ojm said:

That clears it up.

Just a question for you, how long have you been trading currencies? I've just started learning about it all. Any tips you could offer a newcomer? Any resources that you find useful?

Click to expand...

Hi OJM,

I'm relatively new to FX (but not new to trading) so I'm not the person to ask about FX.

But use the search function on the forex sub-forum here and you will find a number of very informative threads for newbies to FX. Also, have a look for the sites that Stormin mentioned in the post above.

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General update:

The autotrader took one punt on the SPI today and it went in my favour. Backtesting indicates about 48% win rate for SPI at W:L about 2:1. Might start looking at other futs/indices and see what can happen.

Stormin_Norman said:

read read and read some more.

test systems. dont trade willy nilly.

demo until u find one that works. then put a small amount into an account and use it.

google 'babypips forum' and 'forexfactory'.

both are excellent resources.

Click to expand...

Thanks Stormin. Don't plan on putting real dollars on the line for a long time yet - see too many posts on various forums with people getting burnt. I got a demo account and have managed to get it from $5000 to $8600 (some big losses but some bigger gains). But am no where near confident enough to use real $.

Got the Babypips eBook printed out and have been studying that, and some other eBooks. Also discovered the ForexFactory website. I feel like maybe I'm on the right track if you are recommending them.

Thanks guys, I'll leave this thread for MS and his Excel.

Some backtesting sim results for Nizar...

This is a 20,000 run MC. I've cut out some insignificant details and left the meat.

Trade Parameters
Initial Capital: $25,000.00
Portfolio Limit: 50.00%
Maximum number of open positions: 4
Default Position Size Model: Fixed Percent Risk
Percentage of capital risked per trade: 1.00%
Position size limit: 100.00%
Portfolio Heat: 100.00%
Pyramid profits: Yes

Simulation Stats
Number of trade simulations: 20000
Trades processed per simulation: 3183
Maximum Number of Trades Executed: 2838
Average Number of Trades Executed: 2834
Minimum Number of Trades Executed: 2829
Standard Deviation: 1.76

Profit Stats
Maximum Profit: $319,792.80 (1279.17%)
Average Profit: $283,916.41 (1135.67%)
Minimum Profit: $251,590.29 (1006.36%)
Standard Deviation: $10,260.33 (41.04%)
Probability of Profit: 100.00%
Probability of Loss: 0.00%

Percent Winning Trade Stats
Maximum percentage of winning trades: 39.88%
Average percentage of winning trades: 39.74%
Minimum percentage of winning trades: 39.63%
Standard Deviation: 0.05%

Percent Losing Trade Stats
Maximum percentage of losing trades: 60.37%
Average percentage of losing Trades: 60.26%
Minimum percentage of losing trades: 60.12%
Standard Deviation: 0.05%

Average Relative Dollar Drawdown Stats
Maximum of the Average Relative Dollar Drawdown: $1,085.05
Average of the Average Relative Dollar Drawdown: $1,026.61
Minimum of the Average Relative Dollar Drawdown: $963.21
Standard Deviation: $22.13

Average Relative Percent Drawdown Stats
Maximum of the Average Relative Percent Drawdown: 0.8592%
Average of the Average Relative Percent Drawdown: 0.8569%
Minimum of the Average Relative Percent Drawdown: 0.8547%
Standard Deviation: 0.0008%

Maximum Peak-to-Valley Dollar Drawdown Stats
Maximum Absolute Dollar Drawdown: $109,222.87
Average Absolute Dollar Drawdown: $98,864.24
Minimum Absolute Dollar Drawdown: $88,143.31
Standard Deviation: $3,523.71

Maximum Peak-to-Valley Percent Drawdown Stats
Maximum Absolute Percent Drawdown: 40.8850%
Average Absolute Percent Drawdown: 38.9103%
Minimum Absolute Percent Drawdown: 36.5618%
Standard Deviation: 0.9958%

**** The MaxDD should never be experienced. Trading would cease in real life at a certain drawdown point and continue on sim if/until equity curve recovers.

do u have/know where to get historical data for indexes/futures?

1 minute data preferably.

More for Nizar. Here's a fairly average single sim result. Keep the MaxDD caveat above in mind. Also as mentioned, the equity curve smoothness and MaxDD can both be significantly improved by using a Fixed Dollar Risk model, but at the expense of returns halving.

======================

Trade Parameters
Initial Capital: $25,000.00
Portfolio Limit: 50.00%
Maximum number of open positions: 4
Automatically Use Position Size Model from database: No
Default Position Size Model: Fixed Percent Risk
Percentage of capital risked per trade: 1.00%
Position size limit: 100.00%
Portfolio Heat: 100.00%
Pyramid profits: Yes

Trade Summary
Earliest Entry Date in the Trade Database: 2/10/2008-12:15:000
Latest Entry Date in the Trade Database: 13/03/2009-22:20:000
Earliest Exit Date in the Trade Database: 2/10/2008-12:30:000
Latest Exit Date in the Trade Database: 13/03/2009-22:35:000

Start Trade Entry Date: 2/10/2008-12:15:000
Stop Trade Entry Date: 13/03/2009-22:20:000
First Entry Date: 2/10/2008-12:15:000
Last Entry Date: 13/03/2009-22:20:000
First Exit Date: 2/10/2008-12:30:000
Last Exit Date: 13/03/2009-22:35:000

Total Trading duration: 162 days

Profit Status: PROFITABLE
Starting Capital: $25,000.00
Finishing Capital: $315,420.52
Maximum Equity/(Date-Time): $301,389.37 (13/03/2009-21:05:000)
Minimum Equity/(Date-Time): -$2,021.29 (2/10/2008-20:35:000)
Gross Trade Profit: $1,392,522.57 (5570.09%)
Gross Trade Loss: -$1,102,102.06 (-4408.41%)
Total Net Profit: $290,420.52 (1161.68%)
Average Profit per Trade: $102.44
Profit Factor: 1.2635
Profit Index: 20.86%
Total Transaction Cost: $86,403.63
Daily Compound Interest Rate: 1.5771%
Annualized Compound Interest Rate: 30136.7660%

Trade Statistics
Trades Processed: 3183
Trades Taken: 2835
Partial Trades Taken: 0
Trades Rejected: 348
Winning Trades: 1129 (39.82%)
Losing Trades: 1706 (60.18%)
Breakeven Trades: 0 (0.00%)

Largest Winning Trade/(Date-Time): $17,973.40 (6/03/2009-18:00:000)
Largest Losing Trade/(Date-Time): -$2,989.03 (9/03/2009-19:00:000)
Average Winning Trade: $1,233.41
Average Losing Trade: -$646.02
Average Win/Average Loss: 1.9093

Consecutive Trade Statistics
Maximum consecutive winning trades: 8
Maximum consecutive losing trades: 15
Average consecutive winning trades: 1.82
Average consecutive losing trades: 2.75

Trade Expectation Statistics
Normalized Expectation per dollar risked: $0.10
Maximum Reward/Risk ratio: 14.32
Minimum Reward/Risk ratio: -1.17
Average Positive Reward/Risk ratio: $1.05
Average Negative Reward/Risk ratio: -$0.54

Relative Drawdown
Maximum Dollar Drawdown/(Date-Time): $16,733.22 (20/02/2009-17:40:000)
Maximum Percentage Drawdown/(Date-Time): 8.8080% (20/02/2009-17:40:000)

Absolute (Peak-to-Valley) Dollar Drawdown
Maximum Dollar Drawdown: $102,914.28 (38.9500%)
Capital Peak/(Date-Time): $264,196.47 (28/01/2009-13:20:000)
Capital Valley/(Date-Time): $161,282.19 (25/02/2009-21:35:000)

Absolute (Peak-to-Valley) Percent Drawdown
Maximum Percentage Drawdown: 38.9500% ($102,914.28)
Capital Peak/(Date-Time): $264,196.47 (28/01/2009-13:20:000)
Capital Valley/(Date-Time): $161,282.19 (25/02/2009-21:35:000)

Stormin_Norman said:

do u have/know where to get historical data for indexes/futures?

1 minute data preferably.

Click to expand...

Don't GO Markets allow you to trade synthetic futures? Otherwise, open an account with IB and subscribe to whatever exchanges you want. You can get tick data and up. Sydney Futures Exchange data is free with them. At least $45/mth with anyone else, I think.

gomarkets has very little historical data on their platform.

how far back does IB's data go?

Stormin_Norman said:

gomarkets has very little historical data on their platform.

how far back does IB's data go?

Click to expand...

I think for tick/1min you might be able to go back about 6mths or so...not real sure as I only use 5min and above. For that I can get nearly a year. However, IMO it's not the cleanest historical data. Given what you are trying to achieve you might want to look at something like eSignal Pro or similar. You'll pay but it will be clean and reliable. That's just IMO. Other IB users may disagree.

Bit of an update.

Autotrader works great.

However, I've collected enough data now to backtest with realistic slippage, controlled as well as I can get it. Market orders are fatal. Cumulative slippage at market results in negative expectancy when backtesting.

Result: account blowup guaranteed.

So the next step is to play around with limit orders.

it's a shame that slippage with market orders is a problem for the system. Is this only slippage on entry, or also a problem on stop-loss exits?

The first thing to double check with IB is whether the orders went through IDEALPRO not IDEAL.

IB always has a deep order book, so I guess they can match a "market" order to whichever price in the book suits them the best at that moment. If the market is moving fast, and you are buying with the trend, then slippage will be significant.

It's a reversal system so low win rate and often rapid moves away from the trigger area. I'm going to road test limit orders but that will create exit hassles on auto-trading.

I'm thinking it more likely though that I just come up with a different trading idea where slippage won't cause such a dramatic difference to the results.

hows it coming along MS+T?

Howdy,

Haven't touched it for a week or so. Been trading this great rally on the XAO, which might end this week. Then I'll get back to this project.

Looks like your ideas are coming along well.

hows it going MS+T?

Lol. Hi stormin. I never got back to this. Got too busy with ASX. Since this time I've tried a lot of non-automated ideas on FX and found a few workable ones which I do trade but I'm not running any automated ideas yet. I guess I like watching the DOM too much.