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Squawk / 26 July 2016 at 9:25 GMT
Hypothesis Testing
United Kingdom
Quant ....as promised I will only enter the exact same trades I did yesterday to keep the comparisons relevant. So the first repeated traded today was on the DAX as a PBO trade and accrued +10 to the long side...as the same structure and size of trade the net gain after expenses is merely + £190
There is an unfilled short order at 10158 day only seeking a mere 10 on that if filled.
FTSE remains within its open range thus no trades opened as yet.
Eurusd broke its 7am - 9am range to the upside for a further +10
Also it broke the adjusted 9-10 range for +10
The remaining unfilled order for spot euro is to short at 1.10 looking for +10
Profits on euro as we are sticking to the exact same format as before is +£380 NET
Spot cable....exact same range scenarios repeated. Both trades now completed for again +10 each so another +£380 profit
Cable has one unfilled order remaining for 1.30720 seeking again +10 gross
26 July
fxtime fxtime
Yesterday I also traded the usdcad so I will do the same today to keep the trade comparison real.
26 July
fxtime fxtime
NET profit and account balance now shows at £15940 + above revenue = £16,890 but yesterday would have incurred interest charges of £16 which needs deducting thus net balance = £16874
As you know I haven't optimised returns, nor have I ignored costs (which I have rounded upwards !) and leverage is substantially below Qi2. In all honesty I will never be able to match the phenomenal returns Qi2 has shown :-( (His algos are faster and clearly better).
However what little drawdowns that have occurred have been well within the constraints you set like wise the trade sizing. So far so good. I think as a test if I keep live updates and outstanding orders for 2 weeks it should prove a good overview?
Obviously I haven't included any overnight trades or positional trades or any other type of trade I utilise.
It was a good idea of yours for reviewing these structures imho.
26 July
fxtime fxtime
Just back to my screens....
update USDCAD trade worked again for NET +5 thus we need to add £100 to the account balance = £16,980
FTSE trades have not triggered nor has the other DAX trade as yet.
There are plenty of examples for the usdcad trade and I suspect quite a few here do this trade anyway so I assume you know that the drawdown was neglible and well within your constraints.
26 July
fxtime fxtime
The opposite USDCAD trade has just triggered and worked for +5 NET again so revised balance should now be £17,080 and still the ftse hasn't triggered nor the opposing DAX order.
26 July
zefy zefy
Do you trade std dev model or have you just excluded results from std dev algo?
26 July
fxtime fxtime
Hi Zefy :-)
The results here do not include any std dev trades....they are simply price breakouts at effective two lots so £20pp and costs are £5 to open and the same to close. In truth they are less and the stake size is fractionally higher but for the sake of this experiment it seemed prudent to preset everything in this manner.
As I didn't mention the std dev trade or any others apart from price breakouts at the original comments section I thought I would only confuse matters to be honest.
26 July
zefy zefy
Ok, makes sense. May I ask.... Do you have std dev algo running 24h with reset each evening to calculate new values, or do you have it active only at certain hours of the day. The reason I am asking is that my results still show much better success for trades opened before noon. Afternoon trades suffer unfavorable time exposure as afternoon there are trades opened at 1st to see almost immediate pullback of 20 ticks and 2nd dev reached but much later...
26 July
fxtime fxtime
They do run 24hrs but they are all reset at 9pm BST....the fastest moves and greatest success is when you have exposure to two major market influences eg Asia to trigger overnight and then the European markets. Hence fills more often occur before NOON BST. Usually when the USA opens I am looking for the 84% rule trade as it were. Does that make sense?
NOTE there are a couple of markets where I seek a different reset point eg the EURGBP and USDJPY.
26 July
zefy zefy
Thanks, makes sense. The USA open is where I am struggling so need to focus adjustments there.
26 July
fxtime fxtime
The USA can work with a 1.5std dev model fwiw....only 79.9% probable though. A higher return is either using a point of control or saying a price channel hourly set to 3 and offset by +1 and a break of that enter your trade for a scalp ONLY. Chart attached.
26 July
fxtime fxtime
Update the ftse did trigger a long this afternoon but failed to achieve the +10 and the market pulled back in the final 30min of cash market hours and hit the stop which was the low of the open range thus a 34pt loss @ £20pp = £680 loss incurred.
As we are in the final 30mins of cash market a contra trade would not occur so I end the day with a net balance of £16980 - £680 = £16300 and dealing costs for the duff trade would bring the net balance down to £16,290 so overall not a great day except for the knowledge that the net balance has risen thankfully LOL.

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