Quote:
Originally Posted by omelette
Bill, I have just coded an EA based on a simple method you described in an earlier thread (forget which one...) - basically go long GBPJPY, short CHFJPY, open 1 microlot each day (though the PDF you posted wasn't specific, I presume that means 1 microlot per pair on alternate days?) collect swap when in drawdown and close everything and restart when a certain dollar-target is achieved.
Assuming I got that much right(!) my question to you is, from your experience, what is the maximium pips drawdown one could expect from the above combination? Thanks.
|
Are you serious? My question to you is why didn't you just use the C4 correlation robot I wrote to do exactly this task?
The PDF meant to add to both sides at the same time, but there are many variations in terms of time and sequencing that are open to personal preference, currency choice and market behavior.
I can't give you a number based on your question. When do you assume entry into this trade? Are you assuming that new positions are added each day? Each of these would need to be calculated as each weighs against the trade.
But, to provide some sort of basic answer, if you had entered one lot long GBPJPY and one short CHFJPY on July 1st, the maximum negative pip exposure would have been 1,533 and a negative dollar value of $13,092. You would still be negative $5,773 and 676 pips, excluding swap earnings. Additional positions before mid-August would have increased the drawdown. After mid-August, most additional positions would have helped reduce the drawdown.
BTW, if you had used my C4 robot and let it run, it would have reported the maximum drawdown of this trading set-up to you. That is one of it's features. It will even send you an email to give you a physical historical record.
Bill