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.

If you need a testor or care to share your EA...I am interested.

ES

All good things come to those who can wait


Report Date 10/9/2007
Account PF
Customer Name Michael
Introduced by Bill Young/GoFX IB Account



Liquidation Value In Terms Of US Dollars

Previous Balance 10,173.15
Unconverted Currency Difference. -0.70
Realized P&L 268.77
Payment 0.00
Journal 0.00
Commission 0.00
Long Option Premium 0.00
Short Option Premium 0.00
Net Option Premium 0.00
Conversion 0.00
Ending Balance 10,441.22
Unrealized PL 0.00
Collateral 0.00
Market Value Of Long Options 0.00
Market Value Of Short Options 0.00
Net Market Value Of Options 0.00
Liquidation Value 10,441.22
Rollover P&L 0.00
Deposit Requirements 0.00
Account Excess / Deficit 10,441.22
Withdrawable Fund N/A Managed Account

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

'cos the EA you posted with the PDF 'timed out' about a year ago

This is what I wanted, just a rough ball-park figure - enough to wake me up to what the dangers can be! And get an idea of where the 'point of no return' might be, beyond where d/d is more likely to continue. I'm aware that this is the same as trading GBPCHF, which can trend for 1000's of pips, but I think there is a psychological benefit to trading both pairs.

That would be great! - omelette@oceanfree.net

And you didn't think to ask or check out the many references to my yahoo group files in this thread? All my current files are here ----> pacificforexgroup : Pacific Forex Group

It isn't the same, though many people continue to repeat this statement because they read it in a post somewhere by individuals who stated an uninformed opinion as fact.

At an extremely basic level look at the elasticity. In the GBPCHF there is none. Zero. It is either up or down. Trading the GBPJPY and CHFJPY there is substantial elasticity as they both may be any combination of up and down. And, one can potentially trade for positive swap AND make a swing action profit even if both pair fall in value. Can't do that in the GBPCHF cross. I have discussed this in more detail in previous posts in this thread.

Further, if they are the same, one would expect that the drawdown in the two pairs to exactly match the drawdown in the GBPCHF from July 1st to now (it was 1,046 pips to be exact). Since they don't match, they are not the same.

Correlation trading has a relationship between the two traded pairs and its cross, but it is NOT the same as trading the cross directly. There is more than just a psychological benefit to trading the pairs - the benefit can also be mathematical.

Trade carefully,
Bill

Bill, I am not as familiar with this thread or your work as I would like - I presumed the EA was a commerical venture of yours (hence the trial). I wasn't aware of the Yahoo group either - but now I am, thanks!

Life is about learning and I am never afraid to admit I do not know something - the minute I realise the error of my ways, I can mark another item off of my 'to learn' list. And I certainly have a lot to learn about hedging/correllation

I really appreciate you taking the time to answer my questions.

Hi ElectricSavant

In your last post #503 (817), can you tell me when the trade was opened?
My account has had no trades since opened Oct 6.

Thanks

Hi El;ectricSavant
Can you tell me when your closed trade was opened in your post #503?
My account shows no trades -- opened Oct 6.

pd...

Most likely, your account began trading on Sunday 10/14/07 (today). Remember, if you funded on a Saturday (10/06/07 not a business day) today is your first trading day. This manager has a weekly entry date on Sunday evenings (for funding by Friday)...some managers have monthly entry dates...also some managers may have specific withdrawal dates spelled out clearly in the docs...I have not checked GoFXPro...but I think you can withdraw anytime.

Any questions about the clearance of funds should be addressed to PFG...

For that day of gains, from what I can see, there were 30 trades in the EUR/USD and Cable...mostly cable...

Origin Date Value Date Parity Quantity Rate
10/9/2007 10/11/2007 GBP/USD 8,145 2.027
10/9/2007 10/11/2007 EUR/USD 8,145 1.4043
10/9/2007 10/11/2007 EUR/USD -8,145 1.4042
10/9/2007 10/11/2007 GBP/USD 8,145 2.0306
10/9/2007 10/11/2007 GBP/USD 16,289 2.0314
10/9/2007 10/11/2007 GBP/USD 16,289 2.0323
10/9/2007 10/11/2007 GBP/USD -8,145 2.0329
10/9/2007 10/11/2007 GBP/USD -8,145 2.0328
10/9/2007 10/11/2007 GBP/USD 32,578 2.0345
10/9/2007 10/11/2007 GBP/USD -16,289 2.0337
10/9/2007 10/11/2007 GBP/USD -16,289 2.0338
10/9/2007 10/11/2007 GBP/USD 8,145 2.033
10/9/2007 10/11/2007 GBP/USD 8,145 2.0336
10/9/2007 10/11/2007 GBP/USD -8,145 2.0335
10/9/2007 10/11/2007 GBP/USD 8,145 2.0322
10/9/2007 10/11/2007 GBP/USD 16,289 2.0333
10/9/2007 10/11/2007 GBP/USD 16,289 2.0344
10/9/2007 10/11/2007 GBP/USD -16,289 2.0355
10/9/2007 10/11/2007 GBP/USD -16,289 2.0357
10/9/2007 10/11/2007 GBP/USD -16,289 2.0364
10/9/2007 10/11/2007 GBP/USD -16,289 2.0362
10/9/2007 10/11/2007 GBP/USD -16,289 2.0356
10/9/2007 10/11/2007 GBP/USD 8,145 2.0369
10/9/2007 10/11/2007 GBP/USD 8,145 2.0372
10/9/2007 10/11/2007 GBP/USD -8,145 2.0365
10/9/2007 10/11/2007 GBP/USD -8,145 2.0362
10/9/2007 10/11/2007 GBP/USD -8,145 2.0358
10/9/2007 10/11/2007 GBP/USD 8,145 2.0371
10/9/2007 10/11/2007 GBP/USD 4,072 2.0382
10/9/2007 10/11/2007 GBP/USD -4,072 2.0382

ES

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