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Testing a new model (and philosophy) for automated day trading. The EA is based on a few new ideas derived from the conversations in the "Randomness" thread, which I started a little while ago. I will run this test for 2 months, or until I deem the ROI "acceptable". If I can't get nice results after a 2 month period of tweaking and tunning... I'm 86ing the project.
I'll post daily summaries, without displaying the individual trades. I'll also add comments to daily performance, in order to document the process.
This is a personal journal, the strategy utilized is proprietary.
I'm impressed. I was never able to scalp for the life of me.
Every scalper I built became a trend follower, LOL. I guess I just don't have it in me.
Good job.
Although, I would love to see the equity curve as a function of time. That is where the truth lies. I can already tell why kind of strategy it is based on the balance curve. It's scary when you can tell so much by looking at picture. And I thought you were going to trade unidirectionally, but seems like you are not following your own advice.
It seems like it's been steady curve up, so what kind of market condition does your scalper dread? Every strategy has a weakness.
500+ trades in a day...dang, the broker must love you...busy little f'er. LOL.
__________________
aka jbfx
Last edited by Kenny Rogers; 12-03-2008 at 11:15 PM.
The 4H swing stuff we talked about is still in full effect (it's pretty much the bread and butter). However, I get nuts sitting around watching those beautiful intra day price swings. GREED!!! I WANT THOSE PIPS!!!
At any rate, I lost a substantial amount of money about a year ago; day trading. I don't have the composure to control the "beast" when I watch the price move. Although, the profits were good most of the time, there was always a situation when I would go into a trans, only to come out of it margin called. Obviously, I stopped day trading. That's when I devised the 4H grid thing. Its been good for me... a lot more relaxed.
But now I sit around all night watching price move, and I can't really act on it... because of the "beast". I'm a self indulgent, stimulus lovin' jag bag. Day trading manually will never work for me, even though the strategy I utilized is profitable.
Bottom line, I'd like to get some of the noise during the big sessions. This EA project is intended to do just that. Hopefully it works. And you are right, it is not like the 4H strategy. It's more of a synthetic price shadow.
It seems like it's been steady curve up, so what kind of market condition does your scalper dread? Every strategy has a weakness.
Kenny,
Sorry, I missed the response on this one in my last post.
Trends are a non-issue, and can easily be observed on the equity curve by the long spaced gradual inclines. Ranges are preferred; those would be the up spikes on the curve. As far as weakness goes, I'm not sure that there is one. Of course I've been around long enough to know that the market is capable of all things at all times. This is the so called risk we take. Arbitrage is only possible by exploiting a broker's administrative screw-ups... and who's got time to mess around with that.
The new philosophy:
After we wrapped up with the discussion in the Randomness thread, I came to a few conclusions. The culmination of these conclusions led me to a new philosophy... that's what I'm testing with this EA.
The system is not designed from my usual approach: "exploit the probability of what might happen". Instead, it is designed on the basis of: "exploit what is not likely to happen." We'll see how it goes... that curve can fall off a cliff whenever the market decides that it's time for it to do so. However, I'm going to be there watching it when (or if) it does. While I'm watching, I'll be taking notes on why the "typically out of character" price action is occurring. Then it's back to modifying and tunning for another go.
...And there's the cliff. Saw the whole thing unravel first hand. Attached is a 1H chart with the reversal spike that did me in. Although, I could have closed down prior to any significant damage, I wanted to see the EA play itself out... and it did.
The solution, having already thought about it, is quite simple. I must accept a lower reward expectation in order to sustain such moves in the future. The one thing I noticed was that the difference between a closed for profit scenario and the blow out was 1 to 2 pips. This indicates the necessity for more slack... which equally reduces the profit output. Oh, well.
I'm going to rework some of my numbers, however, the function and methodology of the EA is sound. The account was taken out due to leverage issues, not methodology. This may sound silly, in light of today's performance, but I am extremely pleased with this EA. I feel pretty good about its performance and durability.
I will continue with the test starting next week. (1 week down, 7 more to go.)
MM
Last edited by Mr.Marketz; 12-04-2008 at 09:34 PM.
I've done a lot of what you have done already. And my results have been similar. I just never could figure out how to overcome the spread of the broker when you put in so many trades. You are trying to trap volatility. But I could never bottle up the volatility because in the 1M TF, you are dealing with noise and complete random erratic movments. And your next logical step is to either use smaller lot sizes, trailing stops, or have more funds. I've done all of that, it just gets to the point where I'm looking at the reward and the risk, and I ask myself...is it really worth it. Every time, I have said no and then abandon my scalper in favor of long term trend following.
I do not believe that just having price action and volatility is enough to trade a scalper. If you have ever known or read what the real scalpers do in the futures or stock market, it is very interesting. They never trade both directions at the same time. They are in and out. If they get in, and their trade is not in favor of them from the start, they immediately close the trade. And most importantly, they are not watching price at all. They could trade without looking at the price. They are looking at the order flow, DOM, walls, patterns of market makers, size, and market internals. None of which is available for forex. And they would not be able to have the kind of games like slippage and requote from bucketshops...that would absolutely kill them.
With that knowledge in my head, I have tried and tried to build a scalper. But have been not able yet. You need a quick statistical edge to consistently scalp successfully. And most likely, you won't be using a MT4 platform. And even if you build a decent pyramiding scheme, the broker comes in and flag you because one can not physically execute that many trades within a short period of time without violating their "rules" on holding time. If the forex game is on a centralize market, then I would put more faith and priority in developing a scalper. At this moment...not so much. Something to think about.
__________________
aka jbfx
Last edited by Kenny Rogers; 12-04-2008 at 07:09 PM.
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