Another cBot in my arsenal !
Another cBot in my arsenal !
18 Aug 2016, 15:14
Hi Everyone,
You might have seen my other cBots ( /algos/cbots/show/1026 ) and some people are enjoying them successfully also. A lot of them have suggested to explore martingale feature and i have been testing a new idea on my favorite instrument ie..DAX and have recently finished a HFT bot ( i call it HFT as it is based on 1min timeFrame ). Please check the backtest and it does 'Martingale' linearly though. [ Risk is high but you should see risk reward accordingly ]. You need tight spreads for HFT kind of trading so don't just run it on any spread/broker. As usual all my backtests are based on tick-data as it is the only real simulation environment.
From 21 Sep 2014 - 16 Aug 2016
Total Return : 42%
Max DD : 2.2% ( balance)
Max DD : 12.5% ( equity )
Return/DD(balance): 19:1 (approx) [ So you can leverage according to your needs ]
Please contact me if interested at "trend_meanreversion@yahoo.com"
Replies
trend_meanreversion
19 Aug 2016, 00:18
RE:
Balena said:
nice chart... but
looks like it's trading a one sided market and showing 0 commissions...
also looks like risk is 10x reward... seems high... and 41% return on 19:1 is not that great if you back down to 1:1
I'd think changes to these details would paint a different picture if included
All valid questions so here you go..
1) It is trading one sided market ..that is long only ( when some price patterns happen ). I have my reasons to go long on equity indices which i have explained in another post somewhere so won't repeat here.
2) Your interpretation of 19:1 is poor as it return to Max DD. Even if you take Return to MaxDD equity ( ie..~3.5 ), it implies that you make 3.5 times of MaxDD you encounter so you can always take more risk without blowing yourself. It is not a conventional way of looking at risk/reward but more neat way in my opinion. It is risky for sure as you martingale but reward compensates for it ( Yes it is risky and i have iterated it sufficient times i think )
3) Anyone trading Index CFDs would know that there aren't any commissions on them [ and the spread is fixed ..that's why they are my favorite instruments ]
@trend_meanreversion
Balena
19 Aug 2016, 06:13
good points
Ok, I see...
1) If one sided is all you trade that's fine... but you are missing opportunities by not letting the market dictate your trading direction and opening yourself to opportunities in both directions potential at the same time (especially in mean revision/micro mean revision type strategies)
2) I concede I missed the "19:1" explanation/wording in your original post... my bad --> What leverage are you incorporating to get the shawn return? That also tells a story. Regardless, 42% over more than a year timeframe is just an ok return; it's not really great unless you are in fact assuming 1:1 leverage.
3) I trade from US (futures) only using this application/forum as a playground for quick dev for idea generation... so I didn't know about these type instruments... very interesting indeed... you do learn something new everyday I guess
All said, regardless of outside opinions like mine, you have to believe in what you know/have to trade... so great job on your progress!
@Balena
trend_meanreversion
14 Sep 2016, 02:25
RE: good points
Balena said:
Ok, I see...
1) If one sided is all you trade that's fine... but you are missing opportunities by not letting the market dictate your trading direction and opening yourself to opportunities in both directions potential at the same time (especially in mean revision/micro mean revision type strategies)
2) I concede I missed the "19:1" explanation/wording in your original post... my bad --> What leverage are you incorporating to get the shawn return? That also tells a story. Regardless, 42% over more than a year timeframe is just an ok return; it's not really great unless you are in fact assuming 1:1 leverage.
3) I trade from US (futures) only using this application/forum as a playground for quick dev for idea generation... so I didn't know about these type instruments... very interesting indeed... you do learn something new everyday I guess
All said, regardless of outside opinions like mine, you have to believe in what you know/have to trade... so great job on your progress!
A friend of mine is running it on demo for the time being .check here -> https://www.myfxbook.com/members/TREND_MEANREVERSION/dax-hft/1762170
@trend_meanreversion
trend_meanreversion
10 Oct 2016, 00:49
( Updated at: 21 Dec 2023, 09:20 )
Finally something which is looking good to earn quick bucks !!.. ( Thanks to everyone who suggested that martingale isn't always a bad option )
New version of DAX_HFT released !!
From 21 Sep 2014 - 16 Aug 2016
Total Return : 550%
Max DD : 6.5% ( balance)
Max DD : 27.8% ( equity )
Return/DD(balance): 84:1 (approx)
Return/DD(Equity): 20:1 (approx) [ So you can leverage according to your needs ]
@trend_meanreversion
trend_meanreversion
13 Dec 2016, 11:48
Not bad averaging 3.2% every month !~!
http://www.myfxbook.com/members/ashgupta/dax-hft/1874928
@trend_meanreversion
trend_meanreversion
08 Feb 2017, 08:10
( Updated at: 21 Dec 2023, 09:20 )
Good work HFT !!!
@trend_meanreversion
trend_meanreversion
01 Mar 2017, 00:10
( Updated at: 21 Dec 2023, 09:20 )
Tough market conditions for Feb but ended at high note ( made 1.6%) . 18% returns in 6 months is quite impressive !
@trend_meanreversion
trend_meanreversion
06 Mar 2017, 09:43
What a start to March !! 1.4% in a week :)
http://www.myfxbook.com/members/ashgupta/dax-hft/1874928
@trend_meanreversion
trend_meanreversion
13 Apr 2017, 06:25
( Updated at: 21 Dec 2023, 09:20 )
March had a good end as well. Strategy has been doing exceptionally well since inception ( ~8months ago )
March (final): 1.85%... April has been great so far, let's see how it pans out !
@trend_meanreversion
raphael.mca@hotmail.com
20 Apr 2017, 14:20
( Updated at: 21 Dec 2023, 09:20 )
RE:
trend_meanreversion said:
Finally something which is looking good to earn quick bucks !!.. ( Thanks to everyone who suggested that martingale isn't always a bad option )
New version of DAX_HFT released !!
From 21 Sep 2014 - 16 Aug 2016
Total Return : 550%
Max DD : 6.5% ( balance)
Max DD : 27.8% ( equity )
Return/DD(balance): 84:1 (approx)
Return/DD(Equity): 20:1 (approx) [ So you can leverage according to your needs ]
My friend, I appreciate the work you do with your cBot's. Is this the same image from this link? /algos/cbots/show/1622
@raphael.mca@hotmail.com
trend_meanreversion
23 Apr 2017, 15:52
( Updated at: 21 Dec 2023, 09:20 )
RE: RE:
raphael.mca@hotmail.com said:
trend_meanreversion said:
Finally something which is looking good to earn quick bucks !!.. ( Thanks to everyone who suggested that martingale isn't always a bad option )
New version of DAX_HFT released !!
From 21 Sep 2014 - 16 Aug 2016
Total Return : 550%
Max DD : 6.5% ( balance)
Max DD : 27.8% ( equity )
Return/DD(balance): 84:1 (approx)
Return/DD(Equity): 20:1 (approx) [ So you can leverage according to your needs ]
My friend, I appreciate the work you do with your cBot's. Is this the same image from this link? /algos/cbots/show/1622
No Raphael, This one is on Index CFD ( German DAX ) . It is not the FX martingale strategy as per /algos/cbots/show/1622 . Instead you can read my main page where you can see all of my strategies -> /algos/cbots/show/1026 .Hope it is clear.
@trend_meanreversion
trend_meanreversion
03 May 2017, 15:15
( Updated at: 21 Dec 2023, 09:20 )
April had a good month also . 2.6% in April .
Solid returns of 23.4% in 8 months !!
https://www.myfxbook.com/members/TRMR/dax-hft/2059675
@trend_meanreversion
trend_meanreversion
13 Jun 2017, 18:27
( Updated at: 21 Dec 2023, 09:20 )
May was not so great but given low vol environment it is still good ie.. 0.71% in May. June is going good though so far !
Solid returns of ~25.4% in 10 months !!
@trend_meanreversion
payment
20 Jun 2017, 16:15
( Updated at: 21 Dec 2023, 09:20 )
RE: RE:
Raphael,
This is just a hedging strategy which works as long as the pair is ranging. To be safe, I'd only use it on EURCHF because this one tends to come back to the original price eventually. I calculated it to bring in about 120% per year, but watch out, if things start to trend, it will empty an account.
Which pair is this for ? No doubt EURUSD will draw down equity too much espacially in May
raphael.mca@hotmail.com said:
trend_meanreversion said:
Finally something which is looking good to earn quick bucks !!.. ( Thanks to everyone who suggested that martingale isn't always a bad option )
New version of DAX_HFT released !!
From 21 Sep 2014 - 16 Aug 2016
Total Return : 550%
Max DD : 6.5% ( balance)
Max DD : 27.8% ( equity )
Return/DD(balance): 84:1 (approx)
Return/DD(Equity): 20:1 (approx) [ So you can leverage according to your needs ]
My friend, I appreciate the work you do with your cBot's. Is this the same image from this link? /algos/cbots/show/1622
@payment
trend_meanreversion
20 Jun 2017, 16:25
( Updated at: 21 Dec 2023, 09:20 )
RE: RE: RE:
payment said:
Raphael,
This is just a hedging strategy which works as long as the pair is ranging. To be safe, I'd only use it on EURCHF because this one tends to come back to the original price eventually. I calculated it to bring in about 120% per year, but watch out, if things start to trend, it will empty an account.
Which pair is this for ? No doubt EURUSD will draw down equity too much espacially in May
raphael.mca@hotmail.com said:
trend_meanreversion said:
Finally something which is looking good to earn quick bucks !!.. ( Thanks to everyone who suggested that martingale isn't always a bad option )
New version of DAX_HFT released !!
From 21 Sep 2014 - 16 Aug 2016
Total Return : 550%
Max DD : 6.5% ( balance)
Max DD : 27.8% ( equity )
Return/DD(balance): 84:1 (approx)
Return/DD(Equity): 20:1 (approx) [ So you can leverage according to your needs ]
My friend, I appreciate the work you do with your cBot's. Is this the same image from this link? /algos/cbots/show/1622
Not sure mate if you are talking to me or Raphael. It is my thread so i can tell you that this particular bot DAX_HFT is meant to be run only on DAX CFDs ( not on FX pairs ) and contrary to your observation/assumption is based on trend ( not mean-reversion) !
Cheers.
@trend_meanreversion
payment
20 Jun 2017, 17:46
( Updated at: 21 Dec 2023, 09:20 )
RE: RE: RE: RE:
Ok, the graph looks similar to a mean reversion. If you were using a martingale breakout, it would have much higher spikes on your graph, so it can't be that. It must be a one sided regression.
trend_meanreversion said:
payment said:
Raphael,
This is just a hedging strategy which works as long as the pair is ranging. To be safe, I'd only use it on EURCHF because this one tends to come back to the original price eventually. I calculated it to bring in about 120% per year, but watch out, if things start to trend, it will empty an account.
Which pair is this for ? No doubt EURUSD will draw down equity too much espacially in May
raphael.mca@hotmail.com said:
trend_meanreversion said:
Finally something which is looking good to earn quick bucks !!.. ( Thanks to everyone who suggested that martingale isn't always a bad option )
New version of DAX_HFT released !!
From 21 Sep 2014 - 16 Aug 2016
Total Return : 550%
Max DD : 6.5% ( balance)
Max DD : 27.8% ( equity )
Return/DD(balance): 84:1 (approx)
Return/DD(Equity): 20:1 (approx) [ So you can leverage according to your needs ]
My friend, I appreciate the work you do with your cBot's. Is this the same image from this link? /algos/cbots/show/1622
Not sure mate if you are talking to me or Raphael. It is my thread so i can tell you that this particular bot DAX_HFT is meant to be run only on DAX CFDs ( not on FX pairs ) and contrary to your observation/assumption is based on trend ( not mean-reversion) !
Cheers.
@payment
trend_meanreversion
02 Jul 2017, 13:02
( Updated at: 21 Dec 2023, 09:20 )
June was a tough month but brought volatility and good returns for bot : ~5% in June .
Solid returns of 30.3% in 10 months !! ( https://www.myfxbook.com/members/TRMR/dax-hft/2059675 )
Side note: Returns have been quite impressive after addition of my currency Strength bot in my DAX Portfolio ( 23% in June alone ..!! ) -> https://www.myfxbook.com/members/TRMR/dax-portfolio/1953723
@trend_meanreversion
trend_meanreversion
01 Aug 2017, 09:55
( Updated at: 21 Dec 2023, 09:20 )
July went smooth as well with good returns for bot : ~1.7% in July .
Solid returns of 32.6% in 11 months !! (https://www.myfxbook.com/members/TRMR/dax-hft/2059675)
Side note: Returns have been quite impressive after addition of my currency Strength bot in my DAX Portfolio ( 12.2% in July after 23.5% in June ..!! ) -> https://www.myfxbook.com/members/TRMR/dax-portfolio/1953723
@trend_meanreversion
trend_meanreversion
31 Aug 2017, 05:08
( Updated at: 21 Dec 2023, 09:20 )
August also went fine despite some volatility in DAX : ~0.7% in August.
My VPS is getting heavy due to demo accounts in midst of my live trading accounts , so i have decided it is time to retire DAX HFT from demo ( it has been live along with several other algos for a long time now and will remain so ..).
DAX HFT has proven its resilience in last 1 year with 33.5% return with 0% monthly drawdown https://www.myfxbook.com/members/TRMR/dax-hft/2059675
Note: I will run my DAX Portfolio for next couple of months (which has DAX HFT as part of portfolio) and recently included CurrencyStrength bot https://www.myfxbook.com/members/TRMR/dax-portfolio/1953723
@trend_meanreversion
Balena
18 Aug 2016, 17:29
nice chart... but
looks like it's trading a one sided market and showing 0 commissions...
also looks like risk is 10x reward... seems high... and 41% return on 19:1 is not that great if you back down to 1:1
I'd think changes to these details would paint a different picture if included
@Balena