Just a short update with the trading result for October at JadeFX. The setup used is basically the same as the previous months, but I have been experimenting a little with timeout values (testing a change of TP to 0 pip after 150 minutes, which is still under evaluation).
18.65% up over the month with just one big negative day, Oct 7th, of -153 pips. So I must say that I’m pleased with this performance. It is very much inline with the two previous months (of 16% and 17% equity growth).
This is interesting. Apparently it is not OK if the small guys take advantage of a big guys faulty algorithms. Good to know since the markets are being manipulated on a second to second basis by HFT firms frontrunning and flash trading. We have to be careful so that our trades doesn’t make the computers trade badly, because it isn’t supposed to loose. If it does it is clearly because it was manipulated. Come on, this is ridiculous. Clearly the algorithm used wasn’t tested enough before being put in production. Thank the Norwegian guys for finding the flaws and fix them, don’t take legal action like a sore loser.
Check it out: http://www.computerworlduk.com/news/security/3244186/norwegian-traders-convicted-for-outsmarting-us-stock-broker-algorithm/
I hope my trades never “cheat” a big players software so I get sued too…
I don’t know I really meant to but it seems as if I publish monthly performance of my scalper account at JadeFX somewhat regularly now, so why not continue. It was quite a rocky month, with two big drawdowns (one huge at about 11% lost equity), but overall this account managed to grow 16.62%. I am very happy with this result since I have been taking less risk that in July and August and still managed to match the performance of August (in July the account grew 37%, that will be hard to beat for sure).
The scalpers traded on the account is MegaDroid, Forex Shocker, FAP Turbo, The Channel Scalper and RSI MA Scalper. The main moneymaker is still The Channel Scalper on EURGBP (both v1.12 and v1.13 with different sets), but RSI MA Scalper on EURUSD is doing very good also. I hope to introduce XBars MA Scalper on GBPUSD and EURUSD this month, they are demo trading still. Main focus of my scalping is on the low spread pairs with good execution like EURUSD, EURGBP, GBPUSD and USDCHF. I have dropped EURCHF and GBPCHF, the spread and execution is not as good as the others.
Got a spam email from FXCM about a contest on some new platform they’ve built (themselves it seems). It is called Strategy Trader and after a quick download I must say that it actually “feels” quite interesting. FXCM is of course claiming that it is much better than anything else on the market and goes on to “compare” features with MetaTrader 4. We all know that MT4 is old, so the comparisons are a bit unfair. MT5 is already out, even if it hasn’t gotten too much attention yet. I can’t say if ST is better or not, but at least it feels new and fresh. I’ve just looked around it for 15 minutes now thou.
The Strategy tester is multi-threaded so backtesting their complementary Grid trader was quick. They brag about 1 year of 1M data for free in the platform, but that doesn’t impress as we’re all hooked on tickdata from DukasCopy. A nice feature is that it is possible to test with both ask and bid prices.
The contest they’re arranging comes with a $10,000 first price, so it might be worth it to try and port some of my MT4 EAs to the Strategy Trader. Considering that I haven’t had time to do the same for the MT5 contest reality probably is that I won’t make it in time for the deadline thou… 
Check it out: http://www.fxcm.co.uk/automated-forex-trading.jsp#Overview
Update: After messing with the platform for a few hours now, including downloading a few sample strategies from their forum I must say that I am impressed. I will certainly try to get a scalper strategy of mine ported from MQL4 to C# and the Strategy Trader. I’m planning to do so in steps. The first step will be to move functions from the MQL4 code to a C# written DLL. I can then verify that the converted code gives the exact same behavior as the original since I can call the functions in the DLL from a wrapper EA. I can then use the same file with function in a new C# wrapper in Strategy Trader (and call the DLL from MQL5 if I want to also).
The platform is different to work in as MT4 really been the only tool I’ve been using for a long time and gotten very used to, but everything is starting to fall into place. Some things I like (reports for example), other are still confusing. The speed is undeniable, everything is very responsive and the backtests are lightning fast.
Just woke up and excitingly checked my EAs performance during the night. Found this (on both my JadeFX and The Collective FX accounts):
That is some seriously unlucky stoplosses. Out of the 9 positions that were taken 7 just hit their stoplosses before EURGBP returned to make the remaining two positions take profit. If this had happened at a non-ECN (and just one) I would be very tempted to think about stophunting. But as it happened at all my brokers I guess I was just very very unlucky.
So, 10% lost of the JadeFX account, resetting the account to 0% growth during September.
Quick update on the performance on my main scalper account at JadeFX during August. I’ve previously posted about the excellent results during July. August was also good, but I had one day that basically all trades went to stoploss for a negative hit of 551 pips or about 15% of the account (which also corresponded to my risk-appetite right then). It was inevitable to happen of course, and it will happen again. I didn’t change any settings after the “crash” and the losses was made up the coming 10 trading days. Excellent.
Other than the massive losing day (17th of August) I had two more days with negative pips. Overall the account made 742 pips which amounted to 18%. I am very pleased with that, considering that the maximum loss scenario was realized.
Going forward I have changed the setup a little. During July and August I have been experimenting somewhat by running three different setups of the main moneymaker EA here. Now it is clear which setup I will use going forward. It is very stable (if I had only used that one on the 17th the drawdown would have been much smaller).
I have also introduced a new EA from the Funyoo forum on my live account on the 1st of September that I’ve been optimizing with Dukascopy tickdata. I’ve been trading it with great results on demo for the past two weeks, and so far it seems as good on my live account (only had two trading days yet, but the trades are identical with demo trades taken).
I just asked myself that question as its been a few days since I started backtesting with tickdata from Dukascopy. Even short runs take a lot of time… Optimizations of a few parameters can take weeks. I just aborted a optimization run that was supposed to take 1800 hours (that is 11 weeks roughly).
So, naturally I started thinking that maybe it is time that my 3 year old Intel Q6600 is replaced by a faster part. I must say that it have performed absolutely excellent, especially since I’ve overclocked it to 3GHz all the time I’ve had it. It is a quad core CPU, but sadly MT4 is a single threaded application, so only one of them is used at a time. I usually solve this by running four instances of the same test with one of the parameters range cut in four, but it is a hassle. MT5 solves all this as it not only is able to use all available cores in the host system it is able to out-source processing to agents running on other computers. But reality right now is that MT4 still is the main platform, and it probably will remain so for at least another 6-12 months.
I’ve googled for benchmarks, but I can’t find any. Sure it is a niche, but I really expected at least some results for MT4. I thought surely someone had bought a new computer sometime and tested it by running the same backtest on both. I know I would, but it seems I’m alone in this. Can’t find any benchmarks for either MT4 or MT5.
Read more…
Just a quick reflection that for the past two months basically all scalpers seem to have been doing very well. I’ve re-enabled some old favorites, like FAPT50 and Forex Shocker 1.1 trading EURGBP and they’ve been doing very well. Even GBPCHF by FAPT50 have been very nice. Just watch your risk exposure, calculate the maximum you want to risk in a trade and then all EAs (possible) trades together. It is very easy to keep increasing the lot sizes in periods like this when everything is going great, leading to more risk that you actually want to take.
July at JadeFX, my main scalper account.
As you can see above July was great at JadeFX. 38% increase and just one day with negative pips (33 pips lost). The best day gave 125 pips. All trades are by scalping EAs.
I found a great (old) article about getting optimal data for backtests in MT4. I personally usually use history data from JadeFX because that’s the broker I, mainly, use scalping strategies at, but it is full of errors and rarely gives even 90% quality.
Check it out: http://eareview.net/tick-data
I’m gonna test this as soon as I get a hour or two over… IE hopefully on Saturday.
