My trading system
1. About me
2. My Accounts.
3. Do My Systems Have Edge?
4. Optimization Process
5. Back-tests Results.
6. Stress-Testing.
7. Subsystems back-tests
7.1. EURUSD Breakouts.
7.2. EURUSD Impulses.
7.3. GBPUSD Breakouts.
7.4. GBPUSD Impulses.
7.5. XAUUSD Breakouts.
7.6. XAUUSD Impulses.
7.7. USDJPY Breakouts.
7.8. DAX Breakouts.
8. Notes For Investors.
1. About me
Hi. I started trading FOREX in 2010 and from 2017 publicly. The main
strategies are breakouts of horizontal levels and volatility breakouts. My
main purpose is not to show you useless fake thousands of percent of "profit"
on high leverage but to control the risks and earn money without using any
toxic methods. I myself and my family are the biggest investors of my trading.
2. My Accounts
2.1 Darwinex.
2.2 Alpari.
PAMM accounts.
2.3 Ice-FX.
MAM-s with risks from X1 to X6.
2.4 Valutrades.
MAM-Account.
2.5 IC Markets.
Private account for copying trades.
2.6 TickMill.
Private account with insane risks.
3. Do My Systems Have Edge?
I use two types of trend-following strategies: breakouts of horizontal levels
and volatility breakouts.
Why do they have edge?
a. The participants of the market usually place their stop-losses at the
horizontal levels. So when the market comes close to one of these levels the
stops are triggered and it results in improving the momentum of the market
moving. It gives edge to the breakout of horizontal levels system.
b. Impulses occur when some event takes place. For example the statement of
ECB or FOMC. At this moment the fair price of the instrument is changed and
the real price moves sharply in that direction. As reaching the fair price can
not be instant joining this move has edge over the market.
c. Both strategies are profitable in long-term even without any parameters and just a time-stop. It is the main signal that you have edge.
4. Optimization Process
The parameters of the subsystems may be divided into 3 groups:
a. critical for optimization
b. slightly improving results
c. filters
All parameters are optimized one by one(never together) with filters turned off. More stable ones are chosen for live trading. The number of critical for optimization parameters is always less than 3-4. In every subsystem profits are higher than losses.
a. critical for optimization
b. slightly improving results
c. filters
All parameters are optimized one by one(never together) with filters turned off. More stable ones are chosen for live trading. The number of critical for optimization parameters is always less than 3-4. In every subsystem profits are higher than losses.
5. Back-tests Results.
All back-tests are multi-currency and multi-set so you can see how the
drawdowns of subsystems may overlay in final result. DAX systems are not
included in this back-testing. Last major updates and optimizations were in
spring 2019.
a. Back-test with fixed balance.
In real trading the lots opened depend on current balance of the account. But
in backtesting it is better to fix the balance. For example at 10k$ level.
Fixed balance back-test:
b. Back-tests with reinvesting and max drawdown at ~30%.
Such system corresponds to my Darwinex DARWIN with VaR = 20%, Alpari PAMM,
Valutrades MAM, ICE-FX X3.
IMPORTANT: You MUST understand the difference between back-testing and
live trading: the real results will always be worse because back-testing is
the result of optimization even if you have only one parameter! The main
purpose of trading is to control the risks and be profitable and back-testing
and optimization allow to achieve this goal.
6. Stress-testing
Choosing parameters of the system you know that it is optimal in historic data
but you don't know how it will affect future results. Stress-testing allows to
analyze the system with not optimal parameters. I use Monte-Carlo simulations
with parameters in the interval [-30%, +30%] of chosen for live trading. The
main purpose of stress-testing is to predict the most pessimistic drawdown as
the back-test drawdown may be too optimistic. When it is about your own money
it is very IMPORTANT to be sure that you accept all the risks!
The pessimistic drawdown after stress-testing with 50000 Monte-Carlo
simulations plus some delta(+15-20%):
7.1. EURUSD Breakouts
This subsystem is responsible for that big drawdown in 2018. In spring 2019 it was
modified significantly and the leverage was cut.
Number of sets: 16.
Number of sets: 16.
7.2. EURUSD Impulses
The subsystem was launched in spring 2019.
For impulse strategies I use money-management called pyramiding: as the
impulse continues the system opens new trades.
Number of sets: 18
Number of sets: 18
EURUSD strategies work badly last 2 years. And as I see most traders who
succeeded in 2015-2018 have closed their accounts or stay in deep drawdowns
because EURUSD strategies stopped working as they used to before. Sad but
true. Re-optimization is useless here because the strategies stopped working
in common. We just have to wait until this market phase will end.
7.3. GBPUSD Breakouts
The system was launched in late 2017.
Number of sets: 8
Number of sets: 8
7.4. GBPUSD Impulses
The subsystem was launched in autumn 2019.
For impulse strategies I use money-management called pyramiding: as the
impulse continues the system opens new trades.
Number of sets: 4
Number of sets: 4
7.5. XAUUSD Breakouts
Number of sets: 8
7.6. XAUUSD Impulses
The subsystem was launched in late 2019.
For impulse strategies I use money-management called pyramiding: as the
impulse continues the system opens new trades.
Number of sets: 3
Number of sets: 3
7.7. USDJPY Breakouts
The subsystem was launched in late 2019.
Number of sets: 4
Number of sets: 4
7.8. DAX Breakouts
The subsystem was launched in late 2019 on some accounts: Alpari PAMM,
Valutrades MAM and TickMill.
Number of sets: 4
Number of sets: 4
8. Notes For Investors
Trading is difficult. Very. You cannot code a EA once and then grab millions
from the market for years. You have to re-optimize, change and remake it
when you understand that something is incorrect. This is the process that never ends.
Your decisions may be right and be wrong. You can not always win. But your goal is to win in the long term.
If you decided to invest in my trading you must accept all the risks that
the drawdown is a normal state of the trading and that the results may not
be as you expect them to be. The aim of this post is to give you maximum
information about my trading system and make your decision more prudent.
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