My trading system

26.8.20 Naragot 0 Comments


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.

RAT

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


All subsystems are optimized separately. The period of optimization is 2005-2018. Other historic data (2000-2005, 2018-2020) is used for walk-forward tests.

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.

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%):
 Yes, it is maximal pessimistic scenario and if it takes place it is the signal to stop trading.

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.

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

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

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

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

7.7. USDJPY Breakouts

The subsystem was launched in late 2019.
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

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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