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Tuesday, September 15, 2009

Volatily Scalp, USDJPY Expert Advisor


This is the result of optimization that I did on USDJPY pair using VS_EURCHF_D01 or Pipturbo EA. When I published Volatily Scalp EA, this pair is not included in my recommendation. I prefer to the USDCAD pair, because it backtest results from the period 2004 until February 2009 gives better result.
What's interesting about this backtest results are not used daily filter. So I set the MaxDayAtr to the greater value. I also let TradeLowRangeDay and TradeOutSideBand value with True. However, it has a limited trading time. EA will only work in 22-23 GMT +2. But in practice, based on the logic contained in EA, this means that EA work at 22-0 GMT +2. So don’t expect a lot of number of trades will be executed. And unfortunately, this is just a short back test period, which begins January 2008 until February 2009.


Monday, September 14, 2009

Variations of the Period, Entry and Exit

So far, all Volatily Scalp EA that I created is using the Moving Average as a target for the exit. In vs_eurchf and vs_eurocross I use 20 Period Moving Average while vs_eurgbp I use 50 Period Moving Average. This system will provide maximum results if the price moves only among the Upper / Lower channel and Moving Average ..
Actually, with 20 Period Moving average, we could impose the use of Upper / Lower channel as the exit. But unfortunately, it is very often if we wait for prices to penetrate Upper / lower channel, instead of profit that would come less. So when doing testing, I found an exit on the moving average is more profitable than the exit on the Upper / Lower of Keltner Channel.
10 Period Moving Average
This is slightly different if we use a shorter period, in this case 10 Period Moving Average. With a shorter period, this will increase the sensitivity of the moving average. This allows us to no longer put the Moving Average as a place of exit. However, the place for entry can be used as the exit for the opposite position.
I found the use of a shorter period would be very beneficial if used in the major pair. This is what I try to apply on USDCAD pair. Especially since I only use the shorter trading time (22-23) GMT +2, so I think it is wise to maximize the profit from each trade.
Combinations 10 and 20 Period Moving Average
Actually I was a bit hesitant to use this combination. For the first time I tried to use 2 Keltner Channels Indicator simultaneously. This provides 2 variations to place the entry.
The first variation, entry can be done if the price penetrates both Upper / Lower channel. To exit, we have 3 places, 10 Period Moving Average, Upper / Lower of Keltner Channel (10.1) and 20 period Moving Average.
The second variation, entry can be done if the price through the channel up / down Keltner Channel (10.1) while the distance between price and 20 Period Moving Averages is greater than 10 Period ATR. For the exit we can use as the first variation.
This method I use to pair USDCHF and USDJPY and You can see the back test results on my previous post.


Sunday, September 13, 2009

Trading results, is there a dependency present?


This week begins with the loss derived from Eurgpb pair. But in the end these losses can be covered and still make a profit, although not as the previous week. The question whether any good results will be followed by the opposite result?
Apart from that, EA's performance was good overall, including new EA that run on USDCAD this week.
Determining Lot size
Along with the increasing number of pairs that use, the determination of risk for each pair and the EA becomes a problem. For the moment I tend to use fixed lot for EA that run on the major pairs. As for cross pair I use a fixed ratio. But from my observation, it is rarely a pair makes big profits for 2 successive days. Exceptions occur in 2 weeks ago in which a constant EURGBP pair produce a better profit than the other pair. But generally, every day the pair will produce more profit will be different.
Change lot size every day based on the performance of previous day might be an interesting idea. Since I tried VS_EurChf these characteristics have become my thought.
At the end, maybe we should learn about the z score, a statistical method to determine if there are dependencies or correlation among all our trades.





Monday, September 7, 2009

Breakout System


I want to share about breakout technique which I am trying to do, so can be used as automatic trading or EA. Maybe coincidence or not, what I'm talking about here has been discussed elsewhere either in private or open in somewhere. And anyway, the contents of this post is not intended as recommendation to your daily trading. But at least this may be useful for traders who have similar interests to explore technical breakout.
Breakout Problem
A common problem encountered in making the trend following system is to avoid what is often called a whipsaw. If the entry technique is using a breakout system, the main problem of course is a false breakout. Even today generally it is easier and more common system against the entire breakout, like all of EA I share here.
Generally, to avoid the whipsaw, the developers of trading system to add various kinds of indicators that serves as a filter. For trend filter, a commonly used indicators such as the Average Directional Movement Index or ADX. Besides, the used period and Time Frame is also determining the number of whipsaw. The shorter the period and Time Frame that we used the more whipsaw, and vice versa.
There is also a breakout system developed using the European session as a filter. And as I recall one of popular EA that using this technique is Hans123. In this case it use a trading time as a filter instead of mathematical indicator.
King Keltner Strategy
Chester Keltner introduces King Keltner trading system in 1960. Chester Keltner creates a channel based on MovingAverage and added / subtracted with the Average True Range as an upper and lower channel. Specify a period of Moving Average and Average True Range. To create an Upper Channel, you add the Moving Average value with the Average True Range. To create Lower Channel subtracts the value of moving averages with the Average True Range.
This system is very simple, a buy signal occurs when prices penetrate the upper channel and sell signal occurs when prices penetrate the lower channel. Even with optimization, it is possible to make a stop Reversal System. But in general with this system, we will close all positions when prices turned back into Moving Average. One possible variation is the close only breakout. The buy and sell signals occur if the price closed above/below the channel.
Become an Automatic Trading System
With no specific rule to use the same period between the Moving Average and Average True Range, we can perform optimization on both these variables. Also we can try to optimize the deviation that we use. To reduce whipsaw, can be added ADX, and is also can be optimized. But as I said from the beginning I was not going to make this EA. Anyway you can search for this EA on the Internet; I think many are available for free.
This is just an introduction; in the next post I will explain what my observation is.





Friday, September 4, 2009

6% Profit During a Week


A week has passed and all my EA produces 6% profit from the Initial Balance. Of the total profit is 1 / 3 resulting from EURGBP pair. And pull it constant obtained every day for a week. Maybe if you run Scalping EA on several pairs at once, usually you will find that every day pair producing more profit will be different every day. And I think it was a good thing, because then diversification is working properly.
What about the EURCHF pair? I still think you can rely. It's just that maybe next week it my open time will shift from 19 to 20 GMT+2. This is based on the fact that often at the end of the UK session was already very low volatility and tend to increase until the closing of the American market. In the last week recorded frequently executed trading at 19 GMT +2, it gives a negative result. But I have not thought of to stop it because after all the great profit potential is still there at this hour.
For USDCHF and USDJPY pair I thought I would still use the trading time 22-23 GMT +2. Although the latest optimization shows that both pair can be traded (scalp) until 4 GMT+2. But I think in the medium term will be very volatile. But instead I will add a new pair of USDCAD. Recently I tried to add the VS_EUROCROSS Fractal indicator, and the results are good for USDCAD pair. Thus I will add this pair in my account next week.





Wednesday, September 2, 2009

A good performance in 3 days

A good start is in early September. Apart from the losses at the end of last month, eventually most of the loss can be offset by profits earned in the last 3 days. This can not be separated from the good performance of the 2 pair I have just used, the USDCHF and USDJPY.
3 days detailed statement

Also impressive performance was obtained from the EURGBP pair. So that it can be said that the worst results obtained from the EURCHF pair, although still positive in the end.
I give a special note to the EURGBP pair. This pair can be said to not give a meaningful contribution in the last month. But when I noticed lately, EURGBP pair is slightly more volatile than the EURCHF pair. This can be noticed before the closing session of the UK. Even the early Asian session that EURGBP volatility is still possible to get a few pips profit.
This will become more evident if we compare the daily chart for the both pair. For the EURGBP, its ATR (5) is above level 60, while EURCHF is still under level 60.
But maybe that interest is to compare the condition of the daily trend in the both pair. A question whether this is the difference? rd3etifapw
EurGbp Daily Chart

EurChf Daily Chart






Tuesday, September 1, 2009

Scalping And Volatility

I think August is the month that EA is not profitable for me. Right in the last week in August was EA I experienced considerable Drawdown. As a result the loss of 75% of the profits that have been obtained from the beginning of the month.
Perhaps this is the accumulation of the low volatility of current. When the market was in a low volatility, the possibility for a change (increasing) to the greater volatility. Actually I've noticed this situation since the beginning. As the UK towards the end of the session, the market does not show impulsive movement. Finally, Impulsive movements result in the end it started the American session. Fortunately the price corrected more than half, so that greater losses can be avoided.
Shock Trade

I personally hope this is a sign will be a change in Day-to-day volatility of the next. Although not in the short term, at least those changes may be seen in this month. Ideally for scalping system in the Asian session, at least ATR (20) are not under 6. And to achieve that level condition, at least daily range should be above 75 pips.





New Expert Advisor

I've made an EA. Still incomplete, but at least my backtest results do quite encouraging, at least for the last 1 year. EA is working on the USDCHF pair and just do trading at 22-23 hours GMT +2. Nevertheless my backtest results on USDJPY pair also gives good results although there is a greater drawdown.
New EA
New EA

And it turned out with little change in my vs_eurocross can also get a satisfactory result on the both pairs. I change volatility period to 10, and set a maximum trade per position to be 2 and maximum trades per bar to 1. As for the use of indicators ck_speed speed is limited to 1. (Yellow).
VS_eurocross backtest on usdchf
VS_eurocross backtest on usdchf

VS_EuroCross on USDJPY
VS_EuroCross on USDJPY

Especially for USDJPY pair, my backtest results using vs_eurchf_d01 or pipturbo, by limiting the trading hours of time at 22-23 GMT +2 also gives good results.
Thus, at this point I added 4 EA and into my account using 3 difference EA.





Risk Warning

Please note that Trading in the Foreign Exchange market might carry potential rewards, but also potential risks. You must be aware of the risks and are willing to accept them in order to trade in the foreign exchange market. Don't trade with money you can't afford to lose.