Given Up?

Discussion in 'Automated Trading' started by Cambist, Dec 26, 2007.

  1. Nice one, i will be keeping an eye on it.
     
    #41     Jan 8, 2008
  2. Saraf

    Saraf

    Hey
    I noticed you discussed your leverage of your portfolio, however its not the leverage in your case I would be worried about.
    Beginning Balance: $2,000
    MAXDD:
    EURJPY -1314
    EURUSD -612
    GBPUSD -1135

    personally I would pull up an excel file of all past trades from April 15, 2007. For all 3 systems. See if they ran together well.
    In other words, looking to see the low peaks of past performance of your 2000$ if you started at that time. You might need to increase funding, but its your judgement.
     
    #42     Jan 8, 2008
  3. Cambist

    Cambist

    Thanks for your input Saraf. In my blog I included a post with excel files that show all the trades of 2007 pulled from TAB'S C2 page. The systems do run well and there would not have been a large losing month.

    I'm confident that my funds should be sufficient, but you are right. A worst case scenario could blow the account.
     
    #43     Jan 8, 2008
  4. Saraf

    Saraf

    You are correct, I have ran my testing for you. According to last year these systems do work well peak point, 6/29/2007 5:39:05 AM (if you started at April 15th 2007) was 17325.99USD, With end of year of 8636.40USD.

    Also noted that Combained during 2007,
    MaxDD I found was: -3421.367

    -Edit-
    Didn't factor in Currency pair value Vs. USD, fixed.
     
    #44     Jan 8, 2008
  5. fx-auto

    fx-auto ET Sponsor

    Hi,
    Or you can run the equity curve function to see if the drawdown occurred simultaneously, this is risk you are taking.
    Also, if you account gets a low balance you may not have enough margin to maintain 4Xtrades,
     
    #45     Jan 8, 2008
  6. Cambist

    Cambist

    I do remember running an equity curve for my portfolio of the three TAB signals. On a $2,000 portfolio the largetst initial draw-down was about $500 I believe.

    As my balance increases and I add size, I will slowly lower the leverage.
     
    #46     Jan 8, 2008
  7. Saraf

    Saraf

    I made a major mistake, I had the file dating backwards on the excel file So:
    Peak point: 12/10/2007 16:05 5852.75USD
    Low Point: 6/1/2007 19:27 1302.04USD
    MaxDD: -748.8USD
    final Balance at end of year: 5772.15USD
    Really having a bad day with my math. so ill stop doing it now.
    Making the system look more stable going the right way :)
     
    #47     Jan 8, 2008
  8. Cambist

    Cambist

    Well, that looks A LOT more in-line with my research. And remember, this is only for half of 2007 using fixed lots. If you go back until January and increase tradin size along with an increasing balance, returns are MUCH greater. I demonstrated this in my excel sheet on the blog.
     
    #48     Jan 8, 2008
  9. Saraf

    Saraf

    If I understand correctly your excel file your basicly applying Fix ratio at the end of each month.
    For every 1k gained per system that month you add 10k trade size(40k/trade)?
     
    #49     Jan 8, 2008