Dear All, I intend to post all FX trades in advance for a new sht term FX system. This has worked very well in back testing and live testing and will be shortly offered by a leading CTA as a new Managed account. The purpose of my posting here is:- 1) To ensure that I have not missed any glaringly obvious points that will come back to bite me later. 2) The usual suspects will of course pick the system to pieces thus ensuring part 1 is covered from all angles. best regards,
The basics....System is intraday trading 3 currency pairs (at the moment) $/Yen, $/SF & â¬/$. These 3 pairs are then split into AM & PM giving a total of 6 instruments. Each instrument is treated as an individual. All analysis performed by the model has specific parameters for each instrument, hence the stop on $/SF AM is different to that of $/SF PM etc etc.... The model produces 3 signals buy/sell/flat. The stop loss and stop profit are dictated as a percentage of the opening level. The time of entry and exit (if not stopped either side) is especially important. These are not random figures I came up with but the result of years of data analysis. All stop profit/loss figures are what I term 'fully blind'. That is to say I take the best performing parameters form the last 1/4 and apply them to the next. Thus the current stop loss/profit levels are the ones that worked the best on the markets of last 1/4. Not necessarily the ones we were using though!!! The system will produce a signal for each instrument each morning, the system is intraday only with no overnight positions. bon chance
Trade Date 10/03/06 Instrument B/S SProf SLoss Entry Exit $/JY AM 1 0.7 0.9 0955 1420 $/JY PM 1 0.9 0.4 1500 2000 $/SF AM 1 0.5 0.8 0955 1420 $/SF PM 1 1.4 0.9 1610 2145 â¬/$ AM -1 0.5 0.8 0955 1420 â¬/$ PM -1 1.3 1.0 1610 2145 All Times are Central Euopean Time thus 09.55 is 02.55Chicago/03.55 NY
Todays AM positions as follows: To be closed at stop loss or profit levels or at 14.20 CET CURRENCY B/S ENTRY PRICE STOP LOSS STOP PROFIT $/Yen AM (KJUL) 1 118.20 117.13 119.02 $/SF AM (KSUL) 1 1.3144 1.3039 1.3210 â¬/$ AM (KUEL) -1 1.1917 1.2012 1.1857
Ok AM Positions closed - $/Yen @ 118.39 (profit 19 ticks) - $/SF @ 1.3142 (loss 2 ticks) + â¬/$ @ 1.1917 (flat)
Instrument B/S SProf SLoss Entry Exit $/Yen PM 1 0.9 0.4 1500 2000 $/SF PM 1 1.4 0.9 1610 2145 â¬/$ PM -1 1.3 1.0 1610 2145 regards
Todays PM positions as follows: To be closed at stop loss or profit levels or at 20.00 CET $/Y and 21.45 â¬/$ & $/SF CURRENCY B/S ENTRY PRICE STOP LOSS STOP PROFIT $/Yen PM (KJUM) 1 118.73 118.25 119.79 $/SF PM (KSUM) 1 1.3211 1.3092 1.3396 â¬/$ PM (KUEM) -1 1.1879 1.1998 1.1725 regards
Few problems getting on today.... From Friday's trades - $/SF @ 1.3169 (loss 42 ticks) + â¬/$ @ 1.1915 ( loss 36 ticks) regards