What are your views on WMA cross trading?

Discussion in 'Forex Trading' started by jerichomoore, Jan 21, 2007.

  1. I'm thinking in particular about the forex system which (as far as I can tell) was popularised a few years back by a trader called BunnyGirl. It uses the WMA5 crossing the WMA20 as it's basic signal for a potential trade. Anyone want to share views?

    jericho
     
  2. rosy2

    rosy2

    ## GBPUSD Global analysis (full portfolio always invested)
    Analysis of the portfolio (2005-02-22 / 2007-01-19) :
    -----------------------------------------------------
    Performance : -8.1% ( -4.2%) Buy & Hold : 3.2% ( 1.6%) () => by year
    MaxDrawDown : 8.5% B&H MaxDrawDown : 11.1%
    Best performance : 0.4% Worst performance : -8.1%
    Net gain : -809.92 Gross gain : -141.70

    Trades statistics :
    Number of trades : 43 Trades/Year : 22.57
    Number of gains : 10 Number of losses : 33 Win. ratio : 23.3%
    Max consec. win : 2 Max consec. loss : 9 Expectancy : -0.01
    Average gain : 1.14% Average loss : -1.69% Avg. perf : -0.20%
    Biggest gain : 5.13% Biggest loss : -3.84% Profit fac : 0.68
    Sum of gains : 209.80 Sum of losses : -1019.72 Risk of ruin : 100.0


    ## USDCAD Global analysis (full portfolio always invested)
    Analysis of the portfolio (2005-02-22 / 2007-01-19) :
    -----------------------------------------------------
    Performance : -8.4% ( -4.3%) Buy & Hold : -4.3% ( -2.2%) () => by year
    MaxDrawDown : 8.6% B&H MaxDrawDown : 13.4%
    Best performance : 0.1% Worst performance : -8.5%
    Net gain : -838.62 Gross gain : -170.40

    Trades statistics :
    Number of trades : 43 Trades/Year : 22.57
    Number of gains : 5 Number of losses : 38 Win. ratio : 11.6%
    Max consec. win : 1 Max consec. loss : 15 Expectancy : -0.02
    Average gain : 0.96% Average loss : -2.02% Avg. perf : -0.20%
    Biggest gain : 2.76% Biggest loss : -3.48% Profit fac : 0.47
    Sum of gains : 56.00 Sum of losses : -894.62 Risk of ruin : 100.0

    ## AUDUSD Global analysis (full portfolio always invested)
    Analysis of the portfolio (2005-02-22 / 2007-01-19) :
    -----------------------------------------------------
    Performance : -5.3% ( -2.7%) Buy & Hold : -0.6% ( -0.3%) () => by year
    MaxDrawDown : 5.3% B&H MaxDrawDown : 11.6%
    Best performance : 0.0% Worst performance : -5.3%
    Net gain : -532.76 Gross gain : -4.40

    Trades statistics :
    Number of trades : 34 Trades/Year : 17.84
    Number of gains : 2 Number of losses : 32 Win. ratio : 5.9%
    Max consec. win : 1 Max consec. loss : 21 Expectancy : -0.02
    Average gain : 1.06% Average loss : -2.26% Avg. perf : -0.16%
    Biggest gain : 2.07% Biggest loss : -4.27% Profit fac : 0.47
    Sum of gains : 15.52 Sum of losses : -548.28 Risk of ruin : nan%


    ## USDJPY Global analysis (full portfolio always invested)
    Analysis of the portfolio (2005-02-22 / 2007-01-19) :
    -----------------------------------------------------
    Performance : -50.2% (-29.6%) Buy & Hold : 16.6% ( 8.0%) () => by year
    MaxDrawDown : 53.6% B&H MaxDrawDown : 9.2%
    Best performance : 0.0% Worst performance : -53.6%
    Net gain : -5023.48 Gross gain : -816.50

    Trades statistics :
    Number of trades : 42 Trades/Year : 22.04
    Number of gains : 7 Number of losses : 35 Win. ratio : 16.7%
    Max consec. win : 2 Max consec. loss : 13 Expectancy : -0.01
    Average gain : 2.09% Average loss : -1.67% Avg. perf : -1.65%
    Biggest gain : 5.17% Biggest loss : -3.64% Profit fac : 1.25
    Sum of gains : 1672.80 Sum of losses : -6696.28 Risk of ruin : 100.0

    ## EURUSD Global analysis (full portfolio always invested)
    Analysis of the portfolio (2005-02-22 / 2007-01-19) :
    -----------------------------------------------------
    Performance : -8.3% ( -4.2%) Buy & Hold : -2.3% ( -1.2%) () => by year
    MaxDrawDown : 8.6% B&H MaxDrawDown : 13.3%
    Best performance : 0.3% Worst performance : -8.3%
    Net gain : -825.84 Gross gain : -111.00

    Trades statistics :
    Number of trades : 46 Trades/Year : 24.14
    Number of gains : 4 Number of losses : 42 Win. ratio : 8.7%
    Max consec. win : 1 Max consec. loss : 18 Expectancy : -0.01
    Average gain : 2.80% Average loss : -1.86% Avg. perf : -0.19%
    Biggest gain : 5.04% Biggest loss : -4.23% Profit fac : 1.50
    Sum of gains : 142.04 Sum of losses : -967.88 Risk of ruin : 100.0
     
  3. salvar

    salvar

    I have to second that. The bunny cross is a cute idea but it just gets chopped to pieces. I'm sure it could probably be modifed for a longer time frame to avoid this but then it would not trade as often.
     
  4. All that stuff rosy2 just spewed as a "reply" means absolutely nothing. I was hoping for some intelligent and even insightful comment into the BGX system. Maybe I should start with my own experience of trading this method.

    I trade the BGX method using a 30 pip filter and achieve a strike rate of about 70%. i.e. 3 out of ten trades stop out at the 15pip S/L

    So that leaves 7 out of 10 trades "working" but the big problem is the exit. After a lot of experimenting I've found that this system is generally good for making 15-20 pips. I trade 4 lots and exit 3 of them at 15 pips then trail the last lot using the low of the previous 30 minute bar.

    *However* – and I suspect this is where auto-trading this method falls down – it is essential that one actually monitors the graphs at all times. Sometimes the BGX systems puts you onto a winning trade and it becomes obvious from the speed at which the 15 pip target is reached that there is a big move afoot. In these instances it is up to the trader to adapt to make the most of the move. i.e only exit one lot at 15 pips and let the others go on. Or whatever, as long as there is some human input to try to optimise the trade to the market conditions. Conversely, if the market is choppy maybe exit all four lots at 10 pips.

    I don't mind making 15 pips – I average 4 trades of 4 lots each per day and if 12 of those 16 lots make 15 pips that's cool. Plus you get the big moves (like today) when you can make at least 50 - 60 pips per lot.
     
  5. salvar

    salvar

    I wasn't intending to be flippant, but I stand by what I say.

    The Bunny trade in it's basic form is not appropriate for "autotrading" which is what many folks seem to be trying to use it for.

    Essentially it is really nothing more than an ATR breakout system that is not as highly selective as ATR.

    Thus you end up with many small moves and a few large ones. To capture both large and small moves you need an intelligent profit target filter (not simple reversal of the system).

    If you are going to trade the system manually anyway I would suggest utilizing known support and resistance areas for profit targets.

    Good luck.

    Edward
     
  6. Quah

    Quah

    How do you know those trades won't stop out also if you haven't exited yet?
     
  7. I don't trade FX but I think strategies can be applied across markets (not always).
    In my opinion you could very well make a profitable strategy with a MA cross as long as you stick to your rules, have set Risk/Rewards ratios etc.
    In other words, it could work, but so could the fading of that strategy.
    Just the other day I was trading a stock one way and someone else in the chatroom was trading it in the opposite direction. Guess what, we both made $ on it.

    My point is, I think the strategy most likely will work and it most likely will not work. Depending on who's trading it. :)
     
  8. secxces

    secxces

    First, everything rosy2 just gave was intellegent, in comparison to your reply. Your reply seemed to be a little snub nosed for someone who was asking for advice and received a sincere eduated response, with technical information.

    Second, trading with WMA's alone has been proven to not be very successful, (without something added)<<---- (DISCLAIMER: put this in for the next 5 posters who say it does work). Theres hudreds of threads, studies, tests, and systems available all over the web that support negative feed back to this.

    Third, many moons ago, as I see you must frequent the moneytec boards, as a your interest in trading has come about, the bunnygirl system was devised, and popularized, by many newbies. However, as you perfectly exemplified in your post, it doesnt work without discretionary moves., as she traded it The system was automated more times over and over and modified and retried. It was never made profitbale without manual human interpretation.

    Fourth, by all means, go ahead, sail away, start your own journal. IMO it will probably be short lived. As, if you are trading live, you will see were this approach falls short, in the manner you are saying you are trading. 70% success rate. HMM. You should fire the guy that backtested it for you.

    But, by all means, dont take my word for it, just throw down those 16 lots there cowboy, use dem' WMAs, use your advanced professional experienced discretion and make those 15 pips consistently. Thats the quickest way to learn, btw, words advice, dont borrow money from a mafioso new york loan shark guy to do this. After he gets your hands as late payment, you wont be able to let us know how bad you did.

    -secXces
     
  9. I agree 100% that this is a terrible system to autotrade, actually I think that was the point I was trying to make, but not very well.
     
  10. BG went public because she needed help with her exits. She saw herself as having pretty good entries, but no idea when to exit. She ended up with multi-stage exits. The first exit guaranteed the trade would be profitable, the next exits were at specific points like 30, 50, 100 pips. She would also let a final portion, like maybe 1/5th, "ride" using a trailing stop in case the move went on for 200-300 pips.

    To guarantee the trade would be profitable was very important for her, since it eased her mind on the rest of the trade. It was worth cutting her profits in half. Taking specific pip numbers like 50 or 100 allowed her to often cash out at the top of a spike that others would simply ride up and down waiting for their trailing stop to get hit. It reminded me of when chaffcomb said, "trailing stops guarantee your worst exit".

    Her method embodied a lot of the conventional wisdom out there, though it was never clear if it was by accident or not, lol. For example, her "filter" was just her way of confirming the trend. The filter was not as important as the confirmation.

    I'm working on my own daily fx system, and the only thing that seems to have a chance to so far, is strangely similar to the bgx. In the final analysis, the bgx was just a way of simplifying all the noise of a typical fx session, and reducing it to one of several known scenarios.
     
    #10     Jan 28, 2007