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05-28-2008, 02:05 PM
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VS backtesting, EUR/GBP and USD/JPY
Hello,
I've done some more VS backtesting. I took EUR/GBP next, and it was quite a disappointment. I hardly found any parameters yielding a positive result. The recommended factor are 2.8 ... 3.1 yielded negative results for any number of days. The best I could find was 4.3 for 8 days' atr, 400 pips. 400 pips total in 10 years! The highest score was a bit above 1000 around years 2003-2005. No reasonable help from any locking of profits. On the other hand, the highest negative results with any of the parameters were around 2000 pips, so there seemed to be some sort of limit for the losses (shoud that make somebody happy). If I ever end up in trading VS live (which I really hope), I won't even look at this pair. Anybody having EUR/GBP open by VS, shout "hep"! balaji3003: I saw two potential RTS trades last night. ... a potential EUR/GBP short trade(Today is S day) I look forward to learning the other methods as well... maybe EUR/GBP is excellent in something I do not know yet. Then USD/JPY. Best parameter pair I could find: 2.9 and 7, almost 60 trades, total result 2300p. But the total result of this pair went negative several times along the way. This is better than EUR/GBP, but I wouldn't still rank this very high. 2 trades went over the magical 1000p, but 6 peaked there. With an equivalent reasoning as I did for EUR/USD, using a trailing SL around 900p, which seems to be a bit more optimal than 1000p, I calculated a total result of over 5200 pips. This gives me a bit more trust in using some sort of stops or limits when we are approaching the highest ends of trends. I would like to emphasize that I understand the stopless nature of VS, and I would not use any stops in the low or negative pip areas, just waiting for the signals. But rather I would like to find some other indicators that would have some correlation with good and bad trades. Ingot54 wrote in his thread about his rainbow indicator that was quite handy for easily seeing certain types of long-term trends, and that has caught at least my interest. I would like to do some analysis one day, if any counter-long-term-trend VS trades are worse than the others. Any point in doing that? J. 
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05-29-2008, 12:57 PM
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Good morning!
Dale- I'm all done on my side just waiting for them to get my mailed documents. Then I'll fund my account and be good to go. I decided to start a trade journal. With $1k I trade between 1-2 lots, which keeps me between $15-$20 margin depending on the instrument. Here are my trade results so far. GBP/CAD +42 pips (SI) AUD/CHF +38 pips, $7.70 (RT) CHF/BGN +$5.30 (RT) Broke rule, ADX was low, and on the day I was supposed to go out it was at -$4 so I waited till the next day and It turned arround. GBP/BGN -30.00 (SI) Impulse Trade, I trippled trade size, since I felt it would go my way! I know stupid stupid. CAD/JPY +85 pips, $16.50 (SI) GBP/CAD +90 pips, $9.00 (SI) Cheers, Randon
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05-29-2008, 01:57 PM
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Hey,
It seems to be working out well for you. I happy for you. As I go along from day to day I find I'm constantly 'tweaking' the 'odd thing' here and there so here's a update on what happening NOW: I find that of late the best trades I'm doing are with the RTS and LRC's. I'm not 'sticking doggedly' to the RTS sequencing either. All I'm doing is watching the price on those pairs that have the very lowest ADX(14) AND ADXR(14) values (which MUST be below 20 - 25 of course). If the price starts to go down during the day then I'll be looking to buy at whatever RTS level is nearest the lower LRC line and if the price starts to go up during the day then I'll be looking to sell at whatever RTS level is nearest the upper LRC line. If the order is hit then I'll set the TP to whatever the current value is of S1 or B1. If S1 or B1 is not hit on the same day then I'll adjust it the next day and so on and so forth. If the price CONTINUES on down the next day (if I'm now long) OR continues on up the next day (if I'm now short) I'll repeat the same process of buying or selling as decribed. So far I've not had to realise a single loss on any position. Depending on your 'risk tolerance' you may either buy or sell at the nearest RTS line INSIDE the LRC (more risky) or buy or sell at the nearest RTS line OUSTIDE the LRC (less risky, higher profit, but fewer trades). Also: I 'play around' a bit with my money management rules as well. I NEVER allow a single position to exceed 1.875% of my capital (assuming 200:1 leverage) BUT a single position NOT meaning 'per instrument'. In other words: if I end up for some or the other reason having 2 lots open on a single instrument / pair then that is counted AS 2 lots and of course it means that I have exceeded my original rule of not risking more than 1.875% ON A SINGLE instrument / pair BUT I'll never exceed a total layout of more than 15% - 22.5% of my capital at any one time. This is working 'perfectly'. (By the way: I need to update my money management rules table that I posted earlier i.e. I think I was wrong back then. My 1.875% / 15% - 22.5% money management rule assumes leverage of 200:1 and this is my 'sweet spot' BUT I've noted that the LOWER your leverage THE MORE capital is required and NOT the other way round as I think I posted earlier). Last edited by dpaterso; 05-29-2008 at 06:27 PM.
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05-29-2008, 02:11 PM
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I thought I'd also add that I try to enter trades somewhat close to a support level that is below market value if I'm going long, or close to a resistance level that is above market value if I'm going short. I don't always get executed but it seems to be doing well for me. On the other hand if I catch the break on the ASI chart right as it happens I might just enter at market.
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05-29-2008, 03:32 PM
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Upper and lower leagues for VS
Hello!
I developed a bit quicker way to check the pairs with respect to the Volatility System and got some interesting results, at least according to my opinion. Elite league: ++ EURUSD (see earlier) ++ USDCHF: parameters 3.0/9, 5400 pips, 44 trades, results over 1000p: 2, peaked over 1000p: 10 Quite good ones: + GBPUSD: parameters 2.7/10, 3200 pips, 59 trades, results over 1000p: 2, peaked over 1000p: 8 + USDCAD: parameters 3.1/10, 3000 pips, 41 trades, results over 1000p: 2, peaked over 1000p: 4 + USDJPY: parameters 2.9/7, 2300 pips, 58 trades, results over 1000p: 2, peaked over 1000p: 6 + EURCAD: parameters 2.9/7, 1100 pips, 51 trades, results over 1000p: 2, peaked over 1000p: 11 I also made an excercise with EURCAD about taking the profit after 500p. The total result rose over 5000p. I start to be quite convinced that there is some reasonable limit where it is profitable to take the money you've got instead of waiting the signal. It would be nice to find a rule for determining that point for each pair. It seemed that one feature of these was that you could change the parameters quite a lot without turning the results negative. "Mutasarja" - at least I would not touch these: -- EURGBP -- EURJPY -- EURCHF -- CHFJPY -- CADCHF -- CADJPY I could not find any parameters to bring these to a positive result. Or if there were some, they were quite odd ones and the result was negligible and turned quickly negative by shaking the parameters a bit. And the worst of all: --- GBPJPY This one showed the biggest individual profits (!) and losses and longest and biggest chains of consecutive losses. Seemed very unstable and unpredictable. Worst total results with any of the parameters. I could not figure any reasonable way to get consistent income from this with VS. Comments are most welcome. J.
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05-30-2008, 03:40 AM
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Hello,
J.: 'Me thinks' you should open a demo account and start trading the VS!!! I think you'll be more than surprised (and happy) with the results. Me: I have not realised a single loss with the VS YET. Now I'm NOT saying it's NEVER going to happen because we ALL know that it WILL happen sooner or later. I see what you're saying about EUR/GBP for example but are you taking into account the ATR(14) values when selecting pairs to trade with the VS??? Remember: the VS is the 'Volatility System' and so you're looking for volatile instruments / pairs to trade with it. Remember: VOLATILITY = ATR!!!. Also: as I have said before: there is quite a bit of 'contradictory' information in 'the book' when it comes to what systems to use and when and when to stay in the trade and when to be 'out' of the trade but you need to work through this and come up with a solution that 'fits all' as it were. For example: what if you're in a valid VS trade BUT now the ADX line drops below both +DI / -DI??? The pair is no longer trending at this point and is probably going to reverse direction at some point soon??? So: do you TP now or wait for the VS to give you a SAR signal??? You know: stuff like that!!! All I'm saying is that I'm no big 'fan' of 'computerized backtesting' (no matter HOW you do it) and I'd be very surprised if the VS results in huge losses in the long run as you describe. Also remember that Wilder himself 'alludes' to the fact that of all the systems in 'the book' the VS is POSSIBLY the most profitable. Last edited by dpaterso; 05-30-2008 at 03:43 AM.
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05-30-2008, 09:25 AM
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Right!!! Well!!! End of the trading month and closed out early today!!! I THINK I deserve to!!!
I hope everyone has done well!!! The results for my client accounts range between 15% - 56% gain on capital for the period 1 April 2008 - 30 May 2008 (the differences being largely due to the fact that not all accounts were opened at the same time i.e. the 15% gain on capital represents the gain on a particular account that was only traded from the second week in May so even THAT is not too bad I don't think. And ALL of these results are IN SPITE of AUD/NZD which is still open)!!! (I'm no longer posting the %tage gains on my own accounts here because some of my clients have a problem understanding that my gains WILL be higher than theirs simply because of the commission being earned in addition to profits made from trading). Anwyay: again thanks to all of you and of course a BIG thank you to 'the man'!!! Have a GREAT weekend and of course ALWAYS looking forward to the next month of trading!!!
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06-01-2008, 06:42 AM
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Hello, Dale!
Quote:
Quote:
Of the last 30 trades (last 4 years), 19 did not ever peak over 100 pips above the signal. Only 4 peaked over 200p. I would interpret this that the trend will end or turn very probably very soon after the signal, and I would like to see the potential targets higher than what this pair is willing to give. Considering that aiming at TP at the peak means more luck than skill, I would not see the risk worth taking. I think that in case of EUR/GBP there sure is volatility, but it is outweighted by that pair's exceptionally strong and quick movements that VS cannot adapt to. As the different pairs have different behaviour, I find it useful to determine the parameters by backtesting, thus trying to optimise the profits, and not just selecting the parameters by hunch. Quote:
Quote:
- go / no go decisions for strategies and pairs - parametrisation - time saving Looking forward to get the ordered book, J.
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06-01-2008, 08:08 AM
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Quote:
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06-01-2008, 11:41 AM
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Good (Sunday) evening all!!!
Nearly time to get going you know!!! Tony: Thank you ever so much for the kind words. To be honest: I STILL find it just a 'tad' hard to believe that I've gone from 'wiping out' account after account to THIS i.e. there was no 'middle of the road' for me but at some point I think I have to say to myself 'well, whatever you're doing now is working so accept it and be grateful' (which is pretty much the point I've now arrived at). I DO constantly remind myself though: 'NEVER GET TOO CO*KY OR TOO SURE OF YOURSELF'!!! THAT always leads to ABSOLUTE disaster as I have found out the hard way in the past and EVEN IN the past four months or so i.e. when things started to 'turn around' I STILL made one or two trades based on the 'well it seems that I can do NO wrong now' 'phenomenon' and had it not been for my money management ruls (which I have INDEED been able to 'stick' with) these trades would have spelled DISASTER (again)!!! Treat the market (and the brokers) with respect and the market (and the brokers) will reciprocate!!! I always check your posts as you always have good advice and a sound knowledge (I just 'elected' to NOT 'bug' you)!!! To be honest: my success is the reason I get so 'upset' when I see people losing money i.e. there is just no reason for it (and I can say that in SPITE of my 'mess' last year)!!! Anyway: I'm still a long way off from getting back to 'where I was' last year but at least it is now a reality that I will (and then some)!!! Again: thank you for the post. Much appreciated. Last edited by dpaterso; 06-01-2008 at 11:44 AM.
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