That is an intensive system. about 3,3 trades a day. What time frame are you trading on?
Those stats are on my daily system. Trading just once p/day when the market closes/opens. It trades on 6 pairs though, so that’s where the higher trade frequency comes from.
I’ve got a lower time-frame system as well which is very similar in design. Back in 2010 it was generating over 600 signals p/month on the M5 charts running just the EUR/USD and GBP/USD pairs. The results were absolutely astounding as I demoed through every month starting in 2009 (that’s the oldest M5 data that I could find). I was really…really excited.
Then I started demoing through 2012. It was like day turned to night. The number of trades dropped through the floor.
First of all, the GBP/USD behavior meant that trading the system on that pair no longer worked. It wasn’t profitable in any month anymore. So I eval’d the results by dropping the pair and just using the EUR/USD. Now the system was profitable again, but with that one move it lost 1/3 of the trade volume. From there, the EUR/USD signals came at a greatly reduced rate as well.
Again, though, I’m not going to complain. When I looked to get into this I was hoping to find a system that had phenomenal performance “most of the time” and good performance “some of the time” when the market fell into some type of rut.
It seems that I ended up creating a system that is a variation of that original theme since it requires high volatility to perform at the “phenomenal” level. So it looks as if it’ll be more like a system that performs “good” most of the time and “phenomenal” whenever we see high market volatility.
Have you ever thought of having your systems coded into fully automated EAs? You could then run their tick backtests over the course of seven years to see how they perform under different market conditions.
My signals are still the same, but the pips per trade are less… I noticed a retraction, but still working for me. I know the feeling of having found a semi-holy grail and the frustration of not having started it a year ago…
Would you be so kind to describe your trading system in detail?
Hello traders,
I thought this thread was good enough to revive, given that we have reached very low volatility in 2014 and it seems that the game of beating the HFT algorithms as truly begun (people versus machines)!
This morning is a typical example, with the European and American sessions overlapping and nothing much happening either before or during this… I might as well watch paint dry… AND it is going to be a quiet week…
I watched last night’s Japanese GDP data, which came out better than expected and higher than the previous print, so there I was expecting my Yen shorts to go down… NOTHING… It was as though nobody had taken any notice… NZD/JPY, for example, moved down only about twenty pips from that news release to now (that is thirteen hours)!!!
And the other pairs are no better… It is like watching a fish out of water, gasping for oxygen…
Well, nothing to do but wait some more…
Happy Trading!!
The redoubtable and talented Kathy Lien, former Chief Strategist at DailyFX.com, has
written an article today about this very topic:
Trading The Low Volatility | Investing.com
Enjoy…