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christof
Raptor
trong
Hệ thống giao dịch
Dec 12, 2009 at 14:49
With high leverage, carelessly scaling the lots by the equity can cause unwanted exits end reentries:<a href=http://www.myfxbook.com/files/christof/trades_aw.png target='_blank'><img src=http://www.myfxbook.com/files/christof/trades_aw.png /></a>Basically there's no perfect solution. Higher leverage increases the transaction costs not just because of the obviously bigger trade sizes but it also requires more trades for the same relative protection against drawdowns.
admiral
trong
Hệ thống giao dịch
Dec 11, 2009 at 14:46
50% equity drawdown at the moment. For max growth, it could still be ok, but why would an automated system be afraid to take losses and do hedging instead of trading the net position?
Reward Risk Ratio
trong
Hộp thư đề xuất
Dec 08, 2009 at 17:50
The Reward Risk Ratio calculation has a bug, or seems at least very weird: It turns negative, when the average loss is bigger than the average winner.So there's a gap between 0 and 1 and it's non monotonic, e.g., from better to worse: 3 -> 2 -> 1.5 -> 1.0 -> -1.0 -> -0.8 -> -0.2 -> 0.If you want to emphasize the lower values, you could take the log of the ratio.
EURUSD
trong
Hệ thống giao dịch
Dec 04, 2009 at 22:49
No mice today, but very strong dollar bulls, which is even worse.But really, a 28 pip spike followed by a 250 pip trend, what's up with that? I guess today the fundamental traders got their share of market inefficiency.
Cheetah
trong
Hệ thống giao dịch
Dec 01, 2009 at 07:16
I cannot describe the system (there is none) or the specifics, but I can tell how it works in general:The decision making is done by neural nets. Before november everything was done in mql4, and now everything is c++ (huge speedup). What I do is programming the input data, architecture, optimization algorithm, fitness function, etc. Then my pc does the number crunching. The results of each optimization run (several hours to days on my 3Ghz Core2Duo) are often pretty different, so I decided to combine some of them again, to yield a single number for market exposure.
Cheetah
trong
Hệ thống giao dịch
Dec 01, 2009 at 06:25
November 2009 Additional StatisticsNumber of trades = 907. (616 winners, 291 loosers, 83 absolute direction changes)Average winning trade = 220 pips * 0.017 lots. (5 digit pips)Average loosing trade = 220 pips * 0.018 lots.Profit Factor = Gross Profit / Gross Loss = 2263 / 1105 = 2.05.Net Profit / Total Spread = 1159 / (15 pips * 15.88 lots) = 4.86.
Rus_power3
trong
Hệ thống giao dịch
Nov 27, 2009 at 15:03
Looks impressive, but I couldn't really replicate most of the trades. Either a time zone issue, or we have different charts...Is it a form of grid trading? Maybe you could post a chart with a few trades, like this:<a href=http://www.myfxbook.com/files/christof/trades.png target='_blank'><img src=http://www.myfxbook.com/files/christof/trades.png /></a>
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