Reply To Luca
Yay! Received a comment on my software:
Greetings Mark,
thank you for sharing the knowledge and allowing free testing of your software. I haven't got round to actual backtesting or autotrading, couldn't download the data from GAIN. I currently use MT4, lot more complicated since it needs real code, but quite easy once you get the hang of it.
I find your software very easy to install/setup and to desing a system. Of course the fact that it is user-friendly has limitations, but very cool for non-programmers. I feel the money management and position sizing are a bit limited, and backtesting on only one contract sucks. And it is limited in the way you can change the exit rules depending on the way the trade "behaves". I haven't tried, but it seems you can backtest only on one currency at a time. Not good! And of course the analysis of the backtest results are super important. If you want to give yourself a key differentiator in the market, based on my limited experience, correct portfolio backtesting and system performance analysis reports would be a good area to spend time on.
Thanks again,
Regards,
Luca from France
I really am appreciative that someone took the time to send me such a detailed comment. But there are some parts of it that I feel I have to clarify. It'll sound like I'm being defensive, which is true :-)
Firstly, the comment "I find your software very easy to install/setup and to desing a system. Of course the fact that it is user-friendly has limitations, but very cool for non-programmers" is very, very true. It does have limitations in that you can only select rules out of those I have coded for you. However, if you do want a different rule coded for you, just send me an email with the details.
"I feel the money management and position sizing are a bit limited..." The software has the following money management options:
Last Gasp settings:
- Pass on any trade where the price goes X pips past the calculated entry point.
- Pass on any trade when we can't get in at exactly the calculated entry price.
- Anyting is okay.
Number of Pips At Risk settings:
- Pass on any trade where the risk is more than X pips.
- Anyting is okay.
And with auto-trading there are the following Position Sizing options:
- Adjust number of units purchased so that less than X% of balance is at risk.
- Always purchase X units (100,000 units equals 1 contract). And then if you choose this option you also choose one of the following % Of Bank At Risk settings:
- Pass on any trade where more than X% of balance is at risk.
- Anything is okay.
"backtesting on only one contract sucks..." This was done purposely so you are always comparing apples with apples. I think I found this tip on the Currency Secrets website, but after a quick look I couldn't find the exact webpage.
Backtesting is done so you can compare different trading systems against each other. Or, to compare the same trading system with slightly different variables. If you backtest with variable contract sizes then it won't be a true comparison.
"And it is limited in the way you can change the exit rules depending on the way the trade "behaves"... I don't really understand this statement. Could you expand a bit Luca?
"I haven't tried, but it seems you can backtest only on one currency at a time. Not good!" Actually this statement is very, very *not* true. You can trade as many currencies as you like in the one backtesting session (that is, the one click of the "Start" button on the backtesting window). You can even backtest over different time periods in the one session. And you can backtest many different trading systems in the one session.
"...correct portfolio backtesting and system performance analysis reports would be a good area to spend time on..." Just let me know what you want and I'll code it.
Right now the backtesting results show:
- # Trades
- Pips Profit
- Profit Factor
- Start USD
- End USD
- % Gain
- % Gain p.a.
- # Wins
- # Losses
- # Break Even
- Pips Won
- Pips Lost
- Pips Risked
- Risk To Reward
- Av Pips Profit
- Av Pips Won
- Av Pips Lost
- Av Pips Risked
- % Wins
- % Losses
- % Break Even
- Max Winners In A Row
- Max Losers In A Row
- Slippage Included
- Pessimistic Trades
- MAE
- MFE
- Max Drawdown
- % Drawdown
- Recovery Factor
All of the above are shown for all trades, for short trades, and for long trades. Along with that summary, the individual trade details are also listed.
I hope that's put your mind at ease. Thanks again for the comment Luca. Keep 'em coming!
2 Comments:
Hi Mark,
didn't mean to be aggressive, sorry ;-).
Anyway, position sizing. How about fixed fractional, i.e. increasing position by X contracts every Y increase in equity? And increasing/decreasing positions based on losing streaks or based on equity value (decrease if negative). How about using a higher percentage of risk for profits and less for initial equity? How about optimal f? How about fixed percentage but with a ceiling limit? How about variable position size based on comparative performance in the portfolio (the pair that has highest expectancy gets to use the more equity for positions).
On the one-contract backtesting. I fully agree that you need to test first on single constant contracts, to confirm positive expectancy and to compare systems, but then I want to see which position sizing strategy makes the most money. And I might want to test all systems on 0.1 contracts if broker allows it. So it still sucks ;-)
Trade behaviour. I mean "how fast and how well it goes in your favor". If it starts moving in the right direction, but slowly and sideways, your stop won't be hit but you may want to count it as a failed trade, and close with whatever loss you have. If it moves sharply in favor and reverses before take profit, you may want to take profits and call it a day. It's a bit like closing after X days if nothing happened (stop or profit).
In navigating the windows, I often closed the window I was working in and ended up in the main page, I only wanted to "step back". And I lose visibility on other things I am working on. Can you put tabs for the windows, or a navigating bar on the side, or a "forward/back" button instead of close window?
Is it possible to trade with market time limitations (only during london session, before london opens, only on US morning, only if XYZ conditions appears in Asia session)?
Can you introduce trading setups based on currency pair intercorrelation? I mean, if most are rising vs. CHF and most are falling vs. GBP, a long GBP/CHF has an edge.
In the backtest results can you put maximum time spent in drawdown and maximum time in negative equity from initial, to show how long you suffer. Can you plot portfolio exposure at any given time? Can you limit position size based on overall portfolio heat?
Hope I'm not being a pain, just trying to be constructive. And thanks again for the efforts and the great job.
Regards,
Luca
Oooh, ok. You want to backtest money management techniques. Cool. I can do that.
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Trade behaviour. You can set up your trading system so that there are 4 different ways to exit (but only one way to enter).
There's Stop Loss Mgmt Rules, Stop Loss Mgmt Rules #2, Take Profit Mgmt Rules, and Take Profit Mgmt Rules #2.
All of those can be connected to "Exit At Market".
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"In navigating the windows, I often closed the window I was working in and ended up in the main page, I only wanted to "step back"
Well... don't close the window you were working on... :-)
"And I lose visibility on other things I am working on"
There is a "Windows" menu item, which lists all the currently open windows. You can use it to view windows that have fallen behind other windows and so are no longer visible.
It's standard Multiple Document Interface (MDI). Just like Microsoft Word and Excel. There is not really a flow of "first you do this, and then this, and then this", so "Forward/Back" buttons wouldn't work here.
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"Is it possible to trade with market time limitations" There is the Holiday functionality, which I admit needs fleshing out further. Because it doesn't work at all right now :-)
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Currency pair intercorrelation wouldn't be for a while.
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I can probably do what you want for drawdowns, etc.
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Thanks again Luca. These questions will definitely make the software better.
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