Blog

With the Cable going nowhere this week, we decided to try Eurodollar for a change. We used the same strategy and parameters as in our continuous 5+ month GBPUSD forward test.

Namely, we used the version1 strategy with TP=5 and SL=8 and MaxSpread=2 pips. PPA parameters were set to 100/100/254/5/15 (top to bottom).

While SL is static in the version1 strategy, TP is not. Once the current profit exceeds the set TP value, the strategy moves the SL level to the breakeven and starts trailing – but slower than the profit grows. This prevents the strategy from closing the trade too early.

The MaxSpread parameter forbids entering the markets if the current spread exceeds the set value.

Below is the test results. The version1 strategy delivered decent 55% win ratio and even for very low 63 pips volatility scored 13 pips of profit.

This can be attributed to the “clean” price action with big enough up and down moves without much overlapping. This is what the version1 is most suitable for.

Even more interesting is the potential wins statistics. At closing of each trade, the software checks if the trade could have been closed with a profit, and logs how many pips we could have won.

We can see that out of 29 trades, we could have closed 27 with profit. Which means the market entries were nearly ideal.

But the strategy could only win 16 trades – meaning the profit taking logic definitely deserves improvement (which is one of the things we are working on).

If you want to get into details, you can review the trades on the screenshot below. You can also download the full trade log.

Want to replay our test in the offline simulator? Use the tick data file that we recorded.

In case you may want to run a similar forward test yourself, we compiled the step-by-step instruction how to forward test, where we also explained in detail the GUI controls, gauges etc.

If you don’t yet have the software, you can get it here.

The 1st trading week of March was not easy for our Automated Trader. But it made it again: yet another profitable week in our forward test that has gained over 5,000 pips in the test running since October 2020.

The Cable was not traded very actively this week. We can see that our trader only received 1.13M ticks. We’ve seen this number reaching 1.5M during more volatile weeks.

The trading results are shown on the below screenshot.

If you want to dig deeper, here is the full trade log.

Note that the “potential wins” exceeded 82%, which is even better statistics than usual. Confirming once again that our PPA based market entry signals as such are excellent.

Also this statistics witnesses that the market was choppy with not big enough up- and down moves.

Because our version1 strategy is only starting trailing once the current profit exceeds the TP value, which has been 5 pips during the whole test.

So, if the trade profit reached 4.9 pips or less, and then the market reversed, this trade would become a loser. And there were 150 such trades!

Another explanation for this week result that we can think of is some performance issue in our test bed.

For some yet unknown reason, the average RTT that used to be around 100ms now was 190 ms.

Meaning that the trader could fetch up to 70% less ticks from the TrueFX server than it used to. Which definitely influenced the ability of the trader to react to the market moves.

We are investigating what caused the issue. But one thing is clear – the strategy turned out to be resilient to this, which is good.

We have just posted the report about our forward test on GBPUSD that we have been running since October 2020, which it was performing amazingly well – delivering over 5,000 pips during this time.

In addition to this main long-term test we decided to try the same strategy on different currency pairs and picked USDCHF.

First, we’ve run it for 3 days starting February, 22. The result was just excellent: even for the volatility considerably lower than in our main test, win ratio almost reached 60%. We haven’t see it this high in our GBPUSD test.

If you want to dig into details, here is the full trade log.

We continued the test next week.

This week volatility finally returned to the Cable. And our strategy started faring so much better than during the previous week. Overall, we won the pips amount roughly equal to volatility.

Even for the relatively slow Sunday-Monday trading with only 106 pips volatility, the win ratio exceeded 55%!

The win ratio this high is a comfort zone for our strategy. As a result, it easily gained 93 pips in about 20 hours – with a smooth equity curve.

If you want details, here is the full trade log.

We restarted the test for a 20 minute technical break. Then the test was running non-stop until the end of the trading on Friday, 26.

During the rest of the test the win ratio dropped a bit to 53%. However, this is a very comfortable value as well. Combined with high 358 pips volatility, the total result was guaranteed.

The strategy won 360 pips in 4 days – an excellent result. Especially if you consider smooth equity curve with little drawdown. Here is the full trade log.

On the last trading day, we had a software problem. As you may notice, the automated trader stopped functioning in the middle of London trading session (last trade’s time stamp is 01:01:05 – which is ~9am GMT).

The reason for the failure was a lengthy network outage – and the Trader couldn’t fully recover from that.

However, the rest of the software was not impacted by the outage and continued receiving the ticks and recording them when the network connection recovered.

Let’s review the price action during the last hours of Friday trading.

For about 8 hours after the last trade, we observe several “clean” and decent sized up/down moves. These are the best setups for our current strategy to gain.

On the flip side, there are multiple periods of see-sawing, especially closer to the end of the NY trading, where we can also see notably lower volatility. This choppy and overlapping price action price action usually results in losses.

So, we can assume that if the Trader continued to work properly after the network outage, the total profit would probably have not grown very much. But it shouldn’t have decreased much, either.

Fortunately, we don’t have to guess. Since we have all the ticks recorded, we can simply run run the same test in our Offline Simulator, which provides 100% market modelling accuracy.

The below screenshot confirms the result was predictable.

In the beginning, the strategy nicely used the big moves and was up almost the same as volatility (106 pips for this period). Only to give away all gains in the last ~4 hours of the NY trading session, when the market started treading water.

The President Day week turned out to be a disaster.

Our automated strategy lost 390 pips. There were no winning days. The win ratio was lowest on record and at times fell below 40%. That said, we are still up on in February – thanks to the nice 400+ pips gain during the 1st week!

This was the first such a serious blow to our strategy during the whole test that we have been running since October 2020. (See how we test).

Before this week, in the entire 5 month long test, we had only 2 losing weeks. First, we lost 15 pips during the New Year week. And the other time was when we lost 27 pips during the Thanksgiving week.

We intentionally run our test 24/5. But in real trading, holiday weeks should probably be skipped.

That said, the Christmas week was an exception when we scored a massive 900+ pips profit.

Here is the profit development from the beginning of the trading thru Tuesday NY session (Monday was the President Day holiday in the U.S.).

If you want to see the details, here is the full trade log.

Quick analysis shows that the price action was very unfavorable for our trend-biased automated strategy. While the overall volatility for these 48 hours was 129 pips, for the most part it was too low.

The below graph shows an example. Only 20 pips range for 15 hours is extremely rare.

We restarted the test and kept it running for the next 24 hours. Full trade log.

The test was again restarted and ran for another 21 hours. Full trade log.

And here is the graph for the last 20 hours. Full trade log.

While this week is definitely an outlier in our nearly 5 month test, it shows again we need to make the strategy more robust.

Good news is that we have already started testing the first version of mean reversion algorithm. Next step is the switching logic that would select the most relevant strategy based on the current market conditions.

And let’s see how the last week of February goes. So far we are winning a little on a monthly basis. And based on our previous statistics, we are optimistic that we will have 5th profitable month in a row.

Compared to the great previous week where our Trader yielded 418 pips, this week was rather bleak – total result is only 2.2 pips profit.

However, given the lack of market action, we can consider this result decent – for a trend-oriented strategy that we are forward testing. (See how we test).

The beginning of the week yielded 43 pips profit and win ratio of 50%. Which is a very good result given the extremely low volatility of only 80 pips.

After initial drawdown of about 20 pips in the first half of Monday European trading, the strategy nicely recovered losses and steadily gained over 60 pips.

If you want more details, check out the full trade log.

We had to stop the test just before the end of the Tuesday NY session. We resumed the test after about 1.5 hours (which was wasted time anyway from trading prospective) and kept it running uninterrupted during the rest of the week.

End of Monday went very well – the strategy won additional 30 pips in a nice steady manner. Tuesday was a calm day with almost no action.

Then difficult times started. During Wednesday and Thursday we lost almost 100 pips in the same steady pattern. One of very rare cases of a big drawdown.

Friday was an up day with almost 40 pips gain.

Full trade log for the second part of the test.

In the beginning of February we again had a familiar pattern that we observed during the end of 2020. Our automated strategy delivered 50.4% win ratio and steady profit growth without big drawdowns.

The weekly profit was double the volatility (193 pips).

A curious event happened on Thursday. Usually spreads widen drastically after the New York trading session ends. This time the spread increase was so big and happened instantly, so the strategy could not close the open trade with the standard SL of 8 pips. Instead, the loss for this single trade was 50 pips.

However, this is a known issue with the current prototype strategy which doesn’t have any scheduler and since we keep our test on 24/5, every day there is a risk of such losses.

For more detail, download the full trade log.

This is a January 2021 summary of the 24/5 forward testing of our Automated Trader software.

Week 1 (January 3-8). Total profit 163 pips. See the test report.

Week 2 (January 10-15). Total profit 140 pips. See the test report.

Week 3 (January 17-22). Total profit 6 pips. See the test report.

Week 4 (January 24-29). Total profit 61 pips. See the test report.

During the last week of January GBPUSD turned out even less volatile than during the previous one – only 150 pips.

This is the lowest volatility we have observed for this pair during our non-stop forward testing of our automated trader on GBPUSD on the TrueFX data feed.

But despite the “dead” markets, our trader did well and as a result this week concluded another profitable month – already 4th in a row.

With volatility that low, our strategy could not deliver very smooth equity curve as it did many times before. However, maximum drawdown was reasonable – around 50 pips.

For the details, review the full trade log.