28/12/2009 21:54:18
Tom Leeson
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Ok. I can do that – I am actually importing new results into the online settings. Please do try to have a look through the results online - they may jump out at you…
MT2 Settings – the plan
What I am trying to do with the MT2 is this:
Find results via the genetic optimiser – (very quickly) FDAX, 6E,6B Fill in the gaps of ranges – using a brute force optimiser and by manually filling ranges in excel Feeding the results into the Back test over 3 years data NinjaTraeder 6.5 has issues with memory and keels over… NinjaTrader 7.0 might be the answer.
Until I have completed my studies we are stuck with the online settings…
We need to be sceptical until we have statistical evidence to support the case of which settings we use.
ZEN again!
Your gut feel and Zen can certainly guide you. There is a hedge fund manager who practices Zen and Archery – and trading – no fundamentals – not system – just gut feeling. He is one of the best in the world at trading – you can read about him in Market Wizards or New Market Wizards…
Style and System viability
Style is what you need to find – we then assess the viability of the system to fit your style. If it does not fit after this assessment period – Then you don’t use that system or you get a refund one or the other. You find a system that fits all of your criteria: style then results.
I will update you with those settings as requested.
I have been testing on a machine with GMT+1 as local time.
Please can you forward me your local times for the sessions you wish to trade.
EG 09am to 1600pm etc…
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MicroTrends tom
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28/12/2009 21:46:37
Tom Leeson
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Thank You for your note.
Could you then recommend two of your best settings for each:
ie: Low Frequency Day trading FDAX, High Frequency Day trading FDAX
Low Frequency Day traiding 6B (combining European & New York Sesson), High frequency 6B (European & New York session)
Low Frequence day Trading 6E (combining European & New York Session) High Frequence 6E (both sesons also)
I will run all six in SIM as my "base" and take it on from there. Hopefuly I will discover my style - my gut tells me it wil be a hybrid betwen the two as the Zen masters recommend.
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MicroTrends tom
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28/12/2009 19:41:19
Tom Leeson
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I really appreciate the effort and time you took to explain that, I know how long it takes to write these emails. Yes I agree and I do understand all of that, it’s very academic and a very good approach, I wish you luck with that. There are many other valid schools of thought on the topic as well.
What I do know and it is re-inforced by the many casualties I speak to, for those who trade 1000s daily and others I know who trade 1000,000s daily - Trading is an Art and a Science – text books are a good place to start- but If you are thinking of money, money, money you are doomed to fail – and it will happily bleed you for years to come – or more quickly without discipline. You should be thinking system, system, system, I just love this system…money is a by product of trading and quite meaningless to trading. If I could procure you a system that makes £1000,000 per year for a friend of mine Rob at RBS in bonuses annually on the $ desk- you will fail in using it like may others around him - that I guarantee – because it is not your style of trading and you can’t drive it.
Lets find the style for you...A tailor fitted suit is always better - i have had many from saville row myself when working in the city as a popr trader back in the day!
The most important factor any successful and experienced trader will agree on as we learn to trade like a professional: - the single most important factor is to use a system you are suited for in terms of style– regardless of any other factor. This is why I asked you those questions to assist me in finding your style.
The MT2 is built on open technology and can be changed and traded in many ways on many or the same instruments, it is an evolved version of the classic moving average crossover. It can be traded on daily or intraday data. With the usage of stops and targets it allows us to try and catch points taken from reversals and directional trends intraday and to limit market event exposure.
high frequency is another word for style - will you stick with a system if it makes many wins in a row and then looses 3to 5 times in a row and wipes out the profit from a lareg amount of trades?
It is about psychology not Zen.. It is about using a settings which creat a system that you can stick with during a drawdown period....
Strategy AnalysisAll the Strategy Analysis data we have is available online for you to peruse anytime you like:
Just login to the website and click settings in the user account menu.
http://www.micro-trends.co.uk/results%2Dsettings/
Select the checkbox “dataseries analysis” and click GO - You will see a list of the instruments and their highest net profit for each timeseries.
I would select a setting to try from that short list and use it on a chart with the same dataseries.
3-5 YearsYou will need to work in Intraday Minute data – as Tickdata with NinjaTrader 6.5 will not go back very far before it keels over.
To obtain your data you will need to back test the MT2 over historical data for the periods you mention – we only go back 1 contract currently intraday but have plans to extend to larger data samples in the future starting with the FDAX.
Regrettably I don’t have time or resources to do this for free at the moment. I am happy to assist you with this on your own machines, or to provide a quote for conducting your study on your behalf with the MT2 and the necessary procured data on our machines.
MT2 SupportAs discussed the MT2 is a new robot, a robot for which I can help you find the settings you want. MT2 is a hands on product for mechanical traders – who wish to learn or are experienced. The robot is supplied and ready to run, you need to tune, setup the handling and drive it, we offer assistance on how to do that. We supply some settings online to demonstrate some of the models and styles.
NinjaTrader provide free training webinars on how to do this and MicroTrends will demonstrate testing and trading the MT2 in January onwards.
Forum:
http://www.micro-trends.co.uk/forum/
Video Guides
http://www.micro-trends.co.uk/products/strategies/mt2/screencasts.aspx
Online Settings:
http://www.micro-trends.co.uk/results%2Dsettings/
Please login – and visit. You can view
Position SizingRegarding Money Management:
Here is a free anti-martingale calculator: http://www.micro-trends.co.uk/downloads/bin/MoneyManagement.xls - we can discuss this in the future.
SettingsIn absence of the information I need to provide settings for trading style, frequency, stop size, session times, daily limits – I will pull 3 settings at random which do require a data provider to supply Daily historical Data.
Perhaps moving forwards we can find the “base settings” and find the ideal for you in terms of style and strategy analysis factors.
FDAX
1 Min
553
6E
1 Min
551
6B
5 Min
532
edited by tom on 28/12/2009
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MicroTrends tom
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28/12/2009 19:28:04
forum
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I was interested in finding a system that is consistent over a long time frame. That is most important. I noticed a lot of systems work well for a few months then fail for the next few months. Rather than trying to find something that was great for the last three months, I would rather find a workhorse system that consistently performed well steadily over the last 5-7 years, regardless of market conditions. ie had an upward cumulative profit graph that was closest to an upward sloping straight line as possible. To achieve this goal any style is of interest as long as it is a day trading system using day trading margins. My broker (Dorman-Mirus) also allows day trading margins in the night session as long as positions are closed out before day session end, so one can trade close to 24 hours straight, if necessary.
Regarding style, like a Zen Buddhist I believe in the "laws on nature" and they always confirm that the middle way is usually the most effective rather than the extremes, so i assume the optimization process should reveal that the most effective system is some kind of middle ground somewhere between a high frequency and low frequency with a magic combination of all parameters (best times to trade, max daily profit target, max loss, most effective stop limit, etc, etc).
For example, the daily profit goal - for a system that makes money often just to give it back right afterwards, it is best to have a daily profit target so one does not give back ones profits, but for a system that makes money steadily, it is best not to have a daily profit limit, because the longer one is in the market the probability is that the more money one makes... same applies to daily max loss. Your optimization research should have revealed which are the best times to trade a particular instrument - I assume for the 6E and 6B the European/London session might be best because the volume is better and I understand that after New York session opens there is often a war between the European traders and the New York traders in the currency market which creates whipsaws. I do not know what are the optimum times to trade the FDAX (your optimization testing might reveal that as well).
Regarding stops, max loss - let work backwards. Lets examine 5 years result and the max peak to valley drawdown. If it is $5000.00, then lets triple it to be safe as we discussed in out first phone-call = $15,000.00. Let's say that going forward the max drawdown might be $15,000.00 and now let's multiply this by three, so we come up with $45,000.00 account size - If we hit max drawdown of $15,000, then we still have 66.6% of our portfolio left. That means that it is safe to trade one contract for each $45,000.00 in one's account. So if one has an account size of $450,000.00 on can trade 10 contracts. For this reason the system with the highest ratio of average daily profit (net of commission and slippage) over the last few years divided by maximum peak to valley drawdown examined over the last few years is the ideal one - coupled with an upward sloping cumulative profit line - that magic combination of all the parameters, that magic middle ground that produces consistent, steady profits, like a workhorse, not a race horse who has a spectacular results but a short lived career.
It you have such a setting for each of these three instruments (let's call it our base setting), I would be grateful if you would e mail me the three for the trial period and I can start working with it and perhaps tweak and optimize it further, but let's start with a strong initial base to start working from.
edited by forum on 28/12/2009
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27/12/2009 21:58:14
Tom Leeson
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Posts: 661
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1. Trade one lot only - all strategies trade 1 lot by default
2. Out at market close (to avoid overnight margin) - to advise on times you want to trade
3. Have the highest ratio of net profit (minus slippage & commission) : maximum peak to valley drawdown - This is secondary to choosing the style of trading -
Style first –risk management levels --- then fiscal….
I can suggest some settings based on the following..
Do you want a setting with:
Basic Style Definitions:
#1 Small targets – high frequency - High winning ratio - Negative Risk Reward target:stop
#2 Large target - low frequency – Lower winning ratio - positive Risk Reward target:stop
Risk Management– is a stop of $1000 per lot going to frighten you or do you prefer $100 per lot per trade?
Is $100 per lot less or equal to 2% of your account equity?
Do you want a daily loss limit? Daily Profit Target?
If all that is mumbo jumbo lets try #1 on a high frequency setup….
If you tell me the times you want to trade I will send you a file with some settings in customised for you.
They would be stored as 9001, 9002 and 9003 etc…
edited by tom on 27/12/2009
edited by tom on 27/12/2009
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MicroTrends tom
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27/12/2009 21:57:56
Tom Leeson
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Posts: 661
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Initially I would like to get your preferred settings (ie: best results long term) for FDAX, 6B and 6E that:
1. Trade one lot only
2. Out at market close (to avoid overnight margin)
3. Have the highest ratio of net profit (minus slippage & commission) : maximum peak to valley drawdown
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MicroTrends tom
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27/12/2009 19:10:03
Tom Leeson
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Posts: 661
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I agree with you the MT2 is definitely not for the faint hearted or the beginner. The idea is that it provides you with everything you need to configure without the need to be a programmer, allowing the trader to concentrate on strategy analysis, find settings to suit your trading style and then backtest and optimise those settings. This means knowledge is required on how to use NinjaTrader strategy Analyzer, backtesting and optimisation.
For most new traders this is overwhelming - for the experienced it is straight forward and a case of getting familiar with what happens on a chart when you alter a parameter.
To address this gap I have posted some settings - which are recommended as such but have been produced by the optimiser and then placed into the online settings database. This is so you can get a look at the different settings and the impact of each.
It is impossible for me to guess what will suit a trader - but I can suggest a strategy setting - and define how it will behave and why... We can do this until we have discovered the settings you prefer.
There will be webinars starting in January to help get the settings that suit you and to teach about the features of the MT2.
Your Settings
Do you want a setting which means you get in and out quickly - high frequency trading or do you want a low number of trades with a large risk reward ratio...?
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MicroTrends tom
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27/12/2009 19:09:01
Tom Leeson
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Posts: 661
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I looked at the website and before downloading the trial for the auto- trader, could you recommend and e mail me one good setting for the each of the following: DAX, 6B and 6E. I would like to run them in SIM for a few days as I am learning/observing more about your system.
Trying to figure out which one to use seems to be a bit overwhelming for a beginner.
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MicroTrends tom
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