$TRILLION STRATEGY

trading strategies and money management discussion, code, results

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TheRumpledOne
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Postby TheRumpledOne » Fri Mar 16, 2007 5:18 am

$TRILLION

IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!

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bh4313003
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$trillion

Postby bh4313003 » Fri Mar 16, 2007 12:23 pm

[align=left]I have been following this idea since I first saw this over on Tradestation many months ago. I kept saying to myself that this idea has gathered so much attention there must be something there yet every time I tested it out it was not that great. It always looks impressive when TRO posts the daily bars with high and lows compared with previous day open and close, it makes it look like a no brainer killer idea. And since you are not really greedy and only going for 10 pips, heck that ought to be easy. It appears that the challenge is in the stop loss, how much breathing room you have to let it have to reach the 10 pip profit vs where you have to place the stop loss.

I have never contributed to any post, just read and suck up the info and thought it was time to contribute.(I leave it up to other to judge if any of this garble is a contribution thought)

Here is the TS strategy code that I downloaded:

[code][/code]

Input: PT(10), SL(30);

vars: Open2(0), TT(0);

if time = 1601 then begin
value1 = Open2[1];
value2 = close[1];
Open2 = Open;
TT = 0;
end;

if MarketPosition <> 0 then TT = 1;
if TT = 0 then begin
Buy next bar at MaxList(Value1,Value2) Stop;
SellShort next bar at MinList(Value1,Value2) Stop;
end;

{ profit taking }
if MarketPosition = 1 then Sell next bar at EntryPrice + PT/10000 Limit;
If MarketPosition = -1 then BuytoCover next bar at EntryPrice - PT/10000 Limit;

{ stop loss }
if MarketPosition = 1 then Sell next bar at EntryPrice - SL/10000 Stop;
If MarketPosition = -1 then BuytoCover next bar at EntryPrice + SL/10000 Stop;

{ end of session exit }
if time = 1558 then begin
Sell next bar at Market;
BuytoCover next bar at Market;
end;

[/align]here is what the trade looked like on 3-15-07



I dont believe I recall anyone posting how this system has done over an extended period of time other that TRO posting if the system hit the 10 pip target (although this doesnt take into account if it hit the 30 pip stop prior to hitting the 10 pip profit target) (its likely it has been done and posted but I did not find it)

Here is the equity curve for the above system and the performance report:





so far this is looking impressive and I see why this has received so much attention.

I did forget one aspect to my back test though and that is cost of trading. So I had to go back and account for the 2 PIP spread (could be greater or lower depending on your broker) since tradestation data is only bid data (this would truely be best case scenario)





I hope this helps someone who is trying to put all the pieces from this long thread together.

Also interested on comments if I have put all this together correctly and come to the correct results on how this system trades with the EURUSD.

I have gone through and worked this with other pairs and can post later after seing what feedback come from this post.

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Postby pipette4x » Fri Mar 16, 2007 12:34 pm

looks interesting. What time did you enter the trades?

Pipette

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Postby BP » Fri Mar 16, 2007 12:54 pm

In my research, Euro was not a good pair to trade....gbp was much stronger.

BP

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$trillion entry time

Postby bh4313003 » Fri Mar 16, 2007 1:24 pm

the system enters at 4:01 cst (5:01pm est)

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Postby TheRumpledOne » Fri Mar 16, 2007 2:05 pm

bh4313003

A 10 pips target with a 30 pip SL is NOT going to work. It doesn't make sense ( cents ) from a money management point of view.



Remember, it wasn't me who started the 10 TP, 30 SL idea. Someone just wanted to backtest $TRILLION THEIR WAY!!

I never intended for an automated strategy to be made for PUBLIC CONSUMPTION for the simple reason if something goes wrong it can cost you BIGTIME.

Trading has NUANCES. Some can be taught, others must be EXPERIENCED FIRST HAND to "get it".

Too many people waste time backtesting instead of learning HOW TO TRADE. The books/authors/experts have fooled enough people. And when something simple AND profitable comes along the EXPERTS have to "protect" YOU ( meaning keeping you tied to their methods ) from it.
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!



Please do NOT PM me with trading or coding questions, post them in a thread.

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Postby bh4313003 » Fri Mar 16, 2007 2:38 pm

thanks for the response TRO

am I correct in understanding your response that the idea is sound but can not/should not be automated or backtest

the idea needs to be traded, and through personal experience one will refine the approach to better judge when specifically a trade should be taken and when to enter and exit. as well make sure the money management statistics play out that in the long run you live to trade another day.

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Postby TheRumpledOne » Fri Mar 16, 2007 2:54 pm

$TRILLION has been automated. Whether or not YOU automated and profit is up to you. Backtest all you want - that's up to you, too. I backtest statistically AND I backtest the instrument, NOT the code.
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!



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Postby bh4313003 » Fri Mar 16, 2007 2:59 pm

if one backtests the idea via tradestation, the system as is can not do much better than what I posted then

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Postby eudamonia » Fri Mar 16, 2007 3:47 pm

bh4313003,

One the critical flaws in your testing of the system is the assumption that you are going to pay 2 pips round turn. This is flawed to the core. Avery enters these trades with a limit order and exits with a limit order. He works the time and sales (i.e. read the tape) to get his price (as far as my understanding). Yes you're going to pay some coms, but this is not huge.

When you are scalping like this a 1 pip expectancy is huge!!!! I would never, never give up 2 pips on the Euro per trade.

This is why backtesting is cute, but you need to read the tape if you want to make this work.

Hope this helps. Peace.

Edward
Eudaimonia (pron.: you-die-moan-e-a) (Greek: εὐδαιμονία) is a classical Greek word commonly translated as 'happiness'. The less subjective "human flourishing" is often preferred as a translation.

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