request of money management for a Grid strategy

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Viewing 15 posts - 1 through 15 (of 33 total)
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  • 02/04/2017 at 7:36 AM #23881
    ALE

    Hello Guys having a little fortune this strategy could make money for a period, but as we know it is very dangerous. I’d like to share this code to ask you if someone could apply some intelligent money management.

    Thanks Ale

    name of the indicator to call :indicator “Universal 30”

    name of the indicator to call indicator: “divergenze”

    Strategy: DAX CFD 1€ _ 1 Minute_

     

    1 user thanked author for this post.
    avatar Elsborgtrading
    02/04/2017 at 9:58 AM #23885
    Elsborgtrading

    Hi Ale. Looks interesting. very good test results but to make a money management we need only to look at how much you are risking. Not having looked into the code, can you predict how much you are risking?

     

    Cheers Kasper

    02/04/2017 at 10:30 AM #23894
    ALE

    Hi Kasper

    I’ don’t know, My first problem is that in the last six month dax doesn’t burden this strategy, but as we know this kind of strategies are a pineapple.

    So the way may be to start with 2000€/3000€ and every month take profits until the break even point, then we are survived, then we are gain and every month no reinvest profit but we will use it to manage future drawdown, and so on.

    If everithing go ok, then we will have a long period to better strategy.

     

    thanks

    Ale

    02/04/2017 at 11:21 AM #23900
    cfta

    Hey Ale,

    Thanks for sharing, it looks like an interesting strategy but could you please explain in more detail how it it intended to make money?

    I installed the indicators and backtested the strategy but I’m confused about the intentions with the settings for the cumulative orders since orders are added when price is going the wrong way and the exit only seem to kick in for profits but not for stop loss.

    I also tried running it on the DOW for reference, it had a 94 % win rate but yestereday it would have build up a position of 12 short contracts while the price kept rising and wiping out 20 % of the account in a few hours.

    02/04/2017 at 2:05 PM #23915
    Nicolas

    FYI and comprehension of what Ale is talking about “a grid”, you can read my article about averaging down in the blog :
    Averaging down

    2 users thanked author for this post.
    avatar winnie37, avatar ALE
    02/05/2017 at 4:20 PM #23990
    cfta

    Great blog post! I’m familiar with averaging down since earlier on, I just to swing trade H4 charts increasing my position size for each entry, in demo I made a 1000 % profit in 6 months on my real account I made about 25 % a month for two months then… I got my first and so far last margin call. That was manual trading which creates a lot of psychological pressure which we can easily eliminate here.

    Anyway we should be able to make major improvements for this strategy by modifying the following features of the grid code;

    • Reverse the grid step function, in its current state the grid code add on positions with a smaller distance when the ATR is high and with a greater distance when ATR is low. For this system we want the opposite, when ATR is low and the market is likely to be ranging we add on positions with a smaller distance and when ATR is high and the risk of the price going the wrong is also high we want a long distance between the entries.
    • Use the grid step intervall to ensure that orders are not stacked to tight, if we sell and the price goes up by 1 pip for each bar we don’t want to build up a large position by adding an entry on each new candle.
    • Use a hard stop loss to keep losses moderate when the price is going the wrong way and doesn’t retrace.

    I started integrating the codes, the below is a long only draft but no trades in the backtest, I wouldn’t have been surprised if the grid step didn’t work but I can’t figure out why there is no first trade taken on DAX 1m for the past week since the original code takes a few trades.

     

    02/05/2017 at 10:14 PM #24016
    ALE

    Hello Cfta,

    I knew that if I called you, you would have done a great job.

    It’s very interesting use of ATR and grid step order.

    If you will have time to work on the short position, it will be veri interesting to know result. Thanks in advance!

    @Casper have you some good idea of yours?

    Thanks you all

    PS: The name of this strategy could be:”To walk on thin ice” :-))

    02/09/2017 at 8:14 AM #24455
    Elsborgtrading

    Hi guys. I have been puzzling with this in my head- between my family and other busy work schedule. I really like your 1 min strategy, and I also see that you in some way are using the avenging down strategy- adding position to a loosing trade. Because that’s what it is. It can be highly profitable, BUT also like CFTA I had a margin call- several times using this strategy in Manuel trading. It actually led to cancel one of my account and go into a thinking box- deciding weather or not I should trade at all.

    I read the avenging down post a while ago, and I also listen to various webinars. One thing is clear. never add to a loosing trade and martin gale systems will eventually lead to ruin. It’s a mathematically fact.  However can we limit it- say 3 steps within a certain pip range, or whatever we like? But I see that you are adding position according to the indicators.

    So I came up with the ultimate money management for you system.. are you ready…. 😛

     

     

    BOOM!!!

    Cheers Kasper 😀

     

     

    1 user thanked author for this post.
    avatar winnie37
    02/09/2017 at 12:11 PM #24477
    Elsborgtrading

    warning I might be chicken out here:-)

    Now we know the stoploss we can look at how much we are risking, and also what our Risk/Reward is. One of the thinks I’ve learned- is that these thinks are important when trading. I have added some position management code. it well know in the site.

    The important thing is we know the stoploss and how many positions we have at each trade. then we know the risk. If we also know the winnings, we have the RR.

    Risk[%]=numbers of positions*stoploss/equity*100

    RR=winnings/risk

    I have graphs it in the code. So lets try and see what we have.

    Equity=10122

    A random Trade ending op with 2 position we risk 1.9%. (200/10122*100=1.9)

    we win 12.8 Euro

    RR=12.8/(10122*0.019)

    RR=0.06

    Also I graphed the max-risk recorded as being 9,4% for a trade at one point

    I don’t want to disappoint you on your strategy, but it is a very high risk code- even with a capital start at 10000 Euro- but it’s very profitable.. at least for now. High risk=High Gains.

    but in the end it’s up to every individual to accept the risk, but at good start is knowing how much we are risking.

    Best Regards Kasper

     

    2 users thanked author for this post.
    avatar winnie37, avatar Nicolas
    02/09/2017 at 10:58 PM #24580
    ALE

    Hello guys, thank you for your very appreciated attention, this strategy has no future, as all grid strategies, although I must admit it is very pretty, and it is worthy of attention and study. Research is very exciting for us traders, but we agree that to make money it takes attention, and patience, otherwise we are just gamblers. I posted here because I knew that you would have stimulated your search, and thanks to your ability we could have found some very fascinating results. The results of this strategy are temporary, but they are the dream of every trader, and dreams push humans beyond their limits. Thanks you all

    1 user thanked author for this post.
    avatar Elsborgtrading
    02/10/2017 at 9:37 AM #24611
    Elsborgtrading

    Thanks ALE, It’s very hard to come to this conclusion, specially when the numbers in back test are this good. I must say I was very tempted to trade it live, but an RR=0.06 and a possible risk on 10% I think it would be vice not to. I will be looking forward for your next strategy *thumbs-up

    Cheers Kasper

    02/10/2017 at 9:57 AM #24614
    ALE

    Thanks Kasper!

    02/10/2017 at 11:53 AM #24644
    winnie37

    just for fun, i would like to test it in demo. When i want to launch it in autotrading,  i have the following message “graph instruction can not be used in autotrading”. I’m with PRT10.3. What is the modification to do, Kasper? Thanks

     

    02/10/2017 at 12:24 PM #24646
    Elsborgtrading

    Hi Winnie.. place // in front of the Graph lines- then it will work.

    Graph instructions are only for backtesting

    I am testing it in Demo as well. don’t be fooled. it has already made 120 Euro this week. But 3 bad trades in a row will blow your account- you will never know when it will come

    Cheers Kasper

    1 user thanked author for this post.
    avatar winnie37
    02/10/2017 at 6:40 PM #24740
    winnie37

    lol. Funny to test but can be dramatic 🙂 Even with a 10K account? what’s the max drawdown?

    Surely better to stay on Patfinder 😉

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