Release of SQX 139 Dev 1 and what’s planned for year 2024
We’d like to announce the release of the new SX 139 Dev 1 version – note that this is a development version for testing, not the final 139 version. Most …
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My name is James Knoesen. I live in Auckland, New Zealand. I’ve been a Business Analyst for the last 14 years with a heavy focus on Technology and Commercial/Financial Analysis.
I hope to move on from this and be a full time algo trader in the next 2 to 3 years and build wealth beyond this.
I was working with a life coach and he kept talking about Ripple before the 2017 Crypto bull run. At the time it was $0.20 and when it started sky rocketing before it hit $3.50, I wanted to get in and make some money.
It seemed like easy money at the time. Put on a trade and buy a Lambo right? I finally got into trading after the bull run (it took me ages to get onto an exchange and buy some BTC because exchanges were flooded with new applicants), but I eventually got in and started trading.
I initially started trading and did well and I thought it was easy and decided to go full time, but it turned out that it wasn’t easy. Not at all!
After my initial success, I had a string of losses and this eroded my confidence severely and I started doubting myself at every turn and I ended up losing quite a lot of money and had to go back to work.
However, I enjoyed the process, I enjoyed the challenge and I enjoyed the communities I had become a part of and I knew that if I stuck with it and learned to perfect the art and craft of trading and how to be a successful trader, I would ultimately succeed.
I started doing better at my discretionary trading and started making money because I focused heavily on trading psychology and less on technical stuff.
However, even with my success, because discretionary trading requires a lot of screen time, I would get tired on top of my other responsibilities (work, family etc.) and I would start making bad decisions and lose all the money I’d gained and end up back where I started, completely burnt out and have to stop trading for a while to get my energy back. This happened a few times.
My initial plan was to get good at trading, then learn how to code and build trading bots based on my experience, but after I burnt out a few times and with someone introducing me to MT4 EAs, I decided that maybe I should explore algo-trading instead because of my time constraints and resulting emotional struggles that affected my trading.
I did a few courses on Udemy for building bots, bought a black-box EA on MQL Markets, bought some dedicated server power and before I knew it, I was running the genetic algorithm for optimising settings on my blackbox EA on 5 servers with 100 MT4 windows open and scripts collecting results that I was putting into an SQL database for analysis.
I had someone tell me about Strategy Quant and I contacted the team for more information. One of the team, Tomas Matejka, was kind enough to share a 25 video course for an older version of Strategy Quant with me.
I watched every video and the course content blew my mind when I realised just how important thorough robustness testing was with building strategies.
The course really helped me understand why I was seeing the poor results from my black-box EA testing, results and optimisation analysis and just how much I was lacking with my process!
I also wasn’t all that happy with the “black box” aspect of market bought EAs. I wanted full transparency and my own source code with all of my EAs.
I subsequently got a trial license with Strategy Quant and converted to a full license. I initially used the default workflow from the courses and built 2 portfolios that are still in testing but are profitable.
The freedom it gives me to be away from the computer and not have to trade at odd market hours
The emotional freedom
The capacity to run hundreds of strategies automatically, 24/7/365
The ability to build a robust risk management system because I can build, test, deploy and manage/ replace strategies to minimise my exposure
The challenge and analysis side of building the ultimate portfolio
The future potential of building a successful hedge fund.
Long or Short only strategies as markets behave differently in either direction
Build from Sept 30 2013 to latest in 2020 with 80% IS and 20% OOS
I also ALWAYS build using a higher spread that I’ve monitored through my broker e.g. I build with 2 pips for EURUSD when my broker average during my trading window (under trading options) is 0.7 pips.
These are 28 FX Pairs on H1 Timeframe
Once I have 100 long and 100 short strategies for each pair I run these robustness tests:
MC Price
MC Price pass criteria
MC Parameters
MC Parameters Pass Criteria
SPP
SPP Pass Conditions
WFM (selected timeframe)
WFM (selected timeframe)
WFM (1 minute precision) – with same pass criteria as above
I then manually choose best results (best matrix result for each strategy)
I add this to the notes field in Strategy Quant e.g. R6 30P
I load all of the Walk Forward Matrix strategies that I picked above into Quant Analyzer, where I can break each walk forward test down into a single result and pick the best result based on my notes field above and discard the rest
I have custom snippets / scripts in QA4 to help me split these out and cleanse the names
I run all of the strategies through the Portfolio Master to get the best strategies with a correlation of <= 0.4 for Profit / Loss by MONTH
I save the information from the bets strategies from Portfolio Master into excel and have custom VBA scripts that help me copy the original files and rename the destination files based on my results e.g. AUDUSDH1 WFM100 1.10.100.sqx will become AUDUSDH1 WFM100 1.10.100 R4 20P.sqx
I import the destination files back into SQX
I manually open each strategy and
Once I’ve done this for every strategy, I save the files as SQX and MQ4 files
I deploy these strategies into an incubation demo trading account
If a strategy hits its drawdown limit based on Monte Carlo in Quant Analyzer testing (described in the question below) I will re-optimise or remove and replace
Low correlation
A reasonable number of strategies across a reasonable number of assets – 15 to 20 FX pairs (majors, minors and potentially some exotics), Gold and 3 or 4 Indices. I will look to include futures and crypto later and build a very large portfolio of strategies in the future with a team to help me manage this and automate as many aspects as possible of my algo-trading e.g. Hedge Fund
Run more strategies with lower risk for each e.g. It is better to run 20 strategies with a $100 Fixed Amount of Risk than running 2 strategies with $1,000 of fixed risk.
If your account makes profits, add more strategies e.g. If you have a $10,000 account and can manage 20 strategies with $100 Fixed Risk Amount, if you make $2,000 of profit and now have a $12,000 account, add 4 more strategies and run 24 strategies
ALWAYS manage risk. Calculate you absolute highest possible margin requirement (most trades in a day from QA portfolio)
Know AND understand what you’re trading and the risk involved.
I use recommended parameters from Walk Forward Matrix as above
Explained above
I HIGHLY recommend a spread monitor to monitor your broker spreads over time. Save this data and put it in Power BI or some other visualisation tool to help you build understand what happens with your broker spreads at various times of the day.
DON’T OPEN AND CLOSE TRADES AT ROLLOVER and if you have trades that will be open at rollover, make sure they are higher timeframe trades with larger stops
Look after yourself:
Ask for help. ALWAYS ask for help. There are no dumb questions. Ever!
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Excellent detailed article, thanks for the time and effort you placed there.
Thank you Kornel for this very interesting article, and thank you James for sharing your workflow.
Is there any way to get in touch with James if we have question? Email or forum profile?
Thank you for sharing your knowledge and workflow with the community. I learned a lot.
Thanks for your feedback, we are happy to help!
Very nice interview.
Would you please share what are those 28 Forex Pairs for H1 Timeframe?