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  • #135896 |
    Customer
    734 Posts

    Thx, its 80% profits from self-built EA Wizard strategies on the Daily charts. Should be up around 40% when open positions hit their profit targets. Nothing has been changed in it for 6+ months.

    That GBP sys looks nice Mikeyc.

    #137396
    Customer
    922 Posts

    That GBP sys looks nice Mikeyc.

     

    Thanks, reached 100% gain today, with less than 20% drawdown.  🙂

    #137413
    Customer
    434 Posts

    yeh system looks good, but there is zero diversification. if i see how big is the loss when it comes, “a few bad trades” and you are out of the game. And what after?

    Portfolio of systems would be better way. Single strategy can always look great. (as one of my eas from real account-attached)  

     

     

    #137415
    Customer
    922 Posts

    I’m still waiting for someone to show me this Holy Grail of a 1000 diversified portfolio of strategies, on a live account, making 100% gain in a few months with low drawdown…. 😉

    #137416
    Customer
    429 Posts

    I’m still waiting for someone to show me this Holy Grail of a 1000 diversified portfolio of strategies, on a live account, making 100% gain in a few months with low drawdown…. 😉

     

    Mike’s systems are kicking ass!  It is good to see.  UK standup!

     

    (I won’t mention fundamental data  B) )

    #137426
    Customer
    734 Posts

    Its holding up, currently one of the nicest SQ public portfolios.

    #137427
    Customer
    734 Posts

    I’m still waiting for someone to show me this Holy Grail of a 1000 diversified portfolio of strategies, on a live account, making 100% gain in a few months with low drawdown…. 😉

    10 can be done pretty easily, but there is no such thing as “diversified” in forex. All the currencies movements are interlinked. In futures its so easy. I wish your EA luck going forward. Time is the hardest test of all.

    #137434
    Customer
    429 Posts

    no such thing as “diversified” in forex. 

     

    This is not to true.  The diversified nature of a portfolio is driven by the return correlation coefficient of the competing portfolio models.  For portfolio A: there will be no diversified benefit if the returns have a perfect positive correlation (1111 vs 1111) and maximum diversified benefit will be achieved when the returns have a perfect negative correlation (1111 vs -1-1-1-1).  However, to achieve portfolio returns which dominate all other portfolios, in terms of risk vs return, it would be necessary to include non-forex components in the portfolio.

    #137439
    Customer
    734 Posts

    This is not to true.  The diversified nature of a portfolio is driven by the return correlation coefficient of the competing portfolio models.  For portfolio A: there will be no diversified benefit if the returns have a perfect positive correlation (1111 vs 1111) and maximum diversified benefit will be achieved when the returns have a perfect negative correlation (1111 vs -1-1-1-1).  However, to achieve portfolio returns which dominate all other portfolios, in terms of risk vs return, it would be necessary to include non-forex components in the portfolio.

    I know I must be careful on this forum. I’ve probably said exactly what you just said many times before here, and I believe it strongly.

    It was a blanket statement/generalized. In comparison to a portfolio that has Bonds, S&P, DAX, Gold, Copper, Oil, Nat gas, Coffee, Cattle, Soy, and a couple of currencies vs a portfolio of only FX pairs one definitely has an edge. Then use your example of non-correlated systems and put them into non-correlated assets and wow! Thats fucking good. If I were to put my money in a hedge fund I’d 101% pick the diversified futures fund every time. No body in the professional money management space would argue that.

    I think you can mitigate a lot of correlation in FX by selecting a basket of maybe 6-8 pairs (excluding the long list of exotics) using the same system on all or alternatively (and more powerfully) by blending non-correlated systems across multiple pairs or even multiple non-correlated systems on 1 pair via (example) trend following and mean reversion. My Portfolio runs an EA Wizard Daily system on 7 pairs, then I have 4 SQ systems currently trading the H1 on a few separate pairs, so its a blend of both of the above examples. Its definitely low-correlation.

    (For SQ) A pretty good starting 3 basket and my “default” is EURUSD GBPJPY AUDCAD. For this ‘first tier’ the systems don’t even matter. All rules are the same because the pairs have very low correlation already. Then for a ‘second tier’ I mix those currencies up again (and maybe even replace EUR with CHF)… Ex: USDCAD/AUDJPY/GBPCHF or AUDUSD/CADJPY/GBPCHF with slightly more careful system selection for correlation purposes here, but not overkill. The pairs again are not very correlated.
    This is the current status I’m at with the new server is “tier 2”, besides the awaiting notepad full of manual patterns that need to be made in SQ4.

    #137453
    Customer
    429 Posts

    I know I must be careful on this forum. I’ve probably said exactly what you just said many times before here, and I believe it strongly.

    It was a blanket statement/generalized. In comparison to a portfolio that has Bonds, S&P, DAX, Gold, Copper, Oil, Nat gas, Coffee, Cattle, Soy, and a couple of currencies vs a portfolio of only FX pairs one definitely has an edge. Then use your example of non-correlated systems and put them into non-correlated assets and wow! Thats fucking good. If I were to put my money in a hedge fund I’d 101% pick the diversified futures fund every time. No body in the professional money management space would argue that.

    I think you can mitigate a lot of correlation in FX by selecting a basket of maybe 6-8 pairs (excluding the long list of exotics) using the same system on all or alternatively (and more powerfully) by blending non-correlated systems across multiple pairs or even multiple non-correlated systems on 1 pair via (example) trend following and mean reversion. My Portfolio runs an EA Wizard Daily system on 7 pairs, then I have 4 SQ systems currently trading the H1 on a few separate pairs, so its a blend of both of the above examples. Its definitely low-correlation.

    (For SQ) A pretty good starting 3 basket and my “default” is EURUSD GBPJPY AUDCAD. For this ‘first tier’ the systems don’t even matter. All rules are the same because the pairs have very low correlation already. Then for a ‘second tier’ I mix those currencies up again (and maybe even replace EUR with CHF)… Ex: USDCAD/AUDJPY/GBPCHF or AUDUSD/CADJPY/GBPCHF with slightly more careful system selection for correlation purposes here, but not overkill. The pairs again are not very correlated.
    This is the current status I’m at with the new server is “tier 2”, besides the awaiting notepad full of manual patterns that need to be made in SQ4.

     

    Agreed

    #137656
    Customer
    734 Posts

    Seems like both strategies had pretty significant drawdown on the latest bullish move on the Dollar Index Mikeyc

    #137657
    Customer
    922 Posts

    Seems like both strategies had pretty significant drawdown on the latest bullish move on the Dollar Index Mikeyc

     

    Yep,

     

    I have switched them both off now.

     

    They won’t go back on till long after the EU referendum is a distant memory in everyone’s mind.

    #138584
    Customer
    922 Posts

    I have enabled them again, since Britain isn’t really doing anything (no real Brexit).  With new settings they are clawing back their losses.

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