Test (and blog) End.

Real Time System Test Summary:

Total Number of days traded:    20

Total number of winning days: 14

Total number of losing days        6

Percentage of winning trades 52%

Total profit in 20 days based on minimum spread bet size of £1 per point £1,246

I was asked to test this system method in real time for a full four week period. Not knowing that August would be one of the toughest and most volatile periods on record... Read article 

Volatility is the enemy of traders, yet perversely, many people are enticed by the wild market swings, blissfully unaware that far from the opportunity it may appear – volatility is the destroyer of novice trading accounts, providing windfall profits only for the spread betting firms.You only need to read their annual reports and accounts to see evidence of this.

However, the results of the system test are in ; 14 days out of 20 were profitable with a win rate of 52%  Over £1,200 profit from just £1 per point in most cases. For any method to have fared so well in such a volatile period is really quite extraordinary. The benefits of trading a mechanical approach couldn’t be better illustrated. Comparing the results in the test period to previous months/years it can be seen that the results were not unusual (within expected levels of deviation given the relatively small sample size) The win rate and rate of return for the system were only marginally down on the historical performance if judged  on a level stakes basis.

Adjusting the order levels to account for the spread was the only real difference between trading the method via spread bets compared with direct access and trading contracts.  The tax saving benefit however is considerable.  As the system was so exact at finding the key inflection points in the market, it was important to adjust the order level for the spread (as covered in the previous post) My personal "fat finger" was setting the orders in the early hours while packing to go on holiday, which serves as a reminder to measure twice and cut once!

The system test was performed at the minimum of just £1 per point, with the exception of a few trades at £2 per point to keep some level playing field. This was to keep it simple and to make it easy to see the overall number of points gained or lost.

However the system signals are in reality only one part of the overall method I had access to. The trading method tested originated in Japan and employs a proprietary position sizing algorithm which apportions the amount risked in monetary terms to the expected value and volatility of each trade opportunity.

The "proper"  way to trade this system is to set aside a bank roll and stake each trade at an amount per point based on the algorithm. To illustrate the difference, below is my first trading week stepping up to using this correct money management. I set aside £5,000 from my current spreadbet account on which the system worked out my bet sizes.

It seems the good run I was enjoying in August has continued as my £5,000 pot has nearly doubled in the first week! Below is a screen shot of the trades I made each day this week. You will note the varying amounts staked now based on the apportioned position size as advised by the method.

The  system's signals -giving new trades each day- combined with the proportional money management algorithm looks incredibly effective. I shall carry on trading my account using this method (why would I not!), but not this blog unfortunately - I have gone from tester to "proper user" and as such I can no longer share the signals advised.

Transactions using the systems signals and now the correct stakes:

This blog concludes this 4 week test period. I hope it was of interest to see a systematic approach to trading with real money on a real time account... in real time!

I wish you the best of opportunities.

HomeTrader1

Day 20. £364 profit for the system but a £250 loss for me.

Today, 7 out of the 8 trade orders were triggered and were soon "in the black",  but by lunch time,  a mood change brought a change of colour to my account.

The interesting trade however is the one that got away...

As you may have spotted over this past month, the system provides me with buy and sell levels in 11 markets, which together form a hedged strategy.  Depending on the profile of the trigger responsible for the signal, the market sometimes has to fall to fill a buy order (filing the order at the most advantageous level) or go up to fill a buy order (seeking further confirmation of the momentum)

If you look back on the order levels set, and compare them with the key trading levels the next day, you will see that the system has done a pretty good job at anticipating those key levels.

As you will see from this mornings post on this blog (below) one of the system's orders placed at 7.40 am was to buy the  EURCHF at 1.13980.
I closed all my positions at 9 pm this evening. The EURCHF buy order was the only one not to be filled. Looking at the chart below, you can see that the low of the day was 1.13945. This is below the buy level of 1.13980, and at first glance you might expect the order to have been filled. However, the spread betting firm I use fills orders at their quote (not at the market as some others do) The EURCHF has a 4 pip spread, consequently, their bid price needed to touch 1.13940 to have filled this order today. As you will see from the chart below, the bid price touched 1.13945. The order was not filled because it missed the order level by half a pip (the smallest of margins, so small that it is not a tradeable unit)

Below you can see that the market went below my order but failed to trigger it:

This is interesting as those trading this system via direct access, spread betting "at market", or making an adjustment for the spread if trading "on quote" were all filled,as the market had touched the fill order level. As you can see from the second graph below, the EURCHF then went onto rally by 304 points. You will also see that my order was for £2 per point (to bring the RR roughly in line with the other orders)

Instead of seeing a profitable trade adding  £608 onto my account at the close of play, I saw an order not filled. Two weeks ago a similar thing happened, missing out on a significant DOW trade.

To ensure the system is executed properly, if using a spread bet, an allowance needs to be made for the spread cost to ensure the trades are filled at the system's levels.

It is also true that it can go the other way. One days missed profit is another "stop not hit" or a dodged bullet with a loser not being filled. However, missing a trade is always going to disadvantage the results in the long run as this system does have a positive expectation.

Day 20. Eleven new orders today

Today the system has 11 new orders on 8 different markets. The T Note order opened on placing.

Day 19 End. £211 Loss

Both of today's orders triggered. The sell USDCHF position closed in profit, the Dax closed with a loss.

Day 19. Two opening orders today

Today there are two opening orders.

The Dax was already at the systems buy level, consequently I opened the trade immediately. The USDCHF sell was placed as an order to open.

Day 18 End £46.90 Loss

Day 18.  All 7 opening orders triggered today. Five closed with a loss, two closed with bigger profits:

Day 18. Seven Opening orders today

Today there are 7 orders to open today. The FTSE sell position and the USDCAD buy position opened virtually on setting the orders.

Day 17 End. £33 Profit Today

Today 3 of the 6 orders were filled. The Silver sell position closed £75 in profit. The Sell USDCHF position -£11, and the T Note (10 year) closed -£31

Day 17. Six opening orders today

Day 17- 6 orders to open today:

Buy orders on the Dax 30 and US T Note. Sell orders on USDCHF, USDJPY, Silver and  FTSE 100.

Day 16 End. £71.30 Loss today

Two of today's three orders filled today.
The FTSE 100 buy closed in profit, the Crude Oil sell position closed at a loss.

Having been in profit for most of the day (showing £120 profit around lunchtime) it closed in negative territory at the close of US trading.

Day 16. Monday 22nd - 3 opening orders today

Today there are 3 opening orders today. The FTSE was already 10 points ahead of the systems trade open buy level, consequently I opened the trade immediately.

Day 15 End. £5 Profit Today

Two of the five orders placed today were opened in the early hours of this morning.  After the big swings of the week, today has been relatively stable and quiet for the triggered markets. The Dow long position closed £21 down, the T Note position closed £26 up. I am leaving now to fly back to the UK; flight times mean I will be just about airborne at market close, and have therefore exited positions a bit earlier today.

Day 15. Five Orders today

Friday, end of week three of this spread betting system blog and there are 5 orders to open today. Placing the trades at 1am Friday morning, two trades opened immediately; the buy on the wall street and sell on T Notes (10 yr) 3 sell orders remain waiting to open: EURCHF,EURGBP and USDCHF

Day 14 End- £209.10p Profit today

4 of the 6 orders placed today were filled, banking profits on the Dax sell trade, EURCHF Sell, and USDCHF buy. The USDJPY closed at a loss.

Day 14. 6 Orders Today

Day 14,
Orders on 6 markets for Thursdays trading day:

Day 13 End £49.20 Profit Today

Of the 6 orders placed this morning, 5 were filled. 3 closed at a profit, 2 at a loss.
The Crude Oil Sell position was filled on the September contract. This contract expired today at 8pm; closing the postion at that time. The Russell 2k sell was filled shortly before the close.

Day 13- Six orders today

Day 13 following this spread betting system in real time during the month of August - and there are 6 opening orders placed on my spread betting account today...

Day 12 End. £155.50 profit today

Day 12 following the system. 5 of todays Nine orders triggered today. 3 closed in profit: USDCHF, EURCHF and US 10yr bonds These are todays closing positions;

Day 12. Nine orders today

Nine orders today on 7 different markets, two placed as OCO orders (One Cancels the Other if filled)

FTSE 100 and Dax placed as they oppose on opening levels. Here are the orders placed for tomorrow. USDCHF opened on placing the trade:

Day 11End, £101 Profit Today

3 of the 4 orders triggered today:

The Russell 2k buy order triggered today, as did the Crude Oil order, both closed in profit. The T note (10 Yr) buy order triggered and closed with a loss:

Below is a screen shot of my spread betting account, showing also Fridays trades and the losing "rogue" Dow trade:

Day 11

5 Orders on 4 Markets today.

I am away from my usual location for the rest of this week (30oC and Palm trees here)  but will be maintaining this trade blog, placing my trades after midnight in readiness for the following days activity, to save me the job in the morning. These are the systems orders today, as placed on my spread betting account:

There are 5 orders on 4 markets today. I  can set both the Russell 2k and the FTSE 100 trades as they do oppose (buy and sell respectively) so do meet the opposing  rule

Day 10 End. Loss £521

Today I was the architect of my own misfortune.
I am travelling today, consequently placing the systems trades rather hastily last night.
The system generating the signals is best described as a weighted Forex correlation system. The core markets of the system being 6 forex pairs with a further 5 additional markets; Silver, 10 yr T Note, plus 3 stock indices; Dow, FTSE 100 and Russell 2k,- providing a spectrum of positively and negatively correlated markets.
The system rules are virtually automatic. However ,there is one rule I am required to police manually;
The 3 stock indices are the most closely correlated . Trading all three in the same direction alters the weighting of the strategy, as it effectively doubles or triples up on the same bet. This skews the method, increasing drawdown and losing sequence risk. The system rules say that I can trade 1, 2 or all 3 indices, provided that either their opening levels oppose (as was the case with yesterdays Dow and Russell 2k orders) or their directions oppose (if one is long and the other is short).
I made the mistake of placing all three index opening orders last night without checking the opposing rule, and as a result, both Russell 2k and Dow positions were filled virtually simultaneously in the same direction., resulting in a doubling up of the same bet.
I recognised this around 2.30 this afternoon when opening my online account. In response, I immediately closed one position (Dow) by which time it was already in negative territory by just under £300. I have found through experience, it is better to except an error of judgment and bite the bullet immediately, rather than hang on and hope it will turn around- I have found that hope has a negative expectancy in the long run, ask Nick Leeson.
Had the situation been reversed- that I inadvertently added to a winning position- I would still have closed out one of the rogue positions earlier in the day and taken a windfall profit ...but for some reason, trading mistakes always seem to land buttered side down.

I can't upload the screenshot from my current location, but will do when I can, but here are the closing postions;

Dow -291
Russ 2k -184
EUR/CHF - 156.40
EUR/USD  + 110.60

Day 10- 10 Orders Today

I am setting the trade orders for Friday at half past midnight. I have received the trade instructions (they come through at 8pm (European indices and some commodities)  and 12 midnight (forex and US markets)  So I can place the orders late at night or any time in the morning.

I am travelling all day Friday.

There are 10 orders today, nearly all sells;

Day 9 £314 Profit today

Of the 8 orders placed today, 4 opened.
The Sell on the TNote (10yr) realised a loss of £98. The Buy on the Russell 2k opened shortly before I closed the positions at 8.30pm, banking a profit of £12. The Dow Jones buy banked a profit of £493. The EUR/USD sell realised a loss of £93.

Day 9 - Eight new orders

Day 9- The system has eight new orders this morning.
Dow Jones (buy) EUR/CHF (sell) EUR/USD both buy and sell orders placed as an OCO order.
USD/CHF (buy) Russell 2k (buy) Silver (sell) US T Note (10 yr) buy

Day 8. £192.50 Loss

Day 8. Of  the five system orders placed, three were filled today. The AUD/USD buy trade was stopped out at lunchtime with a loss of £158.50. The US Crude buy was filled at 7.30pm and closed by me at 8.30pm with a loss of £60.
The 10yr T Note buy was also filled and was closed by me at 8.30 with a profit of £26.

Day 8. Five orders today

Day 8 - 5 orders today
The System has 5 orders on 4 markets today. A buy and Sell on US Crude (order levels placed as an OCO) Buys on AUD/USD, EUR/GBP and Tnote (10 yr)

Day 7 £450.70p Profit Today

Of the 8 orders advised by the system and placed today; 5 triggered.
The Dow Jones buy banked £366 profit. The US T Note (10yr) was stopped out realising a loss of £93. The USD/JPY position banked £32.40. The US Crude buy banked £57.00 The AUD/USD position banked £88.30

Day 7. Eight Orders Today

Day 7. Eight orders on 7 markets today

(Crude has an OCO order with both buy and sell levels advised) The USD/JPY had already passed the entry point so I went straight into that trade at a worse price than the system level. Forex trades 24 hours a day and the system levels are available to me after midnight. However I generally put my orders on in the morning from around 9.am.
The Dow had also passed the system entry point about half an hour before switching on my PC. As it was by then 80 points away, I chose not to enter, instead waiting for the market to come back to the system entry point. If it fails to come back to the systems advised10809 level then I will miss a profit.

Day 6 End. £243.50 Profit today

First day of the second week: Only one order triggered today. Unfortunately, to be fair to the system, I should have been in the USD/JPY short position but I was up late and the market had already moved past the entry point, and instead of going into the trade (as is the system instruction) I left an order to open, but the market did not come back to the entry level. As a consequence I have lost out on 70 points profit X £2 per point that the system instructions generated.

I closed the Dax sell position a little earlier today as a) I am off to the Indian as I have been away this weekend and want some English food, and b) as it is the Dax, the underlying market is now shut. Forex and US markets close later, if one of those had opened I would have left them until 9pm and phoned the broker from the restaurant.

 I should however stick with the system religiously. Had I not closed a little earlier on Friday than usual (due to my flight)  my account would have benefited from a greater profit on both positions than I actually banked.

Day 6. Eight Opening Orders

The system has produced 8 opening orders today. The opening levels for the most part are quite away from the current price, except USD/JPY which, had I set my orders last night or earlier this morning would have already triggered the sell.

Day 5 End. Profit £174

Two of the 6 orders triggered today, Dow Jones and Crude oil.

Unfortunately (or fortunately) I am off for the weekend and leaving to catch a plane, so have closed out positions earlier than the end of the day. You can see the time/level I had to close (17;52pm ) so you can compare it to the end of day price (8.30) to see if the early close has been to my advantage or detriment.

Day 5

Day 5 the system has 6 orders on 5 markets today.

The Dow Jones buy order triggered virtually on placing the order:

Day 4 End £216 Profit

Positions closed at 8.30.

The EUR/GBP was stopped out with a loss of £114. The USD/CAD position was closed out with a profit of £118. The US (10 Yr) T Note position closed out with a profit of £212

Day 4. 3 Orders Today

The System has generated three orders today.EUR/GBP, USD/CAD and 10 Yr T note:

End of Day 3- £110 Profit

Three of the Six opening orders triggered today.
Here is a screen shot of my account showing the closing orders:

Day 3- 6 Orders Today

The system advised trades on 6 markets today (see below for my orders) Two of which are OCO- both Buy and Sell positions where One Cancells the Other.
I was late running the system this morning. The buy level advised for the DOW was 11866, which it went through at 8.30 this morning. I joined the position at the then current price at that time (11908) preferring to miss out on some profit/extend my loss rather than miss the trade. Alternatively, I could have put an opening order in at 11866 and hoped it came back to enter.

End of Day 2- £26 profit

Second day, 8 orders placed, 3 triggered and a small profit banked

Day 2 - Orders on 8 different markets

These are the system orders today. You will notice a couple of markets have OCO orders (one cancels the other) If the buy is triggered, the sell is cancelled to ensure only one trade is opened.

End of Day 1; £25 profit

First day of the system blog; A day of reasonably high volatility swings, always difficult for a day trade system with tight stops. In a day that would normally see day traders burned with these whipsaws, the system managed a small profit +£25

Today's Trading lesson: It was difficult for me when I first started trading: resisting taking early profits. It took me a long time to learn to think "probabilistically" and that most strategies (as I believe this system is) are fat tail systems;- relying on the occasional larger wins to bump up the profits. As seen today really; the £415 EUR/CHF profit against the smaller losses. The only remedy, if you find you cant stick with a system, is not to look- which I find easy to do now... too easy, some days I even forget all about my trades and forget to close positions!

Day 1!

Well not actually Day ,  I have been running this system now for some time,  but as this is the first of a new month, a good time to put up a blog to share my experiences of spread betting a system with anyone interested.

I am using this space to put up the actual orders in advance, by displaying a screen shot of my orders as I put them on my account so you can follow it. I am not going to trade anything else on this particular account for the whole of August. This spread betting account is real money - it is not a demo account,  so you can see the gain/loss to my real account balance each day from just this system.


The system I am testing in this blog is a day trade system. It gives me signals on 11 markets, which combine to form an overall strategy. I am finding I am winning around 55% of the time- it has been quite profitable so far. The system advises a position size for each trade, based on the expectancy of the system in each market, but for this test month I am using the minimum values of £1 per point, or multiples of £1 so the ratio of the bet sizes is roughly in line with the system.

I find that the orders I place at the prescribed levels are hit about 60% of the time, so quite a few orders I place are not triggered. Occasionaly, both buy and sell levels are signalled for a market, in which case the two orders are placed as OCO orders (One Cancels the Other) If one order is triggered, the other one is cancelled. Sometimes the market has to go down to trigger a buy or up to trigger a sell, which is counter intuitive, but the systems edge comes from entering at specifc levels.


Here are my orders from this morning:

I am placing the positions each morning, closing out by 9pm and stops are set according to the systems rules. I expect that I could improve results by adding some input into the raw signals, but I am interested to see if this method can show a profit, if spread bet systematicaly, with no interference.