Rsmereka Trading Journal

[rsmereka]

Originally Posted by jerrycollie

Hi Rick,
Yes, you are running a little hotter than I am. I think you are okay for now. Just watch your drawdown . Plot your wins and drawdown in a spread sheet, if necessary. If it gets out of control, you can cut back the risk, or shut down RB for awhile, or if necessary close out some of the oldest trades and take the loss. Also, watch the interest rates on the Audie and the Kiwi . If the interest on the Audie goes up, or the interest on the Kiwi goes down, this could cause a trend reversal. Hopefully the price will just move sideways for the next 6 month while we bank a few coins.
Like you said, there is not much we can do about the spread ; because we don't even know what we paid; and then there is the slippage to boot.
Good luck this week!

Hi Jerry,

Believe me, I am keeping very close tabs on my winnings and the DD (which is getting higher just about every day). The AUDNZD has been making a short -term (I hope) bull move in the last couple of days after being in a channel for over a week. As a result, Robo has used this as an opportunity to open more shorts. At one point last week, I had only one open order , now I have five...make that seven open orders and my DD is 7.37% as I write this. Pipcop here has been running with my lot size on accounts with less equity than I for many months without any problems but that is not a guarantee. If this is the start of a major trend reversal, we could be in for a prolonged period of high DD and my live account will be more than double of a normal lot-size account since my lot size is 0.06 higher than it should be.

I just checked my slippage and it is good. Out of a total of 16 trades so far, only two have positive pips less than 40. One was 37.6 (bad) and one was 39. The negative rollover is also eating away at the profits especially if the trade stays open for a long period.

Rick

[rsmereka]

Originally Posted by jerrycollie

Hi Pipdetector,
I understand you are running GT-Shadow with RoboMiner settings on AUD/NZD, is that correct? What I want you to do is clone your robot with its RM settings. You will have to change the two magic numbers which I believe are 10000001 and 20000001. Change the first digit only; because the robot uses the last digits to count its grid levels. So you might use 30000001 and 40000001. Then go back up to the grid weaving section and change grid weaving from false to true. Don't change any other settings in the grid weaving section. Now hit the Okay button and turn the robot loose. Let us know what happens. It should nickle and dime AUD/NZD to death!
Good luck from jerrycollie running live on IBFX!

Ok Then Jerry,

Where is the live IBFX statement link or are you going to be like some people around here (not mentioning any specific names) and talk a lot, boast, pontificate, insult and preach and provide no proof

Rick

[jerrycollie]

Hi Pipdetector,
Your suggestion to put GT on USD/JPY scares me a little. The pair has been in a downtrend for 2 years; so I presume you plan to short the pair. However, what goes down must come up, otherwise the Japanese will soon all be driving American cars instead of the otherway around. If the trend reverses, GT could get caught in a drawdown . It could take 2 years for the trend to go up and another 2 years to come back down and clear out the drawdown . So if you do set GT on USD/JPY, you need to watch closely for a trend reversal. For example, with the way Washington is spending money, inflation could get out of hand, driving up the interest rate on the Dollar. This would ironically drive up the value of the Dollar, as traders went for the higher interest rate .

[jerrycollie]

Hi Rick,
Actually, I am just here to pontificate; but mostly to learn from you and Pipdector. You guys give me excellent advice and ideas for trading.

[pipdetector]

Originally Posted by jerrycollie

Your suggestion to put GT on USD/JPY scares me a little. The pair has been in a downtrend for 2 years; so I presume you plan to short the pair. However, what goes down must come up, otherwise the Japanese will soon all be driving American cars instead of the otherway around. If the trend reverses, GT could get caught in a drawdown . It could take 2 years for the trend to go up and another 2 years to come back down and clear out the drawdown . So if you do set GT on USD/JPY, you need to watch closely for a trend reversal. For example, with the way Washington is spending money, inflation could get out of hand, driving up the interest rate on the Dollar. This would ironically drive up the value of the Dollar, as traders went for the higher interest rate .

Robominer and GT-Shadow are essentially ultimate mean reversion EAs. The assumption is that prices move in some ranges and they comeback to the middle line (mean) at last. Normally the mean reversal crowd uses some sort of long MA to base their decisions on + additional filters to decide when to take positions, in RM/GT we come back to the middle of price range -- no additional filters needed.

This is what happens with Robominer too - imagine the situation when you have almost 33 open short positions when the trend clearly is up. This is what was happening with AUD/NZD. That's why this system is rather hard to swallow for traditional "trend is your friend" traders.

I do not short USD/JPY -- I buy it.

The USD/JPY is obviously close to the lower (lowest) range that happened in many years, this is when you need to buy with GT/RM not sell... I will definitely incur a drawdown as long as the pair still goes down, so position sizing is critical.

[rsmereka]

Originally Posted by jerrycollie

Hi Rick,
Actually, I am just here to pontificate; but mostly to learn from you and Pipdector. You guys give me excellent advice and ideas for trading.

Hi Jerry,

Nicely put

It goes both ways. I am also learning from you and others who offer constructive advice.

Rick

[rsmereka]

Originally Posted by pipdetector

Robominer and GT-Shadow are essentially ultimate mean reversion EAs. The assumption is that prices move in some ranges and they comeback to the middle line (mean) at last. Normally the mean reversal crowd uses some sort of long MA to base their decisions on + additional filters to decide when to take positions, in RM/GT we come back to the middle of price range -- no additional filters needed.

This is what happens with Robominer too - imagine the situation when you have almost 33 open short positions when the trend clearly is up. This is what was happening with AUD/NZD. That's why this system is rather hard to swallow for traditional "trend is your friend" traders.

I do not short USD/JPY -- I buy it.

The USD/JPY is obviously close to the lower (lowest) range that happened in many years, this is when you need to buy with GT/RM not sell... I will definitely incur a drawdown as long as the pair still goes down, so position sizing is critical.

Some very good points,

When you referred to ultimate mean reversion EAs, my eyes started to glaze over but your explanation is very lucid.

Some questions SVP. When does Robo/GT decide to buy instead of sell. Is it when the mean line is crossed? So in the current market when the AUDNZD pair goes north enough to cross the mean line? What happens to the shorts when Robo/GT starts buying? Do they just sit there until the next swing? That would mean quite an accumulation of rollover fees, especially now with the Aussie's interest being higher than the Kiwi 's

On the Metatrader AUDNZD chart, Robo has printed:

Current Range =50
Short Open for Range 50=1.23700
Short Close for Range50=1.23300
Range Start=1.03700
Range End=1.30100
First Range =1
Last Range =66

I have a basic understanding of grid trading but I lack a specific understanding of how Robo/GT works. I gather it splits the entire possible currency range into sub-ranges which I think it calls a range.

Could you translate the above settings for me into an explanation of what Robo/GT is doing?

TIA,

Rick

[pipdetector]

RM/GT (with RM settings) will start buying when AUD/NZD price goes south of the middle of its historical range . They always sell if the price is north and buy when it is south. I meant they are sort of mean reversal system because their assumption is that the price always come back to the middle of the range . By ultimate I mean that it is not using just a 20 day MA or even 200 D MA, but it uses multiyear historical ranges.

Right now if the price goes north RM will just keep selling until you reach 33 ranges. If the price goes even further north, the system will stop selling, your drawdown will increase, rollover charges will be killing you and you will be on the brink of starting to use FAPT

GT-Shadow may be set to use MAs, but this is a bit more advanced feature that isn't used in Robominer.

The multiyear perspective means that you need to be ready to hold on to your guns (EAs) for months or even years.

As to rollover fees, due to fact that you will hold the positions for quite a long time, it would be a good idea to choose pairs that have positive swap rates. AUD/NZD does not have positive swap rate , but it has one of the tightest ranges of primary currency pairs -- that's why it is so attractive in GT/RM.

[pipdetector]

Originally Posted by rsmereka

(...)

On the Metatrader AUDNZD chart, Robo has printed:

I have a basic understanding of grid trading but I lack a specific understanding of how Robo/GT works. I gather it splits the entire possible currency range into sub-ranges which I think it calls a range.

Could you translate the above settings for me into an explanation of what Robo/GT is doing?

The historical AUD/NZD price range covers a range from to 1.03700 to 1.30100, the lowest subrange is range 1 and it covers 40 pips from 1.037 to 1.077. In the first 33 ranges RM buys until it gets to range 34 then it starts selling until it gets to range 66. So basically ranges 1-33 are buying ranges and 34-66 are selling ranges. In your quote RM is at range 50 which is 16 ranges from the upper boundary. If the price goes down 17 ranges, RM will start buying...

[rsmereka]

Hi Pipdetector,

A very good explaination. It's very clear to me now. I tried reading Goldmine's proof but I got lost. Thanks for clearing that up for me

Lets talk about the other Robo currency (EURCHF). I am planning to add this currency to my live trading account. Based on your discussion of AUDNZD, I guess I should not add this currency when the range is close to the top or bottom. Other than being properly funded (which I will not be), are there any other concerns I need to address. Where is the EURCHF pair in terms of its range? How many ranges does it have? What are the historical high and low that are being used for range 1 and the last range ?

Rick