PDA

View Full Version : Scalper - Muti-pair Back test Data

Sooner
11-26-2008, 12:57 PM
Ok so you can't back test three pairs at once, however with some excel work I was able to get data for the past few months profit/loss on a per day basis for three pairs. USDCAD/EURCHF/EURGBP. Here are the results, all tests run on a $300 starting balance.

Date Sum Profit Balance
2008.08.27 15.00 $315.00
2008.08.28 47.48 $362.48
2008.08.29 4.85 $367.33
2008.09.01 47.24 $414.57
2008.09.02 8.99 $423.56
2008.09.03 -18.28 $405.28
2008.09.04 47.36 $452.64
2008.09.05 8.49 $461.13
2008.09.08 34.36 $495.49
2008.09.09 11.16 $506.65
2008.09.10 -15.74 $490.91
2008.09.11 -34.48 $456.43
2008.09.12 3.01 $459.44
2008.09.15 16.1 $475.54
2008.09.16 1.05 $476.59
2008.09.17 -28.43 $448.16
2008.09.18 -0.96 $447.20
2008.09.19 5.88 $453.08
2008.09.22 29.91 $482.99
2008.09.23 -20.9 $462.09
2008.09.24 6.71 $468.80
2008.09.25 -43.31 $425.49
2008.09.26 -5.53 $419.96
2008.09.29 31.34 $451.30
2008.09.30 -19.81 $431.49
2008.10.01 43.82 $475.31
2008.10.02 -72.26 $403.05
2008.10.06 9.17 $412.22
2008.10.07 66.7 $478.92
2008.10.08 39.05 $517.97
2008.10.09 58.12 $576.09
2008.10.10 -44.19 $531.90
2008.10.13 22.04 $553.94
2008.10.14 -25.45 $528.49
2008.10.15 7.77 $536.26
2008.10.16 -26.34 $509.92
2008.10.20 27.53 $537.45
2008.10.21 33.36 $570.81
2008.10.22 -19.73 $551.08
2008.10.23 40.7 $591.78
2008.10.24 -40.66 $551.12
2008.10.27 15.69 $566.81
2008.10.28 31.36 $598.17
2008.10.29 -86.66 $511.51
2008.10.30 -42.07 $469.44
2008.11.03 34.29 $503.73
2008.11.04 64.54 $568.27
2008.11.05 6.45 $574.72
2008.11.06 -8.05 $566.67
2008.11.07 4.64 $571.31
2008.11.10 43.32 $614.63
2008.11.11 49.45 $664.08
2008.11.12 5.43 $669.51
2008.11.13 40.83 $710.34
2008.11.17 33.66 $744.00
2008.11.18 22.88 $766.88
2008.11.19 20.57 $787.45
2008.11.20 39.24 $826.69
2008.11.24 19.94 $846.63
2008.11.25 -4.66 $841.97
Grand Total 541.97 $841.97


Now you are probably wondering why I chose 8/27 as the start date, well 8/27 - 9/9 was a bad run for the scalper on EURCHF so I wondered if the gains/losses from the other pairs would offset the losses/gains during that time period or if you would get a severe blow out with such a small acount trading 0.1 lot sizes which should really be .05 sizes but the broker I am testing on doesn't support them.

The pair that is absent is the GBPCHF pair which I have yet to be able to back test with any good results due to what I believe is a high spread throwing things off.
Sooner
11-26-2008, 04:29 PM
Got a really fast spike in the pair which retreated quickly, scalper caught it at nearly the top and rode it all the way back down. I was impressed.
Willsell
11-26-2008, 05:15 PM
Got a really fast spike in the pair which retreated quickly, scalper caught it at nearly the top and rode it all the way back down. I was impressed.

Hmmmm

No how do we deal with the greedy bass terds and their swap rates?
On my demo account I executed a sell trade and the swap hit me for -1380.00
now that really sucks.
Sooner
11-26-2008, 07:40 PM
Hmmmm

No how do we deal with the greedy bass terds and their swap rates?
On my demo account I executed a sell trade and the swap hit me for -1380.00
now that really sucks.

Willsell I think the swaps are kind of like the draw downs, unavoidable, however the scalper should not get caught with them most of the time as it usually does the majority of it's trading after the swap for the day has been calculated. Now the long term one gets hit with them on most if not all trades I have seen so far. Average trade length is 3 days on default settings.
wendellzlee
11-30-2008, 09:32 AM
Hi Sooner, what broker are you using?
Below is the results that I get on FXPro for Nov, using USD500 as starting point.
USDCAD EURGBP EURCHF Profit Total
2008.11.01 500
2008.11.02 500
2008.11.03 10.45 4.7 15.15 515.15
2008.11.04 11.6 79.62 -28.79 62.43 577.58
2008.11.05 -47.39 36.42 8.49 -2.48 575.1
2008.11.06 8.98 11.98 7.16 28.12 603.22
2008.11.07 0 603.22
2008.11.08 603.22
2008.11.09 603.22
2008.11.10 9.69 4.21 13.9 617.12
2008.11.11 6.28 4.2 8 18.48 635.6
2008.11.12 -31.81 37.07 4.03 9.29 644.89
2008.11.13 -3.64 29.2 -0.17 25.39 670.28
2008.11.14 0 670.28
2008.11.15 670.28
2008.11.16 670.28
2008.11.17 9.53 9.53 679.81
2008.11.18 18.84 53.18 1.49 73.51 753.32
2008.11.19 3.49 21.64 2.04 27.17 780.49
2008.11.20 35.65 7.48 10.38 53.51 834
2008.11.21 0 834
2008.11.22 834
2008.11.23 834
2008.11.24 9.84 5.02 14.86 848.86
2008.11.25 13.25 8.8 42.09 64.14 913
2008.11.26 8.64 26.79 23.73 59.16 972.16
2008.11.27 59.37 41.96 13.72 115.05 1087.21
2008.11.28 0 1087.21
2008.11.29 1087.21
2008.11.30 1087.21
Total: 587.21
My backtesting with GBPCHF yielded bad results also.
Got any idea how how fapturbo got those impressive results on the website. I wasn't able to duplicate those results by backtesting.
If anyone is interested, I can post my strategy tester reports.
Sooner
11-30-2008, 11:28 AM
Wendellzlee if you are trying to back test and hoping to see the same trades that they took that may or may not happen depending on how good the back test data is, and what the spreads for your broker are. In my opinion your back tester yeilded some wonderful results, more than doubling your deposit in less than 30 days.

The way they made the account triple in 30 days is by using a lot of risk, I am guessing 15% or so as opposed to the 1%-5% that most sane people use.

But before you go discounting your results, consider this, if you doubled your money every month what would that $500 grow to in the course of a year? The answer is $1,024,000.00 at the end of twelve months. So just because you don't see an enormous rate of return, where else can you get anything even remotely close to 20% annual return each year, much less even dream of 30%-50% returns on a consistent basis? For the record 30% = $8,960.80 and 50% = $43,248.78. Not to bad as extra income, and let it continue to grow until you have a sizeable capital base, and your options become much greater as do the returns.
Sooner
11-30-2008, 11:47 AM
Ok here are the three year results, LRR of 5% is the only setting changed outside of GMT. GMT would have been off by one hour for half of this testing as well due to daylight savings time. NOTE: File was created in Excel 2007, if you don't have 2007, you can either get the Microsoft Office Conversion pack for office 2003 OR you can download the Excel 2007 viewer application from microsoft. Multiple tabs available listing each pair by day as well as all pairs profit or loss by day from 2006-1-1 to 2008-11-28.

http://www.megaupload.com/?d=45BHPTFH

On a side note, Thank you Alan for the additional upload option as these are sometimes sizeable files.
FUTAXMAN
12-01-2008, 06:18 PM
Hi Guys,

Just wanted to firstly say this is my first post but I have digested all the fantastic info on this forum so far....

Great results Sooner in the back test ty for posting.

Am I correct in thinking the only change you made to the default settings was the LRR to 5% along with the GMT setting?

Im also going to post my results on here week by week and hopefully the more people do the same the quicker we all get to the holy grail of the best settings :)
Sooner
12-01-2008, 07:01 PM
Hi Guys,

Just wanted to firstly say this is my first post but I have digested all the fantastic info on this forum so far....

Great results Sooner in the back test ty for posting.

Am I correct in thinking the only change you made to the default settings was the LRR to 5% along with the GMT setting?

Im also going to post my results on here week by week and hopefully the more people do the same the quicker we all get to the holy grail of the best settings :)

You are correct, the only setting I changed was to up the LRR to 5 and set the GMT to the correct number, but the GMT would have been wrong for half of the test due to DST, so I can't say yet what kind of effect that had on the results.
FUTAXMAN
12-01-2008, 07:13 PM
Ty for that....

I have been demo testing on default settings using these 3 pairs with LRR on 1.5 and its been doing very well so far tonight 7 trades out of 7 in the green and 2 more open

Sometimes some things are better left alone :)
Sooner
12-01-2008, 10:36 PM
It would appear that the GBPCHF is still a profitable option even with a spread of 12. They use IBFX for their sales pitch accounts so I know they must be paying the same spread as I am. I have all 4 running and the GBPCHF had a loss earlier which I closed out manually as it was edging higher, it now has one last sell open I am waiting to come back to me.