Trading Week Recap

Since the trading robot, BREAD, was predominantly sidelined for the last couple of weeks I felt the need to do more discretionary trading.

While the capital used wasn't very large it felt great to pull in a 34% increase over the course of the week. If I could scalp like this all the time it would definitely spell the end of the day job. I have dreams of setting up a trading office with spacious rental cubes available for other traders. Rookie's trading pit.

Back to reality, BREAD on the other hand snailed along earning 2.4% and 1.7% over the last two weeks. Sometimes I think I live in Bizarro world when I have disdain for a 100% annualized rate of return...

In any case, I think the long tail of H1N1 recovery has finally come about. I should be able to concentrate both on my day job and on creating new robot strategies during evenings.

Robot Trading: Six Weeks In

Things are going well. As you can see BREAD (Basic Robot Earning All Day) is starting to look like a winner.

   Return   Day
   0.1900%  Sun 13          September
   3.2339%  Mon 14
   3.1616%  Tue 15
   3.2615%  Wed 16
   2.1510%  Thu 17
   0.4442%  Fri 18
   ---------------  13.05%
 
   0.1850%  Sun 20
   2.0259%  Mon 21
   0.9016%  Tue 22
   1.1536%  Wed 23
   0.2460%  Thu 24
   0.1338%  Fri 25
   ---------------   4.72%
  
   0.0000%  Sun 27
   0.1900%  Mon 28
   0.6862%  Tue 29
   2.3444%  Wed 30
   0.3317%  Thu 01          October
   0.7376%  Fri 02
   ---------------   4.44%
 
   0.7311%  Sun 04
   1.0346%  Mon 05
   1.0587%  Tue 06
   1.9310%  Wed 07
   1.6854%  Thu 08
   0.9897%  Fri 09
   ---------------   7.75%

   0.0915%  Sun 11
   1.2179%  Mon 12
   1.4263%  Tue 13
   1.9298%  Wed 14
   1.3023%  Thu 15
   1.2064%  Fri 16
   ---------------   7.38%
  
   0.2985%  Sun 18
   1.6787%  Mon 19
   2.1774%  Tue 20
   2.3200%  Wed 21
   2.3552%  Thu 22
   1.2715%  Fri 23
   ---------------  10.52%

Looking back, this system was too aggressive during the first week. Later tweaks reduced this aggressiveness to some degree but also lead to lower earnings. At the moment aggression is scaled based on market factors so that in some situations it will take a larger slice.

Although the last week of earnings was great it's really too early to know how this robot will perform in the long term. As mentioned in a recent post I know that BREAD will earn the most during a consolidation period with prices confined in a range that ends in an upward break. I do expect the AUDJPY to exhibit this behavior a lot but it certainly won't do this all the time.

Now what?

This thing has been trading live for a while now. The only thing I plan to do is keep on letting it run until I'm able to create something better. ARTFAB (A Rising Tide Floats All Boats) is the latest attempt...

UPDATE: Something I'm curious about is if I'll notice a longer term cycle in robot behavior. For example, the last time BREAD earned more than 10% in a week there were a couple of weeks that then underperformed. It is possible that the market will exhibit behavior that is clearly visible through trading profits.

UPDATE: I have discovered this very good blog... Hack the market. From there I've noted the following graph:


This suggest to me that I can gauge my daily returns against that of the bigger players to see whether not I'm doing well. Notice that the smallest group seems to have much better returns -- and thus is where I should be comparing my results. Perhaps my stretch goal of 2.5% is a little two low? Regardless, I'll be happy to up my goal when I reach it.

BREAD's Trading Results

Yes, for lack of a better name I am calling my robot BREAD. This is short for Basic Robot Earning All Day. It has been given minor tweaks from time to time but it still continues to follow the same system and strategy... taking advantage of constant price oscillations in the AUDJPY.

While the results don't look all that spectacular I invite you to investigate how this ends up in a compound interest calculator. And, finally, the results for the last four weeks are:

Return	Day
0.1900%	Sun 13 September
3.2339%	Mon 14
3.1616%	Tue 15
3.2615%	Wed 16
2.1510%	Thu 17
0.4442%	Fri 18
0.1850%	Sun 20
2.0259%	Mon 21
0.9016%	Tue 22
1.1536%	Wed 23
0.2460%	Thu 24
0.1338%	Fri 25
0.0000%	Sun 27
0.1900%	Mon 28
0.6862%	Tue 29
2.3444%	Wed 30
0.3317%	Thu 01 October
0.7376%	Fri 02
0.7311%	Sun 04
1.0346%	Mon 05
1.0587%	Tue 06
1.9310%	Wed 07
1.6854%	Thu 08
0.9897%	Fri 09

So far the average rate of return over the life of the robot is ~7.20% per week. I'd like to make improvements but it is difficult to make changes that don't have unintended consequences.

Monday Robot Review

If you are a new visitor I should let you know I'm reviewing my own proprietary forex robot -- I'm not providing a general review of robots.

The Good
Profitability continues. Sunday evening the robot earned 0.2% and over the course of Monday it earned 2.0% return. It's not obvious, but when capital is added to the robot old smaller positions provide less return when closed profitably. This means that it will take a little while to flush out those old trades and get accurate profitability numbers.

The Bad
The newly added meta-trading aspect didn't work. Well, I was able to get meta-trades to open in a separate account, but the platform hung after each purchase. I don't know if it's a platform issue or if I did something inappropriate with my code. Perhaps next weekend I'll have a chance to ferret out the details.

The Pending
The robot hasn't yet been in a situation where it has had to stop trading due to accumulated risk. So, at this point, I haven't had a chance to test the notification system under live conditions.

Forex Robot Wars

As you can see by my last few posts I've had a couple of trading robots slugging it out for the last few days.

I'm happy to announce that the latest robot has absolutely thrashed my initial robot. Here are the recent earnings for this week:

Sun 0.19%
Mon 3.23%
Tue 3.16%
Wed 3.26%

Obviously, I'm going to retire the previous robot, which earned at an average pace of approximately 0.5% per day, and allocate it's funds to the newer robot.

The next question is... can I find ways to improve this robot's operation? I'll have to think about that.

UPDATE:

I do have an improvement idea. Basically, use the trading and positions of one account to act as signals for another account. This way you can spot the inefficiencies in one and adjust for them with another -- while coding for them directly might require much more effort.

I foresee a second robot that would open less positions but at a higher rate of risk. It could potentially have better performance characteristics based on what I'm seeing happen on my charts.

Maybe I'll dub this concept "meta-robot" in the event that I eventually build it and post about it.

Two Live Robots

Sunday evening I unleashed another trading robot.

Here's how I set up my sub-accounts to do this in a reasonably safe manner.

• My initial or primary account is used to add or remove funds.
• Each robot trades in it's own sub-account

This let's me track the returns for each robot in a trivial manner. It also means that each robot is 100% independent.

If you do this be sure to name your sub-accounts in a neutral manner. Personally, I'd be tweaked if I ended up with names related to robots that were eventually no longer in use.

Now that I have multiple robots I can do A/B testing between robots, under various conditions, and then scale funds into the robot that seems to be working best.

What are the results?

Currently, since last night, my new robot has about five times the return of my older robot. It's already over 2% for today. However, I do expect that this robot to be unable to trade in conditions that the slower robot is able to exploit. I have a turtle vs hare experiment here.

For those of you who may be new to my blog I trade with Oanda. I haven't purchased their API since I am using the FxSpyder platform for that instead. The FxSpyder software still has a few rough edges but I am comfortable with it. Finally, for discretionary trading I still prefer the Oanda platform.

Update: This robot finished up over 3.2% today!

Oanda Robot Trading -- Cost Efficiently

If you are trading with Oanda, as I am, you are probably aware that you have to trade a fair amount before their monthly API fees are waived.

However, there is an alternative. The first time I tried their platform, probably shortly after it was released, I didn't find it very inviting. However, about a month ago I tried again. Guess what? While I might not use the platform for discretionary trading it seems like a good option for robot trading.

Which platform am I talking about? FxSpyder of course. While using FxSpyder with Oanda isn't free the cost is much less than Oanda's API fee.

FxSpyder connects to your Oanda account and can be used as a manual trading platform. While you won't find it exactly the same as what you are used to, that has no bearing on whether or not you'll be able to use it for robot trading.

Now, don't get all excited, robot trading doesn't seem to be the way to instant riches. Well, at least not with the robot that I've written and am trading with. At the moment my average return is about 0.5% per trading day -- this includes the partial trading days on Sunday and Friday.

Compared to traditional investments this represents a ridiculous rate of return. Assuming 20 trading days a month that would equate to 10% per month, compounded. I'm working on improving this but find that it's harder than it sounds. This is partially because my work and family duties keep me far busier than I am used to.

In short, I've got ideas but little time to implement them. Some day I hope I'll be able to transition to trading, or at least tweaking my robots, as my full time job. It would certainly give me back a lot of my time.

Monster Scalps With AUDJPY

I've been shamelessly scalping the AUDJPY this week (via Oanda). It may be hard to fathom, at least when you see the numbers, but I'm not entirely happy with my results.

Jun 28: 00.28% NAV+
Jun 29: 06.65% NAV+
Jun 30: 11.66% NAV+

So far this week, if I can hang onto it, I'm up over 19% on my trading account.

Now, you may be wondering why I'm not satisfied with my trading. Basically, I've made too many mistakes. From time to time my discipline is lacking and I jump into a position at what is realistically an unwise entry point.

This keeps me from capitalizing on later opportunities until I've extracted myself from the position foolishly entered. It also subjects me to a lot more stress while I wait out moves on a larger timeframe.

Anyhow, I've decided to quit fooling around, scalp myself a decent stake, and get serious about trading. Now, if I can just work out my discipline issues I'll be set.

Poised For The Pop

As I mentioned a couple of days ago, I have been working on sinking some smaller positions while the AUDJPY was going sideways (or suffering a slow decline).

Today is the day that this bears fruit. Trading lower positions for higher positions now has me with some sunk positions that I can unload at a decent profit as the AUDJPY continues to spike.

Last Week's Results

I can hardly believe it myself, but last week my NAV gains totaled 97.5%, which is entirely incredible. Too bad I'm such a small participant.

No, unfortunately, this had nothing to do with my recent forays into developing an expert advisor. It seems that I've stumbled across some charting factors that provide me some measure of insight into market movements.

The market doesn't always behave, but when she does, it's great!

Edit: I forgot to mention that after the great results last week, I'm almost afraid to trade this week. How silly is that?

A Pop And A Drop

In my last post, where I gave an audible AUDJPY signal, I suggested that we were coming up to a decision point for the AUDJPY.

My take was that we'd see a drop.

It took some patience, but after carefully accumulating a few positions on the way up I was rewarded with a nice quick profitable drop. While I would have done better playing for the pop and keeping an eye out for signs of a drop, I really don't mind.

Maybe next time I'll play it better, but as the saying goes, all's well that ends well.

Recent Trading Results

First, some recent results:

Week ending 28-Nov: +23% NAV
Week ending 05-Dec: +08% NAV
Week ending 12-Dec: +10% NAV
Week ending 19-Dec: +45% NAV

This is silly! I'm going to outline some of the events that transpired to help this happen.

During the week ending 05-Dec I acquired some AUDJPY positions in the 58.xx price range. I had a nice trend line indicating that this was likely to be a support point and it turned out to be one -- several times.

Considering the bottom relatively safe I would buy other positions at local lows... making sure to leave enough room for a retest of the 58.xx lows. Obviously, this was quite risky, but at the time I did not have significant capital in the account so I didn't mind risking some calamity ripping the bottom out of the AUDJPY.

So, with that in place, I'd track where I'd bought and sold positions, slowly lowering my entry points and average position price. Then, later, as we all saw, the price spiked massively and pushed all of my positions into a sizable profit.

I don't know if this is something that I'll be able to repeat. Some reasons include increasing my NAV to the point that I'm not as willing to take risks, trying to execute a swing trading strategy which makes it difficult to accumulate positions, and the difficulty in developing confidence in a bottom point.

Finally, this was a challenging week. With the wild gyrations taking place every time the auto bailout shifted sentiment it was difficult to jump into the market. Who knows if a massive spike or drop would go against a current swing trade? While I am a fan of volatility, I've realized that it would be nice if it the market wasn't actively volatile all of the time.

Trade well.

Yen Cross Spike

Guess who was lucky enough to wake up at 4:00am this morning?

At around 4:20 there was a massive spike in my AUD/JPY holdings. I'd accumulated some positions on the way up from 58.xx and unloaded them as it made a 63.xx rocket launch. Checking out my news sources it seems that various stops were triggered. Given that market conditions were thin the price went nuts.

Anyway, though my open trades had been hampering the idea of swing trading, I've cleared my plate realizing a 36% one day NAV gain. Holy crap.

I have to say it was hard to unload my positions while the price was going through the roof... but now, as the price dips, it was obviously the right move.

Trading Results: AUDJPY

For the week ending Fri 05-Dec-2008 I managed scrape out an 8% increase in net asset value.

This week was more challenging, for me, than last week. I seem biased to seek opportunities with gains on the up side. So, on a week with sideways trading and periods of downward drift things slowed down.

However, as always, watching my own trades brings insights that might be useful to other traders.

For example, I've found that momentum indicators can be quite useful. They measure a different aspect of performance and thus they can give you an independent look at the state of the market. However, my favorite indicators are still the stochastic variety. If you take the time to tune them to your time frame they can be quite insightful -- as long as you remember that no indicator is perfect.

Next week we may hear some good news concerning the US auto bailout. If this happens perhaps we'll have some upward market days and some increased risk appetite. This would give me the upward movements that I perform best on. Does this concept remind anyone else of the phrase... "a rising tide floats all boats?"

I consider it important to get equally adept at dealing with up side and down side markets. Otherwise, a significant market move that works well with my own bias may fool me into thinking I know what I am doing. Actually, I'm really trying to warn you to keep an eye out for this in your own trading... and I'd hate for you to gloss over this fact because I seem to be talking about myself.

AUD/JPY Trading Week

Well, the last couple days weren't as good as the first portion of the week, but they were still positive. I'm not complaining!

Thursday and Friday were positive by 0.4% and 1.1% respectively. So, for the week, that gave me a NAV gain of 23.2% in total.

If you've been following along you know that I only have a tiny total account size. However, the current plan, now that I seem to be able to generate profits, is to grow the account to a meaningful size.

Honestly, my account will have to grow by an order of magnitude, and then double after that, before I could expect to drive revenues that would replace my income. While that might take a few years I really am not in a rush...

Let the trading week begin!

AUD/JPY Trading Review

Guess what. Some of the books that I bought have had an impact on my trading. I know, I hear the phrase "No shit, Sherlock" echoing out there. However, so many of the Internet generation want everything to be fast, easy and online that I just have to stress the value of more formal information.

I bet you'd also be surprised to hear how many traders are starting out in their teenage years. It's just another Internet game to them!

Anyway, if you are a crusty old bugger, just bear with me as I talk about things that any sensible trader should already know.

So, back to the topic at hand, my trading week. No, better yet, my illustrious trading week. Here's the scoop:

Sunday Session: +4.1%
Monday Session: +7.7%
Tuesday Session: +2.9%
Wednesday Session: +4.5%

While today isn't over I did go flat not too long ago. Obviously, I may do some more trading before the end of today's session.

Anyway, something to think about. I'd do better if I was more patient. I find myself jumping into the market and then waiting for it to go against me a little before turning around and going where I expect it to go. I guess I'm always trying to get the jump on the market and not waiting for confirmation.

Sigh, more homework.

Trading The AUDJPY

Things are looking much more even-handed today than I've seen in a while.

In fact, I was so impressed by the fact that the AUDJPY was following my charts again that I decided to do some trading today. While my account is very small, allowing me to be a bit risker with my trades, I did manage to scoop in about 3.5% of my account's NAV (Net Asset Value) by catching some nice movements.

Why am I trading the AUDJPY?

I guess the best answer is because it's what I know. Or, in other words, because I can.

Tune up those charts!

Wednesday Forex Gains: NAV +8.2%

Like the title said, today was a great day!

A short morning session yielded two or three percent. The rest of the day went very slowly, but I was able to wrestle pips out of the market again and again.

Basically, I'm watching charts very closely, looking for setups. I've got some work to do to improve my timing, but in general I seem to have a good collection of indicators that keep me from getting into trouble very often.

When a setup happens, I drop in a position. Generally, I'll switch from currency to currency, on the 1h, looking for things I am fairly confident will move in a way I can predict. Once I have those, I may check the 5m, looking for the same indications, as a means of entry timing.

What seems to happen is that sometimes I'll be right, and sometimes I'll be wrong. The positions that go well end up hitting take profits. At that point, because they are reasonably well chosen, the market will often reverse and give me an opportunity to exit from the positions that weren't previously winners.

Anyway, the real key, at least for me, is having a series of indicators that give you a very high probability of being able to make a prediction. Unfortunately, I'm not willing to get very precise and tell you my setup. Though people often say that it makes no difference how many people know something, it does. If everyone knows the same thing -- then some people will anticipate that thing and in doing so change the price dynamics.

Day Trading and Scalping

Things are still going very well, but I have to admit I haven't been able to pick off huge gains this week. Not yet anyway.

Here's the scoop...

Sunday PM through Monday PM -- NAV +3.05%
Tuesday AM though Tuesday PM -- NAV +2.93%

This is okay, but I see large profits left on the table. It's strange, in order to make it easier to pick up pips I'm working on the 1M and 5M charts. This is pretty good for watching movement -- feeling the rhythm of market -- but it sucks for keeping in mind the larger picture. I can certainly see why people invest in trading stations with multiple large monitors.

Anyhow, to be clear, while the net asset value can be determined via unrealized profits and losses, I am closing all open trades at the end of each session. These are true, risk free at the time of reporting, NAV numbers.

I can't help but wonder if it would be easier to scalp and/or trade profitably if I was able to focus on this during business hours. Well, it would probably be easier to catch movement during the European session too. Things seem to get pretty quiet at times during the Asian session.

Finally, since I have a very high win percentage on scalp trades I am thinking of increasing the size of these trades. Would the psychology of risk start getting in the way if I did that? Probably. If not, it wouldn't be very hard to turn up the income quite a bit -- and I always assume that if things were that easy everyone would do it.

We'll see.

Keeping an Eye on the EURTRY

I liquidated some profitable short positions in the EURTRY around the 1.9150 price level.

While this wasn't the absolute bottom it was well below the current levels -- due to a recent price spike. As the spreads are reasonable during the morning hours I will consider selling a small chunk tomorrow morning if it looks like things are going to turn around.

However, the EURTRY is not the place for absolute beginners to dip their toe. Not only is it volatile, but the widely swinging spreads play havoc with trying to use stops appropriately.