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.

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.

MT4 EA: Moving Towards Sustainability

Yesterday's experiments with creating an expert advisor to scalp the 5 minute chart show great profits and great risk.

I've been working to reduce the level of risk without taking away the reasonable chance of making reasonable profits.

Here is the most recent chart:


This is running from 01-Feb-2009 to 25-Apr-2009 and obviously surviving any ups and downs during that period.

I'm still not happy with the relative size of the larger draw downs. I believe I can tune it but I'll want to add back aggressiveness or the growth will start to drop more than I'd like.

... continuing ...

Alright, I'm in danger of curve fitting, but I've tuned the advisor to take less risk and earn less profit. However, right now, the earnings curve is getting near ideal. The draw down is acceptable and the profits are around $4,000 per month. Of course, remember that this is all somewhat theoretical and running in a test environment.


The question on my mind is whether or not I can somehow turn up profits without creating larger draw down. It's not easy but I'll fool around some more and see where I end up.

... continuing ...

Increasing aggressiveness did not help. Various other modifications were also unsuccessful.

I've run this starting 01-Nov-2008 and it dies a horrible death. This is not surprising, but it does imply you'd need to know when things were going horribly and stop it. If you are able to manually ascertain that the market should only be moving upwards then this EA should do okay. It only opens long positions.


Is it (ea 2009-04-m5-6.mq4) worth a try?

MT4 EA: Aggressive 5 Minute Scalper

Well, it's the weekend, what else is a grown man to do?

I had an inspiration for an (overly) aggressive expert advisor today. Basically, it's a simple buy low and sell high machine using oscillators.

Scope out the chart. It does fairly well for a period of time and then when the market finds it's achilles heel it is undone.


All is not lost. I have some ideas for improving the aggression factor as well as tinkering with it's currently abysmal "take a loss" strategy.

... continuing ...

Theoretically, you could take out $1,000 per day and end up with more money than you started with. It ran for 20 days (01-Apr to 20-Apr) before it's massive death spiral.

... continuing ...

Check this out. By adding a pending purchase system to delay early purchases until the price is a bit better as well as turning off loss sales (a bad strategy to be fixed up soon) we get the following.


The balance, actually I mean equity, is over $77,800 by the 16th in this run. Certainly more profitable than last time around. If we can get an intelligent way to cut losses we might be able to reduce the risk of catastrophe.

... continuing ...

I'm also running on various different time periods to make sure I'm not just optimizing for a certain month. That would not be good.

... continuing ...

Okay, after some tinkering, the system is living through a three month period, but obviously there is a tradeoff involved:


This is 01-Feb-2009 through 25-Apr-2009. There are a couple of scary draw down events and a final equity of around $56,000. So, again, in theory, at about $15,000 of profit per month you could withdraw about $500 every day and calculate the likelihood of scarfing away more than $10,000 before the system has a fatal event.

Unfortunately, removing equity will make it more likely to crash during a draw down situation. Perhaps withdraw at a slower pace? More realistically, I'd like to find a predictor for the draw down events and reduce them. This would reduce overall profit but perhaps the system could trade more aggressively if the draw down situations could be avoided.

Time to look at the reports to find the important dates and then look at the historic data in various time frames.

Close Your Eyes

Okay, so it doesn't look like anything at all is happening as of yet. Personally, I'm scalping the EURUSD on the 1 min chart this evening.

It seems that nobody is willing to assume that the house will pass the bailout bill this time around. So, once again, we find ourselves in a state of financial stasis. In fact, given the rise that occurred on the original announcement, it may just be that we are priced in already.

If so, that means there is really only a downside, which we'd see on failure.

Who knows?

Cover your assets! ;)

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.

Forex Scalping Information

Okay, I've been trying to find information on forex scalping and the pickings are mightly slim indeed. In fact, the so-called information on the net is so bad I'm going to write up a small post of my own... because I'm sure if you found this page you are desperately looking for some real information.

What Is Scalping?
Quite simply, very short term trading.

Why Don't Brokers Like Scalping?
Well, some brokers don't like scalping because of how they are set up. If they are not able to execute your trades quickly or efficiently enough then they risk being the source of your profits.

Does Scalping Work?
I've seen some people claiming that it works great as well as others claiming that it is impossible to do profitably. The reality is that if you can predict the direction that an equity pair will move, either up or down, then you can hop into the market and grab a few pips when it happens.

How Easy Is It To Predict Equity Pair Price Changes?
Well, that's the million dollar question! I don't have any books to sell or anything, but a lot of people claim to have solutions for you. Personally, I think if they really had solutions that worked they wouldn't waste time telling you about it, they'd be busy trading. However, in an effort to be informative, when you spend enough time watching a market (which is quite boring) you'll get a feel for it's current state and how it is moving. Often, until conditions change, you can be fairly accurate with your predictions.

Can Anyone Do This?
If you find a market maker that doesn't mind scalping, you can try. However, you must know how to place stop and limit orders with their trading platform. In particular, it would be very nice if you were able to have someting known as a trailing stop. As well you will want to understand the concept of leverage as it applies to a forex account. Basically, I'd suggest throwing $100 at a starter account and playing around, carefully, until you've made enough bad decisions to learn how things work. After that, you should have the tools needed to try out various strategies.

How Much Effort Is It?
Scalping is very time consuming. You have to spend a lot of time watching the markets, to the point that it would be difficult to do well if you had an existing full time job. Also, scalping is very demanding from a psychological point of view, as you will have large amounts of your capital ready to put into play, but you may have to wait hours before you spot a good entry point. Then, upon entry, you might find you are back out with a small loss in no time. Alternately, you might get a small profit, take it, and then watch the market skyrocket after your exit. The shorter your trading is the more attention it will take and the more nerve wracking it will be.

Are You Scalping?
I'm thinking about it. I've been opening up a grid strategy to catch swing trades, but I have noticed that using half of the scalping mentality to accumulate positions in trends may be able to have a significant positive impact on my results. I guess I'll end up letting you know how things work out.