Musings on tests
Since restarting my testing regime a few weeks ago, I am encouraged and more focused (read obsessive).
So far, the stand out performers have been Chaos and Chaos Aggressive. Chaos has had only modest draw down ( 12% unrealised loss), and although Chaos Aggressive has been at 25-30% it has quickly recovered. It would seem that with the worst of the GFC over, the markets behaviour that caused these to fail last time has ceased.
Being martingale systems, everything works fine until you get a move that doesn't retrace and wipes out your account.
Zig Zag has continued to suffer in draw down but I will be encouraged if it gets out. As it is a hedging strategy, it can go weeks in a sideways pattern until the markets move enough for a profitable exit.
Given the risk vs reward of the Chaos and Zig Zag systems, I am much more encourage to use Chaos and dial down the risk settings.
I am currently testing the PointBreak 5 EA. Although in the past I have had it running on a live account, I feel it's worth testing anyway as a barometer for what a stable and reliable EA can achieve, compared to some of the riskier tests I am concurrently running.
Vforce EA has shown a great deal of promise on other websites in live forward testing, and back testing. It trades infrequently an as yet has been idle. I am looking forward to seeing how it performs and try to understand the logic a bit better.
Finally, Robominer II is running. It's using the settings required for the pending FIFO (First in, FIrst Out) rule change even though that wont affect me with an account in the UK. I want to compare the FIFO on vs FIFO off performances between myself and the other tests I am watching. They say not to watch it too frequently as it only closes trades 1-4 times per month.
You can follow along with these on the Active Tests page above.
Project Rainmaker Update
After the recent NFA rule changes to stop hedging, all the tests for rainmaker have ceased. I am planning to start testing them in a non NFA governed broker however Zig Zag was the only strategy showing promise so that is what I will focus on. However, this time I will test on other pairs as well.
I will set up an mt4stats account so I don't need to post performance updates every week.
I have opened a live account with Alpari UK (in addition to my IBFX one I have now) and I expect to set up the VPS this weekend so next week I should be back online.
Other EA's of interest to test
Beyond my current testing, I am also keen to test the following (In this order):
- M5G Cyborg
- FAPTurbo
- Forex Shocker
- Forex Megadroid
- Chameleon EZ
- Forex Auto Trader
Learning from rainmaker tests, I have chosen not to test anything that:
- Hedges
- Doesn't back test well
- Hasn't doubled a demo account with a 'reasonably' stable equity curve.
Some of the above list has not yet reached these criteria, so until they do I will not fork out cash to buy them.
Thanks to Macrotactician for the direction to www.4xproject.com where I found some of the above EA's and/or confirmed other tests I had seen.
I will be a bit more targeted in my testing criteria (assuming it is successful) the ensuing transition to live trading; I will explain my trading plan in another post.
September wrap up, up +13%
The +13% is what I achieved on my account balance for the 32 day September options cycle. This is due to having a strong weighting towards income, and less in speculative trades. RUT & NDX were income, WM & BAC were speculative, and VIX was a hedge.
Some lessons I learnt this month were:
- If you think there will be further volatility, hang back from writing your IC's until you get a 'big' movement in either direction. My NDX trade is a perfect example. I was loosing money from the day this trade was place until the last week of expiration.
- Butterflys are a cool way to speculate! See my WM trade.
- I think that my IC's are relatively low yeild, to balance the lower risk, but in times like these maybe a higher yeilding and higher risk IC at the start of the month will give you a better buffer for if/when you have to roll - this it just a thought at this stage and I am not looking at changing my trading plan in the immediate future.
- It's probably not worth hedging in high volatility environments, if you get caught out, roll out to wider strikes or to the next month.
All the trade details are on the respective posts, so here is a quick summary (per contract):
RUT Iron Condor
Total Credits: $1.39 Buying Power Used: $1000 Yield: 13.9%NDX Iron Condor
Total Credits: $2.45 Buying Power Used: $2500 Yield:Â 9.8%WM Butterfly
Debit: $0.65 Credit: $1.40 Profit: $0.80 Yield: 123%BAC Double Calendar:
Debit: $1.12 Credit: $1.20 Profit: $0.08 Yield: 7.1%VIX Hedge
Debit: $1.10 Credit: $0.25 Profit: ($0.85) Yield: -77%August wrap up, down -11.3%
Because of my position sizing on these trades (more $ in loosing and less $ in winning), I am actually was down -11.3% before commission for the month. Not bad considering the turmoil going on, and the fact I was heavy in IC's, and had no DD's on. I could have rolled to September to avoid taking the losses but chose not to.
A point worth noting is that my biggest loss came from the MDY calendars! I was good with my jujitsu and repositioning on the IC's (given my experience so far) and therefore they didn't hurt me as much as if you just let them run.
Interestingly, if you were to apply equal $ risk to each of these trades, then you would be down only -2.41%.
Lessons Learnt
I feel a little hyperactive in my trading this month, even though I have followed my plan and adjusted when required. It's eaten into my family life a more than I wanted. I have proven to myself that I can handle adjustments on condors and this has given me confidence.
Enough confidence to consider running an IC only portfolio! Although I realise this has pro's and con's, I would be nice to specialise in just one trade and simplify my trading. I would still do it across a basket of stocks and indexes.
In the spirit of simplicity then, I may just trade only a couple of trades this month, one of them being a rather wide spread on the SPX and a tighter on the NDX. If we are seeing a sector rotation into technology, I suspect the NDX will hold up much better should the market fall.
The Trade Details
Trade 1: NDX
August Trade Summary
Trade 1: NDX
Original Trade: Iron Condor
Call - Aug 2150/2175
Put - Aug 1950/1925
Total Credit: 4.90 (+24%)
Adjustment 1: Exit position due to 2 x cash flow rule
Debit: $8.56 (-42%)
Reposition: Wrote call credit spread
2075/2100 for $1.40 credit (+5.9%) (Still open)
Overall P&L: -12.1%. NB: I may still write a put credit spread to recoup some of the losses, or roll out to September.
Trade 2: RUT
An update on trials
It's just easier to share with you my actual trade tracking spreadsheet; Apologies for the colours, but it was a quick and dirty creation.
I am trading 1 of each of the Ascent Option Spreads recommendations and I am risking no more than $750 on the Investfit strategies.
Thus far, Ascent has only been a drain on funds as they are yet to roll out enough and cover the costs of the initial debit but from all the updates I've been receiving from existing trades that I am not in, they all seem to be going very well - as you would expect in a rampant bull market when writing put diagonal spreads.
I am currently down on a couple of open positions, the worst being the Investfit AMZN positions but like Brett, I am confident AMZN will pull back. The current (unrealised) loss is in the order 50%.
I'm not really sure though that taking a directional options play and a credit spread in the same stock is really the best use of money, but hey this is what a trial is for I guess.
Note: beware potential Ascent subscribers - auto trades are not always auto! What do I mean, well they set a limit for the roll from one month to the next - as I found out on my GRMN position, if they don't get their limit the trade doesn't get executed and I've had to manually roll. Â Their target was for a $0.60 credit, and I could only achieve a $0.45 with the market a few minutes from closing when I realised what was going on.
I could have waited but I though best follow their picks more strictly, at least during these early days.
As a side note, I think I want to revise my trade tracking spreadsheets so they can be broken down into monthly P&L's.
I've also not given up on calendars, and after mucking around with the ‘spread hacker' on thinkorswim's brokerage platform, I think I found a way to isolate some better examples.