Hello,
I am a leader of Multi Timeframe Forex strategy. I start this topic for everyone interested in this strategy. In this thread I would like to provide you with details regarding my trading approach as well us some statistics and trading results from the past.
I am trading using this strategy on my live account since Jan 2015. I have 100% TOS badge, so all the trades from my live account are replicated. The algo was not modified since 2015, all trading decisions are done by algo itself. Strategy performance is monitored on a daily basis by a team of traders.
Strategy characteristics
- Instruments E/U, E/J, U/J (higher volumes) A/U, A/J (lower volumes).
- Low to moderate margin use
- Doing 1-2 trades per week on average
- Short to Medium term trend following strategy
- All positions have Stop Loss to protect the value of the account
- Position scaling - geometric. When assigning position size for a trade, the strategy takes into account average account balance from the last 4 weeks period. This is a smooth profit capitalization algorithm.
- Trading 24/5 between Monday 6:00 am GMT to Friday 8:35 GMT. Trading disabled during Christmas - New Year period and Easter Period, due to low market liquidity.
- Closing position before the end of the week.
- Strategy operates well in both low and high volatility environments. (No trading in extremely high volatility above levels of 2008-2010 period, as it could not be backtested).
Strategy goal
To deliver steady risk adjusted returns for 10+ years period in every trading conditions
LIVE TRADING RESULTS - Interactive Brokers Account
Chart below is generated by SmartTrading application - an in-house application to design, test, analyze and trade with algo strategies which operates with Interactive Brokers API.
Basic statistics for the period 2015/01/01-2019/07/12 (including trading fees and commissions):
CAGR = 22,58%
Maximum draw-down = 10,2%
Chart is showing unrealised + realised cash balance with 5 minutes time intervals.
More to come:
- Key Alpha driver of this strategy. Low Profit Sensitivity to changes of values in strategy parameters - means that risk of this strategy is very well controlled and is immune to over-optimization (one of the key risk factors in algo trading).
- Examples of heatmaps presenting backtested results for a set of strategy parameters.
- Results for period 2004-2015, additional charts and results per currency pair
- Backested results charts and heatmaps for other currency pairs (to show why we trade those)
- Additional statistics for the periods (Sharpe Ratio etc.)
Pricing - 59$ for everyone subscribing this year. 1 month free trading coupon available for everyone interested.
Have questions? - Shoot here, or contact me via private message.
MS
