Code5 has completed a full year cycle with over 250 trades in a row reaching their target. Some of these trades were performed on open positions, and can be viewed by clicking the “Show AutoTrade data” button, not as part of a martingale dollar cost averaging strategy but rather a topological approach which I will elaborate on a bit.
Note that the only trade that was registered as a loss by C2 was due to a mishap in delaying the trade after FX New York session close (22:00 GMT) which you can read about by clicking on the link.
Code5 is an algorithm which has been under development for over 7 years. It seeks and detects balance in price movement based on topological features in a simplicial complex that persist over some range of parameter values. The dynamics of this system is comparable to those of physical systems.
The resulting price levels used as targets are in proximity of the current market price of an instrument, hence why the number of points (pips in the GBPCHF case) between the open and close price is minimal.
On average, three such price levels are detected daily, in either direction, which explains why trades were added to open positions. Note that trades in the opposite direction of an open position were ignored as US brokers do not support hedging.
Although the price levels are always reached, market interventions and shocks can delay this fact by hours, and rarely by months as was the case with the last two trades to which about 200 pips were added in order to account for swap fees.
Code5 did appear on the leaderboard briefly, but the results were hampered as the strategy was not optimized for C2 but rather for our institutional accounts which use options to hedge the delay in reaching the target.
We could not add option positions given that retail brokers, and hence C2, do not offer options on currencies for their clients.
Although Code5 trades GBPCHF exclusively, the algorithm built can be applied to any instrument, a proof that opportunities still abound in markets driven by algorithmic trading.
I am considering another round on C2, and I would appreciate any comments you may wish to make regarding that.