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KJ Trading Systems Kevin Davey - Ask Me Anything (AMA)
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KJ Trading Systems Kevin Davey - Ask Me Anything (AMA)

  #61 (permalink)
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  #62 (permalink)
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Adjusting Strategies to Work in Forex (ticks vs. 1/100th of a penny pips)

Hi @kevinkdog

I was wondering if you could chime in on this?

I was seeking those who have good experience with this to chime in when able. If one has a successful automated strategy for the futures market (such as CL, ES, 6E, etc), what are some of the parameter/settings adjustments to the strategy one would consider when applying to the FOREX market?

If they strategy runs OK on FOREX market but not nearly as good as with the futures market what are some best practices or considerations to be made to convert the strategy to do equally well or better in the FOREX market. Of course, I have been working on several parameters to make the adjustment as well...what are you thoughts?

The futures market ticks in 10 whole cent increments or quarter cent increments or similar. The FOREX market ticks in pips which are a HUGE difference than 10 full cent moves or quarter cent moves. The pip is 1/100th of just 1 cent (penny). So, I would image part of the adjustment would have to take this into consideration (among perhaps some other variables/settings). I think this is a big one. Of course the FOREX is volatile but very liquid.

There are fundamental differences where strategies should work as good, the same, or better (but some knowledgeable adjustments need to be made in order for them to be effective in FOREX in my opinion).


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  #63 (permalink)
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birdoggg View Post
I was seeking those who have good experience with this to chime in when able. If one has a successful automated strategy for the futures market (such as CL, ES, 6E, etc), what are some of the parameter/settings adjustments to the strategy one would consider when applying to the FOREX market?

Thanks for the question. The answer depends on the strategy itself. If you used parameters such as average true range to help get you stops and targets, you might not need to rewrite code, but rather just change the parameter values for different markets.

My experience is that a strategy that works good in CL or ES doesn;t necessarily work well with Forex. They might though. Even a Euro futures strategy might not work well in a EURUSD forex strategy.



birdoggg View Post

If they strategy runs OK on FOREX market but not nearly as good as with the futures market what are some best practices or considerations to be made to convert the strategy to do equally well or better in the FOREX market. Of course, I have been working on several parameters to make the adjustment as well...what are you thoughts?

It depends on the strategy, and what is specifically in it. I would first look at profits and stops, and how they are called out in the strategy. I'd probably adjust them first.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #64 (permalink)
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@kevinkdog I saw your comments in BOT about the Volume Spike strategy. So I downloaded it, and started converting it into Ninja. I'm not familiar with Tradestation, so I wanted to check my understanding of the TS code.

Here are the assumptions I'm making based on what I see.
1. as far as when you can enter trades, you can enter at any time of the day
2. VP_High and VP_Low are not used
3. the trades only closes on the time exit
4. based on rule 3, you would only have 1 trade max per day. After the time exit, a new trade could be place which won't close until the next time exit

Does this sound correct?

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  #65 (permalink)
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dynoweb View Post
@kevinkdog I saw your comments in BOT about the Volume Spike strategy. So I downloaded it, and started converting it into Ninja. I'm not familiar with Tradestation, so I wanted to check my understanding of the TS code.

Here are the assumptions I'm making based on what I see.
1. as far as when you can enter trades, you can enter at any time of the day
2. VP_High and VP_Low are not used
3. the trades only closes on the time exit
4. based on rule 3, you would only have 1 trade max per day. After the time exit, a new trade could be place which won't close until the next time exit

Does this sound correct?

I'm going to move this to Bot thread...

https://futures.io/elite-automated-trading/7455-battle-bots-ninjatrader-tradesta...ment-205.html#post439154

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread

Last edited by kevinkdog; September 30th, 2014 at 04:12 PM. Reason: added link to Bot post
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  #66 (permalink)
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to Kevindog - Future DAX code

Hi Kevin,

I've received your code

if close crosses above average(close,10) buy next bar at XXXX limit;
if close crosses below average(close,10) sellshort next bar at XXXX limit;

where XXXX is your limit price you want to enter at


It's enough to work ?

I've to ask you also how can I connect my code to my Platform, I use Global Zen; is it necessary another program to interface it or ?

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  #67 (permalink)
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Giox View Post
Hi Kevin,

I've received your code

if close crosses above average(close,10) buy next bar at XXXX limit;
if close crosses below average(close,10) sellshort next bar at XXXX limit;

where XXXX is your limit price you want to enter at


It's enough to work ?

I've to ask you also how can I connect my code to my Platform, I use Global Zen; is it necessary another program to interface it or ?


Sorry, I have no idea about how to connect to your platform. Also, I don't know if the code will do what you want it to, but it is the best I could do from your requirements (limit order entered after moving average cross). It should give you the basics though, so you can modify it to do exactly what you want.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #68 (permalink)
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DAX

My idea is to go long or short when moving average change color or direction or when the two averages line crosses, setting stop loss some tick away from entry in the market, and try all on my Platform.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).



you can see my image to understand what I nedd to codify.

thank you

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  #69 (permalink)
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Hello Kevin,

I am a big fan of your book and studying it in detail.

I programmed the euronight strategy in NT and trade it in the simulator

What happened with the euroday and night strategy?
I noticed you did not update for november and december?

Results are still not going as expected even now the volatility is slowly catching up (euro night strategy):

http://screencast.com/t/PmxTXLkzIRj9


Did you toss the strategy?
Did the wfo have to many optimization?

Eagerly trying to learn from your experiences, (even when a strategy does not go as expected, actually even better, because learning is always better when things don't go as expected).

Thank you so much for sharing all your knowledge

Deeply appreciate it

yeshe

Ps can't find a working link to your recent webinar (17 december).


Last edited by yeshe; December 20th, 2014 at 02:44 AM. Reason: picture did not work
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  #70 (permalink)
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yeshe View Post
Hello Kevin,

I am a big fan of your book and studying it in detail.

I programmed the euronight strategy in NT and trade it in the simulator

What happened with the euroday and night strategy?
I noticed you did not update for november and december?

Results are still not going as expected even now the volatility is slowly catching up (euro night strategy):

2014-12-19_2155 - yeshe2's library


Did you toss the strategy?
Did the wfo have to many optimization?

Eagerly trying to learn from your experiences, (even when a strategy does not go as expected, actually even better, because learning is always better when things don't go as expected).

Thank you so much for sharing all your knowledge

Deeply appreciate it

yeshe

Ps can't find a working link to your recent webinar (17 december).


Thanks for the kind words. I did stop live trading the strategy, although I am still tracking it.

I will post an end of year update after Dec 31. I missed Nov review.

Last time I looked, the strategy was still barely trading, even with increased volatility, which I think is the major reason it started underperforming. I don't believe it was an optimization issue, but I can't discount that entirely.



Big Mike postponed all December webinars. We hope to do it in January sometime.

THANKS!

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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