Andrea Unger, Daryl Guppy, Howie Lee Level 7, NTUC · PDF fileOrganized by Platinum Sponsor...
Transcript of Andrea Unger, Daryl Guppy, Howie Lee Level 7, NTUC · PDF fileOrganized by Platinum Sponsor...
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Platinum Sponsor Organized by Supporting Exchange
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Global Trading ForumAndrea Unger, Daryl Guppy, Howie Lee
Level 7, NTUC Centre
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Profitable Trading
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• Andrea Unger
• Born in 1966
• Degree in Mechanical engineering in 1990
• From 1992 to 2001 employed in technical-commercial
positions in multinational companies
• From 2001 Full time trader
About me
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Some success storiesEuropean TopTraderCupEuropean TopTraderCupEuropean TopTraderCupEuropean TopTraderCup1111°°°° place 61%place 61%place 61%place 61%
World Cup Championship of Futures & Forex Trading®World Cup Championship of Futures & Forex Trading®World Cup Championship of Futures & Forex Trading®World Cup Championship of Futures & Forex Trading®1111°°°° place 672%, 115%, 240%, 82%place 672%, 115%, 240%, 82%place 672%, 115%, 240%, 82%place 672%, 115%, 240%, 82%FIRST Italian book on FIRST Italian book on FIRST Italian book on FIRST Italian book on money management money management money management money management
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Markets are changing
Donchian Channel breakout using highest high and lowest low of 5 daily bars.30 USD RT commissions included.Dates from 1950 to July 2014
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Markets are changing
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Markets are changing
Donchian Channel breakout using highest high and lowest low of 5 daily bars.30 USD RT commissions included.Dates from 1950 to Dec 2000
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Markets are changing
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Markets are changing
Donchian Channel breakout using highest high and lowest low of 5 daily bars.30 USD RT commissions included.Dates from 2001 to July 2014
More trades
Worse average trade
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Markets are changing
Equity line is
much worse
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Markets are changing
Working on breakout of 20 bars the scenario does not change, during last years there are more trades and worse average trade values
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Markets are changing
Equity line is
much worse
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Markets are changing
Working on breakout of 50 bars the scenario does not change, during last years there are more trades and worse average trade values
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Markets are changing
Equity line is
much worse
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EminiSP500 approach
The «failure» of classical trendfollowing is mostly due to higher efficiency of markets.
MiniSP500 is one of the most efficient markets.
The 5 periods time showed up to be the choppiest for breakout strategies so let’s do the opposite!
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EminiSP500 approach
We refer to day session to build our setup
We trade only long as Indexes have a long BIAS
Our setup is a close 10% of last range below the lowest low of previous 5 daily session’s lows
We don’t enter on Fridays
We don’t enter in case of recent loss
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EminiSP500 approach
Once the setup is verified we enter on a limit order at most recent low level.
Worst case exit is 600 USD Stop Loss
Time exit market on close after 12 bars in trade
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EminiSP500 approach
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EminiSP500 approach
Results are not bad for a very simple approach like this
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EminiSP500 approach
The equity line shows a nice behavior
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EminiSP500 approach – Position Sizing at work!
Fixed Ratio with delta 10.000 USD lets profits boost
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Another way to face challenging conditions
We focus on «day session» only as there we find higher volumes
We study intraday entries on a 15 minutes charts
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Another way to face challenging conditions
We have a time window to take the trades
We have patterns filtering the decision to take a directional trade
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Another way to face challenging conditions
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Another way to face challenging conditions
The results with a single contract approach are positive, 15 USD RT commissions have been included
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Another way to face challenging conditions
Equity line shows a good behavior
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Another way to face challenging conditions
Yearly report shows constant gains and trade analyses is also positive
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Another way to face challenging conditions
Now position sizing is applied with a 2% risk model on 25.000 USD starting capital
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Another way to face challenging conditions
Equity line still shows a good behavior and drawdown figures are within «normal» limits
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Another way to face challenging conditions
Now same starting capital of 25.000 USD but risk of 5% pro trade, results jump to really high levels
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Another way to face challenging conditions
Equity line here starts showing some strong falls and this approach might be too aggressive for most risk profiles
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Let’s have a look at some currencies
British Pound future Donchian channel breakout test on 5 Bars
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Let’s have a look at some currencies
British Pound future Donchian channel breakout test on 20 Bars
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Let’s have a look at some currencies
British Pound future Donchian channel breakout test on 50 BarsIn all cases we see a bad behavior in last years!
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Let’s have a look at some currencies
Considering the increasing number of «false breakouts» we build a strategy where the entries are on fake breakouts so we enter long once we first had a break of last day’s low and then a recovery to the upside and we enter short when there was first a breakout of last day’s high and then a return below that level.
To do so we work on 60 minutes bars and we add the only condition that yesterday the total range was smaller than the day before
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Let’s have a look at some currencies
The condition related to BarOfDay is to avoid entries accross different days
All we use in conjunction with these rules is a 100 ticks stop loss
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Let’s have a look at some currencies
These are the results after 2008 on British Pound future with 30 USD RT commissions
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Let’s have a look at some currencies
The equity line also shows a very nice behavior
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Let’s have a look at some currencies
Let’s now apply this strategy on a basket of currency futures with no change in the rules.We trade:
EuroFX futureBritish Pound futureJapanese Yen futureAustralian $ futureNew Zealand $ future
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Let’s have a look at some currencies
Some trades as an example
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Let’s have a look at some currencies
Excellent results considering the test saw no tweaks on inputs depending on different Currencies
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Let’s have a look at some currencies
There are some harder periods but overall the equity keeps on rising
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Position Sizing at work!
Fixed Ratio with delta 10.000 USD lets profits boost
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