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Gerard Ngawati - Marty (By slpanda)

The user has deleted this system.

Gerard Ngawati - Marty Discussion

Sep 13, 2017 at 02:47
683 Views
24 Replies
Member Since Jul 31, 2017   38 posts
Oct 10, 2017 at 06:38
added new set files for eurusd and gbpcad. Still need to include audjpy and nzdchf.
slowlikepanda@
Member Since Jul 31, 2017   38 posts
Oct 11, 2017 at 06:29
Important USD news events to watch out for 200 pips plus daily move going back to 2007:

(United States) ADP Employment Change
(United States) Bank Stress Test Info
(United States) Building Permits Change
(United States) Building Permits (MoM)
(United States) Consumer Confidence
(United States) Consumer Price Index Ex Food & Energy (MoM)
(United States) Consumer Price Index Ex Food & Energy (YoY)
(United States) Consumer Price Index (MoM)
(United States) Consumer Price Index (YoY)
(United States) Core Personal Consumption Expenditure - Price Index (MoM)
(United States) Core Personal Consumption Expenditure - Prices Index (YoY)
(United States) Core Personal Consumption Expenditures (QoQ)
(United States) Fed Interest Rate Decision
(United States) Fed's Monetary Policy Statement
(United States) Fed's Monetary Policy Statement and press conference
(United States) FOMC Economic Projections
(United States) FOMC Member * Speech
(United States) FOMC Minutes
(United States) FOMC Press conference
(United States) Gross Domestic Product Annualized
(United States) Gross Domestic Purchases Price Index
(United States) Housing Starts (MoM)
(United States) Initial Jobless Claims
(United States) ISM Non-Manufacturing PMI
(United States) Michigan Consumer Sentiment Index
(United States) New Home Sales (MoM)
(United States) Personal Consumption Expenditures - Price Index (MoM)
(United States) Personal Income (MoM)
(United States) Retail Sales ex Autos (MoM)
(United States) Retail Sales (MoM)
(United States) Reuters/Michigan Consumer Sentiment Index
(United States) Trade Balance


 
slowlikepanda@
Member Since Jul 31, 2017   38 posts
Oct 11, 2017 at 06:30
All news which has cause a daily 175 pip change since 2007

USD
(United States) ADP Employment Change
(United States) Bank Stress Test Info
(United States) Building Permits Change
(United States) Building Permits (MoM)
(United States) Consumer Confidence
(United States) Consumer Credit Change
(United States) Consumer Price Index Ex Food & Energy (MoM)
(United States) Consumer Price Index Ex Food & Energy (YoY)
(United States) Consumer Price Index (MoM)
(United States) Consumer Price Index (YoY)
(United States) Core Personal Consumption Expenditure - Price Index (MoM)
(United States) Core Personal Consumption Expenditure - Prices Index (YoY)
(United States) Core Personal Consumption Expenditures (QoQ)
(United States) Durable Goods Orders
(United States) Durable Goods Orders ex Transportation
(United States) Existing Home Sales (MoM)
(United States) Fed Interest Rate Decision
(United States) Fed's Monetary Policy Statement
(United States) Fed's Monetary Policy Statement and press conference
(United States) Fed's Yellen Speech
(United States) Fed's Yellen testifies
(United States) FOMC Economic Projections
(United States) FOMC Member Brainard Speech
(United States) FOMC Member Harker Speech
(United States) FOMC Member Mester speech
(United States) FOMC Member Pianalto Speech
(United States) FOMC Member Williams speech
(United States) FOMC Minutes
(United States) FOMC Press conference
(United States) Gross Domestic Product Annualized
(United States) Gross Domestic Purchases Price Index
(United States) Housing Starts (MoM)
(United States) Initial Jobless Claims
(United States) ISM Non-Manufacturing PMI
(United States) JOLTS Job Openings
(United States) Michigan Consumer Sentiment Index
(United States) New Home Sales (MoM)
(United States) Personal Consumption Expenditures - Price Index (MoM)
(United States) Personal Income (MoM)
(United States) Producer Price Index (MoM)
(United States) Retail Sales control group
(United States) Retail Sales ex Autos (MoM)
(United States) Retail Sales (MoM)
(United States) Reuters/Michigan Consumer Sentiment Index
(United States) Trade Balance


GBP
(United Kingdom) Bank of England Minutes
(United Kingdom) BoE Asset Purchase Facility
(United Kingdom) BoE Interest Rate Decision
(United Kingdom) BOE MPC Vote Cut
(United Kingdom) BOE MPC Vote Hike
(United Kingdom) BOE MPC Vote Unchanged
(United Kingdom) BOE's Governor Carney speech
(United Kingdom) Budget Report
(United Kingdom) CBI Distributive Trades Survey - Realized (MoM)
(United Kingdom) Claimant Count Change
(United Kingdom) Claimant Count Rate
(United Kingdom) Consumer Inflation Expectations
(United Kingdom) Consumer Price Index (MoM)
(United Kingdom) Consumer Price Index (YoY)
(United Kingdom) Core Consumer Price Index (YoY)
(United Kingdom) EU referendum
(United Kingdom) Goods Trade Balance
(United Kingdom) Gross Domestic Product (QoQ)
(United Kingdom) Gross Domestic Product (YoY)
(United Kingdom) ILO Unemployment Rate (3M)
(United Kingdom) Monetary Policy Summary
(United Kingdom) Parliamentary Election
(United Kingdom) Retail Price Index (MoM)
(United Kingdom) Retail Price Index (YoY)
(United Kingdom) Retail Sales (MoM)
(United Kingdom) Trade Balance; non-EU
(United Kingdom) UK Prime Minister Theresa May speech

NZD
(New Zealand) Consumer Price Index (QoQ)
(New Zealand) Consumer Price Index (YoY)
(New Zealand) Monetary Policy Statement
(New Zealand) RBNZ Governor Wheeler Speech
(New Zealand) RBNZ Interest Rate Decision
(New Zealand) RBNZ Press Conference

JPY
(Japan) Bank of Japan Governor Kuroda Speech
(Japan) BoJ Interest Rate Decision
(Japan) BoJ Monetary Policy Statement
(Japan) BoJ Monetary Policy Statement and press conference
(Japan) BoJ Press Conference
(Japan) National Consumer Price Index (YoY)
(Japan) Trade Balance - BOP Basis

CAD
(Canada) BoC Interest Rate Decision
(Canada) Retail Sales (MoM)

AUD
(Australia) Consumer Price Index (YoY)

EUR
(Germany) Gross Domestic Product s.a (QoQ)
(Germany) Gross Domestic Product n.s.a (YoY)
(Germany) Gross Domestic Product w.d.a (YoY)
(European Monetary Union) ECB Interest Rate Decision
(European Monetary Union) ECB Trichet's Speech
(Slovakia) Gross Domestic Product Qtr Final (YoY)
(European Monetary Union) Greek Austerity Plan Vote
(European Monetary Union) Retail Sales (YoY)
(European Monetary Union) ECB Interest Rate Decision
(European Monetary Union) ECB Monetary policy statement and press conference
(European Monetary Union) ECB Monthly Report
(European Monetary Union) Targeted LTRO

CHF
(Switzerland) SNB Interest Rate Decision





slowlikepanda@
Member Since Jul 31, 2017   38 posts
Oct 12, 2017 at 14:50
Latest set files done
Eurusd
Audnzd
Chfjpy
Gbpcad
slowlikepanda@
Member Since Jul 31, 2017   38 posts
Oct 13, 2017 at 09:10
Latest version is live and running in production.
slowlikepanda@
Member Since Jul 31, 2017   38 posts
Oct 20, 2017 at 09:06
Other events to avoid.

Geopolitical news such as war
Natural disasters
Political unrest
Elections
Stock Market indices DOW etc

slowlikepanda@
Member Since Jul 31, 2017   38 posts
Oct 22, 2017 at 14:08
Final News list.
This has been refined to 75 pip movement 1 hour after news.
These tests were done using gmt time for more accurancy
It also looked at the high low, instead of open close.
The results were significantly more consistent, having more of the events coming up a lot more times.

AUD
(Australia) RBA Interest Rate Decision
(Australia) Unemployment Rate s.a.
(Australia) Employment Change s.a.
(Australia) Consumer Price Index (YoY)
(Australia) RBA Rate Statement
(Australia) RBA Meeting's Minutes
(Australia) RBA trimmed mean CPI (QoQ)
(Australia) RBA trimmed mean CPI (YoY)
(Australia) Consumer Price Index (QoQ)

CAD
(Canada) BoC Interest Rate Decision
(Canada) Net Change in Employment
(Canada) Unemployment Rate
(Canada) Bank of Canada Monetary Policy Report
(Canada) BOC Rate Statement
(Canada) Building Permits (MoM)

JPY
(Japan) BoJ Interest Rate Decision
(Japan) BoJ Monetary Policy Statement and press conference
(Japan) BoJ Monetary Policy Meeting Minutes
(Japan) BoJ Monetary Policy Statement
(Japan) BoJ Press Conference

NZD
(New Zealand) RBNZ Interest Rate Decision
(New Zealand) Monetary Policy Statement
(New Zealand) Consumer Price Index (YoY)
(New Zealand) RBNZ Press Conference
(New Zealand) RBNZ Governor * Speech
(New Zealand) Employment Change
(New Zealand) Unemployment Rate
(New Zealand) Consumer Price Index (QoQ)
(New Zealand) RBNZ Rate Statement

EUR
(European Monetary Union) ECB Interest Rate Decision
(Germany) IFO - Business Climate
(European Monetary Union) ECB * Speech
(Germany) ZEW Survey - Economic Sentiment
(Germany) Gross Domestic Product s.a (QoQ)
(Germany) Gross Domestic Product n.s.a (YoY)
(Germany) Gross Domestic Product w.d.a (YoY)
(European Monetary Union) Bank Stress Test Info
(European Monetary Union) Gross Domestic Product s.a. (QoQ)
(European Monetary Union) Gross Domestic Product s.a. (YoY)
(European Monetary Union) ECB Monetary policy statement and press conference
(European Monetary Union) ECB Monthly Report
(European Monetary Union) Consumer Price Index (YoY)
(European Monetary Union) Consumer Price Index - Core (YoY)
(European Monetary Union) ECB LTRO auction
(European Monetary Union) ECB President * Speech
(Netherlands, The) Dutch Parliamentary Election
(Germany) Germany Constitutional court ruling on ESM
(France) Markit Manufacturing PMI
(Germany) Markit Manufacturing PMI
(Greece) Hellenic Parliament Elections
(European Monetary Union) ECB deposit rate decision
(European Monetary Union) ECB President Draghi Speaks at Jackson Hole

USD
(United States) Average Hourly Earnings (MoM)
(United States) Average Hourly Earnings (YoY)
(United States) Average Weekly Hours
(United States) Nonfarm Payrolls
(United States) Unemployment Rate
(United States) Fed Interest Rate Decision
(United States) Trade Balance
(United States) Core Personal Consumption Expenditure - Price Index (MoM)
(United States) Core Personal Consumption Expenditure - Prices Index (YoY)
(United States) Personal Consumption Expenditures - Price Index (MoM)
(United States) Personal Income (MoM)
(United States) ISM Manufacturing PMI
(United States) Core Personal Consumption Expenditures (QoQ)
(United States) Gross Domestic Product Annualized
(United States) Gross Domestic Purchases Price Index
(United States) Consumer Price Index (YoY)
(United States) Consumer Price Index Ex Food & Energy (YoY)
(United States) President * Speaks About Markets Volatility
(United States) FOMC Minutes
(United States) Consumer Price Index (MoM)
(United States) Consumer Price Index Ex Food & Energy (MoM)
(United States) Housing Starts (MoM)
(United States) Initial Jobless Claims
(United States) Continuing Jobless Claims
(United States) ADP Employment Change
(United States) Retail Sales (MoM)
(United States) Retail Sales ex Autos (MoM)
(United States) Fed's Bernanke testifies
(United States) New Home Sales (MoM)
(United States) Philadelphia Fed Manufacturing Survey
(United States) Consumer Confidence
(United States) Existing Home Sales (MoM)
(United States) Gross Domestic Product Price Index
(United States) Personal Consumption Expenditures Prices (QoQ)
(United States) FOMC Economic Projections
(United States) Fed's Monetary Policy Statement and press conference
(United States) Fed Pace of Treasury Purchase Program
(United States) Fed Pace of MBS Purchase Program
(United States) Fed's Monetary Policy Statement
(United States) Reuters/Michigan Consumer Sentiment Index
(United States) FOMC Member Mester speech
(United States) Durable Goods Orders
(United States) Durable Goods Orders ex Transportation
(United States) ISM Non-Manufacturing PMI
(United States) FOMC Member Williams speech
(United States) Fed's * Speech
(United States) * Symposium

GBP
(United Kingdom) BoE Interest Rate Decision
(United Kingdom) Gross Domestic Product (QoQ)
(United Kingdom) Gross Domestic Product (YoY)
(United Kingdom) Bank of England Minutes
(United Kingdom) Retail Sales (MoM)
(United Kingdom) Retail Sales (YoY)
(United Kingdom) Goods Trade Balance
(United Kingdom) Trade Balance; non-EU
(United Kingdom) Retail Price Index (MoM)
(United Kingdom) Retail Price Index (YoY)
(United Kingdom) Consumer Price Index (MoM)
(United Kingdom) ILO Unemployment Rate (3M)
(United Kingdom) Budget Report
(United Kingdom) Consumer Price Index (YoY)
(United Kingdom) Core Consumer Price Index (YoY)
(United Kingdom) Bank of England Quarterly Inflation Report
(United Kingdom) BoE's Governor * Speech
(United Kingdom) Industrial Production (MoM)
(United Kingdom) Industrial Production (YoY)
(United Kingdom) Claimant Count Change
(United Kingdom) Consumer Inflation Expectations
(United Kingdom) BoE Asset Purchase Facility
(United Kingdom) BOE MPC Vote Cut
(United Kingdom) BOE MPC Vote Hike
(United Kingdom) BOE MPV Vote Unchanged
(United Kingdom) * speaks at UK Parliament
(United Kingdom) BOE MPC Vote Unchanged
(United Kingdom) Inflation Report Hearings
(United Kingdom) NIESR GDP Estimate (3M)
(United Kingdom) EU referendum
(United Kingdom) Monetary Policy Summary
(United Kingdom) UK Prime Minister * speech

CHF
(Switzerland) SNB Interest Rate Decision
(Switzerland) Consumer Price Index (YoY)
(Switzerland) Gross Domestic Product (YoY)
(Switzerland) SNB press conference
(Switzerland) SNB Chairman * Speech






slowlikepanda@
Member Since Jul 31, 2017   38 posts
Oct 31, 2017 at 08:55
Had my first decent draw-down today. I think I got back into jpy too soon after the election. It wasn't a strong trend down but a slow drawn out one. Note to self.
slowlikepanda@
Member Since Jul 31, 2017   38 posts
Oct 31, 2017 at 08:55
Also avoid news if anything for the week. Its hard to get out of it if you get caught on the bad side of it. I suppose its a balance. You just wouldnt trade that often if you keep avoiding news. I suppose that's why it good to know which events are more likely to have a bite to them.
slowlikepanda@
Member Since Jul 31, 2017   38 posts
Nov 01, 2017 at 07:26
Notes on drawdown, optimisations and back tests.

All back test must be done with 99% tickdata, which can be time consuming to download.
Step one optional.
Optimise the last year. Try not to make too many changes try and keep as generic as possible. In general the more levels the more likely it works in real life given enough balance.
For example 15 levels at 1.5 multiplier with 100000 is a lot more likely to work than 10 levels at 1 with a 1000. Over time it will not work.
I believe the minimum balance for a martingale is important.
I believe 22k is the right amount. Sometimes a system will drawdown 5.5k at a 0.01 base lot. I know that seems excessive but it just something you have to get used to. At the end of the day the profit swill out-weigh the drawdown.

Step two optional
Simply run the generic fit on the last 3 years, if it is profitable with a profit factor of over 2 just use that. This is when you know you have a good system. It will work on multiple pairs unfitted, on 3 years at 99% accurancy.

step 3 confirm on the year before. This is really not needed if it worked on a generic set.

Drawdown is hard to determine via back tests but you can verify with the walk forward.

You need a good balance between drawdown profit actor and profit.
You need at least 1000 samples in my opinion.

Drawdown must be found by using 0.01 lot. Not as a percentage but as max.
if the system drawsdown 2500 you will need a deposit of 50k to keep you at 25%.





slowlikepanda@
Member Since Jul 31, 2017   38 posts
Nov 01, 2017 at 07:27
Things I learn in the past few months

Hedging when in news and the price goes against you.


Test on a cent account.
100 is 10k


Be careful after news. Some times a long continues trend is just as dangerous and fast.
Make sure to only trade when that pair has no news for the following week. Or at least identified with my news analysis. Once stuck its hard to get out.
slowlikepanda@
Member Since Jul 31, 2017   38 posts
Nov 06, 2017 at 07:46
New strategy. Align with weekly news.
No optimizations or at least very few.
Will just run on 3 years of data and ensure there were no major losses. We will use this info to gauge back testing.

2. Then we run on the last year to 3 months to see which per it is currently running the best on.
Use only default settings. 1.5 multiplier with 15 levels. This is far quicker to test anyway.
Also we do not want to trade related pairs.
For example. USDJPY and USDCAD in the same direction. They can trade in the opposite direction like a hedge but will limit to 4 pairs so that will not be an issue.
for example
EURUSD
AUDNZD
CHFJPY
GBPCAD
Non of the pairs run the risk of being related at least not directly, EUR and USD can impact other pairs anyway.
slowlikepanda@
Member Since Jul 31, 2017   38 posts
Nov 07, 2017 at 08:09
Optimization process- This for now I believe is the final process.
Back tests must be done with tick data with a realist spread 10 for ICMarkets
First use default settings on all pairs.
Find the pair with the worse draw-down and optimist with the 2 most significant parameters.
Use formula (trades x profit x profit_factor)/drawdown as a number.
Only really need to have 2-4 steps per-parameter.
Then go through every pair optimizing a parameter, no more then 4 steps, as a rule I generally do 3.
Also if there is no significant difference discard.
Then test on each pair and find pairs with no major losses. Find the greatest draw-down of the 5 best pairs. This will be your estimated draw-down.
Use last step with money management.
Filter by the best performing over the last 3 months.
Make sure money management is within draw-down. It should be as it had been sampled this way.
Combine top 5 pairs in mt4 report merge to see how they would have went combined.
Done.
do every year.
slowlikepanda@
Member Since Jul 31, 2017   38 posts
Nov 07, 2017 at 08:09
If you get a bad test with any set, verify against high draw down pairs. If drawdown has since increased roll back to better set.
You may want to do a diff on the set files to find the differences the maybe causing the issue.
slowlikepanda@
Member Since Jul 31, 2017   38 posts
Nov 07, 2017 at 08:12
When you see inconsistent data, like big loss or big wins, check the reports. Average win/loss draw-down.
slowlikepanda@
Member Since Jul 31, 2017   38 posts
Nov 07, 2017 at 08:12
Then test against another pair to verify.
slowlikepanda@
Member Since Jul 31, 2017   38 posts
Nov 14, 2017 at 07:46
OK this is the last part.
3 years back tests with 28 all pairs un-optimized
Estimated basket drawdown = 30% of current balance
Estimated total drawdown = 6% of current balance
Actually in back tests it was 69 percent individual and 38% total
I filtered but the top 75% then got the most out of that 75. The other 25 could have been due to abnomilies
Major news which I would have avoided anyway mostly the berix news even. So these I consider abnomilies which I will noot include into the totals.
If I take 75% percent again the 38% goes right down to 4. I rounded to 6 percent.
Now need to write code to monitor max basket drawdown a close all at 38%
And total at 6 percent max.





slowlikepanda@
Member Since Jul 31, 2017   38 posts
Nov 14, 2017 at 07:46
I also need a close all before highly volatile news events. Probably the only ones IC markets warn against.
The system can survive most other events.
slowlikepanda@
Member Since Jul 31, 2017   38 posts
Nov 14, 2017 at 07:46
The reason why the max baket drawdown is much greater then the total is that you could have one pair at -23 but 3-4 pairs at +5 which over 3 years sgnificantly reduces total drawdown. I will have hard limits based on these numbers also. 6 percent on total and 30% per basket. What ever comes first.
slowlikepanda@
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