Discusión 1.4 Supreme Signal Robot Excellent 1 (Real)

The first two trades sPhantom took in my real account were spurious. Their systems did not take them. 2 trades the same minute, then both closed one minute later. i reported this, and they said the problemwsas on their end, and that they fixed it. We will see.

Is XM.com accepting US clients?

A real forum finally...

Hi Ken, Please let me apologise for my part in the degradation of the main sPhantom thread and thank you for your spread sheet.

What spreadsheet?

https://www.myfxbook.com/community/trading-systems/sphantom-auto-trader/562877,118#?pt=2&p=115&o=562877

Remember the past performance is no guarantee ra ra etc. etc. but gives some incite to the best management method to suit your risk appetite. sPhantom WILL crash again in my opinion, it's all about getting your capital covered and extracting some profit on each boom and bust cycle. Kens work book helps to make an informed decision.

Hi Ken, thanks for the idea of moving the discussion away from the main forum.

It's a shame that sPhantom (Benton) has gone quiet. It would have done him a world of good just to pop up on the forum and post his view for the way forward and explain what happened, but I guess we all deal with adversity differently.

My view at the moment based on last week's trading is that he seems quite keen to rebuild the account as quickly as possible. It has been very rare for the EA to take 5 trades in a week. If that is the case and he can do it safely, we all stand to benefit and recover any losses.

Thanks everyone for positive contributions in the past and going forward.

I am re-posting my spreadsheet here as well as reintroducing my thought process as well. Frankly, I was amazed that this did not generate any interest or even a single question as it is quite a thorough review of the sPhantom historical trades as it relates to setting stop losses.

Every trading system has a sweet spot between letting the trade work and cutting your losses. We should have enough historical data now to begin assigning these values to sPhantom. When you export the trades in a .csv format in Excel, two of the data points It provides is not only pips earned on the trade, but the draw down that the trade took before it closed that particular trade at either a profit or a loss. With that information we can evaluate what would have happened had we assigned a particular stop loss value. As extreme examples, we can set the stop loss to 1 and keep our losses very very small and never have a winning trade, or we can run no stops, as we have, and get the occasional really large hit like we just did. Somewhere in between is the sweet spot.

The spreadsheet looks at stop losses in 5 pip increments from 60 to 135 pips. For example, using the 60 pip stop loss, every trade was evaluated. If the trade draw down was less than 60 pips, then we get the final results of the trade, If the DD is 60 pips or greater, then we get stopped out. This is done for every trade and the cumulative results show at the bottom of the list.

The spreadsheet is set up so you can personalize it for your own account and risk tolerance. The yellow color squares control that. The red “lots traded” numbers are the lots you get to trade based on your risk appetite. The bottom lines in the sheet give your uncompounded rates of return for the trade history as well as annualized.

The risk values you assign will affect the overall performance, but it will not change the relationship between any of the rates of return of the stop values themselves.

As the data shows, 60 pips is one of the absolute worst places to be. I know a number of traders are using that. I’m not trying to rub salt in a wound here, but the data is the data. When you review the rates of return, there is a definite improvement as you move from the left (lower stops) to the right (larger stops). That is to be expected. What’s interesting is that there is a definite bell curve at the higher end of the stop loss spectrum. The rate of return for stop losses 95 upward are 41%. 59%, 56%, 62%, 68%,66%, and 64%, 62%. Note the highest rate of return right in the midpoint of the stops between 85 and 120. Based on what the data shows me, a 105 pips stop loss is the sweet spot.

Remember that you only risk a fixed percentage of your account now. A 5% loss is a 5% loss regardless of a 60 pip SL or a 105 pip SL. We are merely looking for the spot that causes us to hit it the fewest times.

As I think about this as I type, our results, all things being equal, should actually be better than what is reported here. These trades are looked at independently as each having its own SL value. Since some of the trades come in pairs, and pairs are closed together, there will be instances where Phantom closes that second trade before our stop could technically be hit.

As you think about your risk appetite (most assuredly small after a big hit) remember that this trade sizing may let you stick your neck out a little further. sPhantom may be able to take one more big hit. Two though, and they’re gone. It could happen, but I doubt that they’ll let that happen again. I took a 62% hit on that day. So even running at a 10% risk, I’d have to take 10 consecutive maximum losing trades to take the same hit. It’s just not going to happen.

The other thing that money management does for you is it will allow you to compound going forward. You can let your trade size grow as you win as you are now controlling the risk of each trade.

I also went back and resorted the trades by date to get a flavor in the consistency in the trade history. Sheet 2 shows the graphical representation of the trading history. A 25% rate of return may be acceptable if it is consistently earned across the time period, but if it’s all earned in a month and then you go nowhere for the rest of the time, that is equally frustrating. That is exactly what the 60 pips SL would have gotten you. It had its equity high last August and is still trying to claw its way back. This would be very frustrating in real time.
The charts clearly show that a minimum 100 pip SL is needed for a consistent equity curve.

This is a lot to chew on, I know. You do yourself a dis-service by not working to understand it.

Well, color me embarrassed. I was reviewing the data to configure the stops on my personal account and I noticed the profits in the first column were always the same in each stop loss case even though the number of lots were being reduced as we moved left to right. Every “$$$ on lots traded” was pointing to the same location for the lot size. Additionally, I noticed the stop loss value was increasing every column and this cannot be, for the same reasons. The profits and losses look correct now. Stop losses are consistent across every column as they should be and profits should decrease as the allowed lot size decreases. I had a cell locked incorrectly.

The sweet spot is still in the same range. A 60 pip SL yields a 55% annualized return but it bothers me that the 65 pip SL only yields a 38% return. Not very robust if there is the least little deviation going forward and that is a big if when things are as variable as they are when we trade. The 90 to 110 stop range all yield in the 70% range. Trying to achieve returns, and yet maintain a level of robustness would dictate that the stop should be in the middle of the 90 pip to 110 pip range as they all returned a rate of return in the 70 percent plus range. Placing your stop at 100 pips then places you right in the middle of the relatively robust range. To be fair to the 60 pip stop loss I added a 55 and 50 pip SL columns just to see. They are poor performers as well.

I believe all my other comments in the prior post are still applicable. Apologies for the confusion here. Let me know if you have any questions or if you see something that doesn’t make sense.

Keep me honest!

While all trade becomes history,once closed, these were live, under duress, trades. This is not the typical back testing validity argument. This is the trade log that anyone would keep to track their performance.

Your statement about pushing the SL over 90 and sweating tells me you don't understand the trade sizing aspect of the exercise. A 10% loss is a 10% loss is a 10% loss. The higher the SL, the less lots you get to trade, so you get stopped out less, but make less on each trade. Hence the sweet spot looking for a reasonable ratio between the number of stop out events and maximizing the number of lots you can trade.

You don't have to trade compounded. You can transfer profits out weekly. If you have the time to work through the compounding, please feel free to to do so.

There are always 'what if' scenarios, opportunity costs, etc, etc. that can cloud and add layer upon layer of difficulty in any analysis. We are all running blind. I'm trying to run blind to a lesser degree. In your opinion then, where should the stops be set at and why?

Ben;

I really should have sat on this a couple more days before sharing this. There's a lot of data and its easy to mess up. I found a problem with lost sizes not adjusting correctly with the change in balance. I was going to sit on this a couple days so I didn't come off looking like a total goober, but if your'e looking hard at it, I want to get it to you. Once I know its debugged (time and others looking) it will be pretty easy to update on an ongoing basis as our trade history evolves.

I am trading with my newly developed money management technique and trading 1.5 lots on a 15k account with a 100 pip stop. Its interesting to note that sPhantoms default was 1.5 on every 5K.

The stop_reset works perfectly. If you use it, keep in mind that it is points not pips. 1000 is 100 pips. I can't remember who posted it, but it is posted here here as well should you choose to use it.

Because I have some rational money management now, I feel comfortable in letting this compound. As each trade finishes, then new balance goes int the spread sheet and the new lot size is traded.

Peace!

I am not sure if I understand your worksheet correctly (rev 2), I see that you can set the total amount you are willing to risk per trade, but what I don't understand is how we can dictate the lot size to trade to SP? For example, with an account size of 10k and a % risk of 0.1, I see that one should trade 1.0 lot per trade if using 100 as the SL. The thing is, how do we get SP to trade 1.0 lot? And if we decide to go for the 105 SL, how to we get SP to trade 0.95 lot instead?

 

Brendan;

When you set the 'Use_Fixed_Lot_Size' to TRUE, sphantoms risk percentages are over-ridden.

F7:
Use_Fixed_Lot_Size = TRUE
Fixed_Lot_Size = Whatever the spread sheet tells you.

Ahh, ok, forgot about that, thanks.

However, looking at the spreadsheet again, I noticed that the sweet spot looks to be SL 75 as that has the highest uncompounded and annualized return. Does that look correct to you?

Also, as for the RiskPercent variable in SP, is that the same as the %Risk in your worksheet in that both sets the max risked per trade?

Brendan777 posted:
Ahh, ok, forgot about that, thanks.

However, looking at the spreadsheet again, I noticed that the sweet spot looks to be SL 75 as that has the highest uncompounded and annualized return. Does that look correct to you?

Also, as for the RiskPercent variable in SP, is that the same as the %Risk in your worksheet in that both sets the max risked per trade?

Brendan,

The “sweet spot” is not the highest return. It requires an understanding of optimization principles. You see, the market is always changing, so the optimal settings of all variables will change with it. If you picture a 3D graph of optimized back tests, (there are lots of them out there!), you will see peaks, valleys and planes. You do not want to be at a peak, because any slight change in market dynamics will cause you to fall off to the bottom of a valley. You want to be in the middle of an optimization plane so that market changes will give you a margin of error before falling off the edge. In other words, you want to pick settings where if optimal values change by 2 or 3 increments in either direction, it will not make much difference in your results. Therefore, if testing results in a string of five 70+/- returns, it indicates robustness in that range. So, and this is just theory, but logical, set yourself up in the middle of that range. I don’t know if you get this explanation or not, let me know if you want to discuss further. HHD

Brendan;

I see my trading buddy HHD chimed in. He knows whereof he speaks. He has his masters in statistical analysis and used it extensively during his career. I bounced my thought processes off him when developing the spread sheet.

Another win on sPhantom last night. I adjusted my spreadsheet this morning ti reflect the new balance and adjusted my lot size for the next trade. See attached screen shot.