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Very Profitable Heiken-Ashi System

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mikejody
517
mikejody  

Greetings,

I, like many others, have been searching for the perfect trading system, and I believe I have found it. I'm writing to ask you to examine this system and provide any constructive feedback that you might have.

When I say "perfect" trading system, I do not mean to imply that it has no losses, but what I mean is that it is "perfect" for my trading style and my 3 requirements.

Here is a list of the requirements that I had set out for the system, followed by the system itself, and then I will attach the only indicator I use:

Requirements:

1.Must be "set it and forget it" system, as I am in the air 3-4 days a week and cannot monitor the markets intraday.

2. Must catch all major trends.

3.Must handle ranging markets acceptably.

Indicator: Heiken-Ashi Smoothed set to 2-6-3-2.

Trading System:

Entry:0000 GMT (7:00 PM Eastern time).

Enter in direction of previous Heiken-Ashi candle (blue=long, red=short)

Stop Loss: 50 pips

Take Profit: 55 Pips

Money management:

Start with .10/pip (1000 units at Oanda) or micro lot for every $3,000.00.

double up on every loss, maximum 9 losses

Backtesting:

I have backtested this system for the months of June through October 2006, and am continuing to backtest for Novemer and December. I will post the results in a spreadsheet on the next post down.

Summary:Out of the 5 months backtested this system produced the equivalent of 3414 pips. I say the "equivalent of" because when I would "double up" on a loss I had to put twice the number of pips actually one, so the spreadsheet would equal the dollar amount won correctly.

Concern:Many people say that doubling after a loss is dangerous and risky. To alleviate some of the risk I start with very minimal lot sizes. Obviously this has the adverse affect of not growing the account very rapidly when you get a string of all winners. But this adverse affect seems to be offset by the reality that you really never have a losing trade because all losses are more than offset by the doubling up of the winners.

Any feedback you have would be appreciated, or if anyone is able to test this system back several years with backtesting software, please let me know.

Thank you.

Mike

edited: settings are 2-6-3-2

mikejody
517
mikejody  

Heikien-Ashi Smoothed Indicator

Here is the only indicator I use for this system. Set properties to 2-6-3-2.

mikejody
517
mikejody  

Backtesting Statistics

I cannot find a way to upload an Excel spreadsheet here. If anyone knows how please let me know, or I can email the spreadsheet to you and you can upload it if that would be better.

Meanwhile, here are some stats from Market System Analyzer:

=============================================================================================

PERFORMANCE STATISTICS

=============================================================================================

TRADING PARAMETERS...........................................................................

Initial Account Equity: $2,500.00

Trading Vehicle: Futures

Initial Margin: $500.00

Round-turn slippage per contract: $0.00

Round-turn commissions and fees per contract: $0.00

Position Sizing Method: None

No. Contracts: From input data

PROFIT SUMMARY...............................................................................

Total Net Profit: $16,173.40

Gross Profit: $22,262.00

Gross Loss: -$6,088.60

Profit Factor: 3.6563

Highest Closed Trade Equity: $18,673.40

Lowest Closed Trade Equity: $1,966.00

Final Account Equity: $18,673.40

Return on Starting Equity: 646.94%

TRADE RESULTS................................................................................

Number of Trades: 96

Number of Winning Trades: 49

Number of Losing Trades: 47

Percent Profitable: 51.04%

Max Number of Contracts: 1

Minimum Number of Contracts: 1

Average Number of Contracts: 1

Largest Winning Trade ($): $7,040.00 (92.47%)

Largest Winnning Trade (%): 121.11% ($3,520.00)

Average Winning Trade ($): $454.33

Average Winning Trade (%): 8.20%

Max Number Consecutive Wins: 5

Largest Losing Trade ($): -$800.00 (-9.51%)

Largest Losing Trade (%): -14.00% (-$320.00)

Average Losing Trade ($): -$129.54

Average Losing Trade (%): -2.49%

Max Number Consecutive Losses: 5

Average Trade ($): $168.47

Average Trade (%): 2.96%

Trade Standard Deviation ($): $865.22

Trade Standard Deviation (%): 16.43%

Win/Loss Ratio ($/$): 3.5071

Win/Loss Ratio (%/%): 3.2910

Return/Drawdown Ratio: 26.8520

Modified Sharpe Ratio: 0.1804

DRAWDOWNS....................................................................................

Number of Closed Trade Drawdowns: 20

Average Drawdown ($): -$299.89

Average Drawdown (%): 5.49%

Average Number of Trades in Drawdowns: 2

Worst Case Drawdown ($): -$1,325.00 (14.82%)

Trade Number at Trough: 76

Number of Trades in Drawdown: 3

Worst Case Drawdown (%): 24.09% (-$624.00)

Trade Number at Trough: 10

Number of Trades in Drawdown: 5

whitesand
39
whitesand  

What time frame and pairs you traded on?

Arctic4x
87
Arctic4x  
mikejody:
I cannot find a way to upload an Excel spreadsheet here. If anyone knows how please let me know

Hi.

I think you kan upload any file if you zip it.

There are many good free software you can use but i am sure you know that.

I use WinRAR. You find it here: http://www.rarlab.com/

If that do not work you can upload it to a file share server and post the download link here.

There are many free servers you can use. You find lot of them if you Google.

I use: http://www.rapidshare.com/

I hope it helps

Arctic4x

masoudk
182
masoudk  
mikejody:
Greetings,

I, like many others, have been searching for the perfect trading system, and I believe I have found it. I'm writing to ask you to examine this system and provide any constructive feedback that you might have.

When I say "perfect" trading system, I do not mean to imply that it has no losses, but what I mean is that it is "perfect" for my trading style and my 3 requirements.

Here is a list of the requirements that I had set out for the system, followed by the system itself, and then I will attach the only indicator I use:

Requirements:

1.Must be "set it and forget it" system, as I am in the air 3-4 days a week and cannot monitor the markets intraday.

2. Must catch all major trends.

3.Must handle ranging markets acceptably.

Indicator: Heiken-Ashi Smoothed set to 2-3-6-2.

Trading System:

Entry:0000 GMT (7:00 PM Eastern time).

Enter in direction of previous Heiken-Ashi candle (blue=long, red=short)

Stop Loss: 50 pips

Take Profit: 55 Pips

Money management:

Start with .10/pip (1000 units at Oanda) or micro lot for every $3,000.00.

double up on every loss, maximum 5 losses

Backtesting:

I have backtested this system for the months of June through October 2006, and am continuing to backtest for Novemer and December. I will post the results in a spreadsheet on the next post down.

Summary:Out of the 5 months backtested this system produced the equivalent of 3414 pips. I say the "equivalent of" because when I would "double up" on a loss I had to put twice the number of pips actually one, so the spreadsheet would equal the dollar amount won correctly.

Concern:Many people say that doubling after a loss is dangerous and risky. To alleviate some of the risk I start with very minimal lot sizes. Obviously this has the adverse affect of not growing the account very rapidly when you get a string of all winners. But this adverse affect seems to be offset by the reality that you really never have a losing trade because all losses are more than offset by the doubling up of the winners.

Any feedback you have would be appreciated, or if anyone is able to test this system back several years with backtesting software, please let me know.

Thank you.

Mike

Hi

With above setting indicator disappears.

Files:
ashi.jpg 79 kb
timbobo
55
timbobo  

Expert to use with the abovementioned indicator. I'm sorry but with your settings it lose money on any timeframe.

Expert works with single order fixed lot and does not use Martingale money management. Use it just to test the general idea.

This strategy makes only 40% profitable orders. It means that random entering to the market will be more succesfull than using this strategy.

Files:
mikejody
517
mikejody  
whitesand:
What time frame and pairs you traded on?

I have only tested this on the GBP/USD daily chart. I am sure it would work well on other pairs, with modified stop loss and take profit figures.

Also, it was brought to my attention that I listed the Heiken-Ashi settings in two different ways. The correct settings are 2-6-3-2.

mikejody
517
mikejody  
timbobo:
Expert to use with the abovementioned indicator. I'm sorry but with your settings it lose money on any timeframe.

Expert works with single order fixed lot and does not use Martingale money management. Use it just to test the general idea.

This strategy makes only 40% profitable orders. It means that random entering to the market will be more succesfull than using this strategy.

Thank you for your comments. On my 5 months of back testing the stats were different, showing 54% hit rate. I acknowledge it is the Martingale money management that makes this system profitable, but I only care that it is indeed profitable, not how it gets that way.

rogerha
43
rogerha  

I wish you luck, but I think you'll find you'll get bitten in the end. The answer to the trading conundrum is risk/money management and an edge. This way you are prepared for anything the market throws at you.

As somebody else posted on another thread here, you might find this interesting.

http://grailtrading.blogspot.com/

mikejody
517
mikejody  
rogerha:
I wish you luck, but I think you'll find you'll get bitten in the end. The answer to the trading conundrum is risk/money management and an edge. This way you are prepared for anything the market throws at you.

As somebody else posted on another thread here, you might find this interesting.

http://grailtrading.blogspot.com/

Wow, that is a sobering blog, it is apparent that the drawdown of his system affected him dramatically. And yet for all my testing and trading over the previous years I have not found any system that does not have drawdown, some of them substantial drawdown (in the 20-50% range).

This system I am testing now had a 24.9% drawdown, which I admit is substantial. And yet for me, it meets all my other requirements, so time will tell if I am able to live with a drawdown like this.

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