Es wurde einen holprigen Monat definitionsgemäß. Wir haben eine Menge Geld im Gefolge der Fed-Ankündigung des letzten Monats, only to give it all back the next week. QB Pro recovered most of the earlier gains, then last week’s drawdown took it all back again. It’s been painful.
The good news is that the new changes to QB Pro are rolled out. Several of you sent in emails asking about new currencies like GBPNZD and AUDCAD appearing in your account. Kudos to you for paying close attention to the trading.
The total currencies traded in the basket is up to 16 pairs. While the max leverage is unchanged at 36:1 (still very, very high), the leverage per pair is only 2.25:1. Future losses like the one from last week will still occur.
The difference is that the size of the positions is reduced by over 2/3. The impact of getting caught in losing trades that are all reflective of USD weakness decreases significantly. We’re now trading a mix of AUD, CAD, CHF, EUR, GBP, JPY, NZD, USD and XAG. No one currency should dominate the performance.
The system also does extremely well on emerging market currencies. I’m holding off on adding RUB, MXN and others until I determine the impact of the spreads on overall profitability. They’d do amazing if we could trade for free!
Short term performance expectations for QB Pro
We’re coming into the summer, which is when the forex market traditionally falls into the doldrums. That’s generally a good thing for QB Pro. The markets whipsaw up and down without really going anywhere.
The alternative is that the Fed hikes rates in June and sends the market into a USD buying frenzy. That’s also good news. Most of the money that QB Pro made over the past 8 months was driven by USD strength. A rate hike would unleash chaos in emerging markets and equities. That’s the kind of condition to push volatility into our new crosses, creating opportunities for us to trade.
QB-Pro 2.0 isn’t happening
I’m extremely disappointed. After several thousand dollars in programming expenses, and not to mention the 100+ hours that I spent coding myself, the QB Pro 2.0 change is a wash.
I had a trusted developer audit my code to make sure I wasn’t doing something stupid like trading on future prices or anything. Neither him nor myself caught anything from December until March.
Towards the end of last month, a single line of code ruined it all. One of my key features was deciding when to bail on trades and go the opposite direction. Gut, it turned out that I accidentally introduced data snooping into the backtesting platform. I pre-calculated when losing trades occurred to calculate probabilities.
In plain English, my goal was to calculate “If today was a big loser, then do the opposite tomorrow.”
What I accidentally coded was “If tomorrow is a big loser, then do the opposite.” If only that were possible!
I don’t want to muddle up the explanation with code examples. Suffice it to say that the idea didn’t work out when I took away the ability to look into the future.
There are some features of the 2.0 system that I wish to analyze in the coming months, but for now it’s going to have to take a back seat.
What’s next?
My plan is to sit tight for a few weeks to ensure that the new pairs are working as intended. Whenever I am personally satisfied with the system behavior, I intend to increase the amount of capital in my account.
Don’t hold my feet to the fire. This part is a subjective process, so I can’t put a precise time frame on it. If and when I am satisfied – and it’s going very well the first few days – then I will make a decision about increasing my capital at risk.
If and when I choose to increase my capital in the account, I will then re-open QB Pro to new traders.
PS: I hope that the drawdowns encourage some of you to withdraw profits the next time the opportunity presents itself. You don’t want to lose more than you are comfortable risking.
keith sagt
Great update thanks! Nothing is certain in trading of course. But based on that disclaimer, based on your testing of the current stat, on the current leverage; what is the risk rough risk of a full account blow up?
keith sagt
I will word that better. Whats the new % risk of blowup in any month with current leverage in testing?
Shaun-Overton sagt
Hey Keith,
I don’t feel comfortable quoting an exact probability. The reason is that most of the historical blowups occurred in 2008-2009 during the financial crisis – I have plenty of USD data covering that time period. Most of the analysis has been confined to the crosses on Pepperstone data, which goes back to 2012. If I only covered the ~2.5 years for which the portfolio has data, the blow up risk would falsely come out to 0%. That’s misleading and I don’t want people to think it’s low risk. It’s a high risk system.
I feel like we’re a few steps behind the leveraged blow up line, especially watching the live trading. Right now there are some big losses on the NZD pairs. If this happened to USD crosses a few weeks ago, the portfolio would have been down 20-30% on those trades. With the diverse mix of crosses, the equity is only down about 6% with some wild volatility.
The current leverage is fine for the summer. Going into the fall, I’ll probably want to reduce it further.
Dhiraj sagt
Hallo,
When are up grading my EA with QB Pro?
I appreciate if you can upgrade my EA.
Alles Gute,
Dhiraj
Shaun-Overton sagt
Hi Dhiraj,
You’ll be eligible to join the QB Pro managed account when it opens again, as long as you’re not located in the US or a US citizen.
Ed sagt
Tks Shaun for the detailed update. Halten Sie die große Arbeit
tony sagt
Hallo Shaun, Hope you are keeping well? I’m still keeping the faith, but its been difficult lately!! Seeing my account treble and then fall to initial investment in a short space of time is challenging to say the least! Daily and weekly trends are beginning to show a possible reversal- so just wondering if an early profit is reached, could a trailing stop be used? An example would be the first big cable loss about a month ago when it had reached 80 pips profit and then reversed 360 Zacken. I realise that we can’t see TP or SL but it must have been very close to your TP as there was a strong S/R line nearby. Hope I’m making sense Shaun? I realise you must be putting alot of effort into this project, but would appreciate your thoughts on this. Prost, Tony
Shaun-Overton sagt
Hey Tony,
It’s been stressful but I’m keeping my chin up.
Everyone keeps asking me about trailing stops. They would work on individual trades. Jedoch, the net effect across all trades is that they dramatically reduce the strategy performance.
The GBPUSD trade wasn’t lost on me. That trade was extremely irritating to watch. Doubly so because it also happened on NZDUSD at the same time.
Thanks for sticking with me!
–Shaun
PS: This drawdown is a great reminder why we should be withdrawing profits at month’s end when they’re available.
tony sagt
Hallo Shaun, thanks for getting back to me.All noted! but concerning withdrawals, the opportunities were rare as I couldnt close any orders and I would have had a margin call! Prost, Tony.