During the past week, I had been implementing and testing a new version of God's Gift which has market orders adjusted to volatility as well as position sizing adjusted to volatility. I did this because I became aware that God's Gift profitability changed dramatically owing to changing market volatility and this was a consequence of it's rigid take profit, stop loss and trailing stop features.
After starting to use the ATR (average true range) indicator as a way to change the strategy according to volatility (this idea was inspired in some part by the turtle trading strategy) I realized that when doing this, the system became much more risky in higher volatility conditions because lot sizing did not change. So the SL, TL and TP would change to higher values when there was higher volatility but constant lot sizes would cause the system to risk more money (since an equal amount of lots was traded regardless of volatility).
Because of this, I decided to implement the same lot sizing strategy that is discussed in the Turtle book strategy in order to change position sizing according to volatility. The results ? The incredible looking back testing chart you see below (we already know that this expert advisor is highly consistent, because one year of forward testing was almost equal to the same year in backtesting. Backtest is from 2004 to 2009 using 90% modeling quality) . Of course, profits are small because lot sizing parameters are small but you can test with higher lot sizing parameters and get the same curve expanded. This way, you can finetune your risk against the profits you want to make, to say 100% a year against a 30% maximum draw down for example. You can see the green lines indicating the dynamic position sizing as volatility fluctuates.
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A live account will be started next week (investor access will obviously be available to newsletter subscribers) to test this new and improved version of God's Gift, which is just the same version coded by Matt Edmonds with several modification made by me for volatility managment using the ATR indicator. If you would like to learn more about the results I have got with God's Gift and other free and commercial expert advisors please consider buying my ebook on automated trading or subscribing to my weekly newsletter to receive updates and check the live and demo accounts I am running with several expert advisors. I hope you enjoyed the article !
After starting to use the ATR (average true range) indicator as a way to change the strategy according to volatility (this idea was inspired in some part by the turtle trading strategy) I realized that when doing this, the system became much more risky in higher volatility conditions because lot sizing did not change. So the SL, TL and TP would change to higher values when there was higher volatility but constant lot sizes would cause the system to risk more money (since an equal amount of lots was traded regardless of volatility).
Because of this, I decided to implement the same lot sizing strategy that is discussed in the Turtle book strategy in order to change position sizing according to volatility. The results ? The incredible looking back testing chart you see below (we already know that this expert advisor is highly consistent, because one year of forward testing was almost equal to the same year in backtesting. Backtest is from 2004 to 2009 using 90% modeling quality) . Of course, profits are small because lot sizing parameters are small but you can test with higher lot sizing parameters and get the same curve expanded. This way, you can finetune your risk against the profits you want to make, to say 100% a year against a 30% maximum draw down for example. You can see the green lines indicating the dynamic position sizing as volatility fluctuates.
-
-A live account will be started next week (investor access will obviously be available to newsletter subscribers) to test this new and improved version of God's Gift, which is just the same version coded by Matt Edmonds with several modification made by me for volatility managment using the ATR indicator. If you would like to learn more about the results I have got with God's Gift and other free and commercial expert advisors please consider buying my ebook on automated trading or subscribing to my weekly newsletter to receive updates and check the live and demo accounts I am running with several expert advisors. I hope you enjoyed the article !
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