Andrea Unger, Daryl Guppy, Howie Lee Level 7, NTUC · PDF fileOrganized by Platinum Sponsor...

Platinum Sponsor Organized by Supporting Exchange

Media Partners

Global Trading ForumAndrea Unger, Daryl Guppy, Howie Lee

Level 7, NTUC Centre

2

Profitable Trading

3

• Andrea Unger

• Born in 1966

• Degree in Mechanical engineering in 1990

• From 1992 to 2001 employed in technical-commercial

positions in multinational companies

• From 2001 Full time trader

About me

4

Some success storiesEuropean TopTraderCupEuropean TopTraderCupEuropean TopTraderCupEuropean TopTraderCup1111°°°° place 61%place 61%place 61%place 61%

World Cup Championship of Futures & Forex Trading®World Cup Championship of Futures & Forex Trading®World Cup Championship of Futures & Forex Trading®World Cup Championship of Futures & Forex Trading®1111°°°° place 672%, 115%, 240%, 82%place 672%, 115%, 240%, 82%place 672%, 115%, 240%, 82%place 672%, 115%, 240%, 82%FIRST Italian book on FIRST Italian book on FIRST Italian book on FIRST Italian book on money management money management money management money management

5

Markets are changing

Donchian Channel breakout using highest high and lowest low of 5 daily bars.30 USD RT commissions included.Dates from 1950 to July 2014

6

Markets are changing

7

Markets are changing

Donchian Channel breakout using highest high and lowest low of 5 daily bars.30 USD RT commissions included.Dates from 1950 to Dec 2000

8

Markets are changing

9

Markets are changing

Donchian Channel breakout using highest high and lowest low of 5 daily bars.30 USD RT commissions included.Dates from 2001 to July 2014

More trades

Worse average trade

10

Markets are changing

Equity line is

much worse

11

Markets are changing

Working on breakout of 20 bars the scenario does not change, during last years there are more trades and worse average trade values

12

Markets are changing

Equity line is

much worse

13

Markets are changing

Working on breakout of 50 bars the scenario does not change, during last years there are more trades and worse average trade values

14

Markets are changing

Equity line is

much worse

15

EminiSP500 approach

The «failure» of classical trendfollowing is mostly due to higher efficiency of markets.

MiniSP500 is one of the most efficient markets.

The 5 periods time showed up to be the choppiest for breakout strategies so let’s do the opposite!

16

EminiSP500 approach

We refer to day session to build our setup

We trade only long as Indexes have a long BIAS

Our setup is a close 10% of last range below the lowest low of previous 5 daily session’s lows

We don’t enter on Fridays

We don’t enter in case of recent loss

17

EminiSP500 approach

Once the setup is verified we enter on a limit order at most recent low level.

Worst case exit is 600 USD Stop Loss

Time exit market on close after 12 bars in trade

18

EminiSP500 approach

19

EminiSP500 approach

Results are not bad for a very simple approach like this

20

EminiSP500 approach

The equity line shows a nice behavior

21

EminiSP500 approach – Position Sizing at work!

Fixed Ratio with delta 10.000 USD lets profits boost

22

Another way to face challenging conditions

We focus on «day session» only as there we find higher volumes

We study intraday entries on a 15 minutes charts

23

Another way to face challenging conditions

We have a time window to take the trades

We have patterns filtering the decision to take a directional trade

24

Another way to face challenging conditions

25

Another way to face challenging conditions

The results with a single contract approach are positive, 15 USD RT commissions have been included

26

Another way to face challenging conditions

Equity line shows a good behavior

27

Another way to face challenging conditions

Yearly report shows constant gains and trade analyses is also positive

28

Another way to face challenging conditions

Now position sizing is applied with a 2% risk model on 25.000 USD starting capital

29

Another way to face challenging conditions

Equity line still shows a good behavior and drawdown figures are within «normal» limits

30

Another way to face challenging conditions

Now same starting capital of 25.000 USD but risk of 5% pro trade, results jump to really high levels

31

Another way to face challenging conditions

Equity line here starts showing some strong falls and this approach might be too aggressive for most risk profiles

32

Let’s have a look at some currencies

British Pound future Donchian channel breakout test on 5 Bars

33

Let’s have a look at some currencies

British Pound future Donchian channel breakout test on 20 Bars

34

Let’s have a look at some currencies

British Pound future Donchian channel breakout test on 50 BarsIn all cases we see a bad behavior in last years!

35

Let’s have a look at some currencies

Considering the increasing number of «false breakouts» we build a strategy where the entries are on fake breakouts so we enter long once we first had a break of last day’s low and then a recovery to the upside and we enter short when there was first a breakout of last day’s high and then a return below that level.

To do so we work on 60 minutes bars and we add the only condition that yesterday the total range was smaller than the day before

36

Let’s have a look at some currencies

The condition related to BarOfDay is to avoid entries accross different days

All we use in conjunction with these rules is a 100 ticks stop loss

37

Let’s have a look at some currencies

These are the results after 2008 on British Pound future with 30 USD RT commissions

38

Let’s have a look at some currencies

The equity line also shows a very nice behavior

39

Let’s have a look at some currencies

Let’s now apply this strategy on a basket of currency futures with no change in the rules.We trade:

EuroFX futureBritish Pound futureJapanese Yen futureAustralian $ futureNew Zealand $ future

40

Let’s have a look at some currencies

Some trades as an example

41

Let’s have a look at some currencies

Excellent results considering the test saw no tweaks on inputs depending on different Currencies

42

Let’s have a look at some currencies

There are some harder periods but overall the equity keeps on rising

43

Position Sizing at work!

Fixed Ratio with delta 10.000 USD lets profits boost

Platinum Sponsor Organized by Supporting Exchange

Media Partners

Thank Youwww.oneyeartarget.com

andrea.unger@oneyeartarget.com