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EUR/USD High Frequency Kagi - PB1004
Tue, Nov 13, 2012, 01:56 AM
Post: #1
Index EUR/USD High Frequency Kagi - PB1004
TARGET MARKET: Euro/US Dollar (FX: EURUSD)
SUPPORTED PLATFORMS: TradeStation, MultiCharts
STRATEGY TYPE: High frequency, swing, immediate trend
TIME FRAME: Intraday
CHART TYPE: Kagi, 0.00061 (6.1 pip) fixed price
REQUIRED INDICATOR(S): PivotBuilder Personal Trading Suite
INCLUDED COMPONENTS: 4xStrategy (LE, LX, SE, SX)
WORKSPACE DESIGNATION: PB1004

This high-performance workspace was developed primarily for high frequency traders. PivotBuilder's Pivot lines and Trigger line have been configured to identify and scalp probable support/resistance level breaks. It is precisely for this reason we use Kagi charts - they have an excellent ability to remove market noise and outline S/R bands.

You will notice that although equity growth is relatively consistent, it often comes in cyclical run-ups consisting of 150-200 trades. Rest of the time, equity curve oscillates around +/- 10% growth, generally sloping in the positive direction.

Since this is a high frequency setup, make sure to use take profit/stop loss limit orders (as you always should). Also, ensure you have a stable internet connection and preferably a redundant back-up in case your primary connection goes down. An alternative is a VPS - as long as it's got administrator privileges.

To exhibit the workspace performance in a more realistic manner, the backtesting results below include slippage of $5 per 50k currency units (approximately 1 pip) which is the typical slippage a trader would normally experience. On top of that I’m also including $5 per 50k commission, which translates to a spread of approximately 1 pip per trade side - average among majority of the brokers out there.

Since my MultiCharts broker was able to provide a full year of historic EUR/USD data at such a fine resolution and TradeStation went only as far back as May 2012, I decided to feature MultiCharts’ trade analysis in this post. Both, TradeStation and MultiCharts strategy worksheets are included below (available to existing PivotBuilder customers).
EDIT: TradeStation performance results can be found in a post below this one.

PIVOTBUILDER - PB1004 TRADE ANALYSIS - NOVEMBER 12, 2011 - NOVEMBER 13, 2012 (367 DAYS)

PivotBuilder Strategy PB1004: EUR/USD Kagi High-Frequency Trading Equity Curve (Detailed)

PivotBuilder Strategy PB1004: EUR/USD Kagi High-Frequency Trading Equity Curve (Run-up versus Drawdown)

PivotBuilder Strategy PB1004: EUR/USD Kagi High-Frequency Trading Complete Performance Summary

PivotBuilder Strategy PB1004: EUR/USD Kagi High-Frequency Trading Total Trade Analysis

PivotBuilder Strategy PB1004: EUR/USD Kagi High-Frequency Trading Monthly Returns (Value Added Monthly Index)

PivotBuilder Strategy PB1004: EUR/USD Kagi High-Frequency Winning Trade Distribution

PivotBuilder Strategy PB1004: EUR/USD Kagi High-Frequency Losing Trade Distribution

PivotBuilder Strategy PB1004: EUR/USD Kagi High-Frequency Trading Total Trade Distribution

PivotBuilder Strategy PB1004: EUR/USD Kagi High-Frequency Trading Maximum Favorable Excursion (%)



TradeStation/MultiCharts Strategy Properties:
  • Commission: $5 per 50,000 currency units
  • Slippage: $5 per 50,000 currency units
  • Trade Size: 50 lots = 50,000 currency unites
  • Max lots: 300 = 300,000 currency unites

The attached workspaces contain 4 Strategy add-ons for back-testing and auto-trading the setup:
  • Long-Entry (LE) - PivotBuilder conditions for opening a long positions
  • Long-Exit (LX) - PivotBuilder conditions for closing a long positions
  • Short-Entry (SE) - PivotBuilder conditions for opening a short positions
  • Short-Exit (SX) - PivotBuilder conditions for closing a short positions

The attachment ending with .tsw is a TradeStation workspace, while .wsp is intended for MultiCharts users.

Opening the workspace:
  1. Download the appropriate workspace, attached to the bottom of this post
  2. Copy the downloaded file into the:
    • TradeStation users: TradeStation\MyWork folder (e.g. C:\Program Files\TradeStation).
    • MultiCharts users: the default directory is your Windows Documents folder
  3. Launch TradeStation/MultiCharts, then go to File>>Open Workspace, or alternatively, press Ctrl-O
  4. Select PivotBuilder-PB1004-FX-EURUSD-Kagi and select Open.

MultiCharts users: make sure that the chart type loaded is Kagi with 0.0061 fixed price value. If you’re not sure how to do that, see this tutorial.

Once you load the workspace into your platform, enter the Serial number into each strategy add-on.

To avoid entering your Serial every time you open this workspace, enter the number once, then save it as a new workspace or a default parameter.

Marko Nikolic
President and Chief Developer
November 13, 2012, Toronto, Canada

CFTC RULE 4.41 – HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN. YOU AGREE TO USING PIVOTBUILDER - PERSONAL SUITE AT YOUR OWN RISK. MARKO NIKOLIC, BUILD-A-SIGNAL SOFTWARE, AND NITRODE INC. ARE NOT LIABLE FOR ANY LOSSES YOU MAY INCUR BY USING PIVOTBUILDER - PERSONAL SUITE.



Attached File(s)
.wsp  PivotBuilder-PB1004-FX-EURUSD-Kagi.wsp (Size: 81.36 KB / Downloads: 32)
.tsw  PivotBuilder-PB1004-FX-EURUSD-Kagi.tsw (Size: 68.5 KB / Downloads: 30)
reply
Wed, Nov 14, 2012, 02:08 PM
Post: #2
Information RE: EUR/USD High Frequency Kagi - PB1004 - TradeStation performance screenshots
TRADESTATION PERFORMANCE RESULTS

PIVOTBUILDER - PB1004 TRADE ANALYSIS - MAY 14, 2012 - NOVEMBER 14, 2012 (184 DAYS - MAXIMUM HISTORY)

PivotBuilder Strategy PB1004: EUR/USD Kagi High-Frequency Trading Equity Curve


PivotBuilder Strategy PB1004: EUR/USD Kagi High-Frequency Trading Complete Performance Summary


PivotBuilder Strategy PB1004: EUR/USD Kagi High-Frequency Total Trade Analysis


PivotBuilder Strategy PB1004: EUR/USD Kagi High-Frequency Trade Series Analysis


PivotBuilder Strategy PB1004: EUR/USD Kagi High-Frequency Winning Trade Distribution


PivotBuilder Strategy PB1004: EUR/USD Kagi High-Frequency Losing Trade Distribution


PivotBuilder Strategy PB1004: EUR/USD Kagi High-Frequency Trading Total Trade Distribution


PivotBuilder Strategy PB1004: EUR/USD Kagi High-Frequency Trading Maximum Favorable Excursion (%)


PivotBuilder Strategy PB1004: EUR/USD Kagi High-Frequency Run-Up (P/L)


TradeStation Strategy Properties:
  • Commission: $5 per 0.5 standard lots
  • Slippage: $5 per 0.5 standard lots
  • Trade Size: 0.5 lots = 50,000 currency unites
  • Max lots: 3 = 300,000 currency unites

Marko Nikolic
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