Description of used ATS

In our work we used three types of scalping: night, day and mikroskalping. Let us consider each of them. The combination of these strategies cover a variety of market conditions, such as flat, calm and aggressive trend.

Night scalping in the currency pair EURCAD

This strategy works in the time interval from 22:00 to 3:00 (GMT +2). This period is characterized by a calm market, forming a flat. Otlozhenniki exposed to the light of the spread and magnitude of potential profits. In general, the resulting profit is from 2 to 8 points, stop - 50 points. Stop-loss is triggered very often — 3-5 times a year.

Tester report for the period from January 19 to November 17, 2011.

Bars in history 1228976Ticks modeled52674277Modelling quality99.00%
Mismatched charts errors0
Initial deposit 1000.00
Net profit 1672.15Gross profit 2235.52Gross loss-563.37
Gross loss3.97Expected payoff5.16
Absolute drawdown14.19Maximal drawdown84.17 (4.17%)Relative drawdown5.26% (68.49)
Total trades324Short positions (won%)137 (77.37%)Long positions (won%)187 (79.14%)
Profit trades (% of total)254 (78.40%)Loss trades (% of total) 70 (21.60%)
Largest profit trade17.77loss trade-50.77
Averageprofit trade8.80loss trade-8.05
Maximum consecutive wins (profit)17 (163.67)consecutive losses (loss) 3 (-19.76)
Maximal consecutive profit (count of wins) 163.67 (17)consecutive loss (count of losses)-59.06 (2)
Averageconsecutive wins5consecutive losses 1

Daily Scalping on the EURUSD currency pair

The strategy works on the trend, coming into the market recoils at the moment. To determine the exact entry using a large number of indicators. The profit from one deal to the average ranges from 12 to 21 points. The value of the stop-loss is 40 points.

Tester report for the period from January 2, 2009 to January 13, 2012.

Bars in history 75305Ticks modeled43209949Modelling quality99.00%
Mismatched charts errors0
Initial deposit 1000.00
Net profit 3120.86Gross profit 8230.73Gross loss-5109.87
Profitability1.61Expected payoff3.36
Absolute drawdown158.90Maximal drawdown304.23 (10.76%)Relative drawdown15.89% (158.90)
Total trades928Short positions (won%)450 (85.11%)Long positions (won%)478 (87.03%)
Profit trades (% of total)799 (86.10%)Loss trades (% of total) 129 (13.90%)
Largestprofit trade60.40loss trade-40.80
Averageprofit trade10.30loss trade-39.61
Maximum consecutive wins (profit)32 (376.66)consecutive losses (loss) 3 (-120.17)
Maximal consecutive profit (count of wins) 376.66 (32)consecutive loss (count of losses)-120.17 (3)
Averageconsecutive wins7consecutive losses 1

Mikroskalping on the currency pair USDJPY

Mikroskalping working in conditions of very high volatility. Opening of the transaction by the trend, closing - a trailing stop. This strategy trades infrequently, however, under favorable conditions, can make hundreds of trades per day. The profit on the transaction on average from 2 to 15 points, a loss — 2-5 points.

Tester report for the period from January 4, 2010 to December 30 of 2011.

Bars in history 744654Ticks modeled16034056Modelling quality99.00%
Mismatched charts errors0
Initial deposit 1000000.00
Net profit 4535.34Gross profit 7077.80Gross loss-2542.46
Profitability2.78Expected payoff2.44
Absolute drawdown8.22Maximal drawdown40.05 (0.00%)Relative drawdown0.00% (40.05)
Total trades1860Short positions (won%)0 (0.00%)Long positions (won%)1860 (47.42%)
Profit trades (% of total)882 (47.42%)Loss trades (% of total) 978 (52.58%)
Largestprofit trade79.48loss trade-5.24
Averageprofit trade8.02loss trade-2.60
Maximum consecutive wins (profit)15 (133.08)consecutive losses (loss) 9 (-26.51)
Maximal consecutive profit (count of wins)140.24 (5)consecutive loss (count of losses)-26.51 (9)
Averageconsecutive wins2consecutive losses 2

Money Management

The basic principle of operation is the so-called psevdostaticheskom lot.

For example, the initial deposit of $ 500. When setting up 100% in the month of maximum transaction volume will be 0.5 lots. We gradually increase the deposit up to $ 1,000 and the amount increases in proportion to a lot.

Next is a losing trade in 20 points x 1 lot = $ 200. After the loss we have 20 points wins back, lot is not reduced as profits get their $ 200. Why is it so? With a decrease in the lot in case you lose, you will need to regain a greater number of points, which naturally have a negative impact on the profitability of the system.

Calculate the amount of risk based on the maximum drawdown over 10 years of testing. For example, the maximum drawdown was present 130 points for the pair EURUSD. To cover the drawdown of 130 points to 130 30 (where 30 - Margin for purchase orders) = 160 points. If you deposit $ 1000 the lot equals 1000/160 = 0.625 lots. So that drawdown does not exceed 30%, respectively, can increase the allowable drawdown of 3.3 times to 528 points, or reduce to 0.18 the lot.

We use a conservative risk in the trade for which the drawdown is working normally not exceed 15% and a maximum design - should not exceed 40%.

All three strategies are used perfectly complement each other, work on different pairs and individual market conditions. Scalping is less than other strategies depends on the unpredictability of the market, as it works in a very narrow time intervals.