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CrazyIvan FX – The Nuts and Bolts
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CrazyIvan FX – The Nuts and Bolts

by ScottAugust 25, 2013

Mole and I are in the final stages of beta testing, and the only things left to decide are which timeframes we offer (360, 480, 720) and whether we offer it unfiltered (faithful to the original Ivan) or filtered. Please post your ideas in the comments section.

Crazy.Ivan.FX is a set of proprietary filters applied to a subset of Ivan Krastin’s setups (Gap Open, Inside Period, Fakeout, Retest, Retest Variation, Trend Trade, Failed Hammer, Failed Shooting Star). The purpose of these filters is twofold. One is to stop trading in whipsaw tape and reduce drawdown. The second purpose is that in strongly trending high volatility tape we only take trades in the direction of the trend.

It should be noted that High Volatility/Trending tape behaves like a completely different system, with win rate 64% and expectancy before slippage of .67. This is excellent and it’s the one we are using on the 30-min charts, but unfortunately it only happens in exceptional tape, around 15% of the time and abnormally distributed. An example would be AUD/USD earlier this year during it’s outlier move.

Bottom line on average you are going to get approximately 130 trades/year on 360,  100 trades/year on 480, and 65 trades a year on 720, at an expectancy between .15 and .5 depending on market phase with an average of between.25 and .3 before slippage for most years. Unfiltered will generate 300 trades per year per instrument on 360min, 220 trades per year per instrument on 480 min charts, and 150 trades a year on 720, with a slightly lower expectancy of .2, with dramatically worse drawdown characteristics than filtered.

Average winning trade is 1.26R while average losing trade is -.75R. The win rate hovers either just above or just below 50% while the return is, in truth, accounted for the fact that the wins are bigger than the losses.

This strategy is breakeven on a 38% win rate due to the wins being bigger than the losses. It is not unusual for several months of above average win rate (in the 55-60% range) followed by several months of below average win rate in the 35-40% range. Long term win rate is approx 52% unfiltered, and filtered depends entirely on the composition in volstat/stretchstat terms.

This is going to work out at between 32.5R and 39R / year for 360 and 24.375 and 29R / year for 480. There is no appreciable difference between instruments, ie AUDJPY is not better than ZB, it all comes down to market phase. The more clean trending market we get in either direction in a year the better the expectancy is.

The primary difference between the filtered and non-filtered is that the drawdowns are more shallow and do not last as long. Peak/Valley drawdown is 10R Max, compared to 15R unfiltered. It is extremely rare to get more than 4 or 5 losses in a row filtered.

Unfiltered it works like this:

360 is between .15 and .35 expectancy with an average of .2, which on 300 trades / year gives 60R / year with a peak/valley drawdown of 15 R and max losers in a row of 9 (most rats could not handle large losing streaks in a row)
480 is the same on 220 trades a year which is 44R / year with 15R drawdown (drawdowns can last 3 months unfiltered)

A representative example of the 480 is 2011. We have seen years *much* better than this and also worse than this. Note the histogram below, showing wins >3R are rare.

Here is the google docs spreadsheet of another sequence of results which would be typical. Note that typically winners and losers are clustered together.

So now it’s up to you. When it comes to the 360 vs. the 480 – which timeframes would you prefer? And do you think the 720 will even be necessary given that the 480 will offer three roll overs per day (7:00am, 3:00pm, and 11:00pm EDT)? Myself I’m leaning towards the 480 min as it is the best tradeoff of expectancy/lifestyle in my opinion.

Scott


About The Author
Scott
  • http://dartht.blogspot.com/ Darth_Gerb
  • convictscott

    Unfiltered is my choice as well, but it is DRAMATICALLY more difficult to trade emotionally. You have to be prepared for long strings of losers.

    Re: drawdown more useful stats are – time spent in drawdown – time spent at fresh equity peak – time to recover from equity max adverse excursion.

    15R would be a 15% drawdown traded at 1% of equity, and 30% at 2% of equity.

  • Pervergence

    Still L GC….boring I know

  • http://dartht.blogspot.com/ Darth_Gerb

    Call me a Loonie, but if the Bullish Percent is on the verge of reversing upward,
    the Full Moon is a great secondary signal. yeah yeah, correlation doesn’t mean causation.
    Chill.

    http://astrocycle.net/SC/SPX_Moon.png

  • Erika

    Love that chart, I must study it closer…thank you!

  • Darkthirty

    Be careful, next you’ll be using fib numbers

  • convictscott

    The full moon is NOT a great secondary signal, or a signal of any sort. Full stop, end of story. Markets move in cycles and *sometimes* those cycles are coincident to bullshit signals.

    80% of NYSE volume is bots. Name me one single bot that is affected by phases of the moon, sunspots or astrology?

  • convictscott

    Market direction is by and large driven by institutions, the majority of which are profitable on every timeframe from 1min up to monthly. If you want to make money trading, it stands to reason that you should attempt to buy when they buy, sell when they sell.

    Institutions by and large do not go in for bogus witchcraft style technical analysis

  • http://dartht.blogspot.com/ Darth_Gerb

    Dude, calm down, back away from the flame thrower.

    I agreeee with you. apparently I didn’t drip with enough sarcasm.
    IMHO, there is a 64 day cycle. a half cycle of 32 days underway.
    http://s16.postimg.org/5orcj2o7p/panties.png

    the Moon cycle is 28.5 days. Yes occasionally cycles get near enough (in sync) to create ah ha moments, but statistically don’t pan out. if they did everyone would use them yes?

    -Gerb

  • convictscott

    People read this and think bullshit TA is legitimate. It shouldn’t even be discussed in the same sentence as the stuff we do on this board.

  • http://dartht.blogspot.com/ Darth_Gerb

    I respect your opinion. if it becomes forum policy I do hope Mole updates us.

    ” This is an open forum and everyone is invited to participate. We only ask that you keep it civil – even if you disagree with our outlandish predictions. Evil or not – we don’t enjoy foul language (unless it’s really funny).”

  • Darkthirty

    choot im choot im!

  • convictscott

    Any actual EVIDENCE for the outlandish and demonstrably incorrect proposition that markets are affected by phases of the moon, tides, sunspots?

  • convictscott

    Markets often change direction with extremes (either direction) of volatility. Volatility is cyclic in nature. Hence the first blush illusion that markets are regular and predictable

  • Darkthirty

    You are correct that it doesn’t apply so much due to algos, but the full moon does have an effect on people. The Syria situation could have major repercussions on the market.

  • Pervergence

    I remember a few years ago everybody was counting waves here and Prechter was a sponsor…..Just sayin’

  • Darkthirty

    Prechter is an arrogant asshole. Please do not tarnish Ralph Elliot’s work by paying homage to that dickweed

  • Dyellowflash

    Just wondering if the 30m (volatility warnings and long/short trades) will be available? I seem to do quite well on those, but sample size is too few to be statistically significant. I have never tried the 360m as I am a ST trader.

  • convictscott

    Yes they will – sample size on our testing was extremely large, and it is very consistent 🙂

  • BobbyLow

    Scott,
    If I were to do this, one reason I would prefer the 480 is because the Timing of 7:00 AM, 3:00 PM and 11:00 PM EDT is very good. Also if there is a 480, the 720 probably wouldn’t be necessary.

    I also believe that I would prefer Filtered as opposed to Non-Filtered because the potential for larger draw downs and longer losing periods suck. And to quote what you said in a previous comment “So potentially you could trade the lower drawdown filtered version for a higher R value, thus earning more money for less work”.

  • SirDagonet

    What BobbyLow said… On timeframe & filtering.

    Personally, I might could handle the 15%DD, but if it manifested itself with 9 losers in a row for 3 months, I might begin to question the viability of the system.

    Perhaps after trading the filtered version in real time for a year, you could consider offering the unfiltered – by then, confidence could have been established.

  • convictscott

    You are exactly right 🙂

  • convictscott

    480 min takes 4.5 trades a week, so that would be 2 straight weeks of losing trades unfiltered – which is hard to take. Take a look at this, it is real world results in R. It is in the nature of systematic trading (and a pain in the ass) that both wins and losses are clustered together.

    https://docs.google.com/spreadsheet/ccc?key=0AoXS3XGUhq1rdEVOMU1jeExJMmlvWGRHXzRheEdDckE#gid=0

  • convictscott

    I was counting waves then too. I sure would like that money back ;-(

  • convictscott

    So you are saying that the operative influence on the decision making process in Syria using chemical weapons was a moon phase? And then the operative influence on Obama’s decision whether to commit the USA to war over the fucktard is also a moon phase? Are you sure the reason Syria used chemical weapons isn’t because their rulers are scum with no regard for human life, and the operative decision as to whether the US goes to war is how it affects Obama, personally, in a political capital sense?

  • convictscott

    Also, if you read the post closely the system is profitable on win rates of 38% and greater. You do not have to win all the time to have a great system.

  • convictscott

    I would never get tired of punching that guy

  • SirDagonet

    I did read that… Glad you pointed it out…

  • convictscott

    One issue with the filtered version is that it’s whole rationale is for standing aside from shitty tape. Because shitty tape can happen for 3 weeks at a time, there are times when you are going to doing a whole lotta nothing.

  • SirDagonet

    That’s good to know also… It helps you realize during a dead period that being anxious to make a trade might be preferable to being anxious after having closed out a bunch of losers…

  • http://evilspeculator.com molecool

    Nah – its the second time you posted this chart mate. I think you are following this…

  • stovis

    I’ll subscribe to whichever one Ivan decides to subscribe to!

  • tradem4alpha

    just for the record…I do remember seeing an article (from a scientific journal) testing this moon affecting markets hypothesis and it found that it works with 70-80% probability (of course, it didn’t talk about position sizing, exits etc.; I think it used only a time stop); I will have to look on my old computer for the file.

  • convictscott

    Ivan is a straight up unfiltered kind of guy. He is *very* comfortable trading through a drawdown and in his own trading uses aggressive compounding to come out of draw.

    There are stylistic differences between Crazy.Ivan and the original Ivan, though they are small, they are real. We name things differently. Also we use a subset of around half of Ivan’s setups, but because multiple setups can happen at once the odds are very small of missing a trade.

  • convictscott

    I am currently live trading the 360 unfiltered and my last 5 trades have been losers (which the filters would have sidestepped) It doesn’t bother me one bit (I’ve had a nice day) but most people would be starting to freak out about now.

  • convictscott

    The 30m is a demonstrably superior system, however it only turns on once every 4.5 trading days on average, and has quite a low win rate with massive outlier winners so emotionally it, like all trend following systems, is quite difficult to follow.

  • neowave

    Can somebody think of the europeans among us. Waking up every morning at 4.30 is going to be very painfull.

  • Guest

    I’m also not 100% sure on which signals to follow… no matter which time frame is chosen.

    I do understand it correctly when I say “The idea is to pick just one currency pair and not to trade all currency pairs offered by the subscription”

  • convictscott

    Correct in my opinion, although if for instance once currency pair was not taking trades because the filters kick in, it would be permissible to trade another instrument.

  • http://evilspeculator.com molecool

    I actually think that is why we’ll be looking at higher expectancy and SQN at the end of the year. We have been only testing on respective pairs – combined they should smooth out nicely and produce higher opportunity at similar expectancy – thus higher SQN.

  • http://evilspeculator.com molecool

    I’m a European and I now live here again (Spain). I may be able to set up a special 480 for you guys with a different roll-over. Let me discuss this with Scott. It all depends on the interest. Unfortunately 90% of my subs are from the United States.

  • http://evilspeculator.com molecool

    Yes, it’s going to take a bit of coaching to drill this into people’s heads.

  • neowave

    Thanks for looking into that. If you wouldn’t do this then It makes no difference to me if you do 480 or 360, cause I need to wake up at an unreasonable hour anyway.

    Then I prefer the 360 unfiltered. Since I get more R / year for the same effort i.e. waking up.
    I also prefer unfiltered. Since the 20 R (difference between 60 R and 39R) is worth the 5R more risk (difference between 10R and 15R)

  • neowave

    So let’s say you follow the EURUSD 360 and a new 360 candle there is no signal. Imagine you take the set up on any instrument that does provide a signal on the 360 timeframe.

    1. What to do if on the next 360bar you are still in the trade of the other instrument and your EURUSD 360 candle gives a signal… You also place that trade I presume?

    2. Because you would take a trade on another instrument when possible each time the EURUSD360 doesn’t give a signal. Aren’t you cherry picking? Which was as per the original crazy ivan post something which you couldn’t do…

  • convictscott

    Cherry picking is where you decide “this setup is subjectively better than that one”. That’s bad, you always pick too many bad cherries. What I am saying is that if it is obvious that AUDJPY is taking trades and EURUSD is not, I would take every single trade for AUDJPY that week, without trying to guess which ones are going to work.

    You may choose to keep it simple though, and sit out the sideways tape. These setups do not perform well in low volatility environments, but in high volatility tape they work like a charm

  • convictscott

    agree

  • convictscott

    But what if you used 1.5% as an R value instead of 1%?

  • neowave

    So your saying better to take filtered version but work with a higher % for R. You are probably right. It’s going to be psychologically less hard to take, since you are dodging losers.

  • http://evilspeculator.com molecool

    I understand your POV but clearly you would be the minority. Most U.S. traders would err on the side of convenience and prefer the 480 vs. the 360 – at least that appears to be the consensus right now.

  • http://evilspeculator.com molecool

    “if they did everyone would use them.”

    I again must disagree – even if they did nobody would use them. They would try to chang-prove it – to quote Richard Dennis:

    “I don’t think trading strategies are as vulnerable to not working if people know about them, as most traders believe. If what you are doing is right, it will work even if people have a general idea about it. I always say you could publish rules in a newspaper and no one would follow them. The key is consistency and discipline.”

  • Dyellowflash

    Hi, I am also wondering if CrazyIvan Strategy will be offering the ES / YMs and will it be possible to run Zero for the futures hours?

  • http://evilspeculator.com molecool

    We have been working on that but the only version that promises a consistent edge at the current time would take the signals off the cash and trade the futures. There are also other rule changes that would have to be implemented. Finally it would be a daily system that triggers only every five days or so on average. This is something I am not prepared to implement unless I see considerable interest in the existing CrazyIvan release.

  • Dyellowflash

    Wow… that’s a rather lengthy period of time… For over close to half a year I have been using the late session zl signals to trade during futures hours and it has work quite well, hence wondering will it be possible to have the Zero running outside of NYSE hours?

  • http://evilspeculator.com molecool

    No.

  • http://evilspeculator.com molecool

    Check this out guys – spoos volume hole terminates at 1666.66.

  • Dyellowflash

    I supposed we just have got to go long until we can go short 🙂

  • neowave

    Final personal conclusion:
    360 filtered. Is my favourite choice unless there is a european 480 version coming…

  • DarthTrader

    convictSCOTt the Royal Bank of SCOTland disagrees with you after they completed their indepth study on this matter.

    http://www.markettiming.nl/img/image/file/RBS_MoonTrading13Jun10.pdf

    There is one tweak that has been postulated. That system should be reversed during Bear markets.

  • DarthTrader

    http://www.markettiming.nl/img/image/file/RBS_MoonTrading13Jun10.pdf Study completed by the Royal Bank of Scotland

  • ridingwaves

    precious metals opex tomm…and end of delivery on Friday,,.,.should be interesting…

  • Skynard

    That is sweet!

  • Spalding

    I like the 480. Nice work on ivan, looking forward to learning a lot.

  • Skynard

    Nice, good place to pull back:)

  • ridingwaves

    I was leaning that way also with only fly in ointment the comex inventory…there is none…

  • Skynard

    Also, a good place to rally the dollar. VIX just filled the gap.

  • ridingwaves

    Took large position in MSTX with 20/50 sma cross..stop at .41

  • Ronebadger

    100K shares trades at 11:07….is that you?

  • Skynard

    Have full position short the /ES now. Re-tested last nights high. Really like Mole’s volume hole.

  • DarthTrader
  • ridingwaves

    Corn is popping today..could be start of uptrend into winter…

  • evilasevildoes

    i loooooooove your posts

  • Pervergence

    /GC BB expanding on 30 min…now s /GC

  • Wave_Surfer

    It was an interesting read with some interesting points.
    I did notice, though, that in July of 2010, they were adamant that a crash was going to happen in August 2010.

  • http://evilspeculator.com molecool

    Yup, retail always wants the crystal ball. Never going to change…

  • Skynard

    Bear flag 5 min.

  • DarthTrader

    Yes, but then no-one had ever seen the power of the Fed with it’s unlimited pocketbook.

  • SS_JJ

    hahahaha! 😀

  • law6

    check this a lot

    been helpful since it started

  • law6

    hahahahahahahaa

    love it for a backdrop over point and figure lol

  • law6

    check the facts mam

  • law6

    hahahaha

    those 3 of threes only ones i play

  • law6

    which fib numbers lol

  • law6

    and I do recal watching those elliot posts on weekends too lol

  • law6

    check out a lunar Hebrew calendar

    look at market

    overlay

    laugh

  • law6

    anyone following aapl?

    I am going long here

  • law6

    508.84

  • law6

    love those 66666666666666’s

  • DarthTrader

    /ES not gonna make through thaT VOLUME HOLE UNTIL THE CLOSE OR OPEN WHEN THERE IS EXTRA VOLUME TO CHANGE THE PLAY

  • DarthTrader

    Whoops hit that caps lock

  • Pervergence

    Flipped back l GC….thought we’d see a bigger pullback with bucky moving higher

  • law6

    woke me up thanks : _}

  • law6

    also already short tsla…

  • bdoone

    Sec of State making a statement on Syria at top of hour. I know, don’t trade news but giving heads up, thin markets and all. Only 38M SPY so far.

  • http://evilspeculator.com molecool

    Yeah, not bad advice. Chances are they found another excuse to channel more tax payer money into the military industrial complex.

  • http://evilspeculator.com molecool

    Whoa – what – who? I was about to snooze off…

  • ridingwaves

    anyone know the PE on that business…lives lost + Trillions of debt = Dollar reserve?

  • Pervergence

    Ain’t that the truth….now we’re going to own another mess…thanks guys

  • bdoone

    This way if we sell off or rally the talking heads can attribute it to something ‘newsworthy’ (to keep you tuned in to them, of course) while it was Mole’s 1666.66 Vol. hole the “hole” time.

  • Pervergence
  • law6

    hahaha stratfor hahahahahahaaha

  • law6

    same guys who said Saint Edwards was the target of irs bomber and they are located in that town Austin

    talk about a complete FARCE

  • Schwerepunkt

    ~2:30 pm

  • Schwerepunkt

    Some ppl pay good money for their “service.”

  • http://evilspeculator.com molecool

    ¤ø„¸¸„ø¤º°¨¤ø„¸¸„ø¤º°¨

    ¨°º¤ø„¸F R E S H „ø¤º°¨

    ¸„ø¤º°¨ M E A T“°º¤ø„¸

    ¸„ø¤º°¨¤ø„¸¸„ø¤º°º¤ø„¸

  • http://evilspeculator.com molecool

    Sorry – what am I missing?

  • law6

    out of tsla short

    have a great day

  • bdoone

    Was supposed to be 2. I guess they are trying to get their stories right.

  • Schwerepunkt

    Stratfor. A geopolitical intel/analysis outfit.

  • law6

    short tsla again

  • law6

    aaand out of aapl

  • sburtt

    Scott is the green table above filtered or unfiltered trades?