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Meanwhile Down At The Evil Lair
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Meanwhile Down At The Evil Lair

by The MoleJune 16, 2015

Over the past few weeks I have hinted a few times that I was developing a swing trading system based on Darth Mole. Which you may recall is a simple indicator I developed last year with the aim of predicting expansion in price volatility. Quite a good thing to know if you’re about to enter a symbol and over the past few months we’ve been watching it nail one big swing after the other. Some of you are subscribed to the free email alerts or have seen it in the twitter feed. But for the uninitiated here are a few screen grabs:

2015-06-16_DM_EUR

Here’s DarthMole running against the EURUSD. The blue arrow indicates when you received the alerts.

2015-06-16_DM_CL

Here it is killing it on crude.

2015-06-16_DM_GC

Here it’s calling out gold.

2015-06-16_DM_ZB

And here it’s having fun with the 30-year bonds.

I guess you get the idea – it’s bang on when it comes to predicting volatility. Of course the missing piece always has been DIRECTION. Quite frankly DarthMole has been driving me crazy over the past six months or so – I kept watching it nail those volatility swings day after day and became almost obsessed with developing a system that would take advantage of its uncanny abilities.

For months I spent almost entire weekends scrolling through mountains of charts. Just watching and taking notes of anything that stood out to me. Exhausted and desperate I tried to get Scott involved who took a long look at it and pretty much told me he was seeing no edge. There simply seemed no way of making a directional calls and thus building a system around, no matter how tempting, seemed out of reach. After all volatility knows no directional allegiance – it’s great to know when it’s coming but what to do with it?

But persistent (and a bit obsessive) as I am I kept plugging and testing various ideas – correlations, other indicators, Net-Lines, moving averages, heck, everything I could think of. I realized that taking losses would be part of the process and that any successful system would thrive via large outlier winners followed by a succession of small losers. But when exactly to take that entry was the big puzzle I needed to solve. I was laboring for weeks on end until about three weeks ago the light bulb suddenly came on. The result is a fairly trivial and unoptimized swing trading system which is frankly speaking is killing it across the board. I call it (drum rolls) SCALPIUS. Let me show you:

2015-06-16_USDCAD_scalpius_LT

Scalpius vs. the USD/CAD – all stats show the past 19 months (i.e. since early November 2013).

2015-06-16_copper_scalpius_LT

Copper

2015-06-16_ES_scalpius_LT

The spoos…

2015-06-16_USDJPY_scalpius_LT

But it really really loves Forex for some reason. Here’s the gofer.

2015-06-16_GBPUSD_scalpius_LT

Cable is just a beauty, isn’t it?

2015-06-16_EURUSD_scalpius_LT

EUR/USD – gorgeous…

2015-06-16_scalpius_19_months

And finally here’s a graph showing all symbols above combined. I know – 732R – insane. Took over 2700 campaigns to get there – a bit over six to seven campaigns per week day (i.e. about one per symbol). Yes, it loses more than it wins – the ratio is a win rate of about 1: 1.6. But the winners can be huge and it loves to ride the trends.

In case you’re wondering – no this is not something I plan to offer as a service via email/Jabber alerts. It’s way too busy for that and I’ve learned my lesson with CrazyIvan (remember, only 4 subs left). And honestly I’m still pondering whether or not I’ll be accepting LAMM signal subscribers either. Perhaps a small number in a few months from now – if so only the people who already signed up for the LAMM service recently. Frankly it’s probably the best system I’ve ever build plus it very much suits my trading style. A bit busy but it’s manageable as it’s running on a 60 minute chart.

I’ll be leaving for Austria for a few days on Friday morning and will start trading Scalpius after the 25th when I’m scheduled to be back in Valencia. I’ll keep you guys posted on how it’s doing. In the meantime keep watching out for those DarthMole alerts – I always told you guys there is a great system in there! 😉

The future is now – so don’t bring a knife to a raygun fight. If you are interested in becoming a Zero subscriber then don’t waste time and sign up here. A Zero subscription comes with full access to all Gold posts, so you actually get double the bang for your buck.

Cheers,


About The Author
The Mole
Mole created Evil Speculator amidst the chaos of the financial crisis in early August of 2008. His vision for Evil Speculator is a refuge of reason, hands-on trading knowledge, and inspiration for traders of all ages and stripes. You can follow him and his nefarious schemes at various social media waterholes below.
  • SirDagonet

    “But when exactly to take that entry was the big puzzle I needed to solve.”

    Obvious, but I have to ask… so it’s not nearly as simple as bracketing a trade signal the way some people trade news events?

    Edit: I guess all I had to do was look over the charts again for the answer… unless you use wide stops & reversals, the winning direction doesn’t manifest itself right away…

  • Kidd Cudi

    do you have stats on how long an average trade takes with this?

  • OzarkHillBilly

    Congrats, that’s a lot of work but it paid off. Trying to get the swings right has been my main focus for the past few months, so I’m definitely taking notes.

  • mugabe

    732 R? surely you jest? those sqn’s are rather good, too

  • Ronebadger

    TOO evil for me…AND, you’re traveling on witching day?!?!? WAY TOO EVIL!

  • Bill

    732R in 19 months? In a year and a half we’ll come here and get a 404 error because you’ll be retired on your own island.

  • Bill

    Looks like I will be staring at some charts trying to figure out this riddle for the next few weeks. Maybe there are enough bread crumbs in Moles post to figure it out. Ha, I’m optimistic.

  • http://evilspeculator.com molecool

    Yeah, I tried that – clearly doesn’t work.

  • http://evilspeculator.com molecool

    Yeah I do have all the data but haven’t run those stats. No need really.

  • http://evilspeculator.com molecool

    I can send you the trade logs if you like.

  • RacerXX
  • saltwaterdog

    one testable entry rule might be take the 2nd entry (the whipsaw) of the signal bar. All of the charts but one above followed the signal with an Outside Period. Just would need to test for double whipsaws in those bars

  • fearful_syymmetry

    Insanely good. This is where I usually find I have constructed my system using the next (future) day’s data.

  • Bill

    Mole, respectfully and seriously I am just putting this out there in the universe for you to chew over. This is amazing. Maybe at some point the folks in the forum could start a gofundme type campaign to raise money to get you interested in developing a paid service for this like Thor, with your permission of course.

    I couldn’t blame you at all if you keep this to yourself and take over the world.

  • Scott Phillips

    Superbly done my friend 🙂 I went through the spreadsheets manually and I see an average R size of 22 ticks, so slippage, while significant, is not going to be a dealbreaker.

    This is a go

  • Scott Phillips

    In my opinion the SQN formula where you multiply by the square root of the number of trades unfairly advantages prolific systems like this.

    A more meaningful result is 10x (expectancy/standard deviation)

    It’s still good

  • mugabe

    In my non-expert way, I don’t agree with you:)

    1 It’s better to have a system that trades frequently
    2 Results are more statistically significant

    I remember having this discusson a while back, and I think the conclusion was that the only valid measure to compare systems’ SQNs is number of trades over the SAME timeframe (eg a year)

  • mugabe

    only joking, chaval. which island are you gonna buy? menorca?

  • Scott Phillips

    Results are more meaningful yes.

  • mugabe

    not seriously ,,,

    yeah, it’s like, I’ve got this great system but you can’t have it. complete opposite of other blogs. and great marketing.

    seriously …

    if it’s that good, I wouldn’t blame the Mole for wanting to keep the user base v v restricted. It’s his prerogative as he dun the work.

  • mugabe

    as a matter of interest, did you test anything where USD wasn’t involved, either explicitly or implicitly (eg EUR/CAD)?

  • mugabe

    of historical interest, we must have a 5+ sigma event with bollinger band width on equities at the moment

  • http://evilspeculator.com molecool

    How about EURJPY?

  • mugabe

    just desperately trying to find something wrong with it 🙂

  • http://evilspeculator.com molecool

    I’m really not making this shit up… just ran through EURCAD as you requested. Are you ready for this one?

    ..

  • mugabe

    give it to me on the chin

  • http://evilspeculator.com molecool

    I’ve spent the past few days running through every possible chart. Yes, there are a few crappy futures symbols – like bonds are rougher but still nicely profitable. On Forex this thing just prints money.

  • http://evilspeculator.com molecool

    That is actually my concern. I can’t have Scott and myself trade it with any serious capital if I have to feed 100 subs. So I’ll probably keep it restricted to like 10 or so.

    In any case – all sci fi at this point – let’s forward test this bitch and see if it delivers.

  • http://evilspeculator.com molecool

    Those are not the trigger signals. That’s how I started out but it doesn’t work – timing is everything. Can’t tell you how I do it but I found a better way.

  • http://evilspeculator.com molecool

    If it keeps on delivering – maybe…

  • mugabe

    if it is that good, i think I’d keep to to myself … bit late for that advice now, but i think a lot of *very* profitable traders are v cagey about their results and how they get them … thinking about some of the market wizards, like Mark Weinstein, that’s right .. .who? exactly

  • http://evilspeculator.com molecool

    He’s right – I just don’t know the SQN100 formula. Anyone?

  • wandering196

    You meant to post Eurcad but WOW anyway

  • http://evilspeculator.com molecool

    Honestly I could post the rules right here and almost nobody would be trading them. A lot of the magic is also in the campaign management.

  • http://evilspeculator.com molecool

    Actually it IS EURCAD – sorry. I mistyped in the screen grab.

  • http://evilspeculator.com molecool

    Here….

  • http://evilspeculator.com molecool

    And I won’t be trading gold anyway – although crude does very well I’ll probably just focus on forex and the spoos.

  • http://evilspeculator.com molecool

    I’ll send you the spreadsheets before I go to bed.

  • mugabe

    yeah .. I’m haunted by all those systems i saw that worked great until being walked forward.

    what about backtesting a completely different period eg USD weakness?

  • mugabe

    those scores show an incredibly robust t-score … anything above 2 is meant to be profitable in the long run.
    the only *snag* is that the period is short (though the number of trades is big)

  • Scott Phillips

    Forex is where its at. You remove a whole pile of “watching for rollover dates” and “which contract is the most liquid” bullshit, and as a bonus get dollar perfect position sizing

  • Scott Phillips

    10 x (expectancy/standard deviation)

  • http://greenlander1.blogspot.com/ greenlander1

    I wouldn’t mind seeing the rules 🙂 This is impressive.

  • http://evilspeculator.com molecool

    Okay, I figured out the problem 🙂

  • hellbent

    We have a term in NZ which sums this up nicely: IWI.

    Short for I want it 😉

  • http://evilspeculator.com molecool

    Exactly – has to be traded forward – but first I’ll take a little vacation 😉

  • mugabe

    need yr exact dates to back up the truck with puts 🙂

  • mugabe

    understatment of the year!

  • Bernie

    Hats off to you Mole!! Excellent comes in a distant second!! 😀