Joke’s on us: JForex DEMO 2.13.6 is out of whack

I hope this is a April Fool’s joke but it isn’t. As shown, the Dukascopy JForex DEMO platform version 2.13.6 released this week is causing havoc to my strategy. I tested my contest strategy, which has been running fine for almost a year, but is now failing left and right. Even though this is only happening with the DEMO platform (the LIVE platform is a stable release and is running fine at the moment), the fact that they published a buggy version for us developers as guinea pigs is upsetting. JForex developers are clients too, after all.

Dukascopy JForex DEMO 2.13.6

Network latency on Amazon EC2 t1.micro to Dukascopy

While the processing power of a EC2 t1.micro server sucks (benchmarks have shown it is slower than a Nokia N900 phone), network performance is well-known to be exceptional for EC2 servers throughout the spectrum of their offerings.

Here’s a ping test from my home computer with a ADSL connection in Ottawa, Canada to 194.8.15.1, one of the Dukascopy web servers.

PING 194.8.15.1 (194.8.15.1) 56(84) bytes of data.
64 bytes from 194.8.15.1: icmp_req=1 ttl=242 time=149 ms
64 bytes from 194.8.15.1: icmp_req=2 ttl=242 time=134 ms
64 bytes from 194.8.15.1: icmp_req=3 ttl=242 time=135 ms
64 bytes from 194.8.15.1: icmp_req=4 ttl=242 time=148 ms
64 bytes from 194.8.15.1: icmp_req=5 ttl=242 time=135 ms

--- 194.8.15.1 ping statistics ---
5 packets transmitted, 5 received, 0% packet loss, time 4003ms
rtt min/avg/max/mdev = 134.364/140.579/149.726/7.053 ms


Then the same test from a EC2 t1.micro instance located in Dublin, Ireland (closest Amazon EC2 server location to Geneva).

PING 194.8.15.1 (194.8.15.1) 56(84) bytes of data.
64 bytes from 194.8.15.1: icmp_req=1 ttl=243 time=40.9 ms
64 bytes from 194.8.15.1: icmp_req=2 ttl=243 time=41.2 ms
64 bytes from 194.8.15.1: icmp_req=3 ttl=243 time=49.0 ms
64 bytes from 194.8.15.1: icmp_req=4 ttl=243 time=41.2 ms
64 bytes from 194.8.15.1: icmp_req=5 ttl=243 time=41.2 ms

--- 194.8.15.1 ping statistics ---
5 packets transmitted, 5 received, 0% packet loss, time 4005ms
rtt min/avg/max/mdev = 40.961/42.728/49.013/3.154 ms


Exceptional, indeed.

With the monthly pricing of a t1.micro going for around $12/month, there are few reasons not to get a remote server to run your trading system rather than pray for your home internet connection to remain reliable 24/7.

Update with ping test from Berlin courtesy of commenter Holger:

Ping wird ausgeführt für 194.8.15.1 mit 32 Bytes Daten:

Ping-Statistik für 194.8.15.1:
Pakete: Gesendet = 4, Empfangen = 4, Verloren = 0 (0% Verlust),
Ca. Zeitangaben in Millisek.:
Minimum = 43ms, Maximum = 43ms, Mittelwert = 43ms


Update April 12, 2011: I’ve been using Rackspace Cloud (#2 cloud server provider, after Amazon). Here’s the ping result from their London, UK server.


PING 194.8.15.1 (194.8.15.1) 56(84) bytes of data.
64 bytes from 194.8.15.1: icmp_seq=1 ttl=246 time=69.2 ms
64 bytes from 194.8.15.1: icmp_seq=2 ttl=246 time=69.6 ms
64 bytes from 194.8.15.1: icmp_seq=3 ttl=246 time=68.8 ms
64 bytes from 194.8.15.1: icmp_seq=4 ttl=246 time=66.6 ms
64 bytes from 194.8.15.1: icmp_seq=5 ttl=246 time=68.5 ms
64 bytes from 194.8.15.1: icmp_seq=6 ttl=246 time=64.6 ms
64 bytes from 194.8.15.1: icmp_seq=7 ttl=246 time=68.5 ms
64 bytes from 194.8.15.1: icmp_seq=8 ttl=246 time=69.1 ms
64 bytes from 194.8.15.1: icmp_seq=9 ttl=246 time=66.6 ms
^C
--- 194.8.15.1 ping statistics ---
9 packets transmitted, 9 received, 0% packet loss, time 8012ms
rtt min/avg/max/mdev = 64.677/67.986/69.617/1.573 ms


Update April 26, 2011: I’m testing Quickweb Germany’s VPS.

PING 194.8.15.1 (194.8.15.1) 56(84) bytes of data.
64 bytes from 194.8.15.1: icmp_seq=1 ttl=247 time=15.4 ms
64 bytes from 194.8.15.1: icmp_seq=2 ttl=247 time=15.3 ms
64 bytes from 194.8.15.1: icmp_seq=3 ttl=247 time=15.2 ms
64 bytes from 194.8.15.1: icmp_seq=4 ttl=247 time=15.3 ms
64 bytes from 194.8.15.1: icmp_seq=5 ttl=247 time=15.1 ms
64 bytes from 194.8.15.1: icmp_seq=6 ttl=247 time=15.2 ms
64 bytes from 194.8.15.1: icmp_seq=7 ttl=247 time=15.4 ms

--- 194.8.15.1 ping statistics ---
7 packets transmitted, 7 received, 0% packet loss, time 6000ms
rtt min/avg/max/mdev = 15.152/15.306/15.463/0.116 ms


Another trading contest from Dukascopy

Dukascopy started a new contest this month. This contest is manual trading only on a demo account with no cash commitment by contestants. The twist is that the ranking is determined not only by your demo account balance, but also the total pips gained, popularity, and scoring by Dukascopy’s judges.

Each trade in the contest needs to be commented by the contestant through the JForex trading platform (when you submit an order the platform asks you for a comment). See my contest page for comment examples (shameless plug). About half of your score is based on these trade comments as they are the basis for generating popularity points and the Dukascopy judges’ final evaluation.

I can see the potential in this contest as it offers transparency and encourages interactions rather than let everyone just gamble away. However, most of the trade comments now are meaningless as it’s clear that you can generate buzz simply by making ridiculous gains. Perhaps this might change after this month’s final ranking is released as it is not clear how Dukascopy will allocate each contestant’s 25% of points. The judging by Dukascopy can effectively bump or dump you a few ranking.

The incentive to do this is the USD $15,000 ‘cash’ prizes to be won every month just like the Dukascopy Strategy Contest. And similarly, these ‘cash’ prizes are deposited into the winner’s Dukascopy trading account with a withholding period. So they’re forcing you to open an account with them if you win, which is understandable as this is a marketing effort.

For information or registration in the contest, visit the Dukascopy website and navigate to the Trader Contest page.

My interview at Dukascopy in Geneva

An explanation of my Keltner Channel and Candlestick hybrid setup

This is an explanation of my automated trading strategy for the Dukascopy JForex Strategy Contest in April. This strategy just made its first trade today after running for about 72 hours. My contest demo account closed with a gain of 7% on this first trade. Note that this strategy is built for competing in a contest and not for real trading (i.e., it’s purely a no cost gamble).

Here is the concept for this high probability trading setup. Referring to Figure 1 below, the red arrow marks my short entry on EURGBP today.

These are the technical analysis indicators the strategy uses:

1. Trend: Signaled by 50 bar moving average above (bullish) or below (bearish) the 200 bar moving average.
2. Momentum: Oversold or overbought RSI conditions, but not used in a traditional manner…
3. Volatility: I use the Keltner channel to measure volatility.
4. Price action: Observe candlestick behaviour to identify trend continuation. This is where the secret to this strategy happens. I will explain this below.

Note that I used a Bollinger Bands in the chart of Figure 1 because I couldn’t find the Keltner Channel indicator in Metatrader (my charting software). It doesn’t affect my conceptual illustration anyhow.

The setup:

1. Identify overarching trend via 50/200 moving averages as explained above.
2. Confirm price is still playing to the trend by checking if current market price is on the right side of the 200 bars moving average. Price above for bullish and below for bearish.
3. Once steps 1-2 are in place, it’s assumed that the trend is strong. We look for a setup in the trend’s direction. In particular, we look for a failed counter-trend retracement setup using candlestick in combination with the Keltner channel.
4. Sounds fancy but it’s simple. Using a short-side example, the bar’s high has to penetrate above the Keltner channel yet it closes within it. Then the short entry is signaled. The opposite for a long-side entry.
5. RSI overbought and oversold conditions are used to filter out slow and steady counter-trend moves (those are evil).

Another benefit of using a price channel is that I also use it to peg my take profit target and stop loss.

As I said in my previous post, because Dukascopy expects winning contestants to submit their source codes, I am not using anything proprietary or extraordinary here. As such, this is totally different than what I use to trade on my own. Namely more reliance on indicators and less on price action and risk management.

EURGBP, 30-min