Big Ben on the FTSE100

[Bartlby]

I put the trade on today but shouldn't have because of the BBR. I was having problems with the charts on Capital Spreads and so wasn't paying attention - stopped out for 17pt loss. The other reason I can see for not taking todays trade was an entry level just below 6000 - given the option I'd want to enter long a bit above 6000 not a bit below it.

Been playing around with things over the weekend in Excel. For now I'm using a conventionally calculated pivot point as a reference point and the position of the BB in relation to that suggests either a long, a short, or and OCO order. It also moves the stops and limits in relation to the entry point depending on where the BB is in relation to the pivot - basically it alters the risk reward ratio. The thinking behind this is that the stronger a move in a direction the the better the chance of it continuing and so moving the stop in and the limit out makes sense. I'm using 40% of ATR as the distance between stop and limit.

It sounds complicated but is pretty easy to operate in the spreadsheet - all I have to do is enter the BBh and BBl and it tells me what to do - the problem is that there are now too many variables to play around with.

 

[Bartlby]

Just been looking at a 1hr chart of FTSE and think I'm going to change use previous days close as a reference point rather than a pivot. I was reading the thread on early morning Forex breakout system and they look for breaks above/below the overnight trading range. I think using the close would be closer to this and they seem to have a reasonable hit rate.

 

[tomorton]

Commiserations Bartlby. As wise people have said, it's easy to make money trading, but its very hard to keep it.

I agree with ref 6000 - that sort of figure has way too much significance to make any sense, but it would be strange to ignore what so many other players think. Pays to be cautious.

Overnight highs and lows - I dunno, but I suppose the only way to find out is to try it.

Of course, if too many variables creap in, you always have the option of a cumulative position size - so that if all your indicators are positive, you use full size position, if only half, go for a 50% position. I think that sort of approach could be highly personalised and is legitimate - after all, the idea is to make money, not to find mathematical perfection.

 

[Bartlby]

Avoiding the search for perfection is wise and I am prone to foolishness. My real aim is simply to try to improve a little on your hit rate, if possible, and to find way to improve the risk:reward ratio a bit. Today was not a good start. With both these things I only want to find a little more. Push forward slowly. The trouble with having a few variables to play with is that the possible combinations multiply exponentially and so its hard to be clear about what is causing any improvement and what is hindering it.

 

[Bartlby]

Looks like Big Ben is out of the game this morning as BBR is already greater than 1.25*Av(10)BBr. Pivot point calculation suggested resistance between 5988 and 5997 - calculation depends on exactly what data one uses. Anyway I've just placed an order going short at 5985 with a stop at 6001 and a limit at 5960 (2 pts above the pivot).

I also had a quick look at the data available to me on Capital Spreads and I'm not sure if the relationship of the bb to a pivot point provides any sort of reliable indicator of likely direction of the breakout - the trouble is the data is very limited and so provides to small a sample to be of much use.

So continuing the search for, if not perfection, something damn close to it ;-).

 

[doylen]

yes - very frustrating capital spreads only goes back a few weeks (think 6) - i'd love to have 6 yrs!

 

[Bartlby]

How far it goes back depends on the time frame - years on daily charts but if you want minute charts then just the past week.

The short didn't pan out either, it dipped into profit briefly and then went the other way. I think if the area of resistance hadn't been so close to 6000 it would have been a better trade.

 

[doylen]

funny one for me today. I took the trade at BBR +3, Limit BBR *75%, Stop BBR*50%, i.e. Buy 5996, limit 6031, stop 5973. Once the price had hit 5996 it went pretty close to hitting my stop but rebounded. I chickened out at 6003 and took a small profit as didnt think it would have the legs to hit my limit. My concern now is that I find myself intervening manually with the system rather than just letting it run. The bad week last week has taken its toll. And that 6000 mark is making me nervous.

Hmmmmm

 

[Bartlby]

Some of the trouble is we haven't settled on a system and so don't have confidence in what we have - if one knows one's system will, over time, create more profits than losses its much easier to leave it alone to do its thing. The idea of having something one can set up early in the morning and then leave is so, so appealing. I'm sure its possible but what its real long term R:R ratio would be I do wonder, perhaps at a level someone with a large amount of money could take a regular small % at low risk and it would be worthwhile.

Right now FTSE can't make up its mind - above or below 6000? It doesn't seem to know

 

[tomorton]

No-trade for me today as BBR so wise. Actually it would have been a winner but only just avoiding being triggered long then stopped. Still, rules are rules until you can prove they're not rules. When they're not rules any more you can delete them but you can't break them, if you see what I mean.

 

[pb8856]

yeah, should have traded today, I got burned on Mondays trade, I entered despite it having moved along way already and being close to 6000. Today was a similar setup so I stayed away Could have broken even.

Tomorton, is it possible to calculate any stats on how many wide ranges go on to a successful trade from your figures ?

 

[tomorton]

Hi pb - One thing I normally do do with new BB rule variations is to continue to monitor the effect of not aplying the new rule - so, yes, eventually I will be posting up some numbers on how BB would have performed if the size of the BBR had been ignored.

I did put up some numbers last weekend to support filtering out trade isgnals with a wide BBR but there is nothing like forward testing to prove a system's rules.

 

[tomorton]

Third no-trade day in a row this week for me today. The BBR is 36.7, only 0.8pts above my trade limit but I must give this new rule enhancement a realistic trial. I confess that, having had such a good start to May last week, I am happy to be more conservative this week.

 

[Bartlby]

I went long at 6034.5 with stop at 6019.3 and limit at 6051.7

 

[Bartlby]

stopped out.

 

[pb8856]

me to, not a great week so far

 

[Bartlby]

I suspect if it was the news of Mervyn King's opinion about inflation and the economy that turned the market lower and if I had been at home and had heard that I would have closed the trade, but I wasn't.

 

[Bartlby]

Today's Big Ben - short at 5906.8, stop at 5919 and limit at 5886. Made 20.6 pts.

 

[tomorton]

Finally took a trade this week and it's a winner! Hurray!

 

[pb8856]

Finally took a trade this week and it's a winner! Hurray!

Stopped out here (IG), short entered at 5707 went down to 5704 then reversed and stopped me out. Where was your entry Tomorton ? Did I make a mistake ?

Have looked back through the limited amount of data in my spreadsheet to see how well BB trades perform when they have to cross some round number resistance at 100's and 50's.

Out of 7 trades (since 14/3) only 2 made it, the others were stopped out. I'm going to avoid these trades in future, theory being that the price is reasonably likely to pullback around these levels, raising the potential for stops to be hit (as long as the stop remains so tight anyway).

Thoughts anyone ?