Pin Bar System

Should Pocrel trade the "pin bar system" live again

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pocrel said:
long audusd now
Click to expand...

aud chart
audusd.gif
 
DDI said:
my sample size has reached 158 trades I have picked up since end march (I haven't traded them all sadly!)

75 winners (either next pivot or 2:1)
32 x 1:1
51 losers

still in line with the results when sample was 100 - about 2 out of 3 trades have returned at least 1:1.

I have also recorded results against the following 4 MACD histogram conditions:

A) histogram both in same mode of trend and momentum increasing (eg, if long, histogram is positive and increasing):

25 wins, 12 x 1:1, 8 Losers.

B) histogram in opposite mode but momentum in favour of trade(eg, if long, hist is negative but its absolute value is decreasing):

29 winners, 11 x 1:1, 15 x losers

C) Histogram in same mode as trade but decreasing momentum (eg if long hist is positive but value decreasing):

9 wins, 1 x 1:1, 14 losers.

D) Histogram in opposite mode and strengthening momentum (so if long, hist negative and absolute value increasing):

11 winners, 8 x 1:1, 15 losers.

As you can see the results of conditions A and B are much better. However in the past 2 days some of the best trades (which I ignored!) had conditions C or D.

Also apart from sample size still being too small, one cant rely that much on index or futures on MACD (or other indicators) as some of their calculations are derived from out of hours broker prices.
Click to expand...

Thats a damn good analysis. It shows how profitable the strategy actually is.
Where you say 11 winners, 8 X 1:1 is that 11 hit the TP AND 8 passed 1:1 or are you saying 8 or those 11 only hit 1:1?
If its the former then the results for condition D on MACD are surprising to say the least.
 
Mata Nui said:
Thats a damn good analysis. It shows how profitable the strategy actually is.
Where you say 11 winners, 8 X 1:1 is that 11 hit the TP AND 8 passed 1:1 or are you saying 8 or those 11 only hit 1:1?
If its the former then the results for condition D on MACD are surprising to say the least.
Click to expand...
Hi Mata. Its the former. Yes by logic, I would have expected results of condition D to be poorer than condition C. Should be A>B>C>D but so far worked out A>B>D>C.

Today the aud failed trade was under condition A so perhaps sample size is still too small to make any concrete conclusions. But if you can do run a backtest incorporating these conditions (perhaps only taking trades under A and B) and see how it goes.
 
DDI said:
Hi Mata. Its the former. Yes by logic, I would have expected results of condition D to be poorer than condition C. Should be A>B>C>D but so far worked out A>B>D>C.

Today the aud failed trade was under condition A so perhaps sample size is still too small to make any concrete conclusions. But if you can do run a backtest incorporating these conditions (perhaps only taking trades under A and B) and see how it goes.
Click to expand...

Actually i think a sample size of about 150 trades is reasonable. A years worth would be statistically significant i think because we know the market changes through the year. People always seem to say you need several years worth of backtesting but i disagree with that. If you trade a system live you can tell when profitability falls and will modify things as you go (you might reduce the TP if volatility reduces etc). Trading live is nothing like a backtest and i wouldnt expect any strategy to remain un-modified for several years.

Also i might have a explaination for condition D (its only an idea and i am not an expert at all). MACD is one of the most lagging indicators because it bases its calculation on another lagging indicator. The Pin is pure price action and a real time signal of a possible reversal. By trading the pin we could be getting in before the MACD registers any change at all. If you follow this logic then i would guess the profitable conditions would be.
B - We have a confirmation in MACD of a reversal but its not fully established yet.
A - The reversal according to MACD is fully established.
D - We get in early but obviously some times it wont work out.
C- The momentum has turned.

or even B D A C ??
 
Mata Nui said:
Actually i think a sample size of about 150 trades is reasonable. A years worth would be statistically significant i think because we know the market changes through the year. People always seem to say you need several years worth of backtesting but i disagree with that. If you trade a system live you can tell when profitability falls and will modify things as you go (you might reduce the TP if volatility reduces etc). Trading live is nothing like a backtest and i wouldnt expect any strategy to remain un-modified for several years.

Also i might have a explaination for condition D (its only an idea and i am not an expert at all). MACD is one of the most lagging indicators because it bases its calculation on another lagging indicator. The Pin is pure price action and a real time signal of a possible reversal. By trading the pin we could be getting in before the MACD registers any change at all. If you follow this logic then i would guess the profitable conditions would be.
B - We have a confirmation in MACD of a reversal but its not fully established yet.
A - The reversal according to MACD is fully established.
D - We get in early but obviously some times it wont work out.
C- The momentum has turned.

or even B D A C ??
Click to expand...
I see what you mean but dont forget this strategy is not all about reversals. for eg, sometimes you can have a consolidation around PP, with the MACD histogram turning positive, and then have a bullish pin (perhaps psychologically meaning the bears tried to challenge the potential uptrend and were rejected!). The attached chart illustrates this. These are my favourite set ups.
 

Attachments

  • Daily Brent Crude (Jun) (15-APR-11).png
    Daily Brent Crude (Jun) (15-APR-11).png
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Hi guys -- I think the most important factor to consider is the trend, with that behind your signal it should give you more chance of success.Look at all the Aussie pins ( whether on a pivot or not ) that failed yesterday and this morning just because they were fighting the down trend.

Something to consider.

Great system by the way Pocrel and well done for calling them live.
 
The AUD loss this morning was another that would have mitigated all loss and given a few points profit if you took the the short after hitting your SL.
 
Mata Nui said:
I didnt add the spread so got entered early :(
Click to expand...

Unlucky mate these things can happen in a fast moving market, make sure you always add 1 pip plus the spread for entry long

no need to add the spread short just -1 pip
 
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