Big Ben on the FTSE100

[tomorton]

Steve - I think there's nothing heretical about managing trades to maximise gain / minimise loss. Letting trades run to expiry at US close isn't the optimum trade management option, it's just an option I have used to identify how trades would end up with minimal manual input. My idea was, if this is the result if I do absolutely sod all to help my trades, then a little judicious management should only make that result better. So well done you.

Big Ben has only a 1:1 r:r, and a rather modest win rate against all trades taken, so it's certainly a system for the long haul. I am looking at it philosphically from the rolling 4-week point of view. There have been 9 rolling 4-week periods of my monitoring and trading the FTSE100: results of wins:stopped over these have been -
7-3
8-5
7-4
8-4
4-7
5-4
8-4
10-4
10-2
That's 8 winners and 1 loser. So over any month, you'll almost certainly come out on tiop, just stick with it.

 

[steve79]

Steve - I think there's nothing heretical about managing trades to maximise gain / minimise loss. Letting trades run to expiry at US close isn't the optimum trade management option, it's just an option I have used to identify how trades would end up with minimal manual input. My idea was, if this is the result if I do absolutely sod all to help my trades, then a little judicious management should only make that result better. So well done you.

Big Ben has only a 1:1 r:r, and a rather modest win rate against all trades taken, so it's certainly a system for the long haul. I am looking at it philosphically from the rolling 4-week point of view. There have been 9 rolling 4-week periods of my monitoring and trading the FTSE100: results of wins:stopped over these have been -
7-3
8-5
7-4
8-4
4-7
5-4
8-4
10-4
10-2
That's 8 winners and 1 loser. So over any month, you'll almost certainly come out on tiop, just stick with it.

Thanks, that has provided some encouragement.

I'm just mulling over whether my current strategy (FTSE and 7 FX pairs) is viable, for say, on a work day when I'll be in lots of meetings and can't look at charts/results. Do I strike out those days and not risk it trading, or perhaps trade no more than 2 or 3 instruments on a set and forget day.

Cheers.

 

[Baldeaglebloke]

Thanks, that has provided some encouragement.

I'm just mulling over whether my current strategy (FTSE and 7 FX pairs) is viable, for say, on a work day when I'll be in lots of meetings and can't look at charts/results. Do I strike out those days and not risk it trading, or perhaps trade no more than 2 or 3 instruments on a set and forget day.

Cheers.

My view is concentrate on 2/3 instruments since if you have 8 trades potentially on at the same time with 2% MM you could lose 16%. Or if your splitting your 2% between 8 instrumnets thats 0.25% per trade - being lazy I'd look at 'learning' the vagaries of an instrument and trying to devise and refine criteria for that instrument. cheers

 

[tomorton]

My view is concentrate on 2/3 instruments since if you have 8 trades potentially on at the same time with 2% MM you could lose 16%. Or if your splitting your 2% between 8 instrumnets thats 0.25% per trade - being lazy I'd look at 'learning' the vagaries of an instrument and trying to devise and refine criteria for that instrument. cheers

I agree with that line. I think the 2% rule is very old guidance, probably intended for such as S&P traders or commodity traders, who could practically only have one trade open at a time, and probably for the session, so their account risk would never be more than 2% at one time, and not much more per session. 2% risks on regular multiple short-term positions seems optimisitic, even though they should not all do the same (bad) thing at the same time.

 

[tomorton]

Not a bad day. Cancelled GBP/USD orders just after 4 as not triggered. Closed FTSE100 for small loss about same time. EUR/USD hit target.

 

[tomorton]

Quite a mediocre week. 5 targets hit, 4 stops hit. On paper this shows a 12 pip deficit so any profit this week would be an achievement.
EUR/USD won 3:1
FTSE100 drew 1:1
GBP/USD lost 1:2

Over last 4 weeks, we are 5:4 on FTSE100, 6:5 on GBP/USD; over the last 3 weeks on EUR/USD we are 8:4 -
aggregating 19:13 (59%). ATRs of all 3 continue to rest at the bottom of their ranges over same periods so outlook not improving. A good time for cautious position sizing.

 

[tomorton]

The last few days have been so poor, and the ATRs are so low that I was sorely tempted today to play the reverse, and trade the session back into the BB ranges from the boundaries, rather than the break-outs. Held off as I just don't have the stats to show whether this would work. We have talked about playing the Reverse Big Ben and I wish someone would do the backtesting for all the rest of us.

Could be a project for the new year I think.

Seems rather laborious go back over performances and relate BB to ATR. I guess nobody else has done this.

However, it should be relatively straightforward to bring direction into the picture - i.e. from which direction price enters the BB range (starting from our usual reference point, the prior US close). We should then be able to see which direction it breaks out - either continuation or reversal. I would not expect that I would take only trades in a given direction, but it might help with position sizing, maybe even a more informed stop placement.

If anyone has done this or something similar, could they please post results? Otherwise, I think this has potential and will be looking at it over the weekend.

 

[tomorton]

Initial findings on BB directionality.

Comparing succcess of BB trades with direction price enterd BB range from prior US close and direction price broke out of BB range. Ignoring sessions with no trade signalled.

Obviously, price can enter the BB range upwards or downwards but the BB range might also bracket price at the prior US close. Taking a Continuation to be breakout in direction of price entering BB range, a Reversal to be breakout in opposite direciton of price entering BB range. Obviously, this is a very simplistic way of looking at established price directionality, but it is at least an objective indication of where price came from.

Results from 54 charts, aggregating EUR/USD, FTSE100, GBP/USD -
Continuations = 17, of which 6 hit target, 4 stopped out, 2 expired positive, 5 expired negative
Reversals = 16, of which 7 hit target, 5 stopped out, 3 expired positive, 1 expired negative
Direction unclear = 21, of which 9 hit target, 4 stopped out, 0 expired positive, 8 expired negative

All of which seems to suggest that we can pretty much ignore where price came from yesterday to find out what it will do today.

 

[Mata Nui]

Just some observations from the last 4 weeks or so trading that may address some of the issues raised on this page.
Trading more pairs does hedge very well as even correlated pairs dont give correlated results with this system. I have never had a day when all trades lost (worst is 4 losses out of 6 pairs + ftse) but have had days when all but 1 win. It is difficult though to get all the orders in on time and MM / total exposure is scary.

The traditional approach of risking a fixed percentage per trade really doesnt work with this system. If you did want to risk a fixed percentage i think is is quite safe to go for 2.5% per trade. I tried it on a demo account like this and it gave a total daily exposure of about 17.5% (although i will say if the first 2 days are bad days it will hurt). The real problem doing this is that you gain or lose cash per trade. It does not take into account the ranges or probabilities of wins/losses per instrument. Doing this one week i ended up + over 100 points yet lost about 5% of my cash which really wound me up. The approach i found worked was to add up all the SL ranges and divide the 17% percent by that. It then gives a fixed £ per point for all the trades. This means some trades are high risk but (it seems) they are also the higher probability ones and means you can capitalise from overall points wins at the end of the week.

 

[tomorton]

17.5% per day - Yikes!

I am trading 3 markets on minimum stakes, but when their ATRs come up again, was looking at going in on 2% risk per market, adjusting the £ per point stake for equal exposure on each.

If I had time at 10am I would play 6 markets too, but still at only 2% risk each.

 

[tomorton]

This is fustrating sometimes. Had time Monday and Tuesday top put orders on 6 markets: 3 winners of 6, for slight net gain, both days. Today only had time to scan 3 markets but the orders have not been triggered so I have cancelled them all.

 

[Baldeaglebloke]

This is fustrating sometimes. Had time Monday and Tuesday top put orders on 6 markets: 3 winners of 6, for slight net gain, both days. Today only had time to scan 3 markets but the orders have not been triggered so I have cancelled them all.

Agree nothing doing at all at the moment - Ftse cable and fibre all channel bound in fairly tight ranges - never mind you've not lost, no point trading for the sake of it and theres always tomorrow

 

[tomorton]

Agree nothing doing at all at the moment - Ftse cable and fibre all channel bound in fairly tight ranges - never mind you've not lost, no point trading for the sake of it and theres always tomorrow

You're right about trading for the sake of it - at one time I would have been tempted - and usually lost.

 

[jackypw]

im holding some short sake on FTSE100, waiting to add more once overbought sign shown

 

[tomorton]

A wretched week for my Big Ben markets, EUR/USD, FTSE100 and GBP/USD, with 4 targets hit and 4 stops hit. Over 4 weeks, performance is 19 to 16. ATRs are very low, though FTSE100's is creeping up again.

 

[jackypw]

A wretched week for my Big Ben markets, EUR/USD, FTSE100 and GBP/USD, with 4 targets hit and 4 stops hit. Over 4 weeks, performance is 19 to 16. ATRs are very low, though FTSE100's is creeping up again.

wat is your profit target? I usually do not have target for profit but only stop loss since profit could be unlimited or unpredictable.

 

[sk1105]

wat is your profit target? I usually do not have target for profit but only stop loss since profit could be unlimited or unpredictable.

When do you close positions then?

 

[tomorton]

wat is your profit target? I usually do not have target for profit but only stop loss since profit could be unlimited or unpredictable.

Profit target is always the BB range from 0800 to 1000 on the entry point (added if entering long at the high, subtracted if entering short at the low). I have no TA reason for this, but statistics that show probable success. If the target isn't reached by the UK close, I would probably exit then, but always by the US close. Again, no TA reasoning behind this, I just dont have any backtesting data to prove holding overnight works on Big Ben trades.

 

[tomorton]

Encouraging start to the week - 2 trades out of 3 today.

Widening daily ranges are pushing ATRs up - annoyingly, with the benefit of more data, the dividing line in terms of ATR between a friendly market environment and a hostile one is getting more blurred. But certainly, BB needs wide ranges to reach targets and avoid No-trades.

 

[george0]

Encouraging start to the week - 2 trades out of 3 today.

Complete opposite for me. GBP/USD seemed to be at top of 8-10 range at 10am so much so that I actually just placed a buy trade rather than any orders. It prompty plummeted down and hit stop loss.

FTSE100 BB range was too big so I didn't trade.

Would be interested to hear other people's trades for yesterday.