Cheers to you too. Had some interesting discussions about how to enhance a simple method, thanks to all who put in their two penn'orth. But this game pays as well, and that's what keeps me focused. My last 3 months have been my best of 2010, each improving on the one before. This month will be my best overall since May 2009. Believe it or not, 75% of the quarter's profits have come from BB alone.
Hi,Just like to say hello to everyone and thankyou all for your informative thread.
I look farward to swinging 2011 with you all and will try to contribute a little myself.
A special thanks to Tomorton who must spend hours glued to his computer analyzing charts.
Thankyou tomorton for sharing your wisdom with us all.
It is very much appreciated.
Here's wishing you all a happy new year.
I look farward to swinging 2011 with you all and will try to contribute a little myself.
A special thanks to Tomorton who must spend hours glued to his computer analyzing charts.
Thankyou tomorton for sharing your wisdom with us all.
It is very much appreciated.
Here's wishing you all a happy new year.
The week in summary (excluding 24/12, shortened market and SB session) -
EUR/USD 2:1
FTSE100 3:0
GBP/USD 1:1
Not anything like as bad as I had feared: by the charts (no actual trading this week for me), 6 hit target, 2 stopped out, 2 expired -ive, 2 expired +ive. Would have been worth trading after all: possible note to self for next Christmas.
Over the last 4 weeks -
EUR/USD 6:6
FTSE100 7:2
GBP/USD 8:5
making 21:13 (62%) overall, excluding expired trades and no-trade days.
EUR/USD 2:1
FTSE100 3:0
GBP/USD 1:1
Not anything like as bad as I had feared: by the charts (no actual trading this week for me), 6 hit target, 2 stopped out, 2 expired -ive, 2 expired +ive. Would have been worth trading after all: possible note to self for next Christmas.
Over the last 4 weeks -
EUR/USD 6:6
FTSE100 7:2
GBP/USD 8:5
making 21:13 (62%) overall, excluding expired trades and no-trade days.
I now have chart data for last 9 weeks on the set of 3 preferred markets, EUR/USD, FTSE100 and GBP/USD.
Excluding expired trades and no-trade days, winning days = 18/44, break-even days = 18/44, losing days = 8/44.
(a winning day would be one with more trades hitting target than hitting stop: vice versa for losing days: winning days are 3:0, 2:0, 2:1 and 1:0: break-even days are 1:1 and 0:0: losing days are 0:3, 0:2, 0:1 and 1:2).
Losing days on which all 3 markets stopped out = 2/44. Losing days were 2 x 0:3, 1 x 0:2, 1 x 1:2 and 4 x 0:1.
Showing the benefits of some diversification.
Excluding expired trades and no-trade days, winning days = 18/44, break-even days = 18/44, losing days = 8/44.
(a winning day would be one with more trades hitting target than hitting stop: vice versa for losing days: winning days are 3:0, 2:0, 2:1 and 1:0: break-even days are 1:1 and 0:0: losing days are 0:3, 0:2, 0:1 and 1:2).
Losing days on which all 3 markets stopped out = 2/44. Losing days were 2 x 0:3, 1 x 0:2, 1 x 1:2 and 4 x 0:1.
Showing the benefits of some diversification.
Happy new year to you too, and all other users here - but really I think I'm sharing learning, not wisdom.
Roll on 2011!
Benefits of diversification? Really?
Over 44 sessions, from 25/10 to 23/12, the FTSE100 is 14 targets hit, 6 stopped out, 11 expired +ve, 9 expired -ve, 4 sessions no trade. Net gain appr. 8 winning sessions.
Over the same period, trading EUR/USD and GBP/USD as well, resulted in 18 winning sessions and 8 losing, net gain appr. 10 sessions.
Assuming the same amount of capital is put at risk per session on both strategies, considering that the diversified strategy demands three times as many trades, the slight increase in net winning sessions from 8 to 10 is not significant. It would seem to be more efficient to simply trade the FTSE, as per the original objective of this thread.
Anyone like to challenge?
Hi Tom -- Have read through the thread and would like to congratulate you on your work so far and sharing it with others.
I have done a lot of work and analysis on breakouts with eu,gu,gj and uchf and counter trading these zones as well.You have a hunch that counter trading these zones is more profitable don't you and my analysis says the same thing.Counter trading intraday proved more profitable, which makes sense to me as the smart money is fading the masses waiting for the breakouts.I read somewhere that for every 1 breakout you get approximately 3 fails or retractions. Anyway I think that is something for the future perhaps as I'm sure your work on this is not finished yet.
A suggestion that may help,have you had a look at shortening the ATR period to say 5 or even 7 ? I think this would be more helpful than 14 ( just a hunch from experience ) as ATR data from days 10,11,12,13,14 etc. to me are not really going to assist me in making a trading decision today.An example would be after a fall or rise in an index and we enter a period of indecision or congestion,I would want my data to reflect this as soon as possible, 5 or 7 day data would do this a lot quicker and may even help you avoid a loss or 2 ( every little helps right lol ) 14 day data ATR would take too long to assimilate this.Remember not proven but just an experienced hunch.
If I get time I'll have a look at stops and take profits to see if I can help improve them.Not sure if I can but at the end of the day you are profitable so if it ain't broke don't fix it but make sure you milk it as much as you can as your edge may disappear 1 day.
Just had a quick look for that data analysis and I can't find it,I hope I still have it.
Best of luck with this and well done once again.
I have done a lot of work and analysis on breakouts with eu,gu,gj and uchf and counter trading these zones as well.You have a hunch that counter trading these zones is more profitable don't you and my analysis says the same thing.Counter trading intraday proved more profitable, which makes sense to me as the smart money is fading the masses waiting for the breakouts.I read somewhere that for every 1 breakout you get approximately 3 fails or retractions. Anyway I think that is something for the future perhaps as I'm sure your work on this is not finished yet.
A suggestion that may help,have you had a look at shortening the ATR period to say 5 or even 7 ? I think this would be more helpful than 14 ( just a hunch from experience ) as ATR data from days 10,11,12,13,14 etc. to me are not really going to assist me in making a trading decision today.An example would be after a fall or rise in an index and we enter a period of indecision or congestion,I would want my data to reflect this as soon as possible, 5 or 7 day data would do this a lot quicker and may even help you avoid a loss or 2 ( every little helps right lol ) 14 day data ATR would take too long to assimilate this.Remember not proven but just an experienced hunch.
If I get time I'll have a look at stops and take profits to see if I can help improve them.Not sure if I can but at the end of the day you are profitable so if it ain't broke don't fix it but make sure you milk it as much as you can as your edge may disappear 1 day.
Just had a quick look for that data analysis and I can't find it,I hope I still have it.
Best of luck with this and well done once again.
Hi klw - Interesting thoughts on counter-trading the Big Ben range, thank you. It's not something I can pursue as, while at my normal job, I can only spare a few minutes here and there for chartwatching, so BB breakouts are perfect from that point of view. But that's not to say counter-trades might not be more common, they might, I just haven't explored them. Some of the early posts here were very supportive of counter-trades and I know I would look further into them if BB breakouts had not worked quite so well.
The ATR however is something I can explore. I had thought a couple of months back that ATR (with the standard 14-day period) was the key to avoiding losses by cancelling trading until conditions improved. However, performance has evened out across the whole ATR range. FTSE100 ATRs have now seen the following results -
31-40 = 1:0, 0 expired
41-50 = 0:0, 1 expired
51-60 = 4:1, 3 expired
61-70 = 13:7, 10 expired
71-80 = 12:6, 11 expired
81-90 = 3:1, 8 expired
91-100 = 1:1, 0 expired
I had seen that a large ATR would facilitate successful BB breakouts but I can't see why progressively higher ATR values don't perform progressively better. But I should have a look at shorter period ATRs - anything to cap the losses. Cheers for now.
The ATR however is something I can explore. I had thought a couple of months back that ATR (with the standard 14-day period) was the key to avoiding losses by cancelling trading until conditions improved. However, performance has evened out across the whole ATR range. FTSE100 ATRs have now seen the following results -
31-40 = 1:0, 0 expired
41-50 = 0:0, 1 expired
51-60 = 4:1, 3 expired
61-70 = 13:7, 10 expired
71-80 = 12:6, 11 expired
81-90 = 3:1, 8 expired
91-100 = 1:1, 0 expired
I had seen that a large ATR would facilitate successful BB breakouts but I can't see why progressively higher ATR values don't perform progressively better. But I should have a look at shorter period ATRs - anything to cap the losses. Cheers for now.
" I had seen that a large ATR would facilitate successful BB breakouts but I can't see why progressively higher ATR values don't perform progressively better. But I should have a look at shorter period ATRs - anything to cap the losses. Cheers for now. "
Hi Tom -- If you think about the above it would make sense because a very high ATR means that we have most probably had a a run up climaxing in a high or exhaustion to a low ( both can mean large daily bars ) which only means 1 thing for the ATR in the next few days , it's going down as the market re-adjusts in the aftermath of these moves and these days are usually a lot smaller in size which as we know provide poorer results but the ATR is still showing a very high figure until enough of the newer data affects the ATR rating.Wow that is a bit of a ramble but hopefully you follow what I'm trying to say.
Hi Tom -- If you think about the above it would make sense because a very high ATR means that we have most probably had a a run up climaxing in a high or exhaustion to a low ( both can mean large daily bars ) which only means 1 thing for the ATR in the next few days , it's going down as the market re-adjusts in the aftermath of these moves and these days are usually a lot smaller in size which as we know provide poorer results but the ATR is still showing a very high figure until enough of the newer data affects the ATR rating.Wow that is a bit of a ramble but hopefully you follow what I'm trying to say.
Plans for Big Ben in 2011 -
Having reviewed the comparative performances of my three preferred markets, EUR/USD, GBP/USD and FTSE100, as above, I am going to drop the forex components and just concentrate on the FTSE. The FTSE has averaged 36% of BB trades going to hit target, with a ratio of 2.2 to the trades that were stopped out. The Euro also made 36% but its winner:loser ratio was exactly 1.0, so adding nothing to the game. The GBP made a slightly better win rate at 38%, but with a poorer stopped out total, making a ration of 1.7 winners to losers.
Of course, both had some outstanding periods of success, but longer term I don;t find they are worth the additional set-up and monitoring time or spreads costs.
I will be going back to the original plan and tracking Big Ben trades on the FTSE only from here in this thread.
Roll on 2011!
Having reviewed the comparative performances of my three preferred markets, EUR/USD, GBP/USD and FTSE100, as above, I am going to drop the forex components and just concentrate on the FTSE. The FTSE has averaged 36% of BB trades going to hit target, with a ratio of 2.2 to the trades that were stopped out. The Euro also made 36% but its winner:loser ratio was exactly 1.0, so adding nothing to the game. The GBP made a slightly better win rate at 38%, but with a poorer stopped out total, making a ration of 1.7 winners to losers.
Of course, both had some outstanding periods of success, but longer term I don;t find they are worth the additional set-up and monitoring time or spreads costs.
I will be going back to the original plan and tracking Big Ben trades on the FTSE only from here in this thread.
Roll on 2011!
Glad to hear it Tom. Lets master the ftse first then take on the forex.
My new years resolution is to play longer trades as like you i still have to work and don't have access to a computer throughout the day.
I'm looking to play weekly ftse,i spend sunday morning generating targets then get up early monday morning look at the days range then pick a good entry point,in the hope that if i get it wrong it will come back to the entry point by the end of the week.
Thats if i don't get it that wrong and get hit out.
Secondly i place an order to open and limit to close to keep me disciplined or i tend to sit and watch the screen and do nothing.
If neather stop or target has been hit i calculate the days range each morning and dicide then weather to stay with it or close out for a smaller loss or gain,
Well thats me in a nut shell.
At the moment i have an order to sell the market should it reach 6059 this week,will look at it again at the weekend and make any ajustments, as of yet i can't see it getting there
OLD CHINESE PROVERB SAY
Oral sex makes your day
but anal sex makes your
hole weak
HAPPY NEW YEAR
My new years resolution is to play longer trades as like you i still have to work and don't have access to a computer throughout the day.
I'm looking to play weekly ftse,i spend sunday morning generating targets then get up early monday morning look at the days range then pick a good entry point,in the hope that if i get it wrong it will come back to the entry point by the end of the week.
Thats if i don't get it that wrong and get hit out.
Secondly i place an order to open and limit to close to keep me disciplined or i tend to sit and watch the screen and do nothing.
If neather stop or target has been hit i calculate the days range each morning and dicide then weather to stay with it or close out for a smaller loss or gain,
Well thats me in a nut shell.
At the moment i have an order to sell the market should it reach 6059 this week,will look at it again at the weekend and make any ajustments, as of yet i can't see it getting there
OLD CHINESE PROVERB SAY
Oral sex makes your day
but anal sex makes your
hole weak
HAPPY NEW YEAR
Cheers ibetyou - Keeping it simple is almost always best.
Don't hear too much here about trading indices on weekly basis but I did watch an interesting training clip by Sandy Jadeja, using the highs and lows of outside weeks on the FTSE100 for long-term entries and stops. This was on cantostv on YouTube. Quite convincing but using the extremes of a wide bar like that for entry and stop means a very wide stop of course.
I would not be surprised to see the FTSE start to slide on Day 1 of 2011. We might be re-playing 30/12/00.
Don't hear too much here about trading indices on weekly basis but I did watch an interesting training clip by Sandy Jadeja, using the highs and lows of outside weeks on the FTSE100 for long-term entries and stops. This was on cantostv on YouTube. Quite convincing but using the extremes of a wide bar like that for entry and stop means a very wide stop of course.
I would not be surprised to see the FTSE start to slide on Day 1 of 2011. We might be re-playing 30/12/00.
Yes Tom i agree,
The entry target was last weekends figures,i thought at the time it was a bit optimistic but if it does not happen then everything will be retuned for next week.
having said that yesterdays target was high 6021 low 5962 and finish 5991
todays is high 6025 low 5967 finish 5996
Because the low is creeping up thought that i would hang on as today should show the way,
Lets see what the dow does later.
Ive got todays dow as high 11667 low 11562 finish 11614 if it breaks the low then i don't stand a chance.
My target for the ftse is 5677 thats a first target but yes i can see us going back to 5148 by the end of march.
But this is spread betting and we could just as easy go to 6250 by march.
what you say.
The entry target was last weekends figures,i thought at the time it was a bit optimistic but if it does not happen then everything will be retuned for next week.
having said that yesterdays target was high 6021 low 5962 and finish 5991
todays is high 6025 low 5967 finish 5996
Because the low is creeping up thought that i would hang on as today should show the way,
Lets see what the dow does later.
Ive got todays dow as high 11667 low 11562 finish 11614 if it breaks the low then i don't stand a chance.
My target for the ftse is 5677 thats a first target but yes i can see us going back to 5148 by the end of march.
But this is spread betting and we could just as easy go to 6250 by march.
what you say.
Review of the week, FTSE100 only - 4 sessions only charted, as 31/12 was a shortned SB market session. Results far better than I had feared friom such a low volume week - 3 targets hit, 1 no trade, 0 stopped out, 0 expired.
Review of last 4 weeks (18 sessions) - 7 targets hit, 1 stopped out, 5 expired +ve, 4 expired -ve, 1 no trade. Much better than I had hoped, on the assumption that low volumes would mean narrow daily ranges and limited / failed BB breakouts.
As logged a couple of weeks ago, positions left open after 4:30pm rarely hit target, so I am making the London close the new expiry point for open BB positions from here on and in the weekly reviews will set out the potential gain for the period in points from all three types of trades, targets hit, stopped out and expired. Potential gain for this week of course with 3 winners = +77pts.
Review of last 4 weeks (18 sessions) - 7 targets hit, 1 stopped out, 5 expired +ve, 4 expired -ve, 1 no trade. Much better than I had hoped, on the assumption that low volumes would mean narrow daily ranges and limited / failed BB breakouts.
As logged a couple of weeks ago, positions left open after 4:30pm rarely hit target, so I am making the London close the new expiry point for open BB positions from here on and in the weekly reviews will set out the potential gain for the period in points from all three types of trades, targets hit, stopped out and expired. Potential gain for this week of course with 3 winners = +77pts.
Hi Tom,
I've been experimenting with moving the end of the time range from 10:00 back to 09:00. The main reason for this is that I have to go to work before 10, so don't have the opportunity to put an order on later.
There is another logic though which is that as the range is often smaller, the target and stop are both smaller, and it seems in these turbulent times that could sneak a profit in more often.
I haven't back tested BB on it properly, because I opted for a simpler method initially. I looked for the largest profit I could squeeze before the market turned round again, which I think is about 14 pips. 1:1 R:R. Back tested through December last year, and seems to be consistent. I haven't got proper statistics yet, but will do some more testing when time permits.
The nice thing about this is, although it doesn't win big points and may be a bit boring, it does win quite often (18 out of 23 in December, and 3 out of 3 this week).
I feel more comforable with a nice win ratio, maybe a sign of inexperience
I've been experimenting with moving the end of the time range from 10:00 back to 09:00. The main reason for this is that I have to go to work before 10, so don't have the opportunity to put an order on later.
There is another logic though which is that as the range is often smaller, the target and stop are both smaller, and it seems in these turbulent times that could sneak a profit in more often.
I haven't back tested BB on it properly, because I opted for a simpler method initially. I looked for the largest profit I could squeeze before the market turned round again, which I think is about 14 pips. 1:1 R:R. Back tested through December last year, and seems to be consistent. I haven't got proper statistics yet, but will do some more testing when time permits.
The nice thing about this is, although it doesn't win big points and may be a bit boring, it does win quite often (18 out of 23 in December, and 3 out of 3 this week).
I feel more comforable with a nice win ratio, maybe a sign of inexperience
Good comments jimmc, I have wondered about moving the 0800-1000 range to 0700-0900 as it would suit my work times better also, just haven't done the backtesting.
It does seem likely to be a narrower range, possibly equally valid in TA terms, and might have the advantage of not being way over my ATR 80% threshold, meaning more traders, fewer stops. And that would be the name of the game after all wouldn't it? I will start tracking the early range.
It does seem likely to be a narrower range, possibly equally valid in TA terms, and might have the advantage of not being way over my ATR 80% threshold, meaning more traders, fewer stops. And that would be the name of the game after all wouldn't it? I will start tracking the early range.
Weekly summary of Big Ben trades, FTSE100 only now, is easy - Monday was a non-LSE session so no trade, and the rest of the week the BB range was well over the 80% ATR14 so no trades.
The 4-week summary shows few trades, what with the holidays and this week's missing sessions but still well in the money - 7 hit, 1 stopped, 2 expired +ve, 1 expired -ve.
Hoping for a bit more activity next week.
The 4-week summary shows few trades, what with the holidays and this week's missing sessions but still well in the money - 7 hit, 1 stopped, 2 expired +ve, 1 expired -ve.
Hoping for a bit more activity next week.
