Big Ben on the FTSE100

[tomorton]

There can also be an issue when price is breaking out of the BB range at 09:01am, so the SB platform won't accept an order at the level you want to get in. In that case, you might have to accept entry at a less favourable price, but don't move your stop or limit orders to account for that, just reduce your stake.

e.g. BB range is 5990-5955 - you want to set a buy at 5992 and a sell at 5953 but price is already at 5998. Your long limit order level would ideally be 5990+35 = 6025 for +33pts. If your entry is 6pts above where you wanted to get in, don't move your limit 6pts further out to compensate, price may very well never get there. On the other hand, your stop is now 6pts further down from where you thought you were going to get in, so your potential loss is that much greater: you could move your stop higher to reduce risk, but that increases the likleihood that it will be hit by volatility: I prefer to simply reduce the size of the position.

 

[barjon]

...................The values I use are therefore, Buy order = H+2, Long limit = H+R, Long stop = L-1; Sell order = L-2, Short limit = L-R, Short stop = H+1.

To be honest, I find it difficult to mentally calculate stops and limits in opposite directions on just the FTSE. ....................

Here you go, Tom. Just put the new High Low values in and it'll do it for you in a trice

jon

 

[tomorton]

Thank you jon, I knew there must be a way to do this in Excel, just never got around to learning how.

 

[jimmc]

Ha ha - I used to set my stop and limit by highlighting the number then typing over it. Ok until I accidentally highlighted the decimal point as well, so the value was 10 times more than I wanted. Lucky it was my limit not my stop!!! (though I was a bit miffed when I came home expecting a win only to find I'd stopped out. Started to blame the SB company at first, until I checked my confirmation email. Now double check everything very carefully.

Welcome Andy - I would make the short stop H+1, plus 1pt because that is the spread on my SB FTSE100 Rolling market from Capital Spreads: if your SB book's spread were, say 4, the short stop should be H+4.

The values I use are therefore, Buy order = H+2, Long limit = H+R, Long stop = L-1; Sell order = L-2, Short limit = L-R, Short stop = H+1.

To be honest, I find it difficult to mentally calculate stops and limits in opposite directions on just the FTSE. When I was trying to do this on GBP/USD and EUR/USD as well I was making errors that the SB platform did not pick up, e.g. placing the stop within the BB range or setting the limit order close to entry or too far out to be hit. One good market is all you need, but you must give it absolute focus, just for the 5 or 10 minutes it takes to set orders. It's also valuable to use an OCO order so that if your first entry order is triggered and the position subsequently stopped, you are not also entred into a trade in the opposite direction - alright, it might be a winner, but i don't want to take two trades in one day when I have no data on how the second (which could be opened 1 minute before the Close) would perform.

After my 6 FTSE100 orders are in, I don't re-open the SB platform until I go back in to exit any position that remains open at the London Close. And I don't delay exiting, regardless of unrealised gain, loss or what the chart looks like.

 

[tomorton]

Oops, jim. Double checking is well worth it. Actually, I even find it's no bad thing to read out what you're entering - of course, it gets funny looks in the office, but you sometimes hear an error which your eye skipped over. I suppose it could be an age thing....

 

[tomorton]

Hi Neil - Sorry not to reply earlier, I just found your message.

Yes, take the high and low between 0800 and 0900 to give the range, set entry orders just a little above the high and a little below the low: if entry is triggered, the opposite range value becomes your stop, just remember to manually cancel ther second entry order (or use an OCO order). Price that breaks out of the range will often travel the distance of the range from the entry point so that's your target. If an entry is not triggered by early afternoon, you might as well pull the plug for the day and cancel the orders. If the trade has triggered but has not hit target or stop by the LSE close, 1630, it is very unliklely to hit target in the evening so you might as well close for whatever gain there is (or loss).

If the range is very wide (e.g. using ATR), take the day off and don't set your orders. If the range is unusually narrow, you could try for a target further out than 1 x Range.

Don't worry where your account is after 1 week: check your gain/loss after 10 trades at least so don't be under-capitalised, this strategy has a 1:1 r:r at best.

It's that simple. Stick with us.

 

[tomorton]

Hi t30 - Sorry not to reply earlier, I just found your message.

I now trade less and less. This amounts to 10 minutes on the SB platform at 0900 to enter FTSE100 BB trade orders. One trade per day. Another 5 minutes each evening to make sure I followed the system, another 20 minutes or so at the weekend reviewing what happened. To be honest, in the past years, I have never made consistent month on month profits regardless of whether I traded EOD or swing or on Level 2. Using BB I have made a profit every month for the last 5 straight. Hoping for 6 now of course!

 

[tomorton]

Not sure if I'm using this message feature right.

 

[brewski1984]

Well now that im doing this system it's guaranteed to lose lol, last week wasnt that great!

I expired negative today although it was only by a point or so, I hope thats roughly correct for todays trade.

 

[jimmc]

Looks about right - depends exactly when you closed it.

 

[tomorton]

Don't worry brew, you haven't jinxed the system, I'm sure you can't. This system just requires a longer perspective: it doesn't have dramatic performance but it's consistent. Look at the last 5 months:
Sept - 7 trades hit target + 5 expired positive, versus 4 stopped + 2 expired negative
Oct - 8 + 2 v 5 + 4
Nov - 6 + 6 v 3 + 3
Dec - 9 + 5 v 2 + 4
Jan - 5 + 7 v 1 + 2
No losing months. Not huge margins, but low risk and predictable.

Now suppose you risk a set amount per BB trade, ignoring the points score and only set out to make £100 per target hit, £50 per average expired positive, and you risk £100 per stop and £50 per average expired negative.

Alright, we haven't allowed for slippage - losing trades will tend to be a little heavier than winners, as they don't have equal points. So increase your risk by 20% to £120 if stopped out and £60 for an expired negative.

And remember, we haven't used any TA skills yet to improve our trade selection, beyond using ATR to identify no-trades, so inevitably, some of our trades are going to be obviously doomed before the orders go in. Now scale your risk up to £600. It's at this point that even my pulse starts to tick up.

 

[brewski1984]

How can I argue with that, numbers never lie! I have so far managed to stick to only doing the minimum £1 per point but the gambler in me keeps pushing me for more, the potential to win £600 in one trade certainly gets my pulse ticking up as well.

Just out of curiosity, is there ever a time when a system like this would stop working?

 

[jimmc]

Who knows brewski, we can't predict the market. I had a pretty good little system from about April last year, which just stopped working in September.

But I have manually back tested this one from April to October and it looks fairly consistent.

 

[Andyclockwise]

Well now that im doing this system it's guaranteed to lose lol, last week wasnt that great!

I expired negative today although it was only by a point or so, I hope thats roughly correct for todays trade.

If using BBR>70% ATR14 as a filter I had yesterday flagged as a "no trade" day. Do you still use this filter Tom?

 

[brewski1984]

The filter is 80%? yesterday I had it at about 79% although I've only got about 12 days ATR at the moment, I took the trade anyway.

 

[Andyclockwise]

The filter is 80%? yesterday I had it at about 79% although I've only got about 12 days ATR at the moment, I took the trade anyway.

I must admit I've got my ATR filter levels a bit confused after reading through this read a few times, I thought the level was 70%

I've been getting my ATR14 from here as per the BigBenV3 excel included in the attachments to this thread.

Go to www.stockcharts.com
STEP 1 - enter code $FTSE, for FTSE 100 chart.
STEP 2 - select Indicator "Average True Range", then "Update" and read off of graph.

 

[Ted1983]

I must admit I've got my ATR filter levels a bit confused after reading through this read a few times, I thought the level was 70%

I've been getting my ATR14 from here as per the BigBenV3 excel included in the attachments to this thread.

Go to www.stockcharts.com
STEP 1 - enter code $FTSE, for FTSE 100 chart.
STEP 2 - select Indicator "Average True Range", then "Update" and read off of graph.

Hi,

Just download a Metatrader demo account (smartlivemarkets has FTSE). It saves messing about with spreadsheets. Use this indicator on the daily chart, you can set it to display the required percentage.

 

[tomorton]

I'm using 80% ATR14 as a threshold, above which I would mark the day as a no-trade. This value is 51 today - it's hard to picture the FTSE100 making a range in its first hour of +30pts from the Open, then -60pts from the High, then another 60pts after that to make the Short taget. I suspect it's more likely to make a retracement into the BB range and several people on the thread were more interested in that possibility - the Reverse Big Ben I think we called it - last August / September. I have not been tracking these opportunities but it could be time for one of you clever people out there!

It's hard to see market conditions that would make BB stop working on the FTSE100 (or the original market, GBP/USD for that matter), at least for more than a few days. The system requires a market that opens with a sudden surge in volume. That will always lead to disagreement over true value, establishing a HL range. I have been asked re systems I have tried in the past, 'If it's that simlpe, why isn't everyone doing it?'. Well, BB patterns are a case in pojnt where so many people are doing it that it makes the pattern come true: the BB range is only important if a lot of people think it worth continuing the price direction established by the BB range breakout. I'm not saying they're al playing the BB, but enough of them respond to what the BB range shows that it validates riding the momentum.

What I really fear is a market that has exceptionally high BB ranges for days at a time. That would keep me out or induce a higher risk of failing to make the BB target. But even with a BB range way over the 80%ATR14 threshold, you could always adapt the system and set the target at 0.5 x BB range: the issue is whether to put the stop on a real level such as the opposite BB extreme, or a notional level, which matches your potential reward at least 1:1.

 

[brewski1984]

First win for me today makes a happy brew!

I was just wondering though, do I need to adjust the amount per point I stake to make this profitable? I mean if I was to keep going at just £1 per point will I make profit? I ask because I got stopped out last week for more points than I won today. One trade I'll be risking £20 and another I'll be risking £40 so do I need to make each trade the same amount of risk? I'm still a bit of a noob at trading!

 

[tomorton]

I have always adjusted my stake per point on BB trades so that I know what I am risking in total if the stop is hit. So if I am prepared to risk £100, and the BB range today is 25pts, that's £4/pt: if the BB range tomorrow is 50pts, that will be £2/pt.

This means I know today what I could lose tomorrow and it doesn't matter what London or New York does, they can't increase that risk.

I have not kept records of points totalled, as I do suppose that there is no reason for a BB hitting target to be any larger or smaller than a BB hitting stop. Likewise, I assume that BB ranges that break out upwards are no different in points size over the long term than those that break out downwards. Also, I assume that expiring trades will average out at half the average BB range.