Something I hadn't looked at so far is the performance in the year to date. So far in 2011, the BB system is 21 wins, 14 losses, a 60% win rate. The overall performance since w/e 20/08/10 is 57 for 30, a 66% win rate, so we have clearly been in a rough patch lately. Records show 20 winning weeks, 6 losing and 6 that broke even.
pair trader
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I am new to this forum and I find your discussion about the FTSE very interesting. Does anyone here know where i can start Pair Options trading on stocks like HSBC/Bank of Scotland and Tesco/Sainsbury? If anyone has an idea, please let me know.
Hi pair trader - Do you mean Traded Options? I don't trade in these now after an unpleasant experience as a novice some years ago. But it seems to me now that a more elaborate and expensive method of trading would be hard to devise, at least, compared with, say, spreadbetting.
Maybe you are already accomplished in Options and can realistically use them to advantage. If not, maybe you can take a step back and set out how you got to the decision you have?
Maybe you are already accomplished in Options and can realistically use them to advantage. If not, maybe you can take a step back and set out how you got to the decision you have?
pair trader
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In the last 5 years i've done all my trading with online brokers. I have experience with forex and options, but I hear that Pair Options can now be traded online. I am trying to find if there are any online companies out there that allow you to trade with minimum risks, because regular options have too many risks.
Let me know if you have an ideas tomorton?
Thanks
Let me know if you have an ideas tomorton?
Thanks
Hi Tom,
On the weekend you mentioned that your Big Ben method had moved on from the original and now starts from 1 hour instead of 2.
Would you give me an idea of the post number I should go back to so that I can read up on the new method?
Thanks, Split
pair trader
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How does the Big Ben method work?
pair trader
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Here is a description of Pair options: http://en.wikipedia.org/wiki/Pair_options
Hi Split - Looks to me like the reduction from 0800-1000 to 0800-0900 was transition to v3 rules, traded as from 14/02, so about post 744.
My idea would be to find the simplest access to the market, spreadbetting, and move into higher forms of trading when you absolutely have to.
Big Ben was first described in use for trading the £/Euro and the basic method is in a journal article here - http://www.traders-library.com/download/BigBen Trading Strategy.pdf
It's just a member of the opening range breakout strategies, such as used by Tony Crabel and Mark Fisher on commodities, forex and the S&P ETF's.
I'm concentrating on the FTSE100 index and the current rules are basically,
take 0800-0900 High (BBH) and Low (BBL)
at 0900, set entry orders long at BBH+2, sell at BBL - 2
set long target BBH+13, short target BBL-13
set long stop BBH-11, short stop BBL+11
cancel unexecuted entry orders at 1300
close positions still open at 1300
don't trade on days when US market is closed
don't trade if BB range today is > the average of the last 10 BB ranges
one BB trade per day
Be advised, win rate is 60-65% only, and r:r not quite 1.0. This will make a profit but stops are obligatory and keeping the risked capital per trade to a low % of account is essential.
Good luck.
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Hi Tomorton - Just read through the thread (the entire thing over 3 days), really educational, have started tracking V5 results and will try some more extensive backtesting over the weekend with some futures data I have.
Would I be correct in saying 2 losses and 1 no trade this week ?
Would I be correct in saying 2 losses and 1 no trade this week ?
Hi pb - Welcome. Can't believe you've read all these ramblings to catch up.
For me this week has had 2 no-trades and 1 loss: Monday was a no-trade as price never broke out through BB High or Low before 1pm - haven't seen that for a while, maybe we take that as a sign that markets are resuming normality? - stopped out yesterday for a loss and no-trade today as BB range was higher than BB range's 10d average.
Not a great week, but 2 days left so we could still end Friday in profit. Really though, with only 5 trading opportunities per week, at least a month of trades is required before it's worth reviewing your equity. I put up a 4-week summary at the weekends.
As ever, comments, refinements and variations are welcome - everybody could have a different Big Ben.
For me this week has had 2 no-trades and 1 loss: Monday was a no-trade as price never broke out through BB High or Low before 1pm - haven't seen that for a while, maybe we take that as a sign that markets are resuming normality? - stopped out yesterday for a loss and no-trade today as BB range was higher than BB range's 10d average.
Not a great week, but 2 days left so we could still end Friday in profit. Really though, with only 5 trading opportunities per week, at least a month of trades is required before it's worth reviewing your equity. I put up a 4-week summary at the weekends.
As ever, comments, refinements and variations are welcome - everybody could have a different Big Ben.
pair trader
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Hi tomorton,
Thanks for the advice. I actually found a very simple way to access the markets. On the net, I found a company called Stockpair. They allow you to trade on the relative performance of stocks without exposure to the market direction. Basically, they say that you just have to predict which stock within a given stock pair will be the better performer. I just opened a practice account with them earlier this morning. Tell me what you think? Here's a link: https://www.stockpair.com
pair trader
Thanks for the advice. I actually found a very simple way to access the markets. On the net, I found a company called Stockpair. They allow you to trade on the relative performance of stocks without exposure to the market direction. Basically, they say that you just have to predict which stock within a given stock pair will be the better performer. I just opened a practice account with them earlier this morning. Tell me what you think? Here's a link: https://www.stockpair.com
pair trader
Hi pair trader - I'm not sure why you're driven to pairs trading, and I'm sure there are simpler routes to it if you're really good at it. Also, do note that this firm is based in Belize, not exactly noted as a bastion of strong regulation and consumer rights in the face of the financial services industry.
pb8856
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+1 today (i think ?)
Tomorton, are you sure about yesterdays no trade ? I make the range 17 (5971-5954) and the last 10 range avg 33.5 (skewed wide by the large ranges a few days ago), have I miscalculated somewhere (prices from IG FTSE Daily)
Tomorton, are you sure about yesterdays no trade ? I make the range 17 (5971-5954) and the last 10 range avg 33.5 (skewed wide by the large ranges a few days ago), have I miscalculated somewhere (prices from IG FTSE Daily)
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Well spotted pb - I have miscalculated 30/03 as a result of mis-reading the BB Low. I make the range only 13.5pts, well within the 10d BB range average, so this should easily have been a trade.
Outcome as a result would have been stopped out. I have changed my BB record sheet, so it now shows 1 no-trade, 2 stopped out, 1 target hit for this week so far. Saved some money with that silly error though! Sometimes you get a break.
Outcome as a result would have been stopped out. I have changed my BB record sheet, so it now shows 1 no-trade, 2 stopped out, 1 target hit for this week so far. Saved some money with that silly error though! Sometimes you get a break.
pb8856
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Phew, lucky escape.
Would have an open long today by my calcualations (opened at 5961) unfortunately stopped out quickly at 5948.
Non farm payroll data time is fast approaching, anyone have any thoughts/theorys on getting out of an open BB trade before the announcement to avoid the usual volatility ? or opening a trade on the NFP breakout (15mins maybe?)
-22 pts for the week 1 win 3 losses 1 no trade
Would have an open long today by my calcualations (opened at 5961) unfortunately stopped out quickly at 5948.
Non farm payroll data time is fast approaching, anyone have any thoughts/theorys on getting out of an open BB trade before the announcement to avoid the usual volatility ? or opening a trade on the NFP breakout (15mins maybe?)
-22 pts for the week 1 win 3 losses 1 no trade
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Poor week - 1 win, 3 stopped out, 1 no-trade. Not good over 4 weeks either - 6 wins, 8 stopped out.
Barely better if we had ignored the BB average rule over the last 4 weeks either - 9 wins, 10 stopped out. If we went back to using the BB range to give targets and stops (ignoring BB average and ATR), results would also have been slightly negative - 7 wins, 1 expired positive 7 stopped out, 4 expired negative.
Not very encouraging I'm afraid, and all ideas welcome.
Barely better if we had ignored the BB average rule over the last 4 weeks either - 9 wins, 10 stopped out. If we went back to using the BB range to give targets and stops (ignoring BB average and ATR), results would also have been slightly negative - 7 wins, 1 expired positive 7 stopped out, 4 expired negative.
Not very encouraging I'm afraid, and all ideas welcome.
No clear evidence from the last month plus that would help improve the win rate but maybe the r:r could be improved.
Usually, if a v5 trade with a 13pts target makes target, price actually carries on further and at some point in the rest of the day it also makes the BB range as target. The average BB range tends to be in the 30's so it seems there is the possibility to extend the target a little further out with little risk of being stopped out of the extended trade.
From tomorrow therefore going to v6 rules - pushing the targets for longs and short out to 15pts from entry rather than 13. This would equalise the net gain with the net loss if stopped out and is possibly overdue anyway for a 1:1 r:r.
Usually, if a v5 trade with a 13pts target makes target, price actually carries on further and at some point in the rest of the day it also makes the BB range as target. The average BB range tends to be in the 30's so it seems there is the possibility to extend the target a little further out with little risk of being stopped out of the extended trade.
From tomorrow therefore going to v6 rules - pushing the targets for longs and short out to 15pts from entry rather than 13. This would equalise the net gain with the net loss if stopped out and is possibly overdue anyway for a 1:1 r:r.
