Sorry. I was using a type of break out rule. And these are not long term ranges, but intraday ones.
Hi Tomorton, as promised I've done some testing of BB on GSPUSD.
I will be using a range 8am to 10am, TP 35, SL 20, and entries at 2+ spread.
Trades excluded: NFP days, UK & USA public holidays, and over 150% of 10day average BB range. (These days also excluded from 10d avg so as not to skew it.). OCO orders open until 1300hrs only. Open trades closed at 1500hrs - although on nearly all days tested trades were resolved well before that.
Testing produced a profit of 560 pips 10th Jan to 17th June. Not too good, but only 5 mins work a day.
Max drawdown was 140 pips during that period. Before I get a blast from above, I'm well aware that this kind of backtesting is pretty inconclusive and short term. However I used a 5min chart and there are no indicators or changeable issues with the figures which I think are pretty accurate for the period. Allowances were made for spread & slippage. And you have to start somewhere.
First trade was yesterday (successful), & I'll let you know how the week goes.
Cheers, Geoff
I will be using a range 8am to 10am, TP 35, SL 20, and entries at 2+ spread.
Trades excluded: NFP days, UK & USA public holidays, and over 150% of 10day average BB range. (These days also excluded from 10d avg so as not to skew it.). OCO orders open until 1300hrs only. Open trades closed at 1500hrs - although on nearly all days tested trades were resolved well before that.
Testing produced a profit of 560 pips 10th Jan to 17th June. Not too good, but only 5 mins work a day.
Max drawdown was 140 pips during that period. Before I get a blast from above, I'm well aware that this kind of backtesting is pretty inconclusive and short term. However I used a 5min chart and there are no indicators or changeable issues with the figures which I think are pretty accurate for the period. Allowances were made for spread & slippage. And you have to start somewhere.
First trade was yesterday (successful), & I'll let you know how the week goes.
Cheers, Geoff
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Doylen, I used a copy of Metatrader I downloaded some years ago from WHC. I have various other MT4's but this is the only one I can get to go so far back using 5min bars. It actually goes back to March 2010. The 560 pips was from 38 out of 77 trades, so strike rate round about 50%.
I ought also to mention that for many later trades I checked chart prices with actual current Capital Spreads prices & they were either identical or very close.
Next project EURUSD, although it's correlated it may give a better strike rate, & Tomorton's early trials showed it could be worthwhile doing some correlated pairs. I need time now & we shall see. Cheers.
I really hope so pb, meantime I am going to trade through this with normal position size and stick to current rules. Today would have been a winner this pm if I had broken the rule about running positions past 1pm, but the point of the thread isn't to make a quick kill here and there, it's to find a way to guarantee an income for life.
tomorton - just curious - i did the same as you but i thought the low of the 2-3hr of 5730 would have got you too if you'd let it run? Just want to make sure I'm not missing something fundamental here!
Considering taking a back seat until Greece settles down. Very low BBR today, trades set up so let's see how it goes.
Considering taking a back seat until Greece settles down. Very low BBR today, trades set up so let's see how it goes.
splashy
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Good post, and that's the key here...some short term trends will always escape you.
Just perusing some recent threads about greece and the volatility. i admit i haven't really kept up with the recent changes you've all been making to your systems but thought i'd show you this.
I read somewhere someone wrote that Big ben doesn't like the greek uncertainty...
Here are the last 5 days using basic BB system, no bells and whistles.
1st signal reverse signals
8-9am +10 (5) +46 (2)
8-10am +116 (5) 0 (0)
Without volatility, we would make no money. No system covers all eventualities but sometimes you run the risk of making long term changes based on data from short term trends...
You can't ride every wave, boys....
Oops you're right doylen - I was just eyeballing it from a yahoo chart: should have got the SB tick chart open.
Interesting results splashy. I'm stopped again today - the market continues to fail to break-out from its opening range, it has become more of a peep-out.
I have to consider whether to sit out current market behaviour - only problem is, how to identify the day to come back. The daily candlesticks give no such clue and I long ago stopped relying on business media commentators. So do we just have to accept that the causes of performance tendencies in BB are invisible and that it works when it works and doesn't when it doesn't? Maybe it would be easy to sit out when we get a negative score on any sequence of 20 trades, coming back in when it improves to at least 10-10? Must try something, I hate watching the profits go back into the market like this.
I have to consider whether to sit out current market behaviour - only problem is, how to identify the day to come back. The daily candlesticks give no such clue and I long ago stopped relying on business media commentators. So do we just have to accept that the causes of performance tendencies in BB are invisible and that it works when it works and doesn't when it doesn't? Maybe it would be easy to sit out when we get a negative score on any sequence of 20 trades, coming back in when it improves to at least 10-10? Must try something, I hate watching the profits go back into the market like this.
My current 20-trade perfomance is 8-12, and a win tomorrow would not improve this: a loss would take it down to 7-13. Reluctantly, I have to admit I cannot divine why we are losing at present but the performance speaks for itself. Maybe the market is behaving irrationally (in the sense that it is not following its normal routes from break-out to target and beyond, not in a conscious sense) but it could stay this way longer than I could afford to persist so I am sitting out until we get back to a 10-10 performance. I will keep monitoring the charts of course and will continue to post results - but they will sadly be theoretical only for now.
bangkoker
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It certainly seems the market has spent more of it's time range bound recently. Great if you are discretionary trading off support and resistant but likely the worst time for breakout (or should I say fakeout).
I am sure you have said often that this system will really shine in a trending market (and I believe that also you could then revert to the BB range, if the market was trendier (sic)).
If you look at the overall long term trend for the last 12 months it has just gone sideways. Good luck anyway. You are probably right, sometimes you need to keep your powder dry if the conditions are less than ideal.
My short has been triggered today - I haven't checked to see if its been stopped out or not. I can see that a trneding market should be better for a breakout strategy. However with the Big Ben the breakout is from an opening bar that is not more than about 25% ot the ATR of the FTSE and the target is less than that. So it seems to me that the absence of a longer term trend shouldn't have too great an impact as the strategy only looks for movement over a few hours.
