Big Ben on the FTSE100

Bartlby said:
I see your point but one only knows its extreme data after the fact. So last monday for instance one has placed one's BB trade and the day turns out to be volatile. You couldn't know in advance how volatile the day would be and so one couldn't know that one wouldn't trade those conditions. Moreover we have no idea if changes in volatility represent a short term change or are the beginnings of a longer term change in behaviour.

The BB system does have some protection against unusual volatility by not trading if the BBr is greater than x% of the ATR. But if push comes to shove change the system not the data.
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Lol. We do agree, Bartleby, but we're coming at it from different angles. I took from your original post re ATR that the system had ground to a halt because of the extreme volatility. To me, that means that you couldn't trade the system(as opposed to 'decided not to'), and so the data collected couldn't be useful and shouldn't be included. Of course, if the system itself is then altered so that such volatility can be traded, then that data becomes valid (whether you decided to trade or not).
I didn't mean to infer that selected data should be ignored, just that you cannot build a system around data if the system itself can't achieve it.

Btw, i haven't found that high levels of ATR is an obstacle to profit on BB. Some big targets might not get hit but they quite often get half way there and net 40 pips or so, probably for exactly the reasons you laid out in your first paragraph.

Whatever, the more data, the better the system...
 
Weekly summary is distintly... summery.

BB scored 3-1 this week, making 8-7 over the last 4 weeks and 11-9 over the last 20 full trades. Of course, with price so far below the 50EMA I am not taking BB trades on the FTSE right now but maybe this is a hint of optimism returning as traders revert to normal market procedures, now that the world did not end when the US lost a credit point.
 
Weekly summary.

Another positive week for FTSE100 BB full trades (still paper only for me), 2-1. This makes 9-5 over the last 4 weeks, though only just positive over 20 full trades at 11-9.
 
Weekly summary of FTSE100 BB trades (paper only) continues to improve.

A score of 3-1 this week, making 10-5 over the last 4 weeks and 12-8 over the last 20 full trades. If you're looking to get back into these trades, you're probably already trading BB's again: if you're more cautious like me, you'll be waiting for price to establish above the 50EMA.

Good luck, either way.
 
Another winning week for BB paper trades - 3-2, making 11-5 over the last 4 weeks and 13-7 over the last 20 full BB trades.

The system does not call for any more strategic market analysis, but with a severe bear fluttering flag over the main indices and the FTSE100 well below the 50EMA, I continue to observe these trades only.
 
Another winning week for FTSE100 BB paper trades, 3-1, making 14-6 over the last 20 full trades and 11-5 over the last 4 weeks. Time to test the water again I think with some small-scale trades.
 
great news to hear its back on track, you must have a full year of results now, how's it looking?
 
Not at home right this minute so full data not to hand, but trading right through about 56 weeks now would have provided a 60% win rate. I think it worked out at about an average advantage of 1 winning trade per week over the losers.

This might not sound like much of a margin but assuming each trade is at 2% risk/reward, making 2% on the account per week over a year would almost treble initial capital.
 
Summary to last Friday, 57 weeks.

109 trades reached target, 73 stopped out, so win rate 59.9%. Discounting trades that failed to reach stop or target, these tend towards cancelling each other out. Assuming each trade is 2% of capital risked and r:r=1, this represents a return of +2% per trade on the positive excess of 36 trades, almost exactly doubling the account in the total period.
 
tomorton said:
Summary to last Friday, 57 weeks.

109 trades reached target, 73 stopped out, so win rate 59.9%. Discounting trades that failed to reach stop or target, these tend towards cancelling each other out. Assuming each trade is 2% of capital risked and r:r=1, this represents a return of +2% per trade on the positive excess of 36 trades, almost exactly doubling the account in the total period.
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how do you know you havn't been lucky? have you read any books by Taleb? would highly recommend them.
 
Fair point - any chosen system could be weighted over any sampling period by an atypical run of good luck. To counter this possibility, I can only offer the longest available run of samples, and strict adherence to objective rules to make individual trades consistent and comparable. I don't have access to any more advanced statistical test methods.
 
Scored 2-3 this week back in real trading (though actually came out slightly up in £ due to fiddling with position sizes). Makes 12-8 over last 20 full trades, 11-7 over the last 4 weeks.
 
Weekly summary - lost 2-3 again this week. That leaves the system just positive at 11-9 over the last 20 full trades and 10-9 over the last 4 weeks.
 
Weekly summary - system showed 2-3 again for the week, making 10-10 over the last 20 trades and 9-10 over the last 4 weeks. Long-term win rate has dropped to 58% so still ahead but I have to hope for better performance soon. Current market nervousness certainly confirming FTSE not offering 'business as usual'.
 
tomorton said:
Weekly summary - system showed 2-3 again for the week, making 10-10 over the last 20 trades and 9-10 over the last 4 weeks. Long-term win rate has dropped to 58% so still ahead but I have to hope for better performance soon. Current market nervousness certainly confirming FTSE not offering 'business as usual'.
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tomorton, I want to recommend a book to you called 'street smarts', it has been mentioned on T2W before. The book contains some great ideas for edges. some unscrupulous people have downloaded the pdf free from tinternet (not me!). I am no guru but have you also read Trading in the Zone & Trade your way to Financial Freedom (Tharp) these are exceptional. Mark Douglas Chapter 1 'more market analysis is not the path to consistent profits' - chapter 1 is gold.
 
Many thanks sh5467, I have indeed read Street Smarts and found it the best compendium of strategies I have seen / heard of. Also read Trading in the Zone and The Disciplined Trader by Mark Douglas - felt like I had been blind to what was really behind my trading before that, I'm sure you'll understand.
 
Weekly summary shows 4-1 up, making 10-10 over last 20 full trades, and 10-10 over last 4 weeks. Long-term win rate restored to 59%.
 
Actually, I didn't trade Thursday, making the week 4-0 for me in actual trades. The price on Thursday at 9am was pushing through the top of the 0800-0900 range, and I often see this as a trap for those who are willing to chase the price. Hoping for another good week next week.

Have a good weekend all.
 
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