Big Ben on the FTSE100

I agree, GBP/USD looks better performer than the FTSE100. Shadowing this one nearly 6 weeks only, but performance is -
12 trades with target hit
3 trades with stop hit
11 trades expired (8 positive, 3 negative)
1 session no trade signalled.

Seems well worth persevering with.
 
Hi Tomorton, back after a few weeks away and great to see where you have taken your thread.
Started following the posts and recording data from the beginning and hoping can start trading the system soon.
Good work.
Cheers, Chris
 
Hello all,

Have just (finally) caught up with the entire thread and very interesting reading it is.

I've used the Low and High values from Yahoo Finance for the FTSE and put
them in a spreadsheet, averaging the last 14 to get ATR.

How are people calculating ATR for Forex pairs?
 
Anyone tempted by shorter opening range than 2 hours, 08:00 to 10:00? This wouldn't benefit from the market behaviour that Big Ben is supposed to build on, but most opening range breakout daytraders use short periods, up to the first 30 minutes. This would usually give a narrower range, so a tighter risk but potentially a higher target hit rate.
 
Tom,

I've been trying to use 8 to 8.30 range in addition, but it hasn't been working too well. It can cause problems approaching the 10.00 am mark, as the normal BB kicks in. I would prefer to leave things as they are, as the normal BB is working fine, rather than interfere.

I pulled my FTSE orders just before 2.30 pm today, as on one of your previous posts it appears to date no trade triggered after this time has hit its target. On that same post it stated that no trade still running after 3.30 pm hits its target; I believe that has now happened on 2 occasions: on the 5th and 12th October (and just before 3.30 on the 15th). Worth bearing in mind if confirmed.

Have a good weekend.
 
Just got in. Looks like most were pretty late kicking off today. At the moment things are looking grim (again). Its looking like a negative week is on the cards. Its odd because some of the pairs that look to have a pretty amazing hit rate over the past 2 weeks (not including this one) have been consistent losers this week.

I think i will cut it down for next week. FTSE, GBP/USD, either GBP/JPY or USD/JPY (Maybe both. Both have had a good week this week) and maybe one other.

I really dont like the idea of a narrower range. I think you would get into a lot of bad trades that way. Might be worth looking over the charts though.
 
I would stick to majors, those only with a USD leg. It's been a few years since I was involved with the FX markets, so I may be wrong, but from memory cross rates are derived almost entirely from the underlying component majors. The volume and open interest data for cross rates on CME's website confirm relatively poor liquidity.

Good luck.
 
Hi pcrude - Am I reading CME Forex volume right (never looked at this before), that only GBP/USD and EUR/USD have really significant volume?
 
That's correct. The volumes on the cross rates are pitiful. Those figures hide the real picture, as the FX spot market is largely inter-bank, so would not appear on the exchange. It's also the case, I believe, that a lot of, say, GBP/JPY spot and forward business is done at the corporate level by the treasury operations of UK or Japanese companies directly in the inter-bank market, which again does not appear on the exchanges. Hence I would think better to stick to pairs with a dollar leg, as though cross rate volume outside the exchange is probably good, it's still way below majors. Also from memory a spot FX trader (and I imagine the spreadbetters) who are asked to make a price in GBP/JPY will simply take the USD/GBP rate, the USD/JPY rate and simply make the appropriate calculation. That would go some way to explain the wider spreads on minors/exotics.

Hope that helps.
 
Tomorton, what are your trades looking like? Mine are looking pretty bad but the price action suggests all are trying to get back. I think these will be going till midnight, Hope they get back, At least to BE.
 
I have 5/5 open, 2 winning, 3 losing, negative net balance. System calls for holding to respective times (though none of the charts looks horrible yet) so could be in these for the duration and hoping for slightly positive expiries.

At the moment my week is showing 8/18, so I need a late comeback or 2 tonight.
 
Weekly round-up on FTSE100 and GBP/USD. Surprised myself when I found this had not been as bad a week as my impression: according to the charts at least, we should have had -
FTSE100 = 2 trades hit target, 1 stopped out, 1 expired negative and 1 day no trade:
GBP/USD = 2 hit target, 1 expired positive, 2 expired negative.

The EUR/USD as discussed above gives a strikingly similar performance of -
2 hit target, 1 stopped out, 1 expired positive, 1 expired negative.

6 healthy wins against 2 stopped out in 14 trades.

The time that a BB trade is triggered was also mentioned above. This seems a particularly good indicator on the FTSE100 as to the likely outcome of the trade. Of the 19 trades hitting their profit target in the last 10 weeks, 14 were triggered before midday: none was triggered later than 2:30pm. Stands to reason in one way - the less time the market has to make an ambitious target, the less likely it is to succeed. 8 winners were triggered in the first hour of the session (10-11am), 6 in the second, 2 in the third, 2 in the fourth and 1 in the fifth.
 
FTSE100 winners:losers from 10-11am triggers over last 10 weeks is 8:5.
From 11-12 = 6:1.
From 12-1pm = 2:0.
From 1-2pm 2:1.
From 2-3pm 1:2.
After 3pm only 1 trade was triggered and this was stopped out = 0:1.
 
My results this week.
FTSE: 2 Win, 1 Loss, 1 Expired -ve, 1 No Trade (Net points 15)
GBP/USD: 2 Win, 1 Expired +ve, 1 Expired -ve, 1 No Trade (Net points 120)
EUR/USD: 2 Win, 1 Loss, 1 I didnt trade, 1 closed at BE (Net Points 59)
AUD/USD: 2 Win, 2 Loss, 1 Exp -ve (New points -49)
GBP/USD: 2 Win, 1 Expired +ve, 1 Expired -ve, 1 closed at BE (Net points 77)
USD/CAD: 3 Loss, 1 Expired +ve, 1 Expired -ve (Net points -116)
USD/JPY: 2 Loss, Not traded after Tuesday (Net points -35)
EUR/JPY: 2 Win, 1 Loss, 1Expired +ve, 1 not traded (Range) (Net points +80)

Leaves me with a net total of +161. Next week i will drop USD/CAD (maybe AUD/USD also) as they really hurt me this week. Also i will cancel any orders not traded after 2pm and will probably skip Thursday (It seems to have more losers at least with ftse as documented earlier, and this week seems to back it up).

Have to say though that i have 3 -ve trades from Friday still running as i missed the close (10pm on a Friday, I didnt know that as i would never normally have anything open anywhere near that time normally). I have added the trades as they stand to the stats above.
 
Hi Mata Nui - Not bad for a fairly mediocre week. And what does it take, about an hour a day?

Just can't wait for Monday.
 
Interesting results on the currencies and thanks for all your help. One thing I can't seem to find is the ATR's for the currency pairs - where do you take these from?

Is is midnight to midnight off a SB chart on the basis this is a 24 hour market and do you then just look at the range from 8-10 the next day?

Thanks Guys:confused:
 
Yes, I was quite surprised at the end of the week. You couldnt say it was a good week. Loss days Tuesday, Thursday, Friday (although managed to close most at BE + EUR/JPY returned a good profit Friday meaning my net loss wasnt too bad in the end).

Only been running it on a demo this week but will put it live next week. I am fairly confident that it is profitable. You have a fair few weeks good stats and this week was a poor week yet still profitable for me (Yes i am aware that it could be a much worse week). I think because of the large number of points at stake playing a lot of pairs, a conservative mm strategy would be a sensible idea.

But yep, I look forward to Mondays.

[Edit]
Think its worth mentioning i made an error on my stats above. The second GBP/USD with the +77 points should say GBP/JPY. Its also worth saying since there have been some comments about the JPY pairs that rather than being good (because of probably better liquididty) USD/JPY is not a good performer with this system. EUR/JPY and GBP/JPY however are good (even historically and often make more than the bb range). I dont know how liquididty would work spreadbetting larger stakes with these pairs (would love to be in a position to find out though).
[Edit]
 
Last edited:
Baldeaglebloke said:
Interesting results on the currencies and thanks for all your help. One thing I can't seem to find is the ATR's for the currency pairs - where do you take these from?

Is is midnight to midnight off a SB chart on the basis this is a 24 hour market and do you then just look at the range from 8-10 the next day?

Thanks Guys:confused:
Click to expand...


Hi.
I'm taking ATR as being the 14day average of the daily High-Low ranges, taken from my Sharescope Gold EOD data, this is downloaded at 1800hrs
 
I have the same questions as Baldeaglebloke.

tomorton and Mata Nui,

Do you know if there is anywhere to get the daily High-Low ranges without a subscription to somewhere (like Sharescope)?

Also what time do you then trade, e.g. FTSE Big Ben is looking at 8am-10am range (and placing orders at 10am). What times are used for the forex pairs?

Thanks.
 
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