This is 10am GMT were talking, thinking about it though London processes much more currency volume than anywhere else, whereas NY has the largest share volume (I assume). Therefore it might be interesting to try the London open for Fx and Ny open for stock indices assuming this method is based on a suden influx of volume?
C
cristiano
Hi Ted, Tom,
I was recording the data for the equivalent period of the Wall St market (I use IG and this is derived from the Dow). Unfortunately work kind of took over for the last couple of months of 2010 but it looked like the results were pretty similar to those from the FTSE.
There definitely seemed to be correlation between the two markets and the principle should (in theory) be equally valid.
I'll make more time to record this data and see what it tells us.
I was recording the data for the equivalent period of the Wall St market (I use IG and this is derived from the Dow). Unfortunately work kind of took over for the last couple of months of 2010 but it looked like the results were pretty similar to those from the FTSE.
There definitely seemed to be correlation between the two markets and the principle should (in theory) be equally valid.
I'll make more time to record this data and see what it tells us.
In short just after 9 with a 28pt target, though market has pulled back 20pts from its lowest so far. Still, knowing that the odds of price going all the way to the stop are 4:1 against, I am staying with it.
Unfortunately though, there has been a recent recurring pattern in which the US markets make a strong close (possibly due to POMO intervention) to maintain the uptrend making shorts temporarily more risky.
Unfortunately though, there has been a recent recurring pattern in which the US markets make a strong close (possibly due to POMO intervention) to maintain the uptrend making shorts temporarily more risky.
bangkoker
Well-known member
- Messages
- 314
- Likes
- 17
:clap: Well done Tom'
unfortunately having only got back into it this week I got cold feet.
I got in at same time and had same target. When in the a.m I was up 20 pts (well strictly down 20 pts as short) I decided I'd move stop to breakeven as seemed to lose steam. I was also of the view that as it is kind of a breakout that when it fizzled around lunchtime we were kind of done with it and I got back out for scratch.
Clearly this was a mistake. Thought I'd just paste up my day as an alternative view. Need to get myself back into a sense of trusting the system as Tomorton's approach showed, was worth the risk and certainly went on to get a good target.
Good luck all, onwards and upwards :clover: and not a loser for me anyway
unfortunately having only got back into it this week I got cold feet.I got in at same time and had same target. When in the a.m I was up 20 pts (well strictly down 20 pts as short) I decided I'd move stop to breakeven as seemed to lose steam. I was also of the view that as it is kind of a breakout that when it fizzled around lunchtime we were kind of done with it and I got back out for scratch.
Clearly this was a mistake. Thought I'd just paste up my day as an alternative view. Need to get myself back into a sense of trusting the system as Tomorton's approach showed, was worth the risk and certainly went on to get a good target.
Good luck all, onwards and upwards :clover: and not a loser for me anyway
Can't really predict a move as big as that (if you can predict anything) so the right choice for BB to keep out.
I am aiming for smaller targets (15 or so), and had a good feeling about today so I went for it and achieved target (unlike Tuesday when I luckily kept out).
I am aiming for smaller targets (15 or so), and had a good feeling about today so I went for it and achieved target (unlike Tuesday when I luckily kept out).
Hmmm... Not much data yet on triple witching Fridays, only tracked charts across 5 months of 2010.
Discounting 24/12 (half-day session) that gave 17 Fridays, of which 4 hit target, 5 stopped out, 3 expired positive, 5 expired negative. Interesting there's a distinct poor performance on Fridays. In percentage terms this makes 24/29/18/29(%). Of the 5 triple witching Fridays, 1 hit target, 2 stopped out, 0 expired positive, 2 expired negative: very poor. Maybe best to sit out tomorrow?
Observations -
1. Why does triple witching make BB fail? The market seems to consistently fail to follow through an early morning breakout.
2. I must look back to check the days of the week to avoid BB.
Discounting 24/12 (half-day session) that gave 17 Fridays, of which 4 hit target, 5 stopped out, 3 expired positive, 5 expired negative. Interesting there's a distinct poor performance on Fridays. In percentage terms this makes 24/29/18/29(%). Of the 5 triple witching Fridays, 1 hit target, 2 stopped out, 0 expired positive, 2 expired negative: very poor. Maybe best to sit out tomorrow?
Observations -
1. Why does triple witching make BB fail? The market seems to consistently fail to follow through an early morning breakout.
2. I must look back to check the days of the week to avoid BB.
Days of the week analysis - Aug-Dec 2010 (using BB 0800-100hrs range). Discounting triple witching Fridays and any day when no trade signal given (BB range exceeds 80% of ATR14) -
Monday - 8/1/4/4 (47/6/24/24%)
Tuesday - 6/3/4/2 (40/20/27/13%)
Wednesday - 7/3/4/1 (47/20/27/7%)
Thursday - 5/4/5/0 (36/29/36/0%)
Friday - 3/3/3/3 (25/25/25/25%)
Friday looks like a non-starter. The other days have varying percentages but their overall win:loss rate is pretty constant at just over 2:1.
More than interesting. Thanks for the question jimmc.
Monday - 8/1/4/4 (47/6/24/24%)
Tuesday - 6/3/4/2 (40/20/27/13%)
Wednesday - 7/3/4/1 (47/20/27/7%)
Thursday - 5/4/5/0 (36/29/36/0%)
Friday - 3/3/3/3 (25/25/25/25%)
Friday looks like a non-starter. The other days have varying percentages but their overall win:loss rate is pretty constant at just over 2:1.
More than interesting. Thanks for the question jimmc.
True that's a small sample, but I was measuring another system last year that relied on a good trend for the day, and I noticed Fridays tended to whip around more in general, but particularly on options and futures triple expiry.
It will obviously vary for any system and market conditions - my old one showed Thursday as the best day, and Friday might as well stay in bed ( if I didn't have to go to work!)
Anyway, I'm not trading this today - see how it goes.
It will obviously vary for any system and market conditions - my old one showed Thursday as the best day, and Friday might as well stay in bed ( if I didn't have to go to work!)
Anyway, I'm not trading this today - see how it goes.
You're right Ted, it's a small sample size. Triple witching isn't that common over half a year - I think I said triple witching when I meant options ex but you will have seen that.
I'm not trading any Fridays though until I have about twice as much data.
There might be a tweak anyway for Fridays and possibly also when ATR is excessive - e.g. smaller position size, target only a percentage of the BB range etc.
I'm not trading any Fridays though until I have about twice as much data.
There might be a tweak anyway for Fridays and possibly also when ATR is excessive - e.g. smaller position size, target only a percentage of the BB range etc.
Windowsill
Well-known member
- Messages
- 305
- Likes
- 39
ATR is quite a good measure to avoid putting stops in a too tight a position. However looking at a previous range and just looking at a good entry and exit is probably better. The entry can be a function of where the stop needs to be rather than the other way round. so say if you estimate a range of 70 points then you could say enter on 20 points into the range and have a target of say 40. If the entry looks like it could be hit through noise and atr looks much higher than than normal then this gives a tool for avoiding poor entry. If the entry looks ok then you have to look at a target area and consider if its a worthwhile bet. If there is a strong trend then this is pointless as you cannot establish a target. Another method of entry would be needed with tighter stops.
Weekly charts summary - quite positive using the 0900-1000 time period -
2 trades hit target, though one was Friday, now marked as a no-trade day pending further data
1 expired positive
1 no-trade due to high BB range compared to ATR
1 no-trade due to BB boundaries not being breached by price before close.
No losses.
Trades using BB 0900-1000 over first 3 weeks of 2011 show
3 trades hit target
1 stopped out
3 expired +ve
1 expired -ve
7 no trades
Looking very positive so far.
2 trades hit target, though one was Friday, now marked as a no-trade day pending further data
1 expired positive
1 no-trade due to high BB range compared to ATR
1 no-trade due to BB boundaries not being breached by price before close.
No losses.
Trades using BB 0900-1000 over first 3 weeks of 2011 show
3 trades hit target
1 stopped out
3 expired +ve
1 expired -ve
7 no trades
Looking very positive so far.
Incidentally, I think I suggested I would put up points tallies per each week when summarising. I've decided against this as BB pattern and performance suggest the points gained or lost will average out (backed up by some points counting I did last year) and the differences are not significant over the long run, just the dominance of wins. Personally, therefore, I am staking the same amount in £ on each BB trade and don't bother to track points.
It would be interesting to know if other people slide their exposure around to take account of particular features of the day's BB pattern or the prevailing market conditions etc.
It would be interesting to know if other people slide their exposure around to take account of particular features of the day's BB pattern or the prevailing market conditions etc.
