brewski1984
Senior member
- Messages
- 2,067
- Likes
- 355
I never traded today either, was having wisdom teeth out at hospital but looks like another win? 2 for 2 so far this week?
brewski1984
Senior member
- Messages
- 2,067
- Likes
- 355
Win today?
Yep, nice win today. I make that 4 targets hit, 1 stopped out this week, which is absolutely fine, though a little galling that such a good week comes while I have my position size cut by two thirds, while awaiting more 'normal' market conditions. Maybe that's the just desserts for trying to second-guess the market while trading a mechanical system.
Over the last 4 weeks I make the record 10 targets hit, 1 expired positive, 7 stopped out, 2 expired negative. Not great but still positive.
Over the last 4 weeks I make the record 10 targets hit, 1 expired positive, 7 stopped out, 2 expired negative. Not great but still positive.
Longer -term review, counting targets hit and stops hit only.
We are 29 weeks in, and showing 52 wins, 25 losses. Win rate 67.5%. Excess wins 52-25=27, virtually 1per week. Winning weeks = 41/52 (79%), losing weeks = 5/29, breaking even weeks = 6/29.
We are 29 weeks in, and showing 52 wins, 25 losses. Win rate 67.5%. Excess wins 52-25=27, virtually 1per week. Winning weeks = 41/52 (79%), losing weeks = 5/29, breaking even weeks = 6/29.
I fund that a really successful US trader Mark Fisher has written a book account of how he uses a very similar system to BB, which he calls ACD. I will have to read a bit more about this and will post possible BB enhancements here for discussion. He seems to have been an inspiration also for trader Steve Cohen who is said to have made $100m from opening range breakout systems like BB.
Hi, just stumbled on this thread.
I use a version of this, but taling the 1st 30 mins of market rading as the range.
This system is from Jake Bernstein's book "The Compleat Day Trader".
I actually think that 30 mins may be too long a period, and 15 or less may yield better results.
Anyway, I will keep an eye on the thread.
"We are 29 weeks in, and showing 52 wins, 25 losses. Win rate 67.5%. Excess wins 52-25=27, virtually 1per week. Winning weeks = 41/52 (79%), losing weeks = 5/29, breaking even weeks = 6/29. "
I don't understand these results .
What is the ratio of profits to losses in points ?
Win rate means almost nothing IMHO.
Mo
I use a version of this, but taling the 1st 30 mins of market rading as the range.
This system is from Jake Bernstein's book "The Compleat Day Trader".
I actually think that 30 mins may be too long a period, and 15 or less may yield better results.
Anyway, I will keep an eye on the thread.
"We are 29 weeks in, and showing 52 wins, 25 losses. Win rate 67.5%. Excess wins 52-25=27, virtually 1per week. Winning weeks = 41/52 (79%), losing weeks = 5/29, breaking even weeks = 6/29. "
I don't understand these results .
What is the ratio of profits to losses in points ?
Win rate means almost nothing IMHO.
Mo
Welcome Morris - I have never counted these trades in terms of FTSE100 points or pips as I standardise them to a set risk (in £). During the trades I put in in 2010, the points at risk was equal to the Big Ben range High minus the BB range Low, so it used to vary from day to day. However, I always adjusted the £ per point stake so that, whether my BB range was 40pts or 14pts, the risk in £ per trade awas always the same, and the potential gain was always the same.
Currently, I don't use the BB range to give the target or stop distance from entry, but set target at 13pts and stop at 11, regardless of the BB range. So a points score becomes superfluous for trades that hit stop or target, it's always the same.
Currently, I don't use the BB range to give the target or stop distance from entry, but set target at 13pts and stop at 11, regardless of the BB range. So a points score becomes superfluous for trades that hit stop or target, it's always the same.
Hi Tomorton, thanks for the reply.
I still don't really understand how you can measure the performance of the system without a fugure for points gained vs points lost.
As I said, % win means nothing if a few trades are responsible for a big chunk of the losses.
One question - have you arrived at the 2 hour interval after testing other intervals ? curious as to why it should be the optimum, if it is.
I still don't really understand how you can measure the performance of the system without a fugure for points gained vs points lost.
As I said, % win means nothing if a few trades are responsible for a big chunk of the losses.
One question - have you arrived at the 2 hour interval after testing other intervals ? curious as to why it should be the optimum, if it is.
Last edited:
Hi Morris - We can talk points if you like, but for most BB trade types (and there are variations), the trader uses a fixed points target. BB current rules, v4, set entry at BB High + 2pts, target at BB High + 13pts, with stop at BB Low -11pts. The points gain or loss never changes from trade to trade. They are about 1:1 to each other so number of winners is an equally good way to assess the perfomance of the system as points.
The two-hour period was in the v1 BB rules for the FTSE, I started using 0800-1000hrs as the opening range. By experience doing that I have cut this to 1hr, 0800-0900hrs. I found that the hour from 9 to 10 did not make much difference in terms of allowing the market to set a meaningful range. On the other hand, the longer the period you allow the market to define its early range, the less time you have for price to hit your target before the close or you scratch the orders to avoid holding overnight.
That said, a lot of people using opening range breakout trading systems (BB is one of these) use less than an hour. I think it depends on the volatility of your selected market, the 'work' the market will have to do to hit your target, and your lifestyle - I can be available every day at 9 to set orders: I can't so easily do this at 10. You say optimum and I think that is the right word, it's always something of a compromise and there is no magic number.
The two-hour period was in the v1 BB rules for the FTSE, I started using 0800-1000hrs as the opening range. By experience doing that I have cut this to 1hr, 0800-0900hrs. I found that the hour from 9 to 10 did not make much difference in terms of allowing the market to set a meaningful range. On the other hand, the longer the period you allow the market to define its early range, the less time you have for price to hit your target before the close or you scratch the orders to avoid holding overnight.
That said, a lot of people using opening range breakout trading systems (BB is one of these) use less than an hour. I think it depends on the volatility of your selected market, the 'work' the market will have to do to hit your target, and your lifestyle - I can be available every day at 9 to set orders: I can't so easily do this at 10. You say optimum and I think that is the right word, it's always something of a compromise and there is no magic number.
Hi wakelingp - I put orders in immediately after 9am, so the FTSE100 has been trading for 1 hour. this takes about 5 minutes (get the chart up, identify the high and low, calculate the entry, target and stop for each, enter these numbers, adjust the size of the position). There's just one BB trade per day and sometimes I don't check what happened until 5 or 6pm. The long and short orders are OCO, so I know that if one opens, the other is cancelled, and my limit order and stop loss order will protect my account or take the profit, whichever is hit first. The method does not involve any TA and for BB trading I never do any TA on the FTSE chart or read / watch any financial news.
Sometimes the chart suggests a trailing stop would have been very profitable as sometimes price will travel way beyond the target. But they are not a one-way street to riches. I certainly don't have time to screen-watch.
Sometimes the chart suggests a trailing stop would have been very profitable as sometimes price will travel way beyond the target. But they are not a one-way street to riches. I certainly don't have time to screen-watch.
brewski1984
Senior member
- Messages
- 2,067
- Likes
- 355
a win today? I am still following this system, I have been trying to think of other ways to optimise it and I did think about changing the time of the opening range. I might have some time tomorrow evening to test it a little.
Mark B Fisher has used some interesting ideas to optimise BB-type trade.
For example he requires his entry level to be traded beyond, not just breached: he suggests that if price cannot stay beyond the entry level for a period equivalent to 50% of the range period, it's not an entry signal.
He also suggests it is legitimate to take a trade if price crosses one range boundary and makes an entry signal as above, but then also take the opposite direction trade later in the day if price retraces back across the range and makes an entry signal beyond the opposite range boundary.
His preferred opening ranges can be as little as 10 minutes, though he's not an index trader.
For example he requires his entry level to be traded beyond, not just breached: he suggests that if price cannot stay beyond the entry level for a period equivalent to 50% of the range period, it's not an entry signal.
He also suggests it is legitimate to take a trade if price crosses one range boundary and makes an entry signal as above, but then also take the opposite direction trade later in the day if price retraces back across the range and makes an entry signal beyond the opposite range boundary.
His preferred opening ranges can be as little as 10 minutes, though he's not an index trader.
Hi Tomorton, one observation - if this is a mechanical system, them I would suggest that all trades are taken, regardless of events.
FTSE ftrs are back in the middle zone as I type.
Just my thoughts.
You're right Morris, and I shall count today's results in the end of week review - it's a review of the system, not my success/failure.
Strictly speaking, the v4 rules have no provision for not entering the BB orders at 9am - so disregarding geo-political events, market newsflow, prevailing price trends etc..
Strictly speaking, the v4 rules have no provision for not entering the BB orders at 9am - so disregarding geo-political events, market newsflow, prevailing price trends etc..
