Big Ben Strategy - optimised

jeffre5

Junior member
32 4
Could just answer what range of candle would you consider to wide
Ball park figure would be fine
Jeff
 

jeffre5

Junior member
32 4
The trade you took on Wednesday 8th April was approx 50 point candle which you took on
By my calculation you got about even is that correct.
Would that have been one you should probably have avoided
Cheers
 

tomorton

Legendary member
8,051 1,180
The trade you took on Wednesday 8th April was approx 50 point candle which you took on
By my calculation you got about even is that correct.
Would that have been one you should probably have avoided
Cheers

No, the 0700 bar on the 8th was a bit long but not excessive compared with the previous day's London bars - it just looks big compared to the overnight bars immediately before it.

My long on the 8th made about +0.5r. This wouldn't have been a bad result but I had got an immediate short at 0740 when price just barely breached the 0700 bar low: this short of course was stopped out for -1r, so net result for the day was -0.5r. Hey ho.
 

tomorton

Legendary member
8,051 1,180
Good, solid, returns there, tomorton!

Are certain days more profitable than others?
Also, given its a session breakout, have you applied your concept to the US markets?

Maybe I will find certain days of the week are better (or unsuitable) for this strategy, but it looks on the face of it unlikely to make a big enough impact though I follow your logic. My pessimism is based on -
1. its very difficult to identify the days of the week from either price moves, close to close, or daily ranges, high to low: a strongly directional price move with a big extent is of course good for this strategy but if this happens much much more on say a Tuesday, so far it isn't obvious.
2. the same lack of differentiation between days of the week is also seen on the ATR indicator chart.

But, I am logging the data so it will be easy to summarise this here in a little while.

Looking forwards to the open tomorrow!
 

SteamRoller

Member
70 15
I've been running this strategy for April so far, and thanks to Tom for starting the thread. I've experimented in the past with various breakout strategies, including a weekly version which tried to capture the week's move from the price either at 10pm Sunday night or 7am Monday morning. I found it hard to get that reliably past break even, and think the daily breakout is the way forward.

One point Tom made which I think is critical here is the trade-off between having a straddle (i.e. distance between buy and sell orders) which is too small, so that it gets whipped out for -2R losses continually, and a larger points distance which whilst (theoretically at least) should get whipsawed less often, consumes too many negative pips which limits profitability and reduces trade size.

The only difference in my own trading from what's happening here is I'm using the 0600 H1 bar (i.e. at 7am) as my trigger bar. I was using stops of ~30 pips, but found this limited profitability since the loss on a -2R day was 60 pips, and the trade size was less than it could have been (given the 30 pip stoploss). I'm going to aim for a stoploss in the region of ~20 pips which from my back testing, although it will result in a greater number of -2R days, overall profitability looks better.

Cheers, David.
 
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tomorton

Legendary member
8,051 1,180
.......Are certain days more profitable than others?...........

Hmmm, thinking this through, identifying best/worst days of the week for this strategy is not going to be quite so straightforward.

The further price travels by 2pm, the more return is available on a winning trade. So a wide range day is a good start. Conversely, the narrower the daily range, the less possibility there is for an extraordinary return.

Have looked over the last 11 months for inside days - the largest group prints on a Monday, but that doesn't mean Mondays should be written off or the other days are completely safe -
Mon = 12
Tue = 7
Wed = 9
Thur = 4
Fri = 10

In addition, is every fully comparable to every other Monday? Some of those would have been public holidays in the UK and/or the US and/or the Eurozone. Some would have been the first full trading session after NFPR's. Some would have been in the same weeks as interest rate decisions. Some would have been the first session back after a 3 or 4 day weekend.

Going to need a lot more data to make a decision on this basis and it isn't going to be quick or easy.
 

tomorton

Legendary member
8,051 1,180
This table appears here and there on the web and it also suggests Mondays would be the narrowest range days on average for GBP/USD and everything else too -

Currency PairSundayMondayTuesdayWednesdayThursdayFriday
EURUSD69109142136145144
GBPUSD73149172152169179
USDJPY4165829112498
AUDUSD588411499115111
NZDUSD2881988710096
USDCAD4392112106120125
EURJPY19133178159223192
GBPJPY100169213179270232
EURGBP357481797591
EURCHF355555648776

Maybe it might be wise to take Mondays off.......
 

tomorton

Legendary member
8,051 1,180
OK, so what about Outside Days? These have good potential for extraordinary price movements during the day, increasing profit potential.

I looked back again over the last 11 months on GBP/USD to see on which days Outside Day bars printed -
Mon = 1
Tue = 7
Wed = 1
Thur = 8
Fri = 5

Again, Monday shows up as the poorest prospect on this measure, and again Tuesday and Thursday are pretty good.

There doesn't seem to be much to be gained by excluding Fridays from these Big Ben trades (a bit surprising as many experienced daytraders swear off Fridays).
 

jeffre5

Junior member
32 4
Re today
Did you put a stop on at b/e when in profit or was it a minus 2 RR trade
 

tomorton

Legendary member
8,051 1,180
No today was -2r. As I'm noticing, Mondays are rarely wide-range days: perhaps price today was always going to go nowhere.

With the probable exception I'll make to trading Mondays, the backtesting and trading I've done has not focused on trailing or moving stops, so I don;t know if it wold work well long-term: what I do know is when I have tried adjusting stops, I definitely get stopped!
 

SteamRoller

Member
70 15
Yes a -2R day, and a run of 3 loss making days.
My thinking on discounting Mondays: If everything was equal, and there was no difference, by taking out Mondays you'd have only 80% of the trading days and (obviously) 80% of the profitability (or rate of growth) compared to trading 5 days/week. The question for me therefore, is would you exclude Mondays if they in themselves were loss making, or would you exclude then if they were profitable but just not as profitable as Tuesday - Friday?
To me, you'd obviously exclude Mondays if they were shown to be loss making from back testing, but I'd be inclined to keep them in if they were just the poorer day of the week, albeit they made at least some contribution.
I'm not sure there's enough data in 11 months of back testing to know for sure?
Interesting though, thanks for looking at it!
 

tomorton

Legendary member
8,051 1,180
I do think this needs a heck more data than I've got so far to be categoric - probably running into multiple years preferably. To be honest I'm not going to wait that long - Mondays have lowest pip ranges across this pair and so many others, plus most inside range days plus fewest outside range days, I'm just going to take Mondays off.

Whether they're winners or losers long-term, Mondays are very rarely going to produce a multi-r win, and that's a key to this strategy - there is a limit to what you can lose but there is no limit to what you can gain, per session - so refraining from trades when there is no major win likely isn't much of a gamble.

Anyway, tomorrow's another day. Literally.
 
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