Forex - Spot v's Futures

ChowClown

Senior member
2,732 56
Many thanks for your time and input rog1111, I'll stick with the 1-8am for now :)

rog1111 said:
ChowClown

Hey that's a good average, well done !

The problem with trying to backtest using close stops like 10 pips is that my 12 month spot data is hourly. Since a lot can happen in an hour, in the first hour, you can't be sure whether your stop would have been hit, and you have to make assumptions, which is why I have sometimes mentioned best/worst scenario.

I have given below some "best" scenario results using your criteria for EUR:$, from hourly data, and although they may be unrealistic, you are unlikely to have done better.

April = - 220
May = - 83
June = + 416

If I could lay my hands on some longer term 1/5/10 minute data then that would help. I have some futures data which I am still looking at, but I don't regard it as adequate for testing GBP, but maybe EUR. I find that the 2 hour restriction does help to take out quite a few losers.

rog1111
 

JonnyT

Senior member
2,560 22
ChowClown said:
Rog,

I'm trading the '1-8am (GMT) EUR/USD, 60SL, 2hr entry, 6pm (GMT) exit' (phew) BO.

Since 22nd April '04:

Max DD: 81, currently averaging 11 pips/day, using FXCM (3 pip spread).

If you have the inclination/time and it's not too much hassle, would you be able to include a backtest of the '7-10am (GMT) EUR/USD, 10SL, no entry time restriction, 11pm (GMT) exit' - for Apr/May/Jun spot.

Thanks.

Hi Chow,

My cable trader system has blown your method away since March 2003. i.e. Total points around 100% higher or 3000 pips...

Your method has had some poor quarters.

JonnyT
 

mik1973

Well-known member
290 13
Hi Chow,

I understand most of the strategy you have outlined but would appreciate clarification on the 2 hour entry. Does this mean that in order to take a trade a breakout of the 1-8 bar must occur by 10am.

Having looked at £/$ over the last week it seems news announcements (particularly around 1.30) have played havoc with B/O systems. Has anyone had any success with placing trades after these announcements have been made.

Cheers,
Mick
 

JonnyT

Senior member
2,560 22
mik1973 said:
Hi Chow,

I understand most of the strategy you have outlined but would appreciate clarification on the 2 hour entry. Does this mean that in order to take a trade a breakout of the 1-8 bar must occur by 10am.

Having looked at £/$ over the last week it seems news announcements (particularly around 1.30) have played havoc with B/O systems. Has anyone had any success with placing trades after these announcements have been made.

Cheers,
Mick
Back testing suggests that limiting trades to this 2 hour period is a bad idea.

The fact also remains that 95% of trades are taken during this period...
In fact the vast majority are taken within the first 45 minutes.

JonnyT
 

mik1973

Well-known member
290 13
Hi Jonny,

What is your approach to B/Os with reference to timescales? Do you have set times to allow the B/O to occur or would you wait for the range to break no matter what time it occured (even if it was only a few minutes befoe you would close out at the end of day)?

What times would you close your own trades?

Cheers,
Mick
 

JonnyT

Senior member
2,560 22
Hi Mick,

All is revealed in my Cable Trader manual, aswell as a back test soreadsheet

PM me if you want further details.

JonnyT
 

rog1111

Established member
674 10
...a bad idea if its gross number of pips that you are after. A good idea if you want a higher average trade, and a better pl/drawdown ratio

rog1111

JonnyT said:
Back testing suggests that limiting trades to this 2 hour period is a bad idea.

The fact also remains that 95% of trades are taken during this period...
In fact the vast majority are taken within the first 45 minutes.

JonnyT
 

ChowClown

Senior member
2,732 56
Hi mik,

Yes, if I'm not filled by 10am, no trade that day. I've found the 1am-8am EUR version copes quite well so far (because of the 60 pip stoploss) with key reports - 70+ so far today for example.

Good luck.


mik1973 said:
Hi Chow,

I understand most of the strategy you have outlined but would appreciate clarification on the 2 hour entry. Does this mean that in order to take a trade a breakout of the 1-8 bar must occur by 10am.

Having looked at £/$ over the last week it seems news announcements (particularly around 1.30) have played havoc with B/O systems. Has anyone had any success with placing trades after these announcements have been made.

Cheers,
Mick
 

ChowClown

Senior member
2,732 56
darrenf,

Haven't traded the 9pm exit so far. JT's EUROTrader appears to exit at 11pm, so there's probably some merit in later exits. 6pm suits my circumstances and in the backtest comparison rog1111 kindly posted for us all, the PLtoDD ratio was the best.

Cheers
 

darrenf

Well-known member
481 3
ChowClown said:
Hi mik,

Yes, if I'm not filled by 10am, no trade that day. I've found the 1am-8am EUR version copes quite well so far (because of the 60 pip stoploss) with key reports - 70+ so far today for example.

Good luck.


Hi Chow clown,

A quick question if I may.

Do you trade the first breakout only, or would you stop and reverse if an opposite breakout occurs?

Actually, same question to Rog111 also if I may?

Darren
 

ChowClown

Senior member
2,732 56
Hi JT,

I trade EUR/USD not cable. IMHO over time (many years rather than 1 or 2) profitability will converge across most BO systems.

From memory the original 7-10am system you kindly posted had an average of around 25-30 pips/day based on the small sample of data you backtested with. Subsequent backtesting over a few years, from another member, resulted in an average of around 8 pips/day.

It's swings and roundabouts to my mind, but I don't care, so long as the system I trade is profitable over the long term. Your ideas have provided a great deal of food for thought and I for one won't be contributing more to a PPP!

JonnyT said:
Hi Chow,

My cable trader system has blown your method away since March 2003. i.e. Total points around 100% higher or 3000 pips...

Your method has had some poor quarters.

JonnyT
 

ChowClown

Senior member
2,732 56
....first BO only. I remove the opposite order immediately.


darrenf said:
Hi Chow clown,

A quick question if I may.

Do you trade the first breakout only, or would you stop and reverse if an opposite breakout occurs?

Actually, same question to Rog111 also if I may?

Darren
 
 
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