Hi to everyone on the Claudia thread - my first post.
I have been trading options, cfds and futures for quite a while, but have been drawn to forex over the past half year or so. I have learned a great deal from these forums and hope I can contribute something. This is a great thread - friendly and productive people and a profitable system as well.
I was actually looking at the Big Dog breakout at FF and coded a simple EA to test. Before I get flamed for my first post I do understand the serious limitations on backtesting. I simply wanted to get some feel for how it (and other breakouts) should have performed over time, their consistency, likely drawdown patterns and what the optimised parameters might look like. I got diverted away from that thread to this one as I really like the simplicity of this system. I have modified my EA so it can replicate Claudia's system and I have sanity checked the results over the past month or so where figures have been given in the forum. I get reasonable agreement, but still a few more losers that Claudia.
So just to check that I have Claudia's rules straight.
The range is from the highest of the opens and closes, to the lowest of the opens and closes on the hourly bars from (opening at) 1am-6am (all times GMT).
At 7am or after enter on any break of the range.
Only 1 trade per day in the direction of the first break.
20 pip SL and TP.
Cancel any orders not filled at 9:30am.
One issue which is not clear to me is how to treat Daylight Saving Time. I have coded the EA with the DST adjustments for London (and New York for those trading that break) for 2007-2009, (only used for backtesting obviously). It would seem that logically we would want to make the adjustment so that we are entering trades at the same time (in local time) each day. I have run 2 trials from start of 2009 to now. One uses DST adjustment and the other does not. Surprisingly, the one which does not - i.e. looks for trades starting at 7am GMT is the better performer.
So to the results.
As I said - I got a reasonable alignment between my results and Claudia's, (over the small range I checked) but mine are not quite as good. I guess the devil is in the detail and I probably need to investigate the minor discrepancies to see where the failings lie. One point is that MT4 uses the Bid data to establish range, whereas Claudia used mid Point. I can probably correct for this, but would have thought that the results would even out over time.
Now the first system made a profit of $700 for this period and the second actually lost $200.The EA does not have any advanced money management built in. Each trade is fixed. Currently I have it at 0.1 lot per trade, so the result in $ should equate to the overall number of pips. The reports are attached.
Where to from here.
I did some earlier trials and got much better results playing around with the SL and TP levels - a few over 3000 pips for the year, even with the limitations in my program. Everyone is welcome to test over a range of variables - the EA is quick and can test hundreds of combinations in a hour. The attached instruction document shows how to setup all the variables. There is a lot of scope to test different pairs, timeframes, number of bars, method of calculating range, etc. Remember though we are trying to find generally robust patterns with consistent results, not just a specific cherry-picked combination which aligns perfectly with our backtest period. I personally think this system is a winner. The results of most test combinations are definitely skewed to the positive.
What I would like to do now is to understand the differences between my results and those actually achieved. Then maybe look at the TP and SL levels - is there a better combination than 20/20. The EA has a built in option to move the stop to break-even at a trigger point, and this seems like it may be worthwhile for this system, to protect against small gains turning into losses, but it needs to be tested. It also has the option of a trailing stop, but I have not really seen performance improved by a TS for these short term trades. Anyway lets see if any of this leads us anywhere productive? I will be very interested to see your results.
Sorry my first post was so long - I wanted to keep all of this together and will be briefer in the future.
