Is this one Spot on?

JonnyT

Senior member
2,560 22
Hi guys and dolls,

Another system for you to ponder.

This one has been tested using Spot data from 18th Sept 2003 using hourly bars for the EUR/USD Spot Market. Its rather simple:

1) Trade in the direction of the first breakout of the hours 02:00 to 04:00 US time (i.e. the first breakout from 07:00 to 10:00 UK time)

2) Close the trade at 16:00 (21:00 UK time). There are no stops.

Since 18th September (the start of my spot data) this has returned about 26 pips per day and has a remarkable percentage win rate.

66 winning trades, 29 losing trades, only two occurances of two losing trades in a row!!!

It seems too good to be true.

I haven't 100% confirmed these results as this was a quick and simple test of principle. It looks like these results need to be verified :)

JonnyT
 
Last edited:

JonnyT

Senior member
2,560 22
Er I don't think so.

I've done no optimisation whatsover. I've not looked for better approaches, not carried out mathematical analysis or anything.

It's apparent from viewing charts that by 10:00am UK the trend for the day normally sets in. This system just trys to catch the trend move.

If I tried to make the system fit then there are lots of things I could do like stops, profit targets etc.

This system is pure price action and follows the KISS principle so I think its safe from the 'data fitting' argument

JonnyT
 

adrianallen99

Established member
630 4
A friend of mine use to base his system on lunch time and the fact that trends either re-establish themselves after lunch or reverse. He looked for breakouts based on this. It actually worked pretty well for a while. He had stops and he use to take the price about 15-30mins from closing.
 

al-motor

Active member
249 0
JT-

I have heard of people trading the 1 hr bar breakout finnishing at 9am UK............. they had a 60 point target with a 60 stop........

U mention 02.00 to 04.00 am ESt time which means the 7.00am - 9.00 am UK time breakout.............


Also, are there any stops ?? or are we just supposed to close the trade at 9 pm UK, regardless of what happens during the day !??


At least thanks for your efforts.................


cheers
Al
 

al-motor

Active member
249 0
JT- p.s. forgot to ask which chart u are using for data, since the data for the spot mkt varies slightly between diff brokers.

take care
Al
 

JonnyT

Senior member
2,560 22
To clear up the confusion:

It is the break out of the 3 hour bars from 07:00 UK time. (07:00 to 08:00, 08:00 to 09:00, 09:00 to 10:00)

i.e. the trading range between 07:00 and 10:00 UK time.

The data I have used is from Mytrack and covers the IMM (the biggest) Spot market. It sometimes has a few erronous bars but they are unlikely to have affected this result by any real degree.

JonnyT
 

DaxTrader

Active member
229 2
Jonny

Volatility breakout systems by definition work well to very well in volatile markets like FX at the moment.
The key thing seems to be to a have a "filter" on your system that stops you handing it back when volatility contracts as it will do inevitably.

Heard of 2 people who have done very well for a period out of it, only to hand it back when volatility contracted and they kept trading, one in BTPs (Italian Bonds that used to be on LIFFE) and more recently the DAX - guy made £60k in about two or three months only to hand it all back.
 

TheBramble

Legendary member
8,394 1,170
Good point DT and I guess it's possible to build in some form of volatility aspect into this system?

The really interesting thing I note from JT's original post is that he's worked this from mid-September last year - over 4 months.

I assumed volatility in the FX markets was a minute-by-minute kind of beastie.

So does this mean that volatility can trend?
 

JonnyT

Senior member
2,560 22
Volatility hasn't particulary changed since the inception of the Euro.

ATR for example has varied between 0.0085 and 0.0135 but obviously will be higher when the market has moved 25% for volatility to be the same.

I do not think Forex can be considered the same as Index Futures, they are worlds apart.

JonnyT
 
 
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