Spot on - EUR/USD

JonnyT

Senior member
2,560 22
Carried out the same exersize for the June contract of EUR/USD. Breakout of 07:00 to 10:00 bar varying stop loss.

Here are the results:

Stop Total Draw
10 236 80
15 127 120
20 90 158
25 334 150
30 400 197
35 415 210
40 484 182
45 458 180
50 487 200
60 525 221

JonnyT
 

sidinuk

Established member
624 5
Jonny you are doing some fine work with this system and your automated 'spot on' trading program and I wish you many orders!

How far back have you tested the 7-10am breakout system?
 

JonnyT

Senior member
2,560 22
Hi sidinuk,

Around 6 months on the futures data. Others have tested around a year and got positive results on Spot Data.

JonnyT
 

TheBramble

Legendary member
8,395 1,171
The 35pip SL - to which timeframe is that being applied?

If it's applied to real-time price action - that's one thing. But if it's applied to closing hourly prices - that's quite something else.

I guess my (perhaps not so dumb) question is :-

Shouldn't the 35pip SL be applied in the same timeframe as the original entry setup (i.e. hourly)?

If we apply it in any other way we're guilty of 'switching timeframes'.

I appreciate this may open us up to greater losses than the 35 pips intended, but has this exit criteria (on the hourly close price) been looked at?
 

TWI

Senior member
2,535 254
I do not think it is wise to have a stop based on close prices. With that you are asking to get burned.
 

TWI

Senior member
2,535 254
Jonny,
I have just a couple of questions.
In you trial above I notice that for 10/15 and 20 pip stop there seem to have been 8 times stopped out for each. This must therefore be the same trades for each. If this is case then do not understand how the change in "Total" between 10 and 15 can be any more than 40pips as it is between 15 and 20.
Yesterday you mentioned that you had been e-mailed to say that you were stopped out at 35pips. Have you now instigated a stop in this method or was that relating to another system?. Sorry if i missed some posts, just read through the lot now. Originally this was a stopless strategy, have you come to conclusion that best to apply a stop?
Thanks in advance.
 

JonnyT

Senior member
2,560 22
Hi twalker,

In absolute terms using no stop was simple and effective.

The risk adjusted returns for the EUR/USD do seem to be better with a stop around 30-40 pips.

The totals can be different as this was the last 8 trades only. There have been other losers! Remember a trade can be closed out at -8 for example. i.e. its 21:00 and the stop hasn't been hit.

JonnyT
 

ColinRiche

Well-known member
284 3
JT

Have you tried moving the stop to break-even when you are, say 50 pips in profit ?

Be interesting to see the results of back-testing that.

And will your software have that facility ?
 

JonnyT

Senior member
2,560 22
Hi Colin,

Yes I have. Overall it has reduced the returns.

For the GBP/USD there has been a better risk/reward by using 40 pips then moving the stop to +10

I'm not fully convinced myself but it's down for a future release to give flexibility.

JonnyT
 

frugi

1
1,827 126
Frugi's Spot On Variant #1

I've been testing a variation of JonnyT's system for anyone who is interested.

EUR 15 min bar chart 07:00 to 21:00 GMT

Note the range between 07:00 (open) and 08:00 (close)

Buy or sell a closed bar breakout of this range (i.e not just a high or low)

Use a 30 pt stop (use a stop limit) and a 200 pt target

Close at 21:00 if neither hit

Do not add to open positions, but take as many trades as offered as long as they alternate.
i.e do not go long or short more than once in a row but reverse as often as indicated.

I have allowed for one pip slippage ($12.50) per round trip and $3 commission per side.

Consider using a limit order on entry to buy/sell at exactly the signal bar close price or better. The advantage is slippage elimination, the disadvantage you may not be filled at all. However as far as I can see if one is quick and prepared in advance with the limit waiting before a likely looking bar closes it normally is filled.

Presumably on average those signals which fail to be filled would have turned out to be losers or winners according to the average win percentage so it won't matter terribly anyway. (?)

I have used SCMagic data from 1/1/03 to 18/6/04, trading one contract

Total net profit $24,926 (roughly $16,617 per year)
Commission/slippage $11525 (ouch)
Total gross profit $36,452
Max drawdown $2519

Win percentage 36%
Win/loss ratio 2.09

Max consec losers 9, winners 5

Average loss $339.89, win $712.01

Worst case drawdown estimate: 14 consec losers * $339.89 = $4758

Here's the equity curve:
 

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sidinuk

Established member
624 5
Are there any additional filters that could help with cutting out the losing days? IE Quite often markets consolidate after a range expansion so don't try to trade breakouts on those days.
 

TWI

Senior member
2,535 254
I think that maybe taking account of big figure days could produce some benefits. Take for example today. People were selling Euro before the ZEW whch then came in close to exp. so they bought them back. Because the figure is at 10:00am it could trigger a signal on the figure and then reverse. Also when things such as non-farms are out in the afternoon, could be prudent to flatten and then look for another break to re-enter. Only a thought as I certainly use this in my own trading. I have not had time to see if this would help Spot On.
Another thing that may be interesting is to split the day up into 2 sessions and trade one break for the European session and one for the US.
Just a couple of thoughts, nothing more.
 
 
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