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.
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
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.