- Search Forex Factory
- 36 Results
- jrodatus replied Dec 8, 2011
Wow, good work Alien! Hopefully what I'm about to say isn't bad news... you do need history files for the actual tick data, not just timeframes. Remember, the strategy relies on split-second price action momentum. Probably set the GMToffset option ...
- jrodatus replied Dec 8, 2011
It's pretty safe to assume that Josh sticks to the method defined by its original creator- as close as possible. The basis for my 2-pip trailing stop is the example Tony gave in the official rules on the first page. Also, somewhere in the thread ...
- jrodatus replied Dec 7, 2011
I stand corrected, sir! Since 2011 isn't completely available (still need rest of December), I was only utilizing data thru 2010. And my data is 4 digits+5 all the way up through November 2010. Can you confirm this with me? Doh! And I find this out ...
- jrodatus replied Dec 7, 2011
Cool, that makes sense! So basically you would look at the statistical report, and ignore the account balance graph. Got it. Just make sure you set your initial balance to a few billion or something to avoid margin call before the test finishes. ...
- jrodatus replied Dec 7, 2011
AlienFrog — Hey Alien, do you still have the original .bin files from Dukascopy? That php Birt mentioned actually converts bin->ninja, not csv->ninja. If you got your csv using DukasCopier, then it might've deleted the original bins after ...
- jrodatus replied Dec 7, 2011
Never mind, my programming was wrong! EDIT: Now I can confirm your values. However, Van Tharp evidently said that sample sizes > 100 inflate the SQN so that it does not match the scale (as it would for # of trades < 100). Some say he recommended ...
- jrodatus replied Dec 7, 2011
Hey, how did you get those SQN values? I thought Van Tharp's formula uses the standard deviation of the profits/losses of all the trades? Were you able to figure out the std.dev. from my report? Maybe I'm missing something. I got very different SQN ...
- jrodatus replied Dec 6, 2011
Thanks, good reading there... I'm programming the SQN calculation into the tester. ~J
- jrodatus replied Dec 6, 2011
Mr. Screenname — Well I'll be! You see I actually obtained mine second-hand (did not realize that violates Duka's terms of use), because my computer would always crash trying to download more than a few days worth from their main history page. ...
- jrodatus replied Dec 6, 2011
Yes and no... as you say, the B/E trades are categorized as losses. But I think rtrs's concern was not how many losses there were, but rather how few times the 20 TP was hit. As the test stands, a 20 TP is hit about once per week (on average). Rtrs ...
- jrodatus replied Dec 6, 2011
Fedmayne — Fedmayne, my tester is working with only 4-digit tick data. That's like driving hairpin streets downtown in a semi: you're going to hit a lot of unnecessary losses along the way. That considered, the 20 pip TP year-to-year had a ...
- jrodatus replied Dec 6, 2011
Results for 2008: takeProfit=20, stopLoss=3 ---------------------------- totalTrades = 519 grossProfit = 1100.0, grossLoss = 723.0, netProfit = 377.0 expectedPayoff = 0.726 drawdown: {-0.00 | 2.14 | 3.00} (519) shorts: won 26 out of 259. (10%) ...
- jrodatus replied Dec 6, 2011
Results for 2010: takeProfit=20, stopLoss=3 ---------------------------- totalTrades = 520 grossProfit = 1020.0, grossLoss = 742.0, netProfit = 278.0 expectedPayoff = 0.535 drawdown: {0.00 | 2.07 | 3.00} (520) shorts: won 26 out of 245. (11%) longs: ...
- jrodatus replied Dec 6, 2011
Unfortunately it didn't do so well for 2009. But first remember I set the SL to 3 (instead of 2) to compensate for Duka's digit chopping. And second realize that that doesn't correct the effect of the chopping on the trailing stop: undoubtedly some ...
- jrodatus replied Dec 6, 2011
Brilliant. Good news here To compensate for the 4-digit chopping error, I set the movement threshold to 2 pips (instead of 1). Then I thought, why not set the trailing SL to 3 pips instead of 2 ? Couldn't hurt to try! Here were the tester results ...
- jrodatus replied Dec 6, 2011
I'm very confident my programming is not the problem. The entire project was carefully architected in UML and unit tested before deployment. But there is a 3rd possibility that came to my attention while watching the tick feed of the simulator. ...
- jrodatus replied Dec 6, 2011
AlienFrog — No, it can't work in the MT4 strategy tester. One of the essentials of Tony's method is to refund weekly losses. AFAIK, this cannot be simulated in strategy tester. To paraphrase Tony in post #5430, refunding losses is crucial to ...
- jrodatus replied Dec 4, 2011
Woof — Fixed a fatal typo in the EA! There was an OP_SELL that should've been an OP_BUY. It's a miracle I noticed this. Nearly finished coding a strategy tester in C++ that will use all Dukascopy tick data since 2007. Will post results...
- jrodatus replied Dec 1, 2011
Weird... your epic hit -2 SL on my ECN demo. Guess you're staying with Oanda now for sure. But the fact that a crucial win can so easily be wiped out by a small discrepancy in broker price quotes... makes me uneasy. Planning on "Doing the ...
- jrodatus replied Dec 1, 2011
Jajano — Hi jajano- I can only answer you what I understand from reading the thread. Once NY/London opens, we wait for price to move 1 pip in any direction from the open price, then immediately trade in that direction. Price may take more than ...