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Know Yourself, Know Your Setup, by Boris Schlossberg 9 replies

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Quoting havaiana
Hi Ian

[color=black][font=Verdana]When i say i'm interested in a daily system, i don't mean trading the FSP everyday. I was refering to adjusting the entry criteria based on the average daily range rather than the previous weekly range and would be looking to hold the position closer to 1 day than 1 week. So i would trade the original FSP on Monday's and the adjusted daily FSP on Tuesday's to Thursday's. Is this similar to what you tested? Also was your testing based on fixed entries similar to FS (even...
Hi,
I not only backtested entering the original FS daily, with BO range and SL based upon volatility and various levels of volatility, I also did it based upon the original FS (which had a fixed BO range and Fixed SL) for both its original values, the values that Joel changed it to in October 2008, and various other values.
Whilst I can't say I tested all possibilities with all major currency pairs, I did sufficient to decide that Monday was almost certainly the best day.

What I call my Asian range BO strat has orders entered after the Asian session has finnished. The times are as follows:
UK Summer: Mondays 06:00 GMT pairs G/J, G/U, E/J, A/U
Fridays 05:00 GMT Pairs G/J, G/U, E/J

UK Winter: same as for UK Winter but 1 hour later.

I am not going to give the details of time for the start of the range, the BO range size, the SL or the fixed TP, becauseevery 3 months I re-run my backtests and re-calibrate.

Note that I use an EA for my backtesting, and that is the only thing I use an EA for!

Please don't take my word for any of this. If you decide to trade based upon anything that I, or anybody else says, you must do your own testing and verification - either write your own EA (or read somebody else's EA to check it is doing what you think/want) or do it by a visual backtest.

There is no free lunch.

Ian
Greetings Guys!

I have read original FSP doc and did not get one thing. He wrote take the range High-Low from Mon to Fri. But after weekend we could be out of the box. So what to do - enter at current price or skip the week?
hi sasha,

Current price should pretty much never be above/below the buy/sell orders based on the Monday-Friday range. I believe Joel disregards the Sunday afternoon-0100GMT range and bases his orders off of 0100 GMT Monday - Close Friday. See attached, and please someone correct me if I'm wrong.
Attached Image (click to enlarge)
Click to Enlarge Name: weeklyrange.png Size: 30 KB
Hindsight is 20/20
Hi Cosgrove,

Thank you for your answer. If I understand you right I should ignore weekends peaks. And if the price 01:00 out of the box just skip the week.
What I know for sure that Joel recommends close on Monday morning just before you put a new order.
Another question is if we do not expect big movements on weekend how his another system OneNightStand works? It mostly depends on weekends movements
sasha, never skip a week. Just take the range as high - low. Ignore highs and lows on the weekend.
Hindsight is 20/20
Hi Cosgrove,

Thanks again for your help. I'm newbie but I would like to share another idea that I heard about:

GBP/JPY; 05:00 PM EST; Put limit orders on both sides. The distance AVG(10) last 10 days avg range from last day Pivot. Wait 24 hours. If hits - TP 25% of AVG(10) and wait 48 hours, If not - cancel. I'm just not sure about SL. Right now I'm testing without any which is not recommended.
If you know any similar system please let me know.
Quoting sasha100
Hi Cosgrove,

Thank you for your answer. If I understand you right I should ignore weekends peaks. And if the price 01:00 out of the box just skip the week.
What I know for sure that Joel recommends close on Monday morning just before you put a new order.
Another question is if we do not expect big movements on weekend how his another system OneNightStand works? It mostly depends on weekends movements
No Sasha ,
- Read Joel's documents, You take the high of the previous week subtract the low of previous week to get the range.
Then take the price at 01:00 EST add 0.3 x the prevous week range to get the Buy limit. Set stop at 01:00 price less 0.1 x the previous week range.
Smilarly for the Sell price.

When one is opened cancel the other.

Because it is always based upon the price at 01:00 EST there is no possibility for the price to be outside the box.
Hi ianf0ster,

Here is a peace from Joel's original document :

"1. 1.Before the market's open on Monday morning at 00:00 CST; you must know what the total
range of the previous week was, (high - low = range) and multiply that figure by .30 to obtain
the values which will determine our entry points for the next week----
(example: EUD/USD: last week's range (Oct. 6-10, 2008) was 527 pips (high:1.3785,
low:1.3258) Now multiply 527 x .30 = 158.1. Round up to get 159 pips. This figure is added
to/subtracted from the open for your entry orders in the next step."

Please pay attention to "Oct. 6-10, 2008". That looks like from Monday to Friday. So my question was : "What to do with Sat-Sun peaks? and What if Mon 01:00 out of last Mon-Fri box?
Quoting sasha100
Hi ianf0ster,

Here is a peace from Joel's original document :

"1. 1.Before the market's open on Monday morning at 00:00 CST; you must know what the total
range of the previous week was, (high - low = range) and multiply that figure by .30 to obtain
the values which will determine our entry points for the next week----
(example: EUD/USD: last week's range (Oct. 6-10, 2008) was 527 pips (high:1.3785,
low:1.3258) Now multiply 527 x .30 = 158.1. Round up to get 159 pips. This figure is added
to/subtracted from the open for your entry orders in...
Hi,
I am finding it difficult to understand your problem. This method is not based upon any price range box.

You ignore any peaks/troughs on Sunday for the week starting on Monday because they are apart of this weeks figures not last week's.
It is last week's high and low that you use - just set your chart to a weekly time period. If you know what this week's high and low are going to be then you do not need to use this - or any other method.

You calculate the 30% and 10% of last week's range and add and subtract from the price at 01:00 EST. It does not matter what the high and low from last week are, just the range between them. You only use this figure and the price at 01:00 EST on Monday.
ianf0ster,

I'll try to explain you. For each system that I have learnd there is good and bad time to participate. Sometimes it is better to avoid to put your orders and stay away.
I'm just trying to understand if prices ran away from Mon-Fri borders it is a good signal or bad one. Or might be neutral...
For Joel's systems you have to take every trade. If you decide to take a week off, you might miss the biggest trade of the year. That could either make or break your year. You need to pay attention to different filters you can apply to the method for position sizing purposes. For example: risk more in the direction of the weekly trend.
"If you personalize losses, you can't trade." - Bruce Kovner
Hi Turn2,

I got you. Thanks!
Quoting sasha100
and What if Mon 01:00 out of last Mon-Fri box?
Sasha, It doesn't matter. The range is still last week's range. Your orders are still based off of the current week's open price, even if it is higher/lower than last week's high/low.
Hindsight is 20/20
thanks guys I appreciate your help. I know that the one of the ways to determine trend is use Fibonacci ema's ( 5, 8 13 34 55 ). But I'm not sure what time frame to choose H1 H4 D or W?
Quoting sasha100
thanks guys I appreciate your help. I know that the one of the ways to determine trend is use Fibonacci ema's ( 5, 8 13 34 55 ). But I'm not sure what time frame to choose H1 H4 D or W?
Sasha...

No need to determine trend...just place buy and sell orders using last weeks range calculation.
Hey, where can I get the rules for first strike plus, does anyone know win loss/ratio and payoff? I found ONS rules on the web site, couldnt find entry calls etc, on blog. Is it just me looking with man eyes or is there a secret handshake???
  • Post #357
  • Quote
  • Edited Sep 28, 2009 1:27am Sep 27, 2009 5:30pm | Edited Sep 28, 2009 1:27am
Quoting Trndsurfer
Hey, where can I get the rules for first strike plus, does anyone know win loss/ratio and payoff? I found ONS rules on the web site, couldnt find entry calls etc, on blog. Is it just me looking with man eyes or is there a secret handshake???
you gotta subscribe to his email listing on his blog....



btw, can anyone answer this question with regards to pyramiding in FSP?

I know for FSP, Joel says the exit is based on the "First Profitable Opening", but how would pyramiding your positions affect this? At first glance, it seems to me that they are conflicting theories....

for DIBS, Joel mentions how he held onto 5 trades with a R/R of 300:1 and how to use the fat tail to you advantage. I'm just wondering if it is even possible for FSP. The First Profitable Opening Exit seems more like a time based exit that limits you maximum potential gain to just 1 big weekly move and doesnt get you anywhere near the extremes, like catching the big yearly trend. The majority of the historical traders tend to favor pyramiding (Loeb, Darvas, Baruch), but I'm also wondering why Larry Williams would use this sort of time based exit to limit his profits? (I also think that this statement is completely wrong since he and his daughter hold 1st and 2nd in the Commidities Trading Tournment) I'm pretty sure that if I just pyramid it, it doesnt have that big of a negative impact. Any thoughts or counter arguments with this type of exit?


also, a question on ONS trades, how would you try to distribute the risk evenly on ONS trades, as not the entire set (all 5 pairs) would guaranteed to be triggered. (ex. spreading the effects of say R=10% over 5 pairs would be 2% per pair, but for ONS, this leads to some uneven amounts of risk varying from 2% to 10% per week, also compounded by the fact that ONS trades are hard to come by). It would be better if I can utilize ONS better as it seems to be steadier with the win% and avg win are both greater than the losses.

Thanks
Quoting Trndsurfer
Hey, where can I get the rules for first strike plus, does anyone know win loss/ratio and payoff? I found ONS rules on the web site, couldnt find entry calls etc, on blog. Is it just me looking with man eyes or is there a secret handshake???
I don't know if FF has a link policy or something ridiculous like that, but here is the FSP link straight from the email updates he sends out:

http://www.4shared.com/file/66851386...rike_Plus.html
Hindsight is 20/20
Cheers for that cosgrove
I have been reading about FSP and am thinking of using my existing MM strategy - I get the feeling it is similar to Joel's

For my other approach, I keep a running total of the aggregate wins, losses etc...from this I can determine my average win/loss/payoff ratio/probability after every trade. I can then adjust my position size based on these variables

In essense, if I am going to risk say 4% of capital a trade, I set my position size so that 4% is equal to my average loss (not my stop loss on that trade per se )- as this will always change. The result is that as you go thru a cold streak, you capital falls, and so will your position size, but it wont decline as fast as it will when your using a standard of letting 4% equal the stop loss on that particular trade. The advantage being that if you keep your losses tight, you will have a larger size relative on when a win comes along relative to if you were setting the stop based on the particulars of that individual trade, rather than the aggregated data. You take on a bit more risk, but i believe you get a disproportionate share of the upside.

I have run this scenario and found that it has improved the profitability of 2 existing system more than just blinding putting more capital into a trade (say boosting from 4 to 6% and setting stop losses based on your current trade rather than aggregate data)

will let you know how it goes of FS

if you have thoughts, would love to hear
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