By the way, willf,
is the 50 level literally just the line that crosses the y-axis of the RSI window at 50?
is the 50 level literally just the line that crosses the y-axis of the RSI window at 50?
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Quoting LamdunDislikedBy the way, willf,
is the 50 level literally just the line that crosses the y-axis of the RSI window at 50?Ignored
Quoting mungoDislikedWillf,
Would love to see your results (and the SL etc criteria used).
You should be energised today.....your lads batted well.....
MungoIgnored
Quoting willfDislikedOk here's the results of my backtest as promised.
The test was done manually (metatrader, pen, paper & calculator) so it's not 100% perfect but close enough. Yes it took ages. About 10 days to do.
The time period was Jan 06 until Nov 21 (before the big increases over thanksgiving).
The basic Fozzy setup was done without the bollinger bands. A 50 level was set on the RSI.
If the RSI crossed above the MA and the RSI was above the 50 level I went long.
If the RSI crossed below the MA and the RSI was below the 50 level I went short.
If the RSI crossed the MA but did not cross the 50 level I allowed two bars (two days) for it to do so if it crossed after that it was not traded.
Stops were placed at the previous days high or low.
Two trades were taken at the same time. The first trade was set at the nearest Vegas fib level. The second trade was set at the second Vegas fib level.
Once the first trade was hit the second trade was set to break even and allowed to continue until it hit it's target or was stopped out.
I tried to back test this as mechanically as possible without any discretion.
Maybe better results could be achieved with discretion. But on the other hand some trades that looked over/over sold worked out anyway. So maybe it's swings and roundabouts.Ignored
Quoting willfDislikedOk here's the results of my backtest as promised.
The test was done manually (metatrader, pen, paper & calculator) so it's not 100% perfect but close enough. Yes it took ages. About 10 days to do.
The time period was Jan 06 until Nov 21 (before the big increases over thanksgiving).
The basic Fozzy setup was done without the bollinger bands. A 50 level was set on the RSI.
If the RSI crossed above the MA and the RSI was above the 50 level I went long.
If the RSI crossed below the MA and the RSI was below the 50 level I went short.
If the RSI crossed the MA but did not cross the 50 level I allowed two bars (two days) for it to do so if it crossed after that it was not traded.
Stops were placed at the previous days high or low.
Two trades were taken at the same time. The first trade was set at the nearest Vegas fib level. The second trade was set at the second Vegas fib level.
Once the first trade was hit the second trade was set to break even and allowed to continue until it hit it's target or was stopped out.
I tried to back test this as mechanically as possible without any discretion.
Maybe better results could be achieved with discretion. But on the other hand some trades that looked over/over sold worked out anyway. So maybe it's swings and roundabouts.Ignored
Quoting williamkDislikedThanks buddy it worked perfectly
BillIgnored
Quoting willfDislikedOk here's the results of my backtest as promised.
The test was done manually (metatrader, pen, paper & calculator) so it's not 100% perfect but close enough. Yes it took ages. About 10 days to do.
...Ignored
Quoting LamdunDislikedahh, i see. Thanks. What is the advantage of using the 50 level over the bollinger band?Ignored
Quoting msblanchetDislikedCan you please confirm that the PIPS are net i.e. include losses?
Also wondering what time your daily candles close?Ignored
Quoting howardDislikedWhich risk model did you apply to vagas fib levels for your targets, as first and second levels have been used for this purpose? Is it the same model for all pairs?Ignored
Quoting howardDislikedYou waited 2 days for cross of 50 level after cross of MA by RSI, does the 2 days include the day of MA cross?Ignored
Quoting howardDislikedAnd finally does cross of 50 level not end up with taking trades on this cross without regard for MA cross?Ignored
Quoting poekmeisterDislikedHi Wilff,
Very good piece of work! I have studied your summary and tried to "replicate"your process and have a question. I have attached below a pic to illustrate.
Pair: GBPCAD
Date: 6 Feb 2006
Position: short (RSI cross and RSI<50)
I have included in the pic the Vegas #1 model (dashed greenish lines) and the Vegas #3 model (red lines).
The trade:
1. you enter 2 lots at close of day, tp1 at Fib1 level (first red one in this case) and tp2 at Fib2 level (second red one in this case)
2. the day after, on feb 7, lot1 hits tp, however what happens to lot2?
I see options:
a) tp gets hit, so s/l for lot2 is moved to B/E and is stopped out due to pull back ?
b) OR tp gets hit, s/l is not moved as you move it only at end of day and during the day tp2 gets hit so 2 profit trades?
What did you use in backtesting?
Tks, Poekmeister.Ignored
Quoting willfDislikedYes. I have that actual trade listed. The bar that indicated the trade was on a Friday so you couldn't have actually entered the trade until Sunday.
It reopened (on my chart) exactly on your first fib line. I set my first TP at your second fib line and my second TP at the next fib level again.Ignored
Quoting willfDislikedThe second TP never happened and it would have hit the stop. Which by then was set at break even.Ignored
Quoting poekmeisterDislikedOk. So you have used the open price of the entry bar (1st bar after signal)
Ok. So you move the S/L for lot2 to B/E during the day and do not wait until the end of the day.
The reason for me asking is that I cannot trade during the day (at least not for now ) and need to trade in a set and forget manner or use the ManageTakeProfit ea to manage move of S/L to B/E.
Last question. Did you do more analysis on the impressive list of backtesting? I mean, have you constructed e.g. equity curve of backtesting, # of loosing weeks, avg gain vs avg loss. I am not sure if you want to share some of this and would respect your position not to, but hey I needed to ask
Thanks again Willf, real good stuff.
PoekIgnored
Quoting jlowderDislikedI too have issues with how the take profits will be actually performed. It's nice to have the targets set, but if you can't monitor the trades during the day and make adjustments, how do we go about taking partial profits at the fib lines? MT4 doesn't have some built in mechanism for this sort of thing does it? It kind of sounds like we need an EA just for profit taking associated with the Vegas Daily...
JasonIgnored
Quoting poekmeisterDislikedJason, I have attached the EA I have picked up at the TSD forum. I have no exerience with it, but it seems to work according to guys over there. You enter the position manually and then set the TP (including a move to B-E) with the EA. The EA will then monitor the trade throughout the day.
PoekmeisterIgnored
Quoting poekmeisterDislikedOk. So you have used the open price of the entry bar (1st bar after signal)
Ok. So you move the S/L for lot2 to B/E during the day and do not wait until the end of the day.
The reason for me asking is that I cannot trade during the day (at least not for now ) and need to trade in a set and forget manner or use the ManageTakeProfit ea to manage move of S/L to B/E.Ignored