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daily range Strategy

  • #601
  • Dec 11, 2006 4:41am Dec 11, 2006 4:41am
Quoting QMG
A little adaptation to the Daily Strategy that this thread has been discussing. It does require an account that allows hedging (I use interbankfx). At 00:00 GMT buy and sell the EUR/USD with a 50 pip stop loss and 15 trailing stop. Close out all open orders between 23:30 and 24:00 GMT.

The premise of this trade is to capitalize on the interday price activity. If you look at a candle chart most days will have shadows of at least 17 pips on the bottom if an up day and on the top if a down day. In these cases you'll have a profitable trade on BOTH trades. However, days when there are shawdows of less than 17 pips you lose (most of the times it is the whole 50 but somedays it will only be in the 30-40 range).


You will incur some days of losing 50 pips but the gains definitely offset those times. Here are the results from April to October:

April +458
May +184
June -3
July +333
August +573
September -35
October +140

Total Gain +1650

I'm currently running Novembers numbers. As for December it is currently up +175 pips.

Q
Hi QMG,

Thanks for sharing your idea. Very interesting. My question is if you have tested on other pairs, like GBP. I know it gives more volitily and hence potentially more profit/risk.

Will be testing your method.

Thanks.

AndyL
  • #602
  • Dec 11, 2006 12:38pm Dec 11, 2006 12:38pm
QMG, I'm afraid this won't work in reality (forward trading) because the trailing stops don't work that way. What you are doing is setting the stop to BE when the trade is 15 pips up and calling it a trailing stop..

In reality, a trailing stop of 15 would begin when the trade reaches 15 pips in the correct direction and begins to pull the stop loss along with it. So, the trade could easily go the 17 pips you mentioned, then reverse the other direction and still lose 48 pips (stop was pulled along 2 pips), not be stopped for a small gain. I think over time in forward trading the spreads would simply eat all profits. I have been looking for YEARS for an effective way to hedge trades and still make some sort of profit. Still haven't found it.
Don Life is expensive, but includes a free trip around the sun.
  • #603
  • Dec 11, 2006 1:01pm Dec 11, 2006 1:01pm
Yes, this is the old hedge hog revisited. The problem is the draw down when you do get stung by the stop losses.

Just do a search for Hedge Hog and you will see what this is...


Quoting traderone
QMG, I'm afraid this won't work in reality (forward trading) because the trailing stops don't work that way. What you are doing is setting the stop to BE when the trade is 15 pips up and calling it a trailing stop..

In reality, a trailing stop of 15 would begin when the trade reaches 15 pips in the correct direction and begins to pull the stop loss along with it. So, the trade could easily go the 17 pips you mentioned, then reverse the other direction and still lose 48 pips (stop was pulled along 2 pips), not be stopped for a small gain. I think over time in forward trading the spreads would simply eat all profits. I have been looking for YEARS for an effective way to hedge trades and still make some sort of profit. Still haven't found it.
  • #604
  • Dec 11, 2006 5:47pm Dec 11, 2006 5:47pm
Quoting permanentjaun
It's not technically martingale. Martingale is when you add to your already losing position and expect price to turn
Actually, it's "averaging down", suprisingly it increases profit factor. Martingale is doubling bet size after a loss - quick way to go bust
  • #605
  • Dec 11, 2006 5:59pm Dec 11, 2006 5:59pm
Hi guys (and girls if any)
I've just glanced through that trade and can't find 1 thing I want the most: example trades executed according to the first post. I wrote an EA and on 5 years data it sucks very badly indeed :-/
At the moment I have optimilzation going on and I see it can be profitable but expected payoff is about 2-3 pips, which means the strategy is very sensitive to slippage and spread. If someone is trading this strategy as explained in post 1, could you please show a few consecutive days of trades with daily open, triggers, stops, tps and end day result? If it is indeed profitable then apparently there is something wrong with my backtesting and comparing trades could clarify things.
Thank you,
Lw
  • #606
  • Dec 12, 2006 3:41pm Dec 12, 2006 3:41pm
Quoting traderone
QMG, I'm afraid this won't work in reality (forward trading) because the trailing stops don't work that way. What you are doing is setting the stop to BE when the trade is 15 pips up and calling it a trailing stop..

In reality, a trailing stop of 15 would begin when the trade reaches 15 pips in the correct direction and begins to pull the stop loss along with it. So, the trade could easily go the 17 pips you mentioned, then reverse the other direction and still lose 48 pips (stop was pulled along 2 pips), not be stopped for a small gain. I think over time in forward trading the spreads would simply eat all profits. I have been looking for YEARS for an effective way to hedge trades and still make some sort of profit. Still haven't found it.
Assuming your above scenario--lets say the price started at 1.3200 and moved up to 1.3217 and reversed 48 pips to 1.3169.

Based upon my "system/theory" you would make 2 pips on the BUY side and have 14 pips "locked in" on the SELL side. If the market when back to the open price the sell order would get stopped out at 1.3284

This works because Interbankfx allows you to take both positions at 1.3200 with a 15 pip trailing stop. On interbankfx the trailing stop is a true trailing stop (unlike fxcm) that locks in the profit once the price has moved 15 pips and then moves pip for pip after that, e.g. moves the the stop loss to break even once the 15 pip trailing stop is achieved.


Q
  • #607
  • Dec 12, 2006 4:12pm Dec 12, 2006 4:12pm
Hi OMG, The worst case I see on this is if price goes to 16 and then reverses, so you get one pip, then it goes the other way to say at the most -15 and then reverses again and goes positive to +50. This will cause a loss of -50 +1 = -49 pips. As far as I can tell, that is the worst case scenario.

Is that about the way you see this?


Quoting QMG
Assuming your above scenario--lets say the price started at 1.3200 and moved up to 1.3217 and reversed 48 pips to 1.3169.

Based upon my "system/theory" you would make 2 pips on the BUY side and have 14 pips "locked in" on the SELL side. If the market when back to the open price the sell order would get stopped out at 1.3284

This works because Interbankfx allows you to take both positions at 1.3200 with a 15 pip trailing stop. On interbankfx the trailing stop is a true trailing stop (unlike fxcm) that locks in the profit once the price has moved 15 pips and then moves pip for pip after that, e.g. moves the the stop loss to break even once the 15 pip trailing stop is achieved.


Q
  • #608
  • Dec 12, 2006 4:17pm Dec 12, 2006 4:17pm
AH Hah!!!

So, the IBFX trailing stop works to set the trade to breakeven at the specified pips? I thought that only started to pull the stop along at that time.

So , I will give this a shot tonite.... right now. Interesting if it really works this way.
Don Life is expensive, but includes a free trip around the sun.
  • #609
  • Dec 12, 2006 4:20pm Dec 12, 2006 4:20pm
Ibfx policy
Attached File(s)
File Type: zip ScreenHunter_037.zip   33 KB | 433 downloads
  • #610
  • Dec 12, 2006 5:13pm Dec 12, 2006 5:13pm
Quoting smjones
Ibfx policy
thanks.

I've been trading live with them for a year I guess it is about time I should learn how THEIR trailing stop works as opposed to FX C M who I formerly used.
Don Life is expensive, but includes a free trip around the sun.
  • #611
  • Dec 12, 2006 6:13pm Dec 12, 2006 6:13pm
Quoting smjones
Hi OMG, The worst case I see on this is if price goes to 16 and then reverses, so you get one pip, then it goes the other way to say at the most -15 and then reverses again and goes positive to +50. This will cause a loss of -50 +1 = -49 pips. As far as I can tell, that is the worst case scenario.

Is that about the way you see this?
For the most part, yes...you have to factor in the 2 pip spread. Everyday there will be a winning trade...somedays two but never none. Even days that have a 50 pip losing side there is a winning side as well (sometimes it will cancel each other out, sometimes only a few pips...)

Q
  • #612
  • Dec 12, 2006 6:16pm Dec 12, 2006 6:16pm
Quoting Westie
Hi qmg,
Nice trades there, im wondering if you get a chance if you could
post what other rules you followed to get that amount of pips for those months, like where your tp was etc, trailing stops, or however you dealt with the tp etc.

Thnks
Rules again:

BUY and SELL the EUR/USD at 0:00 GMT
Set a 15 pip Trailing Stop
Set a 50 pip Stop Loss

Its rather simple...You are trying to profit on the fact that on most days the market will range up and down at least 17 pips from the 0:00 GMT open.

Q
  • #613
  • Dec 12, 2006 7:45pm Dec 12, 2006 7:45pm
Quoting QMG
Rules again:

BUY and SELL the EUR/USD at 0:00 GMT
Set a 15 pip Trailing Stop
Set a 50 pip Stop Loss

Its rather simple...You are trying to profit on the fact that on most days the market will range up and down at least 17 pips from the 0:00 GMT open.

Q
I wonder if it would really make any difference on the start time? Seems that when one system of trades is complete you could just start up again. Morning, noon or night the market will move somewhere.
Don Life is expensive, but includes a free trip around the sun.
  • #614
  • Dec 12, 2006 7:59pm Dec 12, 2006 7:59pm
Quoting QMG
BUY and SELL the EUR/USD at 0:00 GMT
Set a 15 pip Trailing Stop
Set a 50 pip Stop Loss

Its rather simple...You are trying to profit on the fact that on most days the market will range up and down at least 17 pips from the 0:00 GMT open.
So, if you get a spike up or down for say 80 pips, the idea is you get stopped out for -50, and then profit on the other trade?

Was the SL of 50 a number that was tested? Vs using a SL of say 40 or 60?

David
  • #615
  • Dec 12, 2006 8:36pm Dec 12, 2006 8:36pm
Quoting traderone
I wonder if it would really make any difference on the start time? Seems that when one system of trades is complete you could just start up again. Morning, noon or night the market will move somewhere.
The only reason I picked 0:00 GMT is that it gave me a reliable way to back test using daily numbers and the charts. But I like your idea that once a trade is done to enter another one...will have to give that some more thought.

Q
  • #616
  • Edited 9:07pm Dec 12, 2006 8:38pm | Edited 9:07pm
Quoting DavidH
So, if you get a spike up or down for say 80 pips, the idea is you get stopped out for -50, and then profit on the other trade?

Was the SL of 50 a number that was tested? Vs using a SL of say 40 or 60?

David
Yes, however, be careful because there isn't a pip for pip correlation. With the tight Trailing Stop of only 15 pips you can be stopped out well before realizing the 80 pip gain. In a steady, straight forward market it works like that but when its choppy you get stopped out quite often during a 30 minute candle because of the price movement therein.

Earlier in this thread you will find discussion re: the 50 pip SL. From my memory it seems that once the price has moved that far the chance of it retracing back to the other side of the open is drastically reduced. It is a money management thing.

Q
  • #617
  • Dec 12, 2006 9:06pm Dec 12, 2006 9:06pm
Hi QMG,

Sorry to ask obvious questions but
1) is your TP 17 pips higher/lower on the 00:00 GMT close or open?
2) Do you put the order in at 00:00 GMT?
3) it seems that by looking on the charts that the 12th you would have made money maybe even more than once as indicated in previous post. maybe you can give here your exact order for today (12th).

Thanks,
Eric
  • #618
  • Dec 12, 2006 9:13pm Dec 12, 2006 9:13pm
Quoting drlc01
Hi QMG,

Sorry to ask obvious questions but
1) is your TP 17 pips higher/lower on the 00:00 GMT close or open?
2) Do you put the order in at 00:00 GMT?
3) it seems that by looking on the charts that the 12th you would have made money maybe even more than once as indicated in previous post. maybe you can give here your exact order for today (12th).

Thanks,
Eric
Answers:
1) The TP is 15 pips (on interbankfx there is a 2 pip spread that I factor in)
2) I don't put an order in I BUY and SELL the pair. This isn't an entry order trade. You BUY the pair and then SELL the pair. Interbankfx and some others allow you to hold both.
3) Today's price at 0:00 GMT was 1.3281. In my accout I bought the EUR/USD and then immediately after I sold the EUR/USD--both with 15 Trailing Stops and a Stop Loss of 50. Currently, I'm up 5 pips on the BUY and down 5 on the SELL.

Q
  • #619
  • Dec 12, 2006 9:31pm Dec 12, 2006 9:31pm
Thank you. I will go to the interbankfx website as well to read up on this option.

btw, I would have imagined that today it would have hit TP, maybe I should go back to the chart again.

Thanks,
Eric

Quoting QMG
Answers:
1) The TP is 15 pips (on interbankfx there is a 2 pip spread that I factor in)
2) I don't put an order in I BUY and SELL the pair. This isn't an entry order trade. You BUY the pair and then SELL the pair. Interbankfx and some others allow you to hold both.
3) Today's price at 0:00 GMT was 1.3281. In my accout I bought the EUR/USD and then immediately after I sold the EUR/USD--both with 15 Trailing Stops and a Stop Loss of 50. Currently, I'm up 5 pips on the BUY and down 5 on the SELL.

Q
  • #620
  • Dec 12, 2006 11:14pm Dec 12, 2006 11:14pm
Quoting drlc01
btw, I would have imagined that today it would have hit TP, maybe I should go back to the chart again.
He doesn't have an actual TP. The profit is based on the trailing stop. The example of 17 PIPs was just an example, not an actual TP level. Basically, you are in the trade until your SL or trailing stop are hit.

David
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