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1 trade per week system (Backtesting included)

  • #21
  • Jul 17, 2017 10:19pm Jul 17, 2017 10:19pm
Quoting Ivanyo
{quote} Just for the sake of completeness, how strict is your back testing? For instance if the daily candle moved against you 45 pips earlier in the day, but ended up in profit at the end of the day when you close the trade, are you counting this as a stop loss or take profit? I'm wondering if any of the winners you have on your spreadsheet should have been losers - not criticizing at all, just want a thorough back test to ensure we've considered all potential issues.
Hi
The backtest is very strict. If price moved more than 45 pips against me and then finished in my favour then I am not counting it as a winner (I count it as a losing trade)
  • #22
  • Edited 10:36pm Jul 17, 2017 10:20pm | Edited 10:36pm
Quoting cocolizo67
{quote} Hi The backtest is very strict. If price moved more than 45 pips against me and then finished in my favour then I am not counting it as a winner.
Awesome - I might do my own research also and share.

EDIT - Here's the last 10 weeks for everyone to look at...10 weeks straight losses?

Thick teal lines are the Friday candle, thin green lines are the candles we trade based on OP.

Attached Image (click to enlarge)
Click to Enlarge Name: Capture.PNG Size: 115 KB
  • #23
  • Jul 17, 2017 10:40pm Jul 17, 2017 10:40pm
Quoting Ivanyo
{quote} Awesome - I might do my own research also and share. EDIT - Here's the last 10 weeks for everyone to look at...10 weeks straight losses? Thick teal lines are the Friday candle, thin green lines are the candles we trade based on OP. {image}
Why are you using HA candles?
Very different with standard candles!!!
  • #24
  • Edited 10:58pm Jul 17, 2017 10:42pm | Edited 10:58pm
Quoting profitkeeper
{quote} Why are you using HA candles? Very different with standard candles!!!
Good pick up - let me try again

EDIT - here is the updated chart with normal candles. Blue lines mark the Friday candle, and you would enter in the opposite direction on the following candle.

Assuming all losses are 45 pips, here is the last 10 weeks. Bear in mind I'm just blindly looking at daily candles and not looking at intra day since we are told to close at end of day Monday, so what determines win or loss is whether the Monday candle ends up being red or green.

15/5 trade: -45
22/5 trade: -45
29/5 trade: -45
05/06 trade: +19
12/06 trade: -45
19/06 trade: +57
26/06 trade: +14
03/07 trade: -45
10/07 trade: +2
17/07 trade: -45
TOTAL -178 pips

Attached Image (click to enlarge)
Click to Enlarge Name: Capture2.PNG Size: 98 KB
  • #25
  • Jul 18, 2017 1:15am Jul 18, 2017 1:15am
Ivanyo:
Maybe you were on to something with HA candles.
Use HA and just do the reverse of the system - You would have 10 winners in a row!!!
  • #26
  • Jul 18, 2017 3:24am Jul 18, 2017 3:24am
Are you guys factoring in the fact that spreads at the start of the new day are generally higher?
  • #27
  • Edited 8:31am Jul 18, 2017 7:46am | Edited 8:31am
Quoting Ivanyo
{quote} Bear in mind I'm just blindly looking at daily candles and not looking at intra day since we are told to close at end of day Monday, so what determines win or loss is whether the Monday candle ends up being red or green.
So basically, you are not following the rules. And also used HA candles in your first post. Be careful with the results you present because you are misleading people.

First, the colour of the candle on Monday determine if its a winner or loser, but doesn´t tell you how much (so not always is a loss of 45 pips). Example: June 12. The trade was negative but only lost 2 pips+spread. And in your results you put -45pips. Another example, July 17: Only -2 pips lost and you put -45.

Second, GO BACK TO FIRST POST AND READ THE RULES

And finally, If anybody doenst trust my results, go ahead and do yours, any help is welcome, but please FOLLOW THE RULES. Dont come here like this guy using Heiken Ashi candles and assuming things, because results may be different. If you have any doubt ask me first so we can figure it out. In my opinion, it will be a waste of your time because I have already made the work for you, and as I said before, backtesting is only a reference. Focus on forward testing it.

Similar posts will be reported in the future, because they are misleading.
  • #28
  • Jul 18, 2017 8:24am Jul 18, 2017 8:24am
Quoting johNal
Are you guys factoring in the fact that spreads at the start of the new day are generally higher?
You can close the trade 30 minutes before the new day starts, you won´t be affected that much by spread
  • #29
  • Edited Jul 19, 2017 1:04am Jul 18, 2017 8:35am | Edited Jul 19, 2017 1:04am
Ok - good luck with you thread

Not sure how color of the candle doesn't determine if winner or loser. Your own words;

Open at start
Attached Image (click to enlarge)
Click to Enlarge Name: Open.PNG Size: 36 KB


Close at end
Attached Image


Ok I made a mistake on the above calculation. You are now -133 pips for the last 10 weeks. Your spreadsheet is +147 pips

Why the discrepancy? I'm just trying to find out why you are reporting a different result to I am - don't tell me to follow the rules because I have. Where else have I gone wrong? Or are you just blindly defending this because I see a flaw?
  • #30
  • Jul 19, 2017 4:05am Jul 19, 2017 4:05am
Quoting cocolizo67
{quote} Hi The backtest is very strict. If price moved more than 45 pips against me and then finished in my favour then I am not counting it as a winner (I count it as a losing trade)
I have done a quick backtest of EUR/USD for the last 10 Mondays and the tally for those 10 Mondays does not coincide with your 2017 backtest for the last 10 trades you made. My tally results in -85 pips for that duration but yours says +147. Kindly explain using charts how you arrived at this. I appreciate the work and time you have put in to sharing this strategy and the other one for NFP which is quite impressive based on my own backtests. I will share my excel spreadsheet on that forum.

I know it is a lot of work, but it is best to record the trades not as numbers on the column but as dates so that its easily to know when the trade took place.

I await your response. Thanks
Attached Image(s) (click to enlarge)
Click to Enlarge Name: EURUSDcDaily.png Size: 38 KB
Click to Enlarge Name: tally.jpg Size: 38 KB
  • #31
  • Jul 19, 2017 10:04am Jul 19, 2017 10:04am
Hi,
we are also discussing this system at German "Forex Factory".
Want to share my backtest made in 1M:

First Sl = 45 Pips
Attached Image (click to enlarge)
Click to Enlarge Name: MC_SL45.jpg Size: 911 KB


and SL = 100 Pips:
Attached Image (click to enlarge)
Click to Enlarge Name: MC_SL100.jpg Size: 863 KB


Hope it helps!
  • #32
  • Jul 19, 2017 11:27am Jul 19, 2017 11:27am
Quoting KimKim23
{quote} I have done a quick backtest of EUR/USD for the last 10 Mondays and the tally for those 10 Mondays does not coincide with your 2017 backtest for the last 10 trades you made. My tally results in -85 pips for that duration but yours says +147. Kindly explain using charts how you arrived at this. I appreciate the work and time you have put in to sharing this strategy and the other one for NFP which is quite impressive based on my own backtests. I will share my excel spreadsheet on that forum. I know it is a lot of work, but it is best to record...
Hi. Results may differ a little from differene broker.

I am working on an EA, it will be ready this week. That way we can trade in the same frequency.

Cheers
  • #33
  • Jul 19, 2017 1:27pm Jul 19, 2017 1:27pm
Look Joachims BTs !! They are provided for a very serious period of 12 (!) years. Take into acount, that long lasting loosing periods have been occurred ! Dont expect quick millions here ! It's not a "Become-a-millionaire-in-month" System ! For that you must look for the damn 100$ bots ... there are billions of them in the net .....
  • #34
  • Jul 19, 2017 1:51pm Jul 19, 2017 1:51pm
I don't post much now (got two kids so time is a bit short) but I LOVE when someone does a quantitative contribution here at ForexFactory (very rare mates). Congrats to cocolizo67 for putting his work here and sharing it with the community. I programmed the system in F4, here's the code if anyone who uses F4 wants to give it a spin:

Inserted Code
#include "Precompiled.h"
#include <ta_libc.h>
#include <stdlib.h>
#include "EasyTradeCWrapper.hpp"
typedef enum additionalSettings_t
{
    STOPLOSS_ABS     = ADDITIONAL_PARAM_1
} AdditionalSettings;
AsirikuyReturnCode runMondayFridayEA(StrategyParams* pParams)
{
  AsirikuyReturnCode returnCode = SUCCESS;
  double stopLoss;
  int current_day_of_week = dayOfWeek();
 
  stopLoss   =  parameter(STOPLOSS_ABS);
  if(current_day_of_week == 1)
    {
        if (cClose(1) > cOpen(1)){
            return openOrUpdateShortEasy(0, stopLoss);
        } else {
            return openOrUpdateLongEasy(0, stopLoss);    
        }
    }
  if(current_day_of_week > 1){
      
    if (totalOpenOrders(pParams, SELL) > 0){
        return closeAllShorts();
        }
    if (totalOpenOrders(pParams, BUY) > 0){
        return closeAllLongs();
    }
  }
  return SUCCESS;
}

This is the system tested on 1987-2017 EURUSD data from Asirikuy (45 pip constant SL, 3 pip spread, data is GMT +1 non-DST/+2 DST, 5% risk per trade) :

Attached Image


So somewhat good results 2005-2017, terrible results before that. With the sample size of one trade a week I would say it's rather ripe for mean reverting now considering the long term historical performance on the daily, so I personally wouldn't trade something like this although I would understand other people having reasons to try it. Consider that trend following systems on the EURUSD can normally survive 1987-2017 without problems (even where data before 1999 is for DEM/USD). All that on the table I would like to congratulate cocolizo67 again, coming up with an idea and sharing it and learning from what others say is not a feat many can carry out. I applaud you Sir!
  • #35
  • Jul 19, 2017 1:59pm Jul 19, 2017 1:59pm
And with a 100 pip stop...

Attached Image
  • #36
  • Jul 19, 2017 2:07pm Jul 19, 2017 2:07pm
Quoting algoTraderJo
I don't post much now (got two kids so time is a bit short) but I LOVE when someone does a quantitative contribution here at ForexFactory (very rare mates).
Hello Algo!
I hope your fine. I want to learn Algo.
Can you please give me some idea. where to start algo.
Should i start learning mql5 or other programming Language.
My background is accounting and finance so I don't know much programming. I try to start mql4 in the past after few day i lost interest. I believe to take my trading next level I need to learn programming.
MA provides the market's current direction and strength.
  • #37
  • Jul 19, 2017 2:46pm Jul 19, 2017 2:46pm
Quoting hasib
{quote} Hello Algo! I hope your fine. I want to learn Algo. Can you please give me some idea. where to start algo. Should i start learning mql5 or other programming Language. My background is accounting and finance so I don't know much programming. I try to start mql4 in the past after few day i lost interest. I believe to take my trading next level I need to learn programming.
PLease do this in private, not in this thread. Thanks
  • #38
  • Jul 19, 2017 2:50pm Jul 19, 2017 2:50pm
Quoting algoTraderJo
I don't post much now (got two kids so time is a bit short) but I LOVE when someone does a quantitative contribution here at ForexFactory (very rare mates). Congrats to cocolizo67 for putting his work here and sharing it with the community. I programmed the system in F4, here's the code if anyone who uses F4 wants to give it a spin: #include "Precompiled.h" #include <ta_libc.h> #include <stdlib.h> #include "EasyTradeCWrapper.hpp" typedef enum additionalSettings_t { STOPLOSS_ABS = ADDITIONAL_PARAM_1 } AdditionalSettings; AsirikuyReturnCode runMondayFridayEA(StrategyParams*...
Hello Algo trader
Thanks for the kind words. And let me tell you that you have made an amazing job too by providing some backtesting data.

I definitely agree with some of your words. This system is not meant to be trade alone. I suggest to trade it as a part of a portfolio of systems, like I do.

Hey, its been working the last 15 years according to your backesting, so no reason to stop using it At some point the market conditions will change and adjustement will be done. Every system eventually will fail, or will encounter some rought times, so I will keep trading it until one of thoose happens. At that point I will reevaluate, and maybe replace if for another one.
  • #39
  • Edited 3:15pm Jul 19, 2017 2:51pm | Edited 3:15pm
I already have the EA, I am just making some tests, will post it here maybe today or tomorrow
With this EA we will be able to incorporate volatility to the system, because trading with a 45 pips stop loss could be good for certain market conditions, and could be not enough room for another situations. So by adding daily ATR as a reference for the stop loss we can find the best settings for the current market conditions.

Cheers
  • #40
  • Jul 19, 2017 2:56pm Jul 19, 2017 2:56pm
By the way, I added a new rule in the first post. It only happens probably 1 or 2 times per year but it can yield some good pips.

RULE UPDATE: Close the trade at the end of the day (In my case Monday 21:00 gmt) if the trade is positive. If the trade is not positive, then wait until the end of Tuesday to close it.
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