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The Daily Fozzy Method

  • #401
  • Oct 13, 2006 3:12am Oct 13, 2006 3:12am
Guys, have been reading this thread from 1st page til the end, cant say anything except a very good stuff. Fozzy, you are great :-)

Now, as a newbie to this system, I would like to apply how this system generate, by looking at yesterday and today's candle, we might have new trade set up for monday 16 Oct, australian time.

Possible trade: short on usd/yen, and long on euro/usd. Do you have the same set up too?? It's a bit early to post this message as we still have to wait for US open. However, i just want to get an idea of this system.
  • #402
  • Oct 13, 2006 7:18am Oct 13, 2006 7:18am
Good work guys. Quick question, what is the risk/reward difference between using the BB or taking any cross. Basically, are you risking more just to make $1,300 more in profit? What if in your backtesting, it was just a lucky year?
So far so good.
  • #403
  • Oct 13, 2006 8:10am Oct 13, 2006 8:10am
mike.............

We appreciate your continuing to test. In his first post, fozzy explained how this method had been profitable for him for several months and I believe the different tests we have seen thus far confirm that. My use of this system for the past three weeks validate that for me. I have already explained the small changes I made to make it more profitable for my trading style. (Ignore the BB filter, use ATR for setting the S/L). Time should prove this strategy to be a winner, so continued varied testing is a good thing. Thanks again!

Quoting mikejody
Yes, it does. Without the BB filter the system produced a profit of $1340.00 more than with the BB filter. In other words, taking every trade rather than filtering with the middle band of Bollinger Bands was just a bit more profitable.

Remember that this is only on the EUR/USD. I am getting to the GBD/USD next.
  • #404
  • Oct 13, 2006 8:12am Oct 13, 2006 8:12am
Quoting turin0107
Guys, have been reading this thread from 1st page til the end, cant say anything except a very good stuff. Fozzy, you are great :-)

Now, as a newbie to this system, I would like to apply how this system generate, by looking at yesterday and today's candle, we might have new trade set up for monday 16 Oct, australian time.

Possible trade: short on usd/yen, and long on euro/usd. Do you have the same set up too?? It's a bit early to post this message as we still have to wait for US open. However, i just want to get an idea of this system.
There were trade signals on GBP/USD, EUR/USD, USD/JPY, USD/CHF and USD/CAD. I went to bed last night up around $100. This morning I woke up and half of them had been stopped out with the other half darn close to being stopped out. Lol, that darned London session can be evil - too bad I'm asleep when it happens. My 2k demo account is down around $400+ as a result.

Jason
  • #405
  • Oct 13, 2006 8:14am Oct 13, 2006 8:14am
Hi Excuse my ignorance if any but isn't the middle BB band just a moving average and the outer bands different levels of deviation normally 1 and 2.
Steve
PS Sorry haven'y yet had the time to read all the way thru the posts. I have my own system using BB's which is a reversal system. Still testing with varied results and looking or another system to add to it.

Quoting BeachBum
mike.............

We appreciate your continuing to test. In his first post, fozzy explained how this method had been profitable for him for several months and I believe the different tests we have seen thus far confirm that. My use of this system for the past three weeks validate that for me. I have already explained the small changes I made to make it more profitable for my trading style. (Ignore the BB filter, use ATR for setting the S/L). Time should prove this strategy to be a winner, so continued varied testing is a good thing. Thanks again!
  • #406
  • Oct 13, 2006 8:43am Oct 13, 2006 8:43am
This is one of the reasons I have chosen to use ATR to set my S/L rather than the previous day's high or low. I am still in each one of these trades (and two more) without being stopped out and believe each will be profitable. Time will tell. (I'm also in four other fozzy trades with a profit).

PS.............you will look rather funny today walking around holding your a**...................lol!


Quoting jlowder
There were trade signals on GBP/USD, EUR/USD, USD/JPY, USD/CHF and USD/CAD. I went to bed last night up around $100. This morning I woke up and half of them had been stopped out with the other half darn close to being stopped out. Lol, that darned London session can be evil - too bad I'm asleep when it happens. My 2k demo account is down around $400+ as a result.

Jason
  • #407
  • Oct 13, 2006 9:00am Oct 13, 2006 9:00am
Quoting BeachBum
This is one of the reasons I have chosen to use ATR to set my S/L rather than the previous day's high or low. I am still in each one of these trades (and two more) without being stopped out and believe each will be profitable. Time will tell. (I'm also in four other fozzy trades with a profit).

PS.............you will look rather funny today walking around holding your a**...................lol!
I thought you used 70% ATR to determine your sl? I was using an approximation of that as well - in fact I think it was higher than 70%. For the Eur/USD I used 50 which was 78% of the ATR. What numbers are you using?

yeah, but I'm used to looking funny. :-)

Jason
  • #408
  • Oct 13, 2006 9:15am Oct 13, 2006 9:15am
Jason............

In one of my very early posts about ATR, I said that "I think" a percentage of ATR (60 or 70) could be used to set S/L (research required to establish that). I also wrote that if the price moves more than the ATR away from the open, the trade is probably going to be a looser. I played around with the fozzy EA (provided by stockwet) and came to the conclusion that ATR would work better for an initial S/L. Give the trade a chance to breath, then move the stop as price heads in the right direction. This group of trades may take away some of my profit if they don't work out, but so far I've done very well with the fozzy method (see my previous posts). I've got 11 trades that I'm going to leave open for the weekend. Monday should be an interesting day!


Quoting jlowder
I thought you used 70% ATR to determine your sl? I was using an approximation of that as well - in fact I think it was higher than 70%. For the Eur/USD I used 50 which was 78% of the ATR. What numbers are you using?

yeah, but I'm used to looking funny. :-)

Jason
  • #409
  • Oct 13, 2006 9:44am Oct 13, 2006 9:44am
Quoting jlowder
There were trade signals on GBP/USD, EUR/USD, USD/JPY, USD/CHF and USD/CAD. I went to bed last night up around $100. This morning I woke up and half of them had been stopped out with the other half darn close to being stopped out. Lol, that darned London session can be evil - too bad I'm asleep when it happens. My 2k demo account is down around $400+ as a result.

Jason
I don't know if all of these were valid signals or not. I looked at my charts a little past 00 GMT and saw what looked like crosses. But, when I checked the EA, none of these orders were fired off and the values captured did not indicate crossings. So, I'm wondering if there's a bit of a problem with visual confirmations. The MA and RSI tend to move around a bit as prices fluctuate. So, I'm double-checking my EA to see if there's a bug, or whether these were mirages.
  • #410
  • Oct 13, 2006 10:21am Oct 13, 2006 10:21am
If you had 2,000 and you lost 400, that means you risked at least 20% on all of your trades combined. I would never risk more than 10%. In addition to that, I would be very careful to make sure I am not just placing the same trade with different currencies. (correlation is king)

Sound like you may need to read up on Money managemnt...

Gosh, that sounded a bit harsh. I did not mean it that way... I just meant that maybe you could adjust your position size to reflect your stop distance so you would not be risking so much of your capital.



Quoting jlowder
There were trade signals on GBP/USD, EUR/USD, USD/JPY, USD/CHF and USD/CAD. I went to bed last night up around $100. This morning I woke up and half of them had been stopped out with the other half darn close to being stopped out. Lol, that darned London session can be evil - too bad I'm asleep when it happens. My 2k demo account is down around $400+ as a result.

Jason
  • #411
  • Oct 13, 2006 10:32am Oct 13, 2006 10:32am
Hi fellow Pipateers!

After seeing some ok results while glancing at the last few bars, I went back to January and looked things over.

I added some rules: Using VWB I currency daily level 2 overlay for the tested pair, which was USDCHF, I never took a long above the tunnel or a short under it. I took 50% off at the tunnel like in VWB and the other 50% either got stopped out at the low of the last daily bar or closed at the first fib on the other tunnel side.
This filter prevents some additional lossy trades and gives a clear exit strategy. The idea is to use fozzy as a "black dot" replacement for those familiar with VWB.

It did however not work well.

8 Trades were taken in the first 5 months of 2006, totalling a PL of +153.

Now I haven't tested the 4h method for the same period, but imho a LOT of trades got stopped out. And this even with the filter. Seeing as it's based on daily, stop as well as reward size is rather big. The idea llike with VWB would be to catch exhaustions and play them as far as possible. Didn't work all that well imho. Still feel that 4h Vegas plays a lot better than either VWB or my fozzy mix in this case.
I included a template which you just load (you also need the Vegas daily currency which I will include) and all the trades will appear on your USDCHF chart as I wrote them to the chart directly. I marked the signals with vertical bars.
I gave up after 5 months because - no offense - 153 pips just weren't a whole lot and that it would have paid a lot more to go by eye/price action for daily instead.

Open to any comments as usual

Best regards,

SeekingLight
Attached File(s)
File Type: zip fozzy_backtesting.zip   3 KB | 592 downloads
Trust price. Know yourself.
  • #412
  • Oct 13, 2006 10:46am Oct 13, 2006 10:46am
I just went through all of these posts...I'm looking forward to going over a lot of charts this weekend with this method...

It's Happy Hour somewhere!!!!!!!!
  • #413
  • Oct 13, 2006 11:15am Oct 13, 2006 11:15am
Some of this does not surprise me. The first time I set up my "fozzy" template in MT4, I included the Vegas Daily indicator because I wanted to see the tunnel and the fib levels. When I started forward testing, I took note of and recorded my trades as they relate to these indicators (I have the habit of recording EVERYTHING, including the temperature of the beer on my desk to be enjoyed as soon as my trading session is over). Without getting too complicated or straying too far away from what fozzy originally posted, I think these indicators from Vegas will prove useful. I just need time to test this theory. Thanks SL for your observations, they encourage me to continue forward testing.



Quoting SeekingLight
Hi fellow Pipateers!

After seeing some ok results while glancing at the last few bars, I went back to January and looked things over.

I added some rules: Using VWB I currency daily level 2 overlay for the tested pair, which was USDCHF, I never took a long above the tunnel or a short under it. I took 50% off at the tunnel like in VWB and the other 50% either got stopped out at the low of the last daily bar or closed at the first fib on the other tunnel side.
This filter prevents some additional lossy trades and gives a clear exit strategy. The idea is to use fozzy as a "black dot" replacement for those familiar with VWB.

It did however not work well.

8 Trades were taken in the first 5 months of 2006, totalling a PL of +153.

Now I haven't tested the 4h method for the same period, but imho a LOT of trades got stopped out. And this even with the filter. Seeing as it's based on daily, stop as well as reward size is rather big. The idea llike with VWB would be to catch exhaustions and play them as far as possible. Didn't work all that well imho. Still feel that 4h Vegas plays a lot better than either VWB or my fozzy mix in this case.
I included a template which you just load (you also need the Vegas daily currency which I will include) and all the trades will appear on your USDCHF chart as I wrote them to the chart directly. I marked the signals with vertical bars.
I gave up after 5 months because - no offense - 153 pips just weren't a whole lot and that it would have paid a lot more to go by eye/price action for daily instead.

Open to any comments as usual

Best regards,

SeekingLight
  • #414
  • Oct 13, 2006 11:19am Oct 13, 2006 11:19am
Hi Mike........

Not trying to bother you.................but could you upload the spreadsheets before the weekend. I need a new project to keep me busy while the markets are closed.

Thanks.................BB


Quoting mikejody
Thanks BB,

I will try to zip the excel spreadsheets and upload them too.

Any thoughts are always appreciated, and meanwhile I am now backtesting the "all trades" (not taking into account the middle band of the Bollinger Bands method). Will post those shortly.
  • #415
  • Oct 13, 2006 12:17pm Oct 13, 2006 12:17pm
Wow, I have certainly learned a lesson by all this testing; you must know your market. What works on EUR/USD may or may not work on GPB/USD. Such is the case with the Fozzy method, at least for the 6 months that I backtested (January to May 2006). While the EUR/USD gave 76% winners on 2 lots using targets of 20 and 40 pips, the GBP/USD showed huge losses trading this same way. It did show a good profit using 2 lots setting 1 target at 75 pips and letting the other run until the next signal. However, drawdown was huge (see stats below), so much so that I could not trade this market with the current method. It is possible that with the different stop-loss method suggested by BeachBum that the drawdown could be helped, but I do not as of yet know how to test that method.

<?xml:namespace prefix = o ns = "urn:schemas-microsoft-com:office:office" /><o></o>

I am also considering testing the Alternate Fozzy method as it seems that system helps with drawdown, but it is a more complex system and I am having difficulty understanding how to trade it and back test it.

<o></o>

Here are the stats:

<o></o>

=============================================================================================

PERFORMANCE STATISTICS

=============================================================================================

<o></o>

TRADING PARAMETERS...........................................................................

Initial Account Equity: $10,000.00

Trading Vehicle: Futures

Initial Margin: $1,000.00

Round-turn slippage per contract: $0.00

Round-turn commissions and fees per contract: $0.00

Position Sizing Method: Fixed $/Contract

Dollars/Contract: $1,000.00

<o></o>

PROFIT SUMMARY...............................................................................

Total Net Profit: $728.00

Gross Profit: $34,748.00

Gross Loss: -$34,020.00

Profit Factor: 1.0214

Highest Closed Trade Equity: $28,488.00

Lowest Closed Trade Equity: $7,758.00

Final Account Equity: $10,728.00

Return on Starting Equity: 7.28%

<o></o>

TRADE RESULTS................................................................................

Number of Trades: 24

Number of Winning Trades: 11

Number of Losing Trades: 13

Percent Profitable: 45.83%

Max Number of Contracts: 28

Minimum Number of Contracts: 7

Average Number of Contracts: 13

Largest Winning Trade ($): $12,416.00 (77.25%)

Largest Winnning Trade (%): 77.25% ($12,416.00)

Average Winning Trade ($): $3,158.91

Average Winning Trade (%): 25.97%

Max Number Consecutive Wins: 3

Largest Losing Trade ($): -$6,900.00 (-29.43%)

Largest Losing Trade (%): -29.43% (-$6,900.00)

Average Losing Trade ($): -$2,616.92

Average Losing Trade (%): -16.09%

Max Number Consecutive Losses: 4

Average Trade ($): $30.33

Average Trade (%): 3.19%

Trade Standard Deviation ($): $3,946.51

Trade Standard Deviation (%): 26.23%

Win/Loss Ratio ($/$): 1.2071

Win/Loss Ratio (%/%): 1.6136

Return/Drawdown Ratio: 0.1168

Modified Sharpe Ratio: 0.1214

<o></o>

DRAWDOWNS....................................................................................

Number of Closed Trade Drawdowns: 5

Average Drawdown ($): -$6,178.00

Average Drawdown (%): 31.09%

Average Number of Trades in Drawdowns: 3

Worst Case Drawdown ($): -$17,760.00 (62.34%)

Trade Number at Trough: 24

Number of Trades in Drawdown: 4

Worst Case Drawdown (%): 62.34% (-$17,760.00)

Trade Number at Trough: 24

Number of Trades in Drawdown: 4
  • #416
  • Oct 13, 2006 12:19pm Oct 13, 2006 12:19pm
Quoting BeachBum
Hi Mike........

Not trying to bother you.................but could you upload the spreadsheets before the weekend. I need a new project to keep me busy while the markets are closed.

Thanks.................BB
I will try but I am having a hard time figuring out how to zip them. Any ideas?
  • #417
  • Oct 13, 2006 2:54pm Oct 13, 2006 2:54pm
I'll help. Email the files to me directly (I sent you my email address yesterday by PM). I'll then zip the files and post here for everyone. Deal?



Quoting mikejody
I will try but I am having a hard time figuring out how to zip them. Any ideas?
  • #418
  • Oct 13, 2006 3:00pm Oct 13, 2006 3:00pm
Welcome aboard matey........

I worked for months with VP software to develop a trading strategy that would work for me as a basic "set & forget", and one thing I learned is that basicly each currency pair behaved differently, even the ones that are "supposed" to be correlated. The end result was that I tweeked the strategy for each pair to make it work and gave up completely on one. (Two actually.......anyone care to guess?)

Keep up the good work..........your testing will be rewarded. (VOE)

Quoting mikejody
Wow, I have certainly learned a lesson by all this testing; you must know your market. What works on EUR/USD may or may not work on GPB/USD. Such is the case with the Fozzy method, at least for the 6 months that I backtested (January to May 2006). While the EUR/USD gave 76% winners on 2 lots using targets of 20 and 40 pips, the GBP/USD showed huge losses trading this same way. It did show a good profit using 2 lots setting 1 target at 75 pips and letting the other run until the next signal. However, drawdown was huge (see stats below), so much so that I could not trade this market with the current method. It is possible that with the different stop-loss method suggested by BeachBum that the drawdown could be helped, but I do not as of yet know how to test that method.

<?xml:namespace prefix = o ns = "urn:schemas-microsoft-com:office:office" /><o></o>

I am also considering testing the Alternate Fozzy method as it seems that system helps with drawdown, but it is a more complex system and I am having difficulty understanding how to trade it and back test it.
  • #419
  • Oct 13, 2006 5:30pm Oct 13, 2006 5:30pm
Quoting jlowder
There were trade signals on GBP/USD, EUR/USD, USD/JPY, USD/CHF and USD/CAD. I went to bed last night up around $100. This morning I woke up and half of them had been stopped out with the other half darn close to being stopped out. Lol, that darned London session can be evil - too bad I'm asleep when it happens. My 2k demo account is down around $400+ as a result.

Jason
Looking back at my charts for the trades you have listed, I show all the pairs bouncing off the MA, with the exception of USD/JPY. This was at 5 pm EST. Does anyone else's charts look like mine? I'm beginning to think something is wrong with the charts I've got.
Hi, my name is Barry and you can keep your doctor...
  • #420
  • Oct 13, 2006 8:25pm Oct 13, 2006 8:25pm
Quoting cisco
Looking back at my charts for the trades you have listed, I show all the pairs bouncing off the MA, with the exception of USD/JPY. This was at 5 pm EST. Does anyone else's charts look like mine? I'm beginning to think something is wrong with the charts I've got.
Here's what my USD/JPY looks like.

http://i58.photobucket.com/albums/g2...b-10-13-06.jpg

There's just barely a cross visible several hours after the new candle...but I traded on this signal...and I never would have taken a trade on such a weak cross as this.

And yep, it's true for several other fozzy signals from this prior week.

I agree with stockwet, that perhaps all the visual confirmations can't be trusted, but I'm not giving up on this system.
Is your SL my TP?
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