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  • #1
  • First Post: Oct 20, 2006 8:47am Oct 20, 2006 8:47am

I think I have found a very good strategy and was wandering if I could have some thoughts on this…. You know someone to play Devils Advocate J .



I was sat down last night thinking about the daily range of the market and started to wander if there was some sort of relationship between where the market starts 00:00am gmt and where it finishes. For example if the market goes 50 points one way then how often does it retrace and how often does it carry on going for its 100-150 pip daily range.



So I pulled up some daily data on the cable market and started back testing. I have now back tested to May 2006 and will carry on going but here are my rules.



If the market goes 50 points in any one direction from the price it was at at midnight gmt. Then enter the trade with a 30 point limit order and a 30 point stop loss.



This so far on Cable has given me 1500 points since the beginning of May. This looks good to me but am I missing something that is fundamentally or technically wrong with such an approach?

  • #2
  • Oct 20, 2006 8:53am Oct 20, 2006 8:53am
I had been seeing this type of activity and had concluded that if the market was generally moving in a particular direction after the London open,then it was likely to carry that day. Nothing scientific, but there is something in this. Interested in your findings.
Pipped to the post.
  • #3
  • Oct 20, 2006 8:54am Oct 20, 2006 8:54am
Did you consider spread? If you would have 5-pip spread it would cost you 1200 pips or so.
  • #4
  • Oct 20, 2006 8:56am Oct 20, 2006 8:56am
Igor has something similar, dynamic breakout method aka dbo, check for it on forex-tsd site, very similar to what you are taking about I think.
  • #5
  • Oct 20, 2006 9:16am Oct 20, 2006 9:16am
I took spread into consideration..... I have a 3 pip spread.

How did you get a cost of 1200 pips anyway?


Well I demoed it today for the first time and came up trumps $300 profit. Beginners luck? I hope not but lets wait and see:-)

I'll keep posting my results here daily
  • #6
  • Oct 20, 2006 9:50am Oct 20, 2006 9:50am
Quoting Micardo

I think I have found a very good strategy and was wandering if I could have some thoughts on this…. You know someone to play Devils Advocate J .




I was sat down last night thinking about the daily range of the market and started to wander if there was some sort of relationship between where the market starts 00:00am gmt and where it finishes. For example if the market goes 50 points one way then how often does it retrace and how often does it carry on going for its 100-150 pip daily range.



So I pulled up some daily data on the cable market and started back testing. I have now back tested to May 2006 and will carry on going but here are my rules.



If the market goes 50 points in any one direction from the price it was at at midnight gmt. Then enter the trade with a 30 point limit order and a 30 point stop loss.



This so far on Cable has given me 1500 points since the beginning of May. This looks good to me but am I missing something that is fundamentally or technically wrong with such an approach?

you mean to say that if the price goes +50 pips then place the limit order at 30 pips away that makes +80 pips away from the yesterday's close...am I right ?????

Thanks
  • #7
  • Oct 20, 2006 10:44am Oct 20, 2006 10:44am
Basically, you enter a trade once the price has moved 50 points in a direction away from the price that it was at, at midnight UK. You take profit once you have made 30 points. You also set a stop loss at 30 points from your entry price.

example.

Midnight= 1.8800

Entry at= 1.8850

Profit at= 1.8880

Stop Loss at= 1.8820

Does this help?

I am still only testing it, but if you want to test as well and post your results here then it would be much appreciated.
  • #8
  • Oct 20, 2006 10:50am Oct 20, 2006 10:50am
Micardo, This kind of sounds a little like the Big Ben Strategy. If you google it you will see what it is. If I remember the first 15minutes of the London session set this trade also.

Yours is of course a little different.. Nice thinking out of the box. Have you been forward testing since May or was this a back test from May? thanks
Scott


Quoting Micardo
Basically, you enter a trade once the price has moved 50 points in a direction away from the price that it was at, at midnight UK. You take profit once you have made 30 points. You also set a stop loss at 30 points from your entry price.

example.

Midnight= 1.8800

Entry at= 1.8850

Profit at= 1.8880

Stop Loss at= 1.8820

Does this help?

I am still only testing it, but if you want to test as well and post your results here then it would be much appreciated.
  • #9
  • Oct 20, 2006 10:52am Oct 20, 2006 10:52am
Hey SMJONES,

No I haven't forward tested this at all. Today was the first day and it made profit. It is all backtesting.

It only came to me last night as if by magic :-)

So you have heard of such a thing before.... Do you think it can work?
  • #10
  • Oct 20, 2006 10:53am Oct 20, 2006 10:53am
Quoting Micardo
Basically, you enter a trade once the price has moved 50 points in a direction away from the price that it was at, at midnight UK. You take profit once you have made 30 points. You also set a stop loss at 30 points from your entry price.

example.

Midnight= 1.8800

Entry at= 1.8850

Profit at= 1.8880

Stop Loss at= 1.8820

Does this help?

I am still only testing it, but if you want to test as well and post your results here then it would be much appreciated.
Since your stop equals your profit target, you can do the following to have your trade lock in some profit, become a free trade, and potentially give you more profit.

Simply take off half your position when your profit target is reached and move your stop to breakeven. Let your second half ride til it hits your trailing stop.

Dial
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  • #11
  • Oct 20, 2006 10:57am Oct 20, 2006 10:57am
I could not say, I have not looked at it. I think this is an answer you will be able to give us. This sounds like an excellent way to find out something about market behavior. I look forward to your research if you feel like sharing it along the way. The big Ben strategy seemed to work pretty well and then the markets changed... This may happen with your strategy as well...
But if you see the changes coming, adapt.






Quoting Micardo
Hey SMJONES,

No I haven't forward tested this at all. Today was the first day and it made profit. It is all backtesting.

It only came to me last night as if by magic :-)

So you have heard of such a thing before.... Do you think it can work?
  • #12
  • Oct 20, 2006 10:59am Oct 20, 2006 10:59am
Thanks Diallist for your feedback, I will definitely look into that.

The only thing is that I was looking at this as an auto trading type of strategy for the times when you can't be in front of your screen

I normally trade a breakout strategy of support and resistance.

Do you do this? How is it working for you? (Breakout I mean)
  • #13
  • Oct 20, 2006 11:01am Oct 20, 2006 11:01am
SMJones,

I will definitely keep you guys posted on this. I am in the middle of doing back testing to 2002, and will continue forward testing. I guess with all that info we will all be in a better position to constructively comment.

:-)

Keep you posted
  • #14
  • Oct 20, 2006 11:06am Oct 20, 2006 11:06am
please keep us posted about your ForwardTestingResults so we can see if it's already worth starting an EA for this method or sth.
  • #15
  • Oct 20, 2006 11:07am Oct 20, 2006 11:07am
Quoting Micardo
I took spread into consideration..... I have a 3 pip spread.

How did you get a cost of 1200 pips anyway?


Well I demoed it today for the first time and came up trumps $300 profit. Beginners luck? I hope not but lets wait and see:-)

I'll keep posting my results here daily
Sorry, it's not 1200 pips it's 600 (5 pips times ca. 120 trading days in 5 months). But if you included spread it doesn't matter.

300 pips a month sounds nice. Good luck on that
  • #16
  • Oct 20, 2006 12:08pm Oct 20, 2006 12:08pm
Big Ben Strat for those interested:
Attached File(s)
File Type: pdf BigBenStrategy.pdf   597 KB | 8,525 downloads
  • #17
  • Oct 20, 2006 12:27pm Oct 20, 2006 12:27pm
In the Vegas WB systems, Vegas has detailed information and his backtested data for the ranges for the major pairs. He specifies the probability of the pair to continue or reverse based on its current level for the day. Keep in mind the pair will only offer a probability of continuing for the day, as I think a lot of people expect it to happen 100% every day- which is obsurd.

I don't have time to find the exact posting but I suggest reading through all of it to better inform yourself. I found it very helpful and the daily range idea has improved my analysis greatly. Oh yeah- and I've made some positive pips too.

good luck
'Have a good time all the time'
  • #18
  • Oct 20, 2006 12:53pm Oct 20, 2006 12:53pm
So if it never goes + or - 50 from the opening price...do you just not open a trade?


Also, if there is news affecting the pair near 00:00GMT do you not open a trade then, or do you just widen your stop loss
Nothing is hard, some things just take more time and discipline.
  • #19
  • Oct 20, 2006 12:59pm Oct 20, 2006 12:59pm
Yes its as simple as that. At Midnight GMT. You look at the price action see where the price is. Then put a buy and sell order in 50 points away, with a take profit order of 30 pips and a stop loss of 30 pips..... So effectively your straddling.

Then you simply wait for the market to do what its got to do.

Don't get me wrong you do get loosing days but during my testing, so far the biggest draw down is 120 pips. Obvioulsy you need to at least double or even triple that to be on the safe side. Bottom line is this is like any other system you will get losses but in the long run you come up in profit.

As I said I will keep testing this and tweaking it.... You guys should do the same then we can all come to a consensus in a few months time as to if this works or not and whether or not the levels need to be adjusted.
  • #20
  • Oct 20, 2006 3:15pm Oct 20, 2006 3:15pm
Has anyone coded this as a MetaTrader EA. If so please post, if not I will work on one.

Also I have a document for the majors that shows probability of addition move like mentioned here. I will see if I can find it and post.

Thanks
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