daily range Strategy

What pairs are best for this type of system

pdhawan - No I haven't coded it, and to be honest I wouldn't know how. Is that a way of backtesting it? If so then please could you do it and let us know the results.

I have only analysed the GBP/USD. Feel free to look at other pairs.

I really feel like this could be a good/effective strategy and with all of us looking into it am cofident that we will find a way of implementing it effectively.

Ok I've been doing some more back testing. I am testing with different profit targets. So far with a profit target of 20 pips and a stop loss of 30. Back to the beginning of november 2005 I have found that we would of made 2110 pips profit.

2110 in Just under 12 months is about 175 pips per month.

I will do the same for the 25 pip profit target and 30 pip profit target.

OK Here are the in depth results.

Since November 1st 2005 there have been 263 trades.

20 Pips Profit target
2110 pips profit - 200 succesful trades vs 63 Losses = 76% Strike Rate
175 pips per month

25 Pips Profit target
2120 pips profit - 182 successful trades vs 81 losses = 69% Strike Rate
176 pips per month

30 Pips Profit target
2850 pips profit - 179 successful trades vs 84 losses = 68% Strike Rate
238 pips per month

So looking at the above it is clear that 30 pips profit target is the most profitable.

However a few things I need to research more is the price movement from when you enter the trade to when you take your profit.

For exampleonce you enter does your profit target immediately get hit or do you get some retracement... If so how much retracement, Is a 30 pip stop loss enough?

Once we answer that question we will nearly be ready to rock

If anyone has anyway of analysing this please let me know.

You may want to look at GBPUSD based on the following. FYI I found my sheet on pip trigger and percentages. See grid below it is based on +20 pips prior to entry.

(these include the original +20, so for 20 pip profit look at +40, without spread on Cable) Stop placed at 20pips.

30 minute +30 +40 +50 +60 +70 +80 +90 +100
percentages 79.9 63.2 46.6 36.0 27.3 21.4 16.3 11.9

1 hr +30 +40 +50 +60 +70 +80 +90 +100
percentages 89.9 81.7 73.8 66.2 58.9 53.3 46.4 41.1

How does this compare to your backtesting numbers?

I will take a look at coding over the weekend. It will be based on close price at 0 gmt (user adjustable)

I will also make stop, target, and initial move variables so we can play with it in backtesting.

Please let me know any other requirements before I begin.

Thanks

Micardo your numbers look pretty accurate. I found my sheet with 50 pip trigger and it had following percentages

+70 is your 20 pip profit target. (below do not reflect spread on Cable)

1 hr +60 +70 +80 +90 +100
percentages 89.0 78.14 69.8 59.6 51.7

Yours are almost right on!!!



My thoughts initially (because I also thought about this 2 days ago)....are we in sync? was to use a 20 pip trigger with 20 pip target...probability is 81.7%. Then to stop loss the trade at Break Even and let it go till stop is hit. That way we can capture longer runs. Once coded we will easily be albe to check the numbers. I will advise.

Hey guys,

You might find some of the info in this post interesting.

http://www.forexfactory.com/forexfor...8&postcount=17

The indicator {for VT Trader} is in the post that follows.

Thanks Bemac.... I will read and digest this weekend :-).

Pdhawan - My thinking is this. You take the price at Midnight GMT. You then enter the market once the price has moved exactly 50 PIPS in either direction. Your profit target is initially 30 PIPs then like you say maybe we can leave a portion on the table to ride the bigger move.

The thing we need to know is once we enter the trade how large are the retracements? So where do we need to place the stop loss so that we can effectively play each trade.

Theres no point in having a stop at 30 if the market regularly retraces 33 before it carries on the move.

The figures look good on a daily basis. If we can work out the stop then we have just made ourselves a very effective and profitable strategy.

I look forward to your response

Hi, For reference, could you clarify how you are testing this?

It appears it is manual.

What/whose data/charts are you using?

Do you check the price reaches +33 (30+3pip spread) and you take +30 profit?
Do you check the price reaches -27 (30-3spread) and you take -30 stop?

What timeframe are you using to check if the 30pip has been hit?

Best regards
Alan

If, once the Market has moved 50 pip it then retraces 33 pips Then the 50 is wrong Or Slide the Time Scale Slightgly

There will be no 100% answer to this but this Timed Breakout Strategy {00:00 GMT, 5:00 EDT Bar Close} is playing the New York Business Day Open.

Give me the Close of a Bar Before the start of the N.Y. Business Day.
Watch the Currency Market to monitor how the Stocks/News are doing.
Once the Pair has Indicated it is going to have a +/- day,
Get me in the Currency Market.

Things I should know;
What's the Average Daily Range of the Pair I want to trade. 100pips? 125pips? Or maybe just 50 pips?
What is the Range {DayH-DayL} Today So Far, now that I want to get in?
What is the difference between those two Ranges. {How many more Pips can I reasonably expect the Pair to move?}
Is this Trade worth the Risk?

I think you will find that you can reduce the 50Pip Entry Trigger substantially.

You may also find that Different Pairs require the Clock to start ticking at a Different Time.

Is there a relationship between the Times Your Trades are Signaled?

Good luck & hth.

Hi all. There were a couple of mentions above about the BigBend Strategy and Ktrade's posting of the BB article. I experimented for a month of live forward testing if it is of interest to you at all. At my GBP Midnite Express page you will find all my trades and charts with notes and the article that Ktrade posted also.

After the testing i was wipped out physicaly as i was staying up until about 2am or so Pacific Time (hence the name "Midnite Express"). I had set a period of one month to test the model and see if i could incorporate it into my life style, trading the London Open from a Pacific Time setting. For myself it did not work. I was a zombie and missed my quiet time with my wife. So i'm back to trading the NY open and looking at somehow incorporating the dailies into my style also.

What i did find is that setting TP exits at 20 pips away from entry orders 20 pips away from the price at 12:30 PT (08:30 London) would show fairly consistent wins.

: ) Thom

I was looking at a strategy similar to this for the last few months. The basis of the strategy was to take the close of the hour session prior to the <?xml:namespace prefix = st1 ns = "urn:schemas-microsoft-com:office:smarttags" /><st1:City w:st="on"><st1lace w:st="on">London</st1lace></st1:City> open. I would then add 20 Pips both ways. When the price reaches either target put in two orders. <?xml:namespace prefix = o ns = "urn:schemas-microsoft-com:office:office" /><o></o>

Order one take at 14 pips<o></o>

<o></o>

Order two take at 80 Pips<o></o>

<o></o>

Also played around with a third order as a lot of the first move would reach around 40 pips only to retrace and come out with only 14 pips profit. Another order would take profit at 30 pips. <o></o>

<o></o>

Put stop on both orders at the <st1:City w:st="on"><st1lace w:st="on">London</st1lace></st1:City> open price. Once second order reaches 30 pips move to breakeven. <o></o>

<o></o>

There can be choppy days and even choppy months but in the back testing I did had only one unprofitable month (August - 142 PIPS) Over 5 months this strategy gained 2302 PIPS averaged 280 approx a month. Only reason for abandoning this strategy was the need to watch the charts continually throughout the day.<o></o>

Hi Accrete, I too am on Pacific time. I have been looking into the Big Ben strategy as well. I also looked at your demo trades. I noticed you had trades that were in both directions. I believe after the first entry there is not suppose to be another til the next day. Too many bars have passed from the HI and LO setups.

Also the strategy calls for a 40 pip stop on cable. Ref: Currency Trader Sept 2004 page 33. Section "The Rules" item #4.

Are you using "Midnight Express" now as "Rush Hour"? If so how are your results?

Hi Guys,

OK results for today... We hit our profit target of 30 pips by 10am gmt.

Not bad although I have spoken to another trader friend of mine who is very good and he mentioned we would need a wider stop. Maybe 50 pips.

Has anyone got any feedback with regards to that?

.. worked fine for the first day...made more than 50 pips overnight,may be i was just lucky,we'll see!

Yes on days like these it is a great strategy.... But not all days make such a consistent breakout, which is our current problem. Some days it hits our entry trigger. Retraces a little then carries on going. We need to find a way of not getting stopped out but also not loosing to much of our profits on the days when it doesn't go our way. But so far 2 out of 2 days for me.

mmmmm.... Maybe this isn't an autotrading strategy.... Maybe we manaully enter at the 50 pips mark take partial profit on 30 pips and leave the rest to run......

I believe someone mentioned this earlier. Guys what are your thoughts about doing it like that..... So same entry and everything but only takeing say one out of 2 or 3 lots off the table at 30 pips profit

The only problem I find with taking profit at 30 pips only is if it reverese prior to taking some profit and your stop loss gets hit your out 60 - 90 pips depending on the stop loss gap.

What I found most of the time was that if you entered order 20 pips away from London open you would nearly always take 14 pips of the table on first order. If the trade reversed against you then you would be down 26 Pips for second and third being stopped out. If the trade continued your way then you would make a sizable profit for the day.

The win reward ratio was good most of the time risking 26 pips for a maximum 114 pips win. If third order was not hit you still walked away with 44 pips.

first order - 14 pips

second order - 30 pips

third order - 80 pips

Has anyone checked this out on the GBP/JPY? I could see potential on this pair also. This is merely an assumption at this point though. I will begin checking it, but if anyone has any insight... please share.

So, I am seeing a lot of +20 before reversing. What if you did more lots for a +15 (20 with spread in my case)? Maybe 5 lots, that would be just as good.

Forgetting what I just wrote, I have questions/comments.

1) Do you ignore (or get rid of orders to get in) if neither have hit at a certain point, say 12 hours after 00:00GMT? (or what if you are in and after 12 hours target ins't hit, do you get out??)

2) It seems in all of the orders that end of failing eventually hit the target, but sometimes a day after.

3) You use the OPEN price at 00:00GMT to determine the +50/-50 right?

Llambert - The way I have been looking at it is you reset the orders every 24 hours. So yes you take the opening price at 00:00am GMT.

Brick911 - I haven't looked into any other pairs unfortunately otherwise I would offer some insight.

Markj - I have also considered taking profits at different levels but just needed to get a good insight as to the right levels. Your way seems very good, have you forward or backtested it... If so what are your reults... % Wins, and Pips Profit per month/week etc.

I am convinced this sort of strategy has potential simply for the fact that the market does on average range about 100 pips plus. So all we need to do is find a consistent place to enter and good exit strategy.