daily range Strategy | Page 13 | Forex Factory

Options

Go to
Permalinks
Print Thread

Similar Threads

Strategy: Daily Range Spike and Pull Back 161 replies

Daily Range Strategy 19 replies

Range/Last = range in %... help find the bug... 2 replies

How to get range of h/l on previous day's range? 1 reply

Another Daily Range Strategy GBP/USD 23 replies

Attachments: daily range Strategy
Exit Attachments

daily range Strategy

  • #241
  • Nov 3, 2006 12:01pm Nov 3, 2006 12:01pm
Micardo,

I read your strategy documents - very nice, btw. I was curious what the results were regarding first profit target, for both yours and Markj's system. What was the percentage that these were hit before being stopped out on both systems? In a previous reply, somebody had mentioned loading up on the first pt, if the stats were there. I wanted to see if there was any validity to this.
Bob
  • #242
  • Nov 3, 2006 12:22pm Nov 3, 2006 12:22pm
These are all based on GBP/USD.

Brick I cant speak for Markj.... But for me all the winning trades hit the 1st profit target. So that would be 67% ish. I have the complete figures at home regaring the percentage that then went on to hit the second Profit target.

But I found that by trading 2 lots you could have consistent wins... but at the same time not miss out on the bigger moves.

Hopefully we will get the complete 2-3 years back test by newt week.

Thanks guys for following this thread.... I appreciate the interest and feedback that we are receiving.
  • #243
  • Nov 3, 2006 12:31pm Nov 3, 2006 12:31pm
Quoting Micardo
But for me all the winning trades hit the 1st profit target. So that would be 67% ish.
That's much lower than Markj's 80% - 90% for the 1st profit target .....

Sorry for chiming in but couldn't resist.
  • #244
  • Nov 3, 2006 12:38pm Nov 3, 2006 12:38pm
That's true, but here's the math... Let's keep it to 100 trades for simplicity.

Micardo - 100 trades at 67% pt hit multiplied by 30 pips = 2010 pips

Markj - 100 trades at 80-90% pt hit multiplied by 14 pips = 1120-1260 pips

I think they are both good strategies that can be applied to the individual's situation, comfort zone, and capital.

Does that sound right, guys?

Geld - I also have a ball python and a corn... they aren't as exciting though.

Bob
  • #245
  • Nov 3, 2006 12:56pm Nov 3, 2006 12:56pm
Brick I agree it is really down to the individual....

Geld you have to look at it like this.... Winning percentage is really irrelevant, it is how much you win when you win in relation to how much you lose when you lose.

I have heard some people say they are happy with a strategy that only wins 40% of the time cos when hey do win they win big.

It also has alot to do with you psychology.... some people need a high win rate to keep their confidence up and the head in the game... others like above are not phased by losing 60 trades out of a 100 because they are so confident in their system that they know when they do win they will more than make up for it.

As brick said it is down to the individual.

I personally think Markj's method is brilliant... I mean results like his.... 2006 pips in 2 months (2006 mmmm spooky:-) )thats incredible even for the most experienced trader. But the fact is different people have different comfort levels and are partial to different strategies.

With Markj's you get alot more trades and if we didn't have an EA then it would take alot more time to monitor.

With Mine still requires screen time but perhaps not as much.


Anyway people hopefully i'll have an EA for you before long and back tested results of a few years, then you guys are free to play how you like :-).

As long as we all make money I'm Happy
  • #246
  • Nov 3, 2006 1:59pm Nov 3, 2006 1:59pm
Quoting Micardo
it is how much you win when you win in relation to how much you lose when you lose.
Micardo,

can't argue with that.

Thanks for all your efforts here.
  • #247
  • Nov 3, 2006 2:11pm Nov 3, 2006 2:11pm
No problem, Glad we could help
  • #248
  • Nov 3, 2006 2:21pm Nov 3, 2006 2:21pm
As someone new to the Forex market I have been following this thread with great interest.

I have been gradually getting to grips with the trading setup of this system

and my understanding improves with every message on the forum that I read.

The results look amazing!

I would like to thank all the members for all the effort they are putting in to improve and explain the workings of the system but most of all sharing it on the forum to beginners like me.

I see that Micardo will produce an EA for this system, I would be very grateful if someone could tell me what an Expert Advisor is.

Noel.
  • #249
  • Nov 3, 2006 4:07pm Nov 3, 2006 4:07pm
Quoting Noel
I see that Micardo will produce an EA for this system, I would be very grateful if someone could tell me what an Expert Advisor is.

Noel.
it is basically atrading system that when applied to the MT charts will place trades and update stops and take profits automatically for you...
  • #250
  • Nov 3, 2006 4:15pm Nov 3, 2006 4:15pm
DaveG777,

Many thanks for the reply, sounds great!
  • #251
  • Nov 3, 2006 4:15pm Nov 3, 2006 4:15pm
great results micardo, which pairs was that on.




Quoting Micardo
Hey Guys ok I have varied my strategy slightly.... I found that just taking a straight 30 pips profit or 50 stop loss although profitable could definitely be improved.

So The new strategy is same set up but you trade 2 lots. and 2 profit targets.... 30 pips and 80 pips. The stop loss is still 50 pips.

Once the first profit target is hit you move the stop to break even and wait till second target is hit or 00:00gmt.

Also I have also added the fact that you can re-enter. But only if you get stopped out before hitting your first target.
If you have already hit the frst target and then get stopped out on the second lot at break even then you leave it.



Results for the past 2 months are:

39 Trades
26 Wins
13 Loss
Profit pips - 1924
Loss pips - 996

Total P/L: +928 for the two months. Not to bad huh :-)

Ok Just waiting for Kamanda's feedback then we will get started on back testing over a period of years, and developing the EA
  • #252
  • Nov 3, 2006 7:29pm Nov 3, 2006 7:29pm
Quoting brick911
That's true, but here's the math... Let's keep it to 100 trades for simplicity.

Micardo - 100 trades at 67% pt hit multiplied by 30 pips = 2010 pips

Markj - 100 trades at 80-90% pt hit multiplied by 14 pips = 1120-1260 pips
Pips don't mean sh*t! It could be the case where % profitable (how often it wins) and/or win/loss ratio (average winning trade divided by average losing trade) is FAR more important to a system than net pips. Money management is what makes a good system great and it doesn't always just like pips, its likes other things as well. Pips are for people to brag about, but they arn't where the money is most of the time.
  • #253
  • Nov 3, 2006 8:02pm Nov 3, 2006 8:02pm
I think this VWB2 is excellent material for this thread. I could only include a couple of pages. Go to tunneltrading.com for the full.
Attached File(s)
File Type: pdf VWBPart2.pdf   583 KB | 722 downloads
"Its not where your at, but where your coming from"
  • #254
  • Nov 3, 2006 8:50pm Nov 3, 2006 8:50pm
Quoting llambert3
Thanks funbot for asking those, I was about to write the same things as it appears today's setup has done exactly that, so that is why I am posting what I see on the charts to see if I got it right.

I found out London is GMT (now that dst is over), so I think the London open is 8:00am. My charts are based on GMT anyway.

Open price = 1.9064
Buy price = 1.9084 (happened on 8:45 15m candle)

1st TP = 1.9098 (14 pips forgetting spread - happened on 9:30am 15m candle) S/L set for all 3 lots is now 1.9064.

2nd TP = 1.9114 (30 pips - had I added spread like Markj says he has been doing but leaves it up to the trader, it wouldn't hit because 1.9115 was the high) 30 pips hit in same 15 min. candle as 1st TP. S/L now set to 1.9089 to b/e on the 3rd lot.

3rd TP = 1.9164 (never reached. S/L of b/e hit on 10:45 15m candle.)

5 pip spread Profit = +9, +25, 0 = +34
5 pip spread adding spread to lot 2 and 3 Profit = +9 (1st lot), and then we are still in trade because 1.9064 has not been seen since initial buy. If it is seen, then -50 will occur, causing a net -41 for this trade.

RESTART (ONLY if not adding spread to lot 2 and 3)

Since 3rd TP hit on 10:45 15m candle (which is 10:00 H1 candle) I ignore the 11:00 H1 candle, which is good thing because it never really did anything.

The 2nd H1 candle (12:00) opened and has stayed above the new buy level of 1.9084 at first, but has since reached a low of 1.9082, and as of this writing is at 1.9088, so we are now in a new buy and starting all over.

Markj, if I have all of this right now, I won't bother writing and explaining again, as this scenario which played out live will cover any questions I believe. At least until I find something else.. hee hee
All looks good

Cheers
  • #255
  • Nov 3, 2006 11:47pm Nov 3, 2006 11:47pm
Ok I have an EA that I think is following the rules as I understand them. Hopefully Markj will be willing to take a look and let us know where the EA doesn't follow his method. I'm assuming there is a divergence somewhere because this EA has a negative expectation.

Please note this is a very unsophisticated EA which does no input error checking, etc etc.
Attached File(s)
File Type: mq4 GBP_Breakout.mq4   10 KB | 541 downloads
  • #256
  • Nov 4, 2006 7:34am Nov 4, 2006 7:34am
Quoting funbot
Ok I have an EA that I think is following the rules as I understand them. Hopefully Markj will be willing to take a look and let us know where the EA doesn't follow his method. I'm assuming there is a divergence somewhere because this EA has a negative expectation.

Please note this is a very unsophisticated EA which does no input error checking, etc etc.
funbot, maybe I am not one to test an ea as I am not that familiar with backtesting with one through MT, but I tried to do it for 10/1/06 to 10/31/06. I see the chart and the results. The very first one in October, which is 10/2, I just can't see how you got the numbers to buy. First, wouldn't we be using the 9:00candle (GMT+1 for London Open)? DST was in effect then and I believe that was what London was. Even forgetting that, if I am wrong by an hour or it was really GMT, the 7am, 8am and 9am candles open was not what you are using, which seems like you are using 1.8728 as the open. The ea is saying to buy at 1.8748 and it did at 10:23, but on my charts, the highest price it ever got to was 1.8746. I can't figure out what is happening.

Anyway, I only looked at this one trade and since I can't get it working by my manual test, then I won't go any further.

Please let me know if you don't see what I see.

Thanks Funbot for your help.
  • #257
  • Nov 4, 2006 9:36am Nov 4, 2006 9:36am
Good info to consider in this month's Currency Trader Mag.

http://www.currencytradermag.com/bem684.htm


Euro by the numbers p. 12.

Jim
Indicators show the past. Price Action "Indicates" the future.
  • #258
  • Nov 4, 2006 12:54pm Nov 4, 2006 12:54pm
Funbot,

I appreciate your efforts with EA. As IIambert has said when there seems to be quite a lot of discrepancy in results when compared to manual backtesting. I campared results from start of October until current and a lot of the EA results do not compare correctly. Anyway as An example I have taken on of the days and inserted the chart. The EA calculated only 1 and 2 profit when manually testing it should be taking profit 1 x 2, profit 2 x 2 and profit 3 x 1.

I will be out for a few days but will take a look at the code and see if I can spot any problems.

Cheers
Attached Image
  • #259
  • Nov 4, 2006 1:08pm Nov 4, 2006 1:08pm
Funbot,

Just had a quick look and one of the errors seem to be that if a buystop is placed at the start of day, buy trade is triggered and takes a profit it does not re-issue another buystop.

It does however re-issue a buystop is place, trade is entered and all 3 lots hit stoploss.

I will have a further look when I get a chance.

Cheers
  • #260
  • Nov 4, 2006 7:29pm Nov 4, 2006 7:29pm
Ok thanks for the feedback everybody. I just woke up so give me a few.


I was so wrapped up in numbers I neglected to mention a couple of key details, and I'm sorry about that.

The main one for now (while I examine the comments you guys made in further detail) is that the EA has several 'inputs' you can set--but they're hidden within the EA. I made them that way after I discovered the backtester doesn't necessarily respect inputs set directly in the code and compiled (it allows you to bypass them completely with the 'expert properties' button). For those that don't want to open the code to examine, here is the version with normal, visible inputs.

The inputs include the hour (0-23) from whose previous hour close you set the base price, the hour you want to actually start setting up buys and sells (I think Markj uses the same hour for both of these-I split them out for testing/fun), the 'close' time for the day, the buy line/sell line offset from base price for each day, TP1,2,&3, etc...
If you change them, please make sure to observe basetime<=starttime<closetime and stay away from midnight until I make sure the code can handle input errors and day rollovers properly. <CLOSETIME, class=inlineimg title=Smile alt="" border="0" src="http://www.forexfactory.com/forexforum/images/smilies/smile.gif"

Thanks again for the feedback, I'll have more for you in just a bit!

*note--LotSize is size per EACH order. eg lot size of 1 would result in 3 1.0-sized longs and 3 1.0-sized shorts. I was using 0.1 in testing.
All of the Offsets/SL's/TP's are to be given in pips. eg Mark used 20 for all of BuyOffset,BuySL,SellOffset,SellSL. BuyOffset and SellOffset are pip offsets from the baseline where you want the Buy and Sell lines to go. BuySL and SellSL are offsets from the Buy and Sell line for your stoplosses. SLOffset determines where you move the third order's SL after profit of 1 and 2 are taken. 0=breakeven, 5 would lock in 5 pips profit, etc.
Attached File(s)
File Type: mq4 GBP_Breakout.mq4   10 KB | 547 downloads
0 traders viewing now