The Ghillyoar System (buying highs and selling lows)

All you need to know about me...
A few years ago I started a satirical thread on Forex Factory. The thread argued that money management is more important than the entry technique. It was largely ignored.
This new thread will introduce The Ghillyoar Trading System.


The Ghillyoar Trading System is quite simple.
To summarise:
1. It buys higher highs and sells lower lows.
2. You open a maximum of one new trade per day.
3. It has two exit rules you use the rule that occurs first.

The Strategy Tester available with MetaTrader is of no value to a sensible trader.
The longer the period of the test the less the reliability.
So here is a test result for The Ghillyoar Trading System covering the last 21 years.

The trading period is from 2000.01.01 to 2021.03.23

The Ghillyoar System employs a number of variables. I will reveal the variables that I used in the test but I am hoping that you will use your own and share them here.
In other words …………….I am publishing this system so that you can improve it……………..not swallow it whole.

I will run through the rules of the system.
Instead of a long list I will break it up into bite size chunks.
I am definitely not a coder, However in places where I think it might help I will cut and paste some code from my E.A.
I am not publishing my E.A.
The rules are very simple and if you want an E.A. you know what to do.

Before I start I need to define some of terms that I will be using to describe the system.
Candle 0……………….is the current candle.
Candle 1……………….is the previous candle….the candle that has just closed.
Candle 2……………….is the candle that closed before the previous candle.

I will not be repeating these definitions every time that I mention them.

The Ghillyoar System:
Buys when the price is above the “Buy Bench”.
Sells when the price is below the “Sell Bench”.

How to work out the initial value “Buy Bench”.

The initial value of the “Buy Bench” is:
( the closing price of candle 2 ) plus 30 pips



How to work out the initial value “Sell Bench”.

The initial value of the “Sell Bench” is:
( the closing price of candle 2 ) minus 30 pips

The value of the Buy Bench changes.
If the price of candle number 2 is higher than the current value of the “Buy Bench” then a new Buy Bench is created. The new “Buy Bench” will be equal to the value of candle 2 plus 30 pips.

if ( iClose(NULL,0,2)>Buy_Bench
{ Buy_Bench=iClose(NULL,0,2) +30 * myPoint; }


The value of the Sell Bench changes.
If the price of candle number 2 is lower than the current value of the “Sell Bench” then a new “Sell Bench is created. The new “Sell Bench” will be equal to the value of candle 2 minus 30 pips.

if ( iClose(NULL,0,2)<Sell_Bench )
{ Sell_Bench=iClose(NULL,0,2) - 30 * myPoint ; }

The Ghillyoar System:
Trades are filtered:


Buys are only allowed if the previous candle closed higher than the 23ema.
iClose(NULL,0,1)> iMA(NULL,1440,23,MaShift,MODE_EMA,MaPrice,0)




Sells are only allowed if the previous candle closed lower than the 23 ema
iClose(NULL,0,1)< iMA(NULL,1440,23,MaShift,MODE_EMA,MaPrice,0)

Exit Rule Number One
When you start trading you need to write down your opening equity e,g. 1000$
You need to use a profit target .
For my back test I used a profit target of 50$ ( far from optimal ).
Rule number one will only exit if the Account Equity hits 1050$.
As soon as the 1050$ equity level is hit the new Equity Target is set and it is 1050$ plus 50$ = 1100$

What Does Exit Rule Number One make of losing tades?
Exit Rule Number One ignores losing trades.
If The Ghillyoar System has closed a series of losing trades and our equity is now 900$ rule number one is not going to close trades when the open equity is plus 50$.
Rule Number One is going to wait until the Account Equity hits the original Account Equity Target of 1050$


Very Important
If Rule Number One closes all of the open trades and the system is flat then the current “Buy Bench” and the “current Sell Bench” are abandoned and are re-calculated.
If Ghillyoar closes all of it’s open trades using methods 2 or 3 or 4 …………..100 then it does not re-calculate the “Buy Bench” and “The Sell Bench”.

Exit Rule Number Two
One of the two following conditions has to be satisfied.

The total Open profit on buys has to be higher than 20$.
or
The total Open profit on sells has to be higher than 20$


In addition the following condition must be satisfied:
The number of open buys must be equal to the number of open sells.



Example1.
We have four open trades ……….. 1 Buy and 3 sells.
We are losing but Ghillyoar does nothing,
After a while we open 2 more buys.
We now have 3 open Buys and 3 three open sells.
Either the buys or the sells are likely to be in profit by 20$
We are losing.
Ghillyoar has had enough……….. we are getting no where.
Ghillyoar closes all of the open trades.

Important
We are flat but the system does not recalculate the “Buy Bench” or the “Sell Bench”


if ( ( TotalOpenProfitLong>20 || TotalOpenProfitShort > 20) && TradesCount(OP_BUY) -TradesCount(OP_SELL) ==0 )
{ myOrderClose(OP_BUY, 100, ""); myOrderClose(OP_SELL, 100, "");}

Good day, thanks for sharing.

Always working with the CLOSE of candle 2, I assume.

Also wanted to say that its nice seeing a quality trend strategy, very nice work. Samej principle as one Ive been using, one almost as long as your backtest s age, so Ill probably enjoy popping in from time to time and give my 2 cents.

in my backtest,i have few sell orders at floor but many buy orders at top,and buy orders != sell orders,so my orders not have chance to exit....

i follow your two exit rules 1+2, use 0.01lot every time

You couldnt have followed exit rule 1, because he didnt give us the volume, and it is profit based... At least if he did am sorry, I am blind.

I suspect that with the optimized mm, you got a few 0.5% profit on all those buys. Could be wrong...

I should have mentioned that in my back test , I could have used any permutation of my variable values.
However the ones used in the above example were:

Daily Chart
Lot size 0.10
Profit target step 50$


If I had used lots of 0.001 it would have been more difficult to hit my 50$ targets.

You can of course use smaller lot sizes and simply reduce the Target Step.

Here is a picture of The Ghillyoar System in action.
We are looking at the USDJPY for the first 3 months of this year.
We started with a loss and then the system caught the uptrend.

Thanks for sharing.

We will test and see results, and if necessary, if it can be improved

This is really interesting, at first thought you were trolling with buying high and selling low.

How long is your backtest?

I am glad that you find the system interesting.

Ghillyoar has no traditional stop loss and no traditional take profit,,,,,,,,,, but we do accept losses..........and I have not seen exit rule two anywhere else .

Who knows the system might be better with a traditional TP and SL, maybe some one will run a test.

The published back test is for EURUSD and was for 21 years.

However if you read my second post you will see that I believe that MetaTrader back tests are very unreliable.