Another simple breakout system

Hi, MT can backtest but I've read many posts saying that it is not accurate.

Best regards
Alan

Hello ShaHin, Interested by your backtest with Metatrader. You will implement an EA for this. Is it possible for you to post it ?

Alain

On the backtest issue. You have to make sure you got good data (and there is a lot to be said about that).

On Expert Advisor. After careful conceptual reviews of this and similar Breakout system. I don't know what I am going to do with it.

Hi Merlin,

Love this forum.

I (ouch) have also been using a spreadsheet. What is the best and most reasonable software to get ? If you don't want to put the name on the thread, feel free to send me pvt msg or email.

Thanks
John

Hi Crazyforforex,

Mind putting that breakout as a MT4 script please.

Appreciate the time.

Tnks

Accuracy of data is very important. It's even more important to consider the effect of spread on system performance.

Case in point: when I think of a new breakout strategy, I test it with tick data (bid, ask, timestamp). I use tick data simply b/c I have it...it's more accurate as it takes spikes into account. If I was using 1 minute bars, I'd have to estimate slippage and spreads, which could skew the results.

Anyway...say I have a strategy that generates 200 trades over 3 years, with a pip count of -3000. I've sometimes thought "why don't I fade the system". What ends up happening is that you lose b/c of the spread that you pay on entry and exit. If you attempt to adjust the entry and exit to accomodate the spread, then the win/loss frequency isn't the same.

I never thought that spreads could skew the results to much, but they really do.

How do I backtest? I mentioned that I use tick data. To test, I wrote a perl program to parse the data and simulate trades while reading through the file. (I simply don't trust platforms that are given away by brokers...I'm not saying they are crooks, but it's in their interest to make you think that system development is easy). My systems are very simple...breaks of high/low of arbitrary time periods...I can set STOPS and LIMITS, as well as filter out trades based on average daily volatility.

Oanda will give you tick data if you have an account with at least $1000. It's a great deal - go out to olsendata.com and see how much it would cost you to buy it (not cheap!).

If anyone is serious about backtesting, I'll be happy to share what I've developed so far.



-Levi

BO

This is an old thread but I thought that it may be worth asking if anyone knows of a breakout system based on the ADR of the previous 'x' days.
This would alert traders to new momentum charts.
Thanks to anyone who can help.
George

Want to try this

I like your technic... this my finding on your idea... but I prefer RSI10 - RSI 3 is to busy for me ....

Hi Sir.
Can i have your template and indicator(s) Kindly?
Thank you.