daily range Strategy | Page 23 | 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

  • #441
  • Nov 22, 2006 5:03pm Nov 22, 2006 5:03pm
Quoting angiegiles00
Hi there

I anticipated possible whipsaw on 9.30am news today so set up s/l at 50 pips and survived to end trade 80 pips in profit.

Over last month I have demoed my spread bet account with 23 pip straddle, and did not trade US mid term elections and 3 other big news days.

I made 1 losing trade, rest were winners. I use s/l of 40 pips.

Not sure what results would be if I had traded the past month live as maybe slippage would have a large impact? This is reason I am selective which big news days I trade (red impact on FF calender).

Be interested to learn what s/l levels others on this thread are testing?

Cheers

Angie
Hi Angie,

Do you mind sharing with us little bit more about what you are doing. For example, what is your TP strategy, one or multiple lot, and reverse entry, etc..

Thanks in advance.

Al
  • #442
  • Nov 23, 2006 9:50am Nov 23, 2006 9:50am
Hello all,

Quickly, I mentioned in a previous post about the idea of using this strategy on multiple pairs. I said that it would not be wise because if the system is 90% accurate on one pair and 75% accurate on another, you should focus all your effort on the 90% accurate pair. By trading the 75% pair you're reducing your profit margins.

I believe that to be true. But, would it produce more profit to trade each pair since it will produce more trades or would putting more into each play of the 90% pair work better? Thoughts anyone? Matt
  • #443
  • Nov 23, 2006 10:11am Nov 23, 2006 10:11am
  •  Carlos
  • | Joined Sep 2005 | Status: Commitment, planning and discipline | 65 Posts
Having studied Risk Management in good depth at a graduate level, it would very much depend on the correlation Coefficient of the two systems, if it improves the RISK adjusted returns then it would be worth trading both pairs. Remember it would be worth trading it on less correlated pairs as these would more likely give u a lower correlation of teh two systems.

Here is a site (see below) which provides the correlation of differnt pairs over different time horizons. I have various system, some for futures others for Spot FX. For the FX systems i intentially trade the systems over the least correlated pairs, i.e my divergence and hidden divergence system i only trade on GBP, CAD, AUD and NZD (note not the EUR and CHF, highly correlated with the GBP). The system does not work so well on USDJPY, GBPJPY and EURJPY, otherwise i might also trade it on these.

http://www.dailyfx.com/story/chartin...eyword=article
  • #444
  • Nov 23, 2006 11:16am Nov 23, 2006 11:16am
Carlos,

Great post although you'll probably have to edit it out soon.

Some thoughts though. If we find a system that works well with a currency, such as GBP/USD, then wouldn't we want to find currencies that actually trade very similar to it? I say this because if we can find a currency that is equally as successful on GBP/USD then we would want to use it in the hopes that when one currency hasn't triggered a trade yet, the other currency, moving in a similar but altered manner, will have triggered a trade.

My thought process is that we never want more than one trade to be happening at one time. If we have two trades occuring at once we should always have the desire to have all of the funds trading in the more successful system. Why put money into a 50% successful currency when you can trade one that is 85% successful. Considering equal pip values and such, the 85% successful currency will always produce greater profit in the long run.

That is why we might want to look for highly correlated pairs in the hopes that they trigger equally sucessful, but at different times so that we can always have money playing the success rates. If we have a 90% successful pair it is nice, but if it only triggers 1 trade a month for 10 pips then it's not as profitable as the 70% successful system that triggers 10 trades a month. Matt
  • #445
  • Nov 23, 2006 11:21am Nov 23, 2006 11:21am
Great Post Permanentjaun!

Maybe I am missing something here but how would you know if the week is down or up before you place your weekly trades?
  • #446
  • Nov 23, 2006 11:30am Nov 23, 2006 11:30am
Hey pipbird,

I assume you're referring to one of my previous posts about using different straddles for up and down weeks. You wouldn't know. All I'm saying is we may have to use different straddles for long and short trades. I haven't found a good level for the short trades yet. For long I think a +95 straddle with 50 TP and 100 SL works pretty well.

I have to look at longer time frames though. Looking at several years of data wouldn't be unheard of. My weekly chart goes all the way back to 1987. That may be a little excessive use of data. Short trades may even be a higher straddle such as 120 with a lower TP. I haven't found the happy medium yet. I got a little side tracked with things. I worry that by using a different straddle that our expected profits will go down. The data I used of one year consisted mainly of up weeks. So what happens when things reverse the next year produces more down weeks? Should I keep the 95 straddle for short trades as well in anticipation of a down year?

Using a higher straddle may even prevent more losing trades on up weeks. I'll let you know what I find. Anyone else have any findings or am I the only one doing excel back testing?

Whats everyones concensus on a 100 SL? Large enough for a weekly chart? Matt
  • #447
  • Nov 23, 2006 11:35am Nov 23, 2006 11:35am
Quoting permanentjaun
Hey pipbird,

I assume you're referring to one of my previous posts about using different straddles for up and down weeks. You wouldn't know. All I'm saying is we may have to use different straddles for long and short trades. I haven't found a good level for the short trades yet. For long I think a +95 straddle with 50 TP and 100 SL works pretty well.

I have to look at longer time frames though. Looking at several years of data wouldn't be unheard of. My weekly chart goes all the way back to 1987. That may be a little excessive use of data. Short trades may even be a higher straddle such as 120 with a lower TP. I haven't found the happy medium yet. I got a little side tracked with things. I worry that by using a different straddle that our expected profits will go down. The data I used of one year consisted mainly of up weeks. So what happens when things reverse the next year produces more down weeks? Should I keep the 95 straddle for short trades as well in anticipation of a down year?

Using a higher straddle may even prevent more losing trades on up weeks. I'll let you know what I find. Anyone else have any findings or am I the only one doing excel back testing?

Whats everyones concensus on a 100 SL? Large enough for a weekly chart? Matt
I've given you my ideas already. I am creating a vb program that takes the 15m data so I can do more with it. I haven't learned (MQL is it?) Metatrader language. At least in vb I can do whatever I want.

Has anybody here been using ibfx in Metatrader since 2005? I can get the 15m data from March 8, 2006 to now, but not before. I wrote ibfx and they said they didn't offer the data. Said to ask somebody who may have it on their system already.
  • #448
  • Nov 23, 2006 11:38am Nov 23, 2006 11:38am
Check Alpari databank (just google that). They offer free data going back to 2004 I believe.

andersenws
"Youth is the trustee of prosperity." - Benjamin Disraeli
  • #449
  • Nov 23, 2006 12:11pm Nov 23, 2006 12:11pm
Quoting permanentjaun
Hey pipbird,

I assume you're referring to one of my previous posts about using different straddles for up and down weeks. You wouldn't know. All I'm saying is we may have to use different straddles for long and short trades. I haven't found a good level for the short trades yet. For long I think a +95 straddle with 50 TP and 100 SL works pretty well.

I have to look at longer time frames though. Looking at several years of data wouldn't be unheard of. My weekly chart goes all the way back to 1987. That may be a little excessive use of data. Short trades may even be a higher straddle such as 120 with a lower TP. I haven't found the happy medium yet. I got a little side tracked with things. I worry that by using a different straddle that our expected profits will go down. The data I used of one year consisted mainly of up weeks. So what happens when things reverse the next year produces more down weeks? Should I keep the 95 straddle for short trades as well in anticipation of a down year?

Using a higher straddle may even prevent more losing trades on up weeks. I'll let you know what I find. Anyone else have any findings or am I the only one doing excel back testing?

Whats everyones concensus on a 100 SL? Large enough for a weekly chart? Matt
Kamanda uses 55L and 35S for his trigger on the daily's for Cable with reported excellent results. His SL I believe is 75 and 55 respectively. Perhaps a similar ratio on the weekly's would help the short side. I think your 61 is very close on the long side for daily's and 91 looks good on the weekly long trigger. Maybe a 53 pip trigger would yield better results on the weekly shorts.
  • #450
  • Nov 23, 2006 1:16pm Nov 23, 2006 1:16pm
Quoting AL4715
Hi Angie,

Do you mind sharing with us little bit more about what you are doing. For example, what is your TP strategy, one or multiple lot, and reverse entry, etc..

Thanks in advance.

Al

Hi Al

Sorry for delay in getting back to you - manic at work and could not check thread....

I am using a very simple method.

Straddle 23 pips on London open, SL 40 pips, TP 20 pips. I lot traded. No indicators, but I do like to check what the trend is.

2 days the trade closed in the very early hours of the following day.

I place trade most days, but where there are several important news report releases for the day affecting GBP/USD pair I do not place trade.

This is rather a crude strategy at the moment. Tested only over the last month. Needs refinement for money management perhaps. Open to suggestions for improvements or anything I may have overlooked.

Regards

Angie
  • #451
  • Nov 23, 2006 1:42pm Nov 23, 2006 1:42pm
Quoting angiegiles00
Hi Al

Sorry for delay in getting back to you - manic at work and could not check thread....

I am using a very simple method.

Straddle 23 pips on London open, SL 40 pips, TP 20 pips. I lot traded. No indicators, but I do like to check what the trend is.

2 days the trade closed in the very early hours of the following day.

I place trade most days, but where there are several important news report releases for the day affecting GBP/USD pair I do not place trade.

This is rather a crude strategy at the moment. Tested only over the last month. Needs refinement for money management perhaps. Open to suggestions for improvements or anything I may have overlooked.

Regards

Angie


Hi Al,

Yesterday, I had the day off work, so was able to adjust my tp and sl throughout the day to gain 80 pips on the trade - a first for me, as I have been just setting and forgetting my trades each day.

Today, my trade did not hit my tp, so closed manually this evening at break-even. The other two times when my tp was not hit the day of the trade reached tp in the very early hours of the next day.

Hope this helps....

Angie
  • #452
  • Nov 23, 2006 2:14pm Nov 23, 2006 2:14pm
http://www.forexfactory.com/forexfor...&postcount=533

Hope it helps.

aha
Target: Trading naked.
  • #453
  • Nov 23, 2006 2:19pm Nov 23, 2006 2:19pm
Quoting aha
http://www.forexfactory.com/forexfor...&postcount=533

Hope it helps.

aha

Thanks aha, will have a look at this indicator......

Cheers
  • #454
  • Edited 3:05pm Nov 23, 2006 2:45pm | Edited 3:05pm
  •  Carlos
  • | Joined Sep 2005 | Status: Commitment, planning and discipline | 65 Posts
Hi Matt,

If Merlin checks he will notice its a link from an FXCM site, i assure u i wouldn't recommend anyone to trade with them... just my view!!

Great post although you'll probably have to edit it out soon.

Some thoughts though. If we find a system that works well with a currency, such as GBP/USD, then wouldn't we want to find currencies that actually trade very similar to it? I say this because if we can find a currency that is equally as successful on GBP/USD then we would want to use it in the hopes that when one currency hasn't triggered a trade yet, the other currency, moving in a similar but altered manner, will have triggered a trade.

uumm, i understand what your saying, but i don't think this is an ideal situation. The more diversification u can add to your trading the better, PERIOD. There are two types of risk, systematic risk and unsystematic risk. Market traders are never rewarded for systematic risk (i.e risk that can be diversified out of the portfolio by diversification of systems, markets and time frames) Please this is a very very important topic. Having institutional experience (now trying to biuld my own business) i can assure u that an employer would hammer u if u didn't respect this!!

What if the system was triggered on both currecnies at the same time, this might happen more frequently than u might expect. In this situation your risk would be doubled up, even trippled! Also to cancel orders u would need to be constantly around your computer to know when one of your entry orders has been triggered.


My thought process is that we never want more than one trade to be happening at one time. If we have two trades occuring at once we should always have the desire to have all of the funds trading in the more successful system. Why put money into a 50% successful currency when you can trade one that is 85% successful. Considering equal pip values and such, the 85% successful currency will always produce greater profit in the long run.

U can have more than one trade open at any one time if the markets are not overly correlated, yes there is intermarket analysis where all markets are linked with one another, hence why u might never have more than 3 or 4 positions open at any one time, but it is ok to have more than one trade open. Here u also talk about just trading one system, here i also say, systematic risk. All system, even 85% accurate will go through periods of drawdown (a statistical fact), also 85% accurate systems are very hard to find, my systems are based around Risk to Reward rather than % accurate

That is why we might want to look for highly correlated pairs in the hopes that they trigger equally sucessful, but at different times so that we can always have money playing the success rates. If we have a 90% successful pair it is nice, but if it only triggers 1 trade a month for 10 pips then it's not as profitable as the 70% successful system that triggers 10 trades a month. Matt[/quote]

Why not find uncorrelated pairs which trigger at diff times, catch different moves and therefore give u a smoother equity curve while having a high success rate. The best systems (as a rule of thumb) work on different timeframes and markets, it is a good test of the validity of a system. Of course small adjustments need to be made for the different market behaviours, but they should be done in an intelligent manner, with logical reasoning, rather than curve fitting. However; i do have a fantastic system which only really works on one currecny (GBPUSD) and only on the 15 min chart.

I recommend two books:

1) Designing testing and Optimization of trading Systems, Robert Pardo, Wiley Traders Advantage.

2) This book is on the practical application of Excel spread sheet modeling, includes many advanced risk management tools. Will be heavy reading if your new to this stuff.

Financial Modeling, Benningo, MIT Press


Good luck, i'm away till Tuesday on a stag weekend in Prague!!
  • #455
  • Nov 23, 2006 4:35pm Nov 23, 2006 4:35pm
Hopefully I'll catch you before you leave. You'll have to explain in a little more detail with me. I think a more detailed definition of systemic and unsystemic risk is needed.

You said that by playing correlated currencies with the same success rates is essentially doubling or even tripling the risk. The reward would also be doubled or tripled and therefore the risk/reward stays the same. Which is why I ask, why even bother trade more than one currency if you found the most successful one? This is, of course, assuming that it gives you enough trades.

Why advocate the trading of a less successful system, assuming that the different systems trigger the same number of trades? How is trading uncorrelated pairs unsystemic risk? By playing a currency with less success then you're introducing more risk into the system. I'll need a little help to understand more what you're talking about. Thanks in advance. Matt

P.S. - Happy thanksgiving all.


Quoting Carlos
Hi Matt,

If Merlin checks he will notice its a link from an FXCM site, i assure u i wouldn't recommend anyone to trade with them... just my view!!

Great post although you'll probably have to edit it out soon.

Some thoughts though. If we find a system that works well with a currency, such as GBP/USD, then wouldn't we want to find currencies that actually trade very similar to it? I say this because if we can find a currency that is equally as successful on GBP/USD then we would want to use it in the hopes that when one currency hasn't triggered a trade yet, the other currency, moving in a similar but altered manner, will have triggered a trade.

uumm, i understand what your saying, but i don't think this is an ideal situation. The more diversification u can add to your trading the better, PERIOD. There are two types of risk, systematic risk and unsystematic risk. Market traders are never rewarded for systematic risk (i.e risk that can be diversified out of the portfolio by diversification of systems, markets and time frames) Please this is a very very important topic. Having institutional experience (now trying to biuld my own business) i can assure u that an employer would hammer u if u didn't respect this!!

What if the system was triggered on both currecnies at the same time, this might happen more frequently than u might expect. In this situation your risk would be doubled up, even trippled! Also to cancel orders u would need to be constantly around your computer to know when one of your entry orders has been triggered.


My thought process is that we never want more than one trade to be happening at one time. If we have two trades occuring at once we should always have the desire to have all of the funds trading in the more successful system. Why put money into a 50% successful currency when you can trade one that is 85% successful. Considering equal pip values and such, the 85% successful currency will always produce greater profit in the long run.

U can have more than one trade open at any one time if the markets are not overly correlated, yes there is intermarket analysis where all markets are linked with one another, hence why u might never have more than 3 or 4 positions open at any one time, but it is ok to have more than one trade open. Here u also talk about just trading one system, here i also say, systematic risk. All system, even 85% accurate will go through periods of drawdown (a statistical fact), also 85% accurate systems are very hard to find, my systems are based around Risk to Reward rather than % accurate

That is why we might want to look for highly correlated pairs in the hopes that they trigger equally sucessful, but at different times so that we can always have money playing the success rates. If we have a 90% successful pair it is nice, but if it only triggers 1 trade a month for 10 pips then it's not as profitable as the 70% successful system that triggers 10 trades a month. Matt


Why not find uncorrelated pairs which trigger at diff times, catch different moves and therefore give u a smoother equity curve while having a high success rate. The best systems (as a rule of thumb) work on different timeframes and markets, it is a good test of the validity of a system. Of course small adjustments need to be made for the different market behaviours, but they should be done in an intelligent manner, with logical reasoning, rather than curve fitting. However; i do have a fantastic system which only really works on one currecny (GBPUSD) and only on the 15 min chart.

I recommend two books:

1) Designing testing and Optimization of trading Systems, Robert Pardo, Wiley Traders Advantage.

2) This book is on the practical application of Excel spread sheet modeling, includes many advanced risk management tools. Will be heavy reading if your new to this stuff.

Financial Modeling, Benningo, MIT Press


Good luck, i'm away till Tuesday on a stag weekend in Prague!![/quote]
  • #456
  • Nov 24, 2006 7:15am Nov 24, 2006 7:15am
Traderone,

Can you share the details of your modifed Kamanda version.

Thanks,
Eric

Quoting traderone
I've gotten three out of 5 this week. (14 pips vs. 20 SL) However the three wins also went along with wins for 26 and 50.

I have been playing this way... 1 lot for 14, 1 for 26, and one for 50.

This week so far I have been stopped twice then the trades were activated in the other direction for complete wins. Monday was 90 pips, Tuesday and Wednesday 30 pips each for 120 for the week. This is a LIVE IBFX account.

I'm really hoping that the accuracy increases. I am also toying with the idea of increasing the trigger range to 25 pips rather than 20. If I had played that way, I would have had no losses at all this week.

This is a great thread. I've been using a modified Kamanda method also very successfully since early last week.
  • #457
  • Nov 24, 2006 5:12pm Nov 24, 2006 5:12pm
Yes. I've had a good time over the last couple of weeks trading a kind of modified Kamanda system. You can find his posts earlier in this thread.

I have been placing straddle trades at 5 PM EST on the GBPUSD daily open.

For long trades I require a travel of 54 pips. For short trades I now use 40.

Stops were at the beginning 50 for longs and 35 for shorts. I have changed to 54 for longs and 40 for shorts. I use two lots per trade. One is set for a TP of 25 and the other for 50. Usually by around 10 AM EST I close out the second trade if not already stopped by SL or TP. I call the small trade T1 and the larger trade T2 on the enclosed spreadsheet. Started on Nov 7 and ended on Nov22. I didn't trade Friday because I still feel on Holiday! So far I like this method and it hasn't required a lot of nervous screen time.

I call it Karamba just for my own amusement. Enjoy. (282 pips so far).
Attached File(s)
File Type: zip karamba_nov22.zip   5 KB | 421 downloads
Don Life is expensive, but includes a free trip around the sun.
  • #458
  • Nov 24, 2006 10:15pm Nov 24, 2006 10:15pm
Traderone, thanks for all the details. I have been studing the kamanda replies and your reply and results. I still have a few questions.

As discussed in earlier replies it is clear that not every system has he same close (how strange that is).

Can you please help me with the following:

- First of all which broker do you use for your straddle/OCO orders

- Do you start from previous close + 55 for long and previous close - 35 for short or do you start at other starting points is it 54 and 40. Since I can not get the same close price (I'm looking at metatrader) it is difficult to analyze from your attached zip file.

- Then I see stops at 50 for long and 40 for short is this correct.

- What happened on the 17th. can you have a long and short with a straddle ??

Thank you very much for your help.
Eric

Quoting traderone
Yes. I've had a good time over the last couple of weeks trading a kind of modified Kamanda system. You can find his posts earlier in this thread.

I have been placing straddle trades at 5 PM EST on the GBPUSD daily open.

For long trades I require a travel of 54 pips. For short trades I now use 40.

Stops were at the beginning 50 for longs and 35 for shorts. I have changed to 54 for longs and 40 for shorts. I use two lots per trade. One is set for a TP of 25 and the other for 50. Usually by around 10 AM EST I close out the second trade if not already stopped by SL or TP. I call the small trade T1 and the larger trade T2 on the enclosed spreadsheet. Started on Nov 7 and ended on Nov22. I didn't trade Friday because I still feel on Holiday! So far I like this method and it hasn't required a lot of nervous screen time.

I call it Karamba just for my own amusement. Enjoy. (282 pips so far).
  • #459
  • Nov 25, 2006 12:46am Nov 25, 2006 12:46am
Hello all,

I just had a quick revelation for finding equilibriums. I've been looking at things quite awkwardly when it's all pretty simple actually.

We can't force the market to do anything. So why should we force our TP's and triggers? We should look at the data to see where the most pips are available. It is so easy.

http://img19.imageshack.us/img19/5532/graph1pn0.png

I've been looking at charts like this all day for the past couple of days. This is a chart from a weekly chart. It is for the down weeks in the last 52 weeks. The x-axis shows the frequency of the pip movements. The y-axis shows just how many pips the price moved. In this case it is for the down weeks, so the y-axis numbers are how many pips down from the open the price moved.

I've been trying to find a way to determine trigger points and TP levels. My initial reaction was to look at the curve of the overall slope and find where it changes dramatically showing points where pip movements became more radical. It's not so apparent on this chart since it's a very small data set. If you saw a chart with 1000 candles of data then you'd easily see what I'm talking about. It begins to curve up exponentially as you approach the y-axis from the right.

Anyways, it was actually looking at small data sets like that which made the simple easy to see. All we need to do is find the bar on the above chart that has the most area. For example, bar 8 would be (8)(.0253), the red lines, and bar 22 would be (22)(.0111), the yellow lines. Therefore the areas would be .2024 and .2442 respectively. Logic would then kick in and tell us more pips are possible if we play a system that only plays for the 111 pip, .0111, movement on a down move.

On the above chart the point with maximum possible pips would be playing a system that exits after -181 pips movement from open. This is because it would have happened 17 out of the 22 times allowing for a system to play with 3077 possible pips to maximize profit in a little less than half a year. From there we just have to find the efficient point that maximizes profit with a given SL.

I just had to get this down just so I don't have a brain fart and lose it even though it's such a simple concept. Instead of stabbing in the dark with numbers we at least have a starting point. We know that the most possible pips in a down movement are when we look to be out of the trade when it has moved -181 pips from open. I'm slowly trying to fill in the variables.

I have had a thought come to mind recently though. Perhaps this system isn't meant for an EA. I mean it could be, but to remain efficient maybe it shouldn't. Once I get the process down to finding the efficient points quickly it might be best to only use a years worth of data and redo the calculations once a week or daily depending on if you're playing a weekly or daily chart. So I would add this weeks data over the weekend to the calculations and take away the week that was one year ago. Since price movement evolves over time the system calculations should be able to do so as well.

Anyways, just wanted to get that out. I'll try to determine the efficient trigger point given a 100 SL and that we must exit the trade once it has moved -181 from open. Matt
  • #460
  • Nov 25, 2006 1:04am Nov 25, 2006 1:04am
Great post PJ, might it be possible to share your excel spread sheet (since you've already got the formulas in the cells) and we could divide and conquer and keep up the back test data fresh daily?? Still trying to digest all you've written in the last post but the light bulb is trying to go on. grin.

Cheers,
Thom
0 traders viewing now