GBPUSD Breakout Trading System

I have been looking through the different threads, and am not sure if a system like the one below has been discussed. Any comments or suggestions would be appreciated.

On the daily chart, find the opening price of the GBPUSD (00:00 GMT)
Place a buy +50 pips from this level
Place a sell -50 pips from this level
Put a 50 pip stop on each order
If either order is triggered, let the trade run until the next day, and close at 00:00 GMT and set up another set of orders as described above.

Since Jan 2nd 2007 to May 31 2007, this system would have produced 837 pips.

Any comments would be helpful.
Thanks.

I did a check for the month of April and ended up with a net gain of + 53 pips. Just curious as to what your result was for that month and could you post the net results for each month you looked at?

You can also make pips too if you do the opposite:

On the daily chart, find the opening price of the GBPUSD (00:00 GMT)
Place a sell +50 pips from this level
Place a buy -50 pips from this level
Put a 50 pip stop on each order

As long as you remain consistent and stick to the plan ...

I assume you cancel the other order if the first is triggered?

 

1. Hmm wonder what would happen if you did them both on separate sub accounts.
2. And then use something like VFP MM to re-distribute the wealth between them (ie. ala ~chaffcombe on O&A) That is use competition to allow the version that is getting the winning streak (ie trending or range bound) to have a larger pot of money at 00:00 GMT.

The reason it say this is that i always wonder if the goal is to have one great system thats always works(good luck) or a portfolio of systems that are all sound in their own right but will obviously have periods of drawdown.

Now if they both make money overall but profits are -ve correlated then would you get a smoother equity curve?

A smoother curve must be benificial as you can *safely* leverage smooth equity curves -vs- rollercoasters.


just some random thoughts, i like both variations..

Big Sky Trading / Schminner,
Have you guys had any real success with these types of systems? I ask as I am about to become Time-Poor and something like this would be easy to accomodate.
These types of systems always seem a little to simple to me

Palmer,
For April I had +58....so we are pretty close. I will post my results for prior months a little later.

How did you do for May?

My testing spread sheet is a little off, I did it by week and not entirely by month....so the weeks of May, have a few days of June in it but I got 295 pips.

For anyone interested, I found a great thread that is using a similar method that I have outlined:
http://www.forexfactory.com/showthread.php?t=9286

It seems like it is a profitable system. The thread is kind of long and gets off track a bit....but it has a lot of good information.

I'm a newbie to the Forex world and I've looked at it long enough to know that I wouldn't have the time to watch the market and the technical analysis like I'm supposed. You're averaging about 167 pips per month, which isn't bad depending on your leverage. This looks like something that might work for me. I imagine you still have to watch your calendar and the currency news or maybe the setup will take care of any suprises? How do the fundamentals affect this stradegy or does it even matter? Please keep us posted on your results. Just trying to learn here.

The way I look at it is that when backtesting, I didn't know what reports were released that particular day....so I shouldn't take any fundamental news reports in account when trading this system. Sometimes that is easier said than done.

I like that approach never have really used it. I am wondering if you would get better results over all with different entry and exit then 50/50. Below shows how many times the gbp usd has moved compared to last year. It's range of motion is considerably less. For example the chart shows this year gbpusd has moved 100 pips from top to bottom 66 times compared to 98 for the same time last year. One less trading day. Obviously the top and bottom is not necessarily the same as the opening of gmt00.

I have tested this system and I have come to the general opinion that it is not viable after the spread is added in. I would look at getting in during lower volatility or trading with the longer term trend.

Although, you are dead right, April was a good month for this system.....its just the rest of them that is a problem


Used an MAE analysis to program my stops.
http://img142.imageshack.us/img142/7...mmaeanase8.jpg


Used only the most profitable days of the week.

http://img124.imageshack.us/img124/9...mmfeananq8.jpg



http://img142.imageshack.us/img142/1...meceurudk6.jpg

http://img124.imageshack.us/img124/7...mmonthlsc1.jpg

Mongoose,
Thanks for your work, however I do have a question...you posted a similar backtest for the thread "daily range strategy"...this system is essentially the same except it does not take profit at a predetermined level. What inputs did you do differently here? Thanks again.

The test on the "Daily Range Strategy" thread Pg52 was run on the EURUSD, and your was run on the GBPUSD. The results are practically identical for both systems when run on the same pairs.

Basically you are running a variation of the Turtle breakout system which you have specifically modified for FOREX. Whilst Turtle Breakouts were arguably the best system to date, it's performance has dwindled as it became more popular. To keep ahead of the herd people have traded the longer breakouts, fakeouts, divergence, pullbacks etc.

For us to keep ahead of the herd which is trying to keep ahead of the original herd, we need fresh ideas and twists.

For example, you can filter the system with breakouts within breakouts which is quite a good strategy on stocks i.e. There is a system called techTrader which a few Aussies trade and it buys the second breakout. I have tested it on several pairs and with the modified DoF inputs, it works rather well on FOREX on several pairs on several timeframes. A twist like this might be good to explore?

When I design short term systems I always look for a twist or to catch the market on the wrong foot.

Another example of this could be the incorporation of variant perception. For example, if last month was a reporting month and the GBPUSD rallied strongly upwards, then you could take down side breakouts only on the following two months.

You can also take breakouts in the direction of the pairs with the highest positive yields since it seems that everyone is taking flight to high yielding pairs. Simply overlaying the charts with bond spreads gives some valuable insights about which currency is flavour of the month. (Obviously the GBPUSD at the moment).

My Big Sandwich system took the idea of Bollinger Bands, and just used the ema of the highs and lows as the twist. It also does the opposite to the short term crowd.....I mean who the heck would buy the USDJPY now off the daily charts???? ..... well me, I'm in at 12264

Don't get me wrong, it isn't easy. I have about 5 A3 notebooks with over 40 systems, most of which were canned. I have been keeping this journal of systems for over 12 years and only a handful made it to the live tradng stage.

what happens if you get stopped out 5 days in a row .how do you cover your loss

As long as your system has a positive expectancy and has not traded outside of the expeted parameters, then I just keep trading.

Your money management should protect you in drawdowns so that you do not go broke.

http://www.timecrunchtrading.com/boo...n-required.gif

this is a good system, especially, if you can monitor the trade/s

anyone looked at it for the London open instead?

Try this one, instead: http://www.forexfactory.com/showthread.php?t=208170

Working great, so far.