Sedona- A system for inactive hours

Thanks for sharing the results. BTW, did you use an EA or manual backtesting?

I wrote this strategy in easy language and back tested and did the EMA optimization through trade station.

Can you do the same backtesting and compare these two scenarios:
1. Stop 25%, Target EMA62.
2. Stop 25%, Target EMA41.
One last question: Do you use all three positions?

Thanks

Where to Start –
I really like this strategy and I am close to over optimizing it and screwing it all up. So - I will stop tweaking things and write down some notes. I have made a few modifications to increase profitability. I am using 5 min charts instead of 15 min. I am using 110 EMA instead of 62 (41). I also pulled Friday from the available trading days. I may make it so that it trades Friday but closes any open position at 3pm (cst). That is still in the works so I do not have any results for that yet.

I do not run strategy with 3 lots trading at the same time. I run it 3 separate ways.

Level1 – sell/buy the high/low of the range
Level2 – sell/buy 10% off of the high/low range
Level3 – sell/buy at the market at 11am if current price is between high/low and 20% of high/low of the range

I have run the stops 2 ways – 1 way uses a 1.00 stop loss and the other way is sahamdarjoz idea of using 25% off of the high/low of the range as a stop loss. Both work fine but sahamdarjoz 25% rule did eek out a bit better in the battle for max-drawdown (roughly 5k).

Level 3 with no trade Friday and sahamdarjoz stop had the best overall results. If you look at one of my last post with the performance report attached you will see a big drawdown early this year. Making these adjustments I have gotten rid of that dip. I am sure none of this makes sense to anybody because I have no idea what I am talking about right now but feel free to ask me questions.

Mike

Mike,
Nice job. I have two questions, though:
1. How do you know that there would be no higher high after 11 am?
2. In each level, do you follow three positioning? I mean three orders at 0,10 and 20%?
I sit tight to see your backtesting results.

Mike, it doesn't appear from the previous results you posted that you are exiting any open position before for the start of the active session at 8 pm ET. Are you just letting all positions run until the TP or stop is hit?

Answers,

1. I don’t know if the market will go higher/lower after 11am. I use the “active session” high/low as entry positions and to do the 10-20% calculations.
2. I do not use all 3 positions. I only trade 1 lot at each level and test it that way.

I will attach a pic to see what a Level 1 order entry would look.

The orginal system rules said to exit all open positions before the start of the active session. Is this how you are doing it Mike?

Kendal, sorry for not responding to your post from a few days ago. I kept looking on page 15 not 16 and I did not see you post until I posted today. You are correct that I did not have a time exit on my first set of results. I have written this strategy 12 different ways. On a few of them I use an exit before active session. I am running some out of sample data right now and matching trades to see which way works better.

With my “all available data” back testing it did better with out an exit at active hours. It did better by 4% win/loss. 78%-vs-82%.

Does anyone know where you can get a descent fixed spread on GBP/JPY? 2-3 pips. I see 8-9 mostly.

What about the average win and loss? How does it change that?

If you are trading during "off hours" for this pair, best you can probably do in the retail sector maybe 4-6 at Dukascopy +comm, 7 at Oanda, 5-6 at MB/EFX +Comm...???
Doubt you will even find 2-3 on a Currenex platform....'cept during peak hours ( maybe )

I use Interactive Brokers, and spread does go to 2-3 pips, most common is 3 pips. But the comm and swap calculations a bit different.

Hope this helps.

FxJarhead and jasonowl, thank you for your feedback. I think IB is the way to go. Jasonowl, I see in the IB website that they offer the GBP/JPY as JPY/GBP – is that true or is that a typo on the web page. It is not a big deal but it will help me get a head start with programming with the API.

IB allows inter-changability. I've no problems with GBP/JPY.
As you can see the spread is 2 pips at the time of taking this sreenshot.

Hope this helps..
http://img36.picoodle.com/img/img36/...nm_8d98703.jpg

Hey Mike....Just an update to your question.

My PFG Currenex did have gpd/jpy floating around a 3 spread during "off peak" hours. A few times it did hit 2, though I'd say count on 3 as it seemed more prone to be 3 wide.
Hope that helps along with IB

Here is the latest manual (pessimist!) backtest I've done. It consist of about 700 positions (19 month of data) and including spread (8 pips):
initial eq.: $ 1000
Risk per position: 0.5%
Start: 9 Nov. 2005
End: 28 Jun. 2007
Total P/L: $ 800.38 (80.04%)
P/L per month: $ 42.13 (4.2%)
% win: 73
Average win: 21
Average loss: -31
Total pips= 4682
Max. Draw down= -18.90%
Losing months: 2 month (10.5%)
Max gain ( & loss) in a month: 8.7% (& -5.9%)

Here's more backtesting results....entry using normal rules@ high/low +/- 3 pips. Exit at limit, or end of session (03:00 GMT). The parameters are in the filename:

RANGE_<pair>_stop<stop distance>_lim<limit>_th3<pips above low, below high to enter>

--risk=<basis points to risk (3% in these examples)
...starting equity = $10000
...in most cases, data starts in 2004, ends in 2007

As you can see...this system is pretty nice. I'll be trying more pairs as I get more data. BTW, I've tested EUR/USD, and EUR/JPY. They don't work for some reason. USDCHF almost works, but not very well. The parameters below represent some of the better settings, but the systems works on a wide variety of settings...

$ ../analyze.pl --input=RANGE_GBPUSD_stop70_lim40_th3 --risk=300
num_trades: 245
num_wins: 154
num_loss: 91
average win: 23.5584415584416
average loss: -23.8571428571429
average trade: 5.9469387755102
biggest win: 40
biggest loss: -70
biggest drawdown: 171
total pips: 1457
risk: 0.03
biggest dollar gain: 307.699026170607
biggest dollar loss: -555.127109070683
biggest dollar drawdown: 862.320607157402
biggest dollar drawdown percentage: 7.20416405323425
average gain per trade: 33.9380339965376
account: 18314.8183291517

$ ../analyze.pl --input=RANGE_USDCAD_stop50_lim25_m6_th1 --risk=300
num_trades: 202
num_wins: 147
num_loss: 52
average win: 13.0952380952381
average loss: -15.1923076923077
average trade: 5.61881188118812
biggest win: 15
biggest loss: -35
biggest drawdown: 130
total pips: 1135
risk: 0.03
biggest dollar gain: 326.677936404871
biggest dollar loss: -711.640062993826
biggest dollar drawdown: 2628.09721789552
biggest dollar drawdown percentage: 10.7023450286276
average gain per trade: 79.2062591289465
account: 25999.6643440472

$ ../analyze.pl --input=RANGE_USDJPY_stop30_lim15_m5_th3 --risk=300
num_trades: 495
num_wins: 331
num_loss: 159
average win: 13.5347432024169
average loss: -21.5345911949686
average trade: 2.13333333333333
biggest win: 15
biggest loss: -30
biggest drawdown: 231
total pips: 1056
risk: 0.03
biggest dollar gain: 419.946973738377
biggest dollar loss: -852.492356688906
biggest dollar drawdown: 3835.68598796643
biggest dollar drawdown percentage: 21.2556989610852
average gain per trade: 33.4689049871766
account: 26567.1079686524


$ ../analyze.pl --input=RANGE_AUDUSD_stop30_lim15_m5_th3 --risk=300
num_trades: 446
num_wins: 285
num_loss: 148
average win: 12.2771929824561
average loss: -12.7027027027027
average trade: 3.63004484304933
biggest win: 15
biggest loss: -30
biggest drawdown: 90
total pips: 1619
risk: 0.03
biggest dollar gain: 751.002418280175
biggest dollar loss: -1510.43045183321
biggest dollar drawdown: 3230.1578933774
biggest dollar drawdown percentage: 8.78455074515168
average gain per trade: 85.8777746556087
account: 48301.4874964015

$ ../analyze.pl --input=RANGE_GBPJPY_stop60_lim30_m6_th5 --risk=300
num_trades: 214
num_wins: 149
num_loss: 63
average win: 26.744966442953
average loss: -30.3333333333333
average trade: 9.69158878504673
biggest win: 30
biggest loss: -60
biggest drawdown: 241
total pips: 2074
risk: 0.03
biggest dollar gain: 411.540823380571
biggest dollar loss: -757.487539338355
biggest dollar drawdown: 1863.44123995019
biggest dollar drawdown percentage: 11.46683187477
average gain per trade: 81.8419460369996
account: 27514.1764519179

I've done lots of sedona system backtesting and research....check out:

http://londonsession.blogspot.com/

Can you please post the TS code (with or without RSI) ?