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Daily95pips

  • #401
  • Sep 17, 2007 10:11am Sep 17, 2007 10:11am
Hi bullrock, what software do you use for analysis?

thanks
  • #402
  • Sep 17, 2007 11:24am Sep 17, 2007 11:24am
I have been enjoying the posts on this thread. WRT Daily95 or BKSujal range system, what about using the GBP pairs such as GBPJPY, GBPUSD, GBPAUD, GBPCHF? These are the big movers of the day. I have found the EURUSD to be difficult to trade with these methods because it only moves 95 pips per day, but I have seen positive results nonetheless. Keep posting on this thread. Thanks
  • #403
  • Sep 17, 2007 3:21pm Sep 17, 2007 3:21pm
Should not the WRT Daily95 be used on the pairs that trend the most, and the BKSujal range system be used on the pairs that trend the least?
Vincit qui se vincit.
  • #404
  • Edited Sep 18, 2007 2:43pm Sep 17, 2007 4:12pm | Edited Sep 18, 2007 2:43pm
Daily95pips:

Date: Monday 17 September 2007
GBPUSD +95
GBPJPY +95
USDJPY no touch
EURJPY no touch
EURUSD no touch

Total: +190pips

Comment: A continuation of downtrend on GBPUSD and GBPJPY. Although USDJPY and EURJPY went in the same direction, they didn't break the previous days low. EURUSD didn't move much at all.

Date: Tuesday 18 September 2007
GBPUSD +15
GBPJPY +95
USDJPY +95
EURJPY +15
EURUSD +15

Total: +235pips

Comment: I've started adjusting the stoploss on the 2 remaining positions to breakeven after the first profit target has been reached. Also, once the long or short orders are triggered I will manually cancel the opposite orders ie. if the long orders are triggered I will cancel the short orders of the same pair and visa versa.



bksujal:

Date: Monday 17 September 2007
GBPUSD -60
GBPJPY -60
EURJPY +40

Total: -80pips

Comment: Have adjusted SL to 60pips while keeping TP at 40pips.

Date: Tuesday 18 September 2007
GBPUSD +40
GBPJPY -60
EURJPY +40

Total: +20pips

Comment: A set 60SL for GBPJPY may still not be enough to cover it's volatility. It stands to reason that if a larger stop is used a higher profit target is also justified. The 60SL for GBPUSD and EURJPY seems to be ok so far, though a higher profit target may also be feasible.
  • #405
  • Sep 17, 2007 5:59pm Sep 17, 2007 5:59pm
Mike,
The results you just posted for 9/17/07, when did you do set up these trades, Sunday 5 EST?
Thansk,
rion
  • #406
  • Sep 18, 2007 1:37am Sep 18, 2007 1:37am
Quoting vder
Hi bullrock, what software do you use for analysis?

thanks
My own stuff... But also matlab, excel, c++ the usual stuff at hand. The data is coming from Metatrader or eventually from other sources (Bloomberg)
.
  • #407
  • Sep 18, 2007 1:38am Sep 18, 2007 1:38am
Quoting bullrock
I am gonna post new calculations tonight.
Due to a very busy period I could not post them. I am not ready I will later this week.
.
  • #408
  • Sep 18, 2007 2:12am Sep 18, 2007 2:12am
Quoting rion0529
Mike,
The results you just posted for 9/17/07, when did you do set up these trades, Sunday 5 EST?
Thansk,
rion
Monday (here in Brisbane) is an exception for me ( it may not be for everyone ) because my brokers spreads (Oanda) are still very wide at that time. So I had to wait until around 8pm EST before placing those trades. This will most likely be the norm for me each week. However, those whose brokers do not have wide spreads could place their trades at 5pm EST. That's your call. From memory, on this occasion to do so would've resulted in losses, so I'm grateful to Oanda for this.

mike
  • #409
  • Sep 18, 2007 2:19am Sep 18, 2007 2:19am
Quoting mikelath
Monday (here in Brisbane) is an exception for me ( it may not be for everyone ) because my brokers spreads (Oanda) are still very wide at that time. So I had to wait until around 8pm EST before placing those trades. This will most likely be the norm for me each week. However, those whose brokers do not have wide spreads could place their trades at 5pm EST. That's your call. From memory, on this occasion to do so would've resulted in losses, so I'm grateful to Oanda for this.

mike
I am trading with OANDA too. For the same reason as you do I open trades at 5am GMT.
.
  • #410
  • Sep 18, 2007 2:31pm Sep 18, 2007 2:31pm
Quoting bullrock
My own stuff... But also matlab, excel, c++ the usual stuff at hand. The data is coming from Metatrader or eventually from other sources (Bloomberg)
Hey Bullrock,
What kind of language are you using in Excel for backtesting? I have access to 15 min. data from the past year+ through FXCM and would like to backtest some of the strategies in this thread. Thanks
  • #411
  • Sep 18, 2007 2:48pm Sep 18, 2007 2:48pm
Quoting Bioquim
Hey Bullrock,
What kind of language are you using in Excel for backtesting? I have access to 15 min. data from the past year+ through FXCM and would like to backtest some of the strategies in this thread. Thanks
VBA mostly... Some statistical analysis are in form of Excel add-ins that I have written in C++
.
  • #412
  • Sep 18, 2007 9:50pm Sep 18, 2007 9:50pm
hey bullrock, for someone who is not good at programming, what program would you recommend for backtesting? I would love to back test more but I am not that good at it.

thanks.
  • #413
  • Sep 18, 2007 10:38pm Sep 18, 2007 10:38pm
Quoting vder
hey bullrock, for someone who is not good at programming, what program would you recommend for backtesting? I would love to back test more but I am not that good at it.

thanks.
Most of the time an excel sheet will do. There are some free tools and very expensive ones. The question is: what do you want to do? You could use Metatrader but I tell you that is rubbish in backtesting. Often the automated backtest I have done showed looser strategy than I have done a manual calculation and it showed winner. I'll find you a list But for example you have Metaquotes, Tradestation, Sierra charts... there is another two. They are top of the range just cannot remember I will PM you later with the details. I have to find the links.
.
  • #414
  • Sep 18, 2007 11:53pm Sep 18, 2007 11:53pm
wow thanks bullrock! i have always heard that the metatrader one was too shaky. I just wanted to be able to test strategies etc like breakouts and crossover systems that use indicators like MA's and stochs.

appreciate it
  • #415
  • Sep 19, 2007 1:30am Sep 19, 2007 1:30am
Quoting vder
wow thanks bullrock! i have always heard that the metatrader one was too shaky. I just wanted to be able to test strategies etc like breakouts and crossover systems that use indicators like MA's and stochs.

appreciate it
For that a simple spreadsheet would do... Put your historical data in one part... based on that your MAs and Stochs.. and then calculate on simple logic your entries and exits... This is done .off you go ... if you want I can send you a template... But this is off topic here... PM me your e-mail.
.
  • #416
  • Sep 19, 2007 4:15pm Sep 19, 2007 4:15pm
the biggest problem i see is placement of stop loss, if they are too big then risk/reward ratio goes bad if small then you get stopped out of win trade. any one have any ideas ?. i was thinking wat if instead of using low of previous day why not use close of previous day to go short if the candle's close is higher and visa versa for long if the close is lower. any one wants to suggestion on stop loss ?

cheers
  • #417
  • Edited Sep 20, 2007 4:24pm Sep 19, 2007 4:26pm | Edited Sep 20, 2007 4:24pm
Daily95pips:

Date: Monday 17 September 2007
GBPUSD +95
GBPJPY +95
USDJPY no touch
EURJPY no touch
EURUSD no touch

Total: +190pips

Comment: A continuation of downtrend on GBPUSD and GBPJPY. Although USDJPY and EURJPY went in the same direction, they didn't break the previous days low. EURUSD didn't move much at all.

Date: Tuesday 18 September 2007
GBPUSD +15
GBPJPY +95
USDJPY +95
EURJPY +15
EURUSD +15

Total: +235pips

Comment: I've started adjusting the stoploss on the 2 remaining positions to breakeven after the first profit target has been reached. Also, once the long or short orders are triggered I will manually cancel the opposite orders ie. if the long orders are triggered I will cancel the short orders of the same pair and visa versa.

Date: Wednesday 19 September 2007
GBPUSD +15
GBPJPY nt
USDJPY nt
EURJPY nt
EURUSD nt

Total: +15pips

Comment: Moving the stops up to breakeven locked in +15pips for cable. It was more of a ranging day as none of the other pairs triggered.

Date: Thursday 20 September 2007
GBPUSD nt
GBPJPY +45
USDJPY +95
EURJPY +95
EURUSD +95

Total: +330pips

Comment: The 3rd PT on GBPJPY was not quite reached. GBPUSD didn't move much. The other pairs speak for themselves.




bksujal:

Date: Monday 17 September 2007
GBPUSD -60
GBPJPY -60
EURJPY +40

Total: -80pips

Comment: Have adjusted SL to 60pips while keeping TP at 40pips.

Date: Tuesday 18 September 2007
GBPUSD +40
GBPJPY -60
EURJPY +40

Total: +20pips

Comment: A set 60SL for GBPJPY may still not be enough to cover it's volatility. It stands to reason that if a larger stop is used a higher profit target is also justified. The 60SL for GBPUSD and EURJPY seems to be ok so far, though a higher profit target may also be feasible.

Date: Wednesday 19 September 2007
GBPUSD +50
GBPJPY +80
EURJPY +50

Total: +180pips

Comment: A classic ranging day. Now using 80TP, 100SL on GBPJPY and will change to 60TP, 60SL for GBPUSD and EURJPY.

Date: Thursday 20 September
GBPUSD nt
GBPJPY +80
EURJPY +92

Total: +172pips

Comment: Both short and long orders were triggered on EURJPY. Because the range was relatively tight, the profit target of the short trade was close to the entry for the long. I manually closed out the long trade for +32pips. Will consider 1:1 risk/reward on GBPJPY as suggested by sameer666.
  • #418
  • Sep 20, 2007 10:47am Sep 20, 2007 10:47am
Quoting mikelath
Daily95pips:

Date: Monday 17 September 2007
GBPUSD +95
GBPJPY +95
USDJPY no touch
EURJPY no touch
EURUSD no touch

Total: +190pips

Comment: A continuation of downtrend on GBPUSD and GBPJPY. Although USDJPY and EURJPY went in the same direction, they didn't break the previous days low. EURUSD didn't move much at all.

Date: Tuesday 18 September 2007
GBPUSD +15
GBPJPY +95
USDJPY +95
EURJPY +15
EURUSD +15

Total: +235pips

Comment: I've started adjusting the stoploss on the 2 remaining positions to breakeven after the first profit target has been reached. Also, once the long or short orders are triggered I will manually cancel the opposite orders ie. if the long orders are triggered I will cancel the short orders of the same pair and visa versa.

Date: Wednesday 19 September 2007
GBPUSD +15
GBPJPY nt
USDJPY nt
EURJPY nt
EURUSD nt

Total: +15pips

Comment: Moving the stops up to breakeven locked in +15pips for cable. It was more of a ranging day as none of the other pairs triggered.



bksujal:

Date: Monday 17 September 2007
GBPUSD -60
GBPJPY -60
EURJPY +40

Total: -80pips

Comment: Have adjusted SL to 60pips while keeping TP at 40pips.

Date: Tuesday 18 September 2007
GBPUSD +40
GBPJPY -60
EURJPY +40

Total: +20pips

Comment: A set 60SL for GBPJPY may still not be enough to cover it's volatility. It stands to reason that if a larger stop is used a higher profit target is also justified. The 60SL for GBPUSD and EURJPY seems to be ok so far, though a higher profit target may also be feasible.

Date: Wednesday 19 September 2007
GBPUSD +50
GBPJPY +80
EURJPY +50

Total: +180pips

Comment: A classic ranging day. Now using 80TP, 100SL on GBPJPY and will change to 60TP, 60SL for GBPUSD and EURJPY.
just as a thought adjusting stop loss greater than take profit require a system to have a 80% or may be more. and stop losses is one of the most confusing. as if u take close price - x(value) for short and high + x(value) for long the system works but at time the both are triggered but to take one must be closed but if the stop loss are too tight then as i said before u might get stopped from a winning trade and if they are large they might keep ur losses run far too long. the only thing i can suggest is 1:1 ratio for stop at the moment, if some one have any better suggestion


good day
  • #419
  • Sep 20, 2007 11:05am Sep 20, 2007 11:05am
Hi Bullrock,

Can you help to calculate the retracement impact on the following strategy:
1) Whenever the current day's high exceeds the prior day's high + 5 pips, 94% of the time over the last eight years the current day's high will travel at least an additional 10 pips.
2) The problem is that sometimes when the current day's high exceeds the prior day's high + 5 pips, a retracement will also occur before it corrects and travel the additional 10 pips.
3) My question is this... how many times among the 94% of times that a success was obtained did the pips retrace more than 40 pips or 30 pips before correcting and going back up to a success?
4) This was with the GBPUSD; however, I believe there's a similar pattern with other pairs as well.
5) Going short with this same strategy, the success rate was 85.7%

Walt
  • #420
  • Sep 20, 2007 5:04pm Sep 20, 2007 5:04pm
Just a quick note for newbies to the thread:

As suggested by bullrock, using both the Daily95pip and bksujal strategies will hedge against times when the market is either trending or ranging.
We can see from this weeks results that both are proving profitable, though this may not always be the case. Thus, the hedging approach.

mike
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