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The Daily Fozzy Method

  • #1,461
  • Jan 2, 2007 8:08pm Jan 2, 2007 8:08pm
By the way, willf,

is the 50 level literally just the line that crosses the y-axis of the RSI window at 50?
  • #1,462
  • Jan 2, 2007 8:14pm Jan 2, 2007 8:14pm
Quoting Lamdun
By the way, willf,

is the 50 level literally just the line that crosses the y-axis of the RSI window at 50?
Yes. You can set a horizontal bar at the 50 level but it's easier to set a level from the RSI indicator.
Attached Image
  • #1,463
  • Jan 2, 2007 8:18pm Jan 2, 2007 8:18pm
Quoting mungo
Willf,
Would love to see your results (and the SL etc criteria used).
You should be energised today.....your lads batted well.....

Mungo
I take it you are talking about the cricket? Sorry, don't follow it.
  • #1,464
  • Jan 2, 2007 9:00pm Jan 2, 2007 9:00pm
ahh, i see. Thanks. What is the advantage of using the 50 level over the bollinger band?
  • #1,465
  • Jan 2, 2007 9:15pm Jan 2, 2007 9:15pm
Quoting willf
Ok here's the results of my backtest as promised.

The test was done manually (metatrader, pen, paper & calculator) so it's not 100% perfect but close enough. Yes it took ages. About 10 days to do.

The time period was Jan 06 until Nov 21 (before the big increases over thanksgiving).

The basic Fozzy setup was done without the bollinger bands. A 50 level was set on the RSI.

If the RSI crossed above the MA and the RSI was above the 50 level I went long.

If the RSI crossed below the MA and the RSI was below the 50 level I went short.

If the RSI crossed the MA but did not cross the 50 level I allowed two bars (two days) for it to do so if it crossed after that it was not traded.

Stops were placed at the previous days high or low.

Two trades were taken at the same time. The first trade was set at the nearest Vegas fib level. The second trade was set at the second Vegas fib level.

Once the first trade was hit the second trade was set to break even and allowed to continue until it hit it's target or was stopped out.

I tried to back test this as mechanically as possible without any discretion.

Maybe better results could be achieved with discretion. But on the other hand some trades that looked over/over sold worked out anyway. So maybe it's swings and roundabouts.
Thankyou Willf...brilliant!!
  • #1,466
  • Edited 9:27pm Jan 2, 2007 9:15pm | Edited 9:27pm
Thanks willf for posting your results. Very enlightening and encouraging! I know how time consuming such an exercise is so this is very much appreciated.

Can you please confirm that the PIPS are net i.e. include losses?

Also wondering what time your daily candles close?

Thanks again and Happy trading!




Quoting willf
Ok here's the results of my backtest as promised.

The test was done manually (metatrader, pen, paper & calculator) so it's not 100% perfect but close enough. Yes it took ages. About 10 days to do.

The time period was Jan 06 until Nov 21 (before the big increases over thanksgiving).

The basic Fozzy setup was done without the bollinger bands. A 50 level was set on the RSI.

If the RSI crossed above the MA and the RSI was above the 50 level I went long.

If the RSI crossed below the MA and the RSI was below the 50 level I went short.

If the RSI crossed the MA but did not cross the 50 level I allowed two bars (two days) for it to do so if it crossed after that it was not traded.

Stops were placed at the previous days high or low.

Two trades were taken at the same time. The first trade was set at the nearest Vegas fib level. The second trade was set at the second Vegas fib level.

Once the first trade was hit the second trade was set to break even and allowed to continue until it hit it's target or was stopped out.

I tried to back test this as mechanically as possible without any discretion.

Maybe better results could be achieved with discretion. But on the other hand some trades that looked over/over sold worked out anyway. So maybe it's swings and roundabouts.
  • #1,467
  • Jan 3, 2007 4:26am Jan 3, 2007 4:26am
Thanks Willf, most illuminating, and pretty impressive too. Long may the 'system' continue to work!!
  • #1,468
  • Jan 3, 2007 5:13am Jan 3, 2007 5:13am
Will

Thanks a lot for the spreadsheet which you posted, sure it has taken a lot of work to prepare it.

Which risk model did you apply to vagas fib levels for your targets, as first and second levels have been used for this purpose? Is it the same model for all pairs?

You waited 2 days for cross of 50 level after cross of MA by RSI, does the 2 days include the day of MA cross?

And finally does cross of 50 level not end up with taking trades on this cross without regard for MA cross?

In any event the results are excellent.

Regards

howard
Regards
  • #1,469
  • Jan 3, 2007 8:50am Jan 3, 2007 8:50am
hello there

i read through this thread , yet can't read all of 99 pages..

can any 1 post the important: posts (indicators) to read (apply) ..

i got a clue about how to use MA(8) , RSI(8) ,BB(20,2) in this method ..

all the best
  • #1,470
  • Jan 3, 2007 8:53am Jan 3, 2007 8:53am
Quoting williamk
Thanks buddy it worked perfectly


Bill
Bill, they are exponential, not simple moving averages..

Jason
  • #1,471
  • Jan 3, 2007 9:25am Jan 3, 2007 9:25am
Thank you for your time and effort. The results are excellent.

Quoting willf
Ok here's the results of my backtest as promised.

The test was done manually (metatrader, pen, paper & calculator) so it's not 100% perfect but close enough. Yes it took ages. About 10 days to do.
...
So far so good.
  • #1,472
  • Jan 3, 2007 12:38pm Jan 3, 2007 12:38pm
Quoting Lamdun
ahh, i see. Thanks. What is the advantage of using the 50 level over the bollinger band?
I personally think you can get more trades than using the Bollinger bands. Also you seem to be trading with the trend more often.

Quoting msblanchet
Can you please confirm that the PIPS are net i.e. include losses?

Also wondering what time your daily candles close?
Yes. The pips are net after losses were taken into account. My daily candles starts at 10.00PM GMT

Quoting howard
Which risk model did you apply to vagas fib levels for your targets, as first and second levels have been used for this purpose? Is it the same model for all pairs?
All pairs were tested using Vegas models 1 & 3 except EURGBP and EURCHF which I use a modified version with lower fibs because of the smaller movements of these pairs. I use models 0,1 & 3. Model 0 would give filbs at 34,55 & 89

Quoting howard
You waited 2 days for cross of 50 level after cross of MA by RSI, does the 2 days include the day of MA cross?
I wait two days after a cross of the MA for the RSI to go above/below the 50 level. So yes three days total.

Quoting howard
And finally does cross of 50 level not end up with taking trades on this cross without regard for MA cross?
No. The RSI just has to be above the 50 level. Usually it will cross the MA and cross the 50 level at the same time. But trades where the RSI was already above 50 and then crossed the MA were taken also.

Perhaps a pic will explain better.
Attached Image
  • #1,473
  • Edited 1:40pm Jan 3, 2007 1:26pm | Edited 1:40pm
Hi Wilff,
Very good piece of work! I have studied your summary and tried to "replicate"your process and have a question. I have attached below a pic to illustrate.

Pair: GBPCAD
Date: 3 Feb 2006
Position: short (RSI cross and RSI<50)

I have included in the pic the Vegas #1 model (dashed greenish lines) and the Vegas #3 model (red lines).

The trade:
1. you enter 2 lots at close of day, tp1 at Fib1 level (first red one in this case) and tp2 at Fib2 level (second red one in this case)
2. the day after, lot1 hits tp, however what happens to lot2?

I see options:
a) tp gets hit, so s/l for lot2 is moved to B/E and is stopped out due to pull back ?
b) OR tp gets hit, s/l is not moved as you move it only at end of day and during the day tp2 gets hit so 2 profit trades?

What did you use in backtesting?

Tks, Poekmeister.
Attached Image
  • #1,474
  • Edited 1:57pm Jan 3, 2007 1:46pm | Edited 1:57pm
Quoting poekmeister
Hi Wilff,
Very good piece of work! I have studied your summary and tried to "replicate"your process and have a question. I have attached below a pic to illustrate.

Pair: GBPCAD
Date: 6 Feb 2006
Position: short (RSI cross and RSI<50)

I have included in the pic the Vegas #1 model (dashed greenish lines) and the Vegas #3 model (red lines).

The trade:
1. you enter 2 lots at close of day, tp1 at Fib1 level (first red one in this case) and tp2 at Fib2 level (second red one in this case)
2. the day after, on feb 7, lot1 hits tp, however what happens to lot2?

I see options:
a) tp gets hit, so s/l for lot2 is moved to B/E and is stopped out due to pull back ?
b) OR tp gets hit, s/l is not moved as you move it only at end of day and during the day tp2 gets hit so 2 profit trades?

What did you use in backtesting?

Tks, Poekmeister.
Yes. I have that actual trade listed. The bar that indicated the trade was on a Friday so you couldn't have actually entered the trade until Sunday.

It reopened (on my chart) exactly on your first fib line. I set my first TP at your second fib line and my second TP at the next fib level again.

The second TP never happened and it would have hit the stop. Which by then was set at break even.

All new trades were calculated off the opening of the next bar. Since the Fozzy method is for trades to be done once a day I based the movement of stops etc accordingly.

On ocassions though some trades hit the first TP then moved back the opposite way and beyond what would have been the breakeven point. If this happened the second TP was closed and recorded as a minus figure.
Attached Image
  • #1,475
  • Jan 3, 2007 1:57pm Jan 3, 2007 1:57pm
Quoting willf
Yes. I have that actual trade listed. The bar that indicated the trade was on a Friday so you couldn't have actually entered the trade until Sunday.

It reopened (on my chart) exactly on your first fib line. I set my first TP at your second fib line and my second TP at the next fib level again.
Ok. So you have used the open price of the entry bar (1st bar after signal)

Quoting willf
The second TP never happened and it would have hit the stop. Which by then was set at break even.
Ok. So you move the S/L for lot2 to B/E during the day and do not wait until the end of the day.

The reason for me asking is that I cannot trade during the day (at least not for now ) and need to trade in a set and forget manner or use the ManageTakeProfit ea to manage move of S/L to B/E.

Last question. Did you do more analysis on the impressive list of backtesting? I mean, have you constructed e.g. equity curve of backtesting, # of loosing weeks, avg gain vs avg loss. I am not sure if you want to share some of this and would respect your position not to, but hey I needed to ask

Thanks again Willf, real good stuff.
Poek
  • #1,476
  • Jan 3, 2007 2:06pm Jan 3, 2007 2:06pm
i am not sure if i read will's backtesting right but the most successful pairs (ie: successful trade %s) seem to be the minors and not the majors... anyone noticed this?
  • #1,477
  • Jan 3, 2007 2:10pm Jan 3, 2007 2:10pm
Quoting poekmeister
Ok. So you have used the open price of the entry bar (1st bar after signal)


Ok. So you move the S/L for lot2 to B/E during the day and do not wait until the end of the day.

The reason for me asking is that I cannot trade during the day (at least not for now ) and need to trade in a set and forget manner or use the ManageTakeProfit ea to manage move of S/L to B/E.

Last question. Did you do more analysis on the impressive list of backtesting? I mean, have you constructed e.g. equity curve of backtesting, # of loosing weeks, avg gain vs avg loss. I am not sure if you want to share some of this and would respect your position not to, but hey I needed to ask

Thanks again Willf, real good stuff.
Poek
I too have issues with how the take profits will be actually performed. It's nice to have the targets set, but if you can't monitor the trades during the day and make adjustments, how do we go about taking partial profits at the fib lines? MT4 doesn't have some built in mechanism for this sort of thing does it? It kind of sounds like we need an EA just for profit taking associated with the Vegas Daily...

Jason
  • #1,478
  • Jan 3, 2007 2:31pm Jan 3, 2007 2:31pm
Quoting jlowder
I too have issues with how the take profits will be actually performed. It's nice to have the targets set, but if you can't monitor the trades during the day and make adjustments, how do we go about taking partial profits at the fib lines? MT4 doesn't have some built in mechanism for this sort of thing does it? It kind of sounds like we need an EA just for profit taking associated with the Vegas Daily...

Jason
Jason, I have attached the EA I have picked up at the TSD forum. I have no exerience with it, but it seems to work according to guys over there. You enter the position manually and then set the TP (including a move to B-E) with the EA. The EA will then monitor the trade throughout the day.

Poekmeister
Attached File(s)
File Type: mq4 ManageTPv2-3.mq4   6 KB | 535 downloads
  • #1,479
  • Jan 3, 2007 2:41pm Jan 3, 2007 2:41pm
Quoting poekmeister
Jason, I have attached the EA I have picked up at the TSD forum. I have no exerience with it, but it seems to work according to guys over there. You enter the position manually and then set the TP (including a move to B-E) with the EA. The EA will then monitor the trade throughout the day.

Poekmeister
Hi,

Thanks, I have an EA that does this but you specify PIP values at which to take profits not moving fib lines like the Vegas tunnel uses (and the previously shown results used). That is what I'm curious about at the moment... Maybe just eyeballing the values would be enough, who knows. I just wanted to be as close to the values used in his testing as possible.

Jason
  • #1,480
  • Jan 3, 2007 2:57pm Jan 3, 2007 2:57pm
Quoting poekmeister
Ok. So you have used the open price of the entry bar (1st bar after signal)


Ok. So you move the S/L for lot2 to B/E during the day and do not wait until the end of the day.

The reason for me asking is that I cannot trade during the day (at least not for now ) and need to trade in a set and forget manner or use the ManageTakeProfit ea to manage move of S/L to B/E.
No. All trades, stop adjustment etc are only done once a day at the end of your brokers day. That's the concept behind the 'Daily Fozzy Method'.

Heres's what happens :

1. Study chart at end of day and realise a signal has occured.
2. New candle forms.
3. Enter two Trades.
4. Set first trade with a stop loss at previous days high or low. And set a take profit level at the first fib line.
5. Set second trade with a stop loss at previous days high or low. And set take profit level at the second fib line.
6. Turn off PC and go away for 24 hours.
7. Return next day. Study trade.
8. Did either trade 1 or trade 2 hit their take profit levels?
9. If both hit. Nothing more to do. Profit was automatically taken and trades closed.
10. Did both trades get stopped out? If so, too bad, try again.
11. Did trade 1 hit it's profit level. If so it will have automatically closed itself. Now adjust second trade to break even.
12. Did neither trade hit it's profit level? Leave trade alone until next day and repeat process.

[quote=poekmeister]Last question. Did you do more analysis on the impressive list of backtesting? I mean, have you constructed e.g. equity curve of backtesting, # of loosing weeks, avg gain vs avg loss. I am not sure if you want to share some of this and would respect your position not to, but hey I needed to ask [quote=poekmeister]

No. Too much work, not enough time. I am forward testing the system and it appears to be working as well as the backtest.
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