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Daily95pips

  • #1,261
  • Dec 7, 2007 3:52pm Dec 7, 2007 3:52pm
I was curious to see how the EUR/CHF was going to do this week since it did so well last week but it was too close several times to place the pending orders. It didn't do 1 single trade on the NF 13-17 account.

The AUD/JPY did very well in the 08-17 and 13-17 time frames.
The EUR/JPY and GBP/JPY did well on the NF 08-17.

Thoughts?
Attached Image (click to enlarge)
Click to Enlarge Name: Daily 95 (Week ending 2007-12-07).jpg Size: 466 KB
  • #1,262
  • Dec 7, 2007 3:52pm Dec 7, 2007 3:52pm
Quoting leo9
HI ALL,
I am very new to this thread and Forex Factory. I read this thread and its very Interesting, but I am bit confuse as I am new to Forex.
Mikelath you said that

Use the high and low of the previous 17hrs. For Mondays orders go back as far as 00:00 EST on Friday for high and low.

by this you mean high and low of only 17th hr or of the whole day. My understanding is that open 1 hr chart at 17:00 and look for high and low of for that hour only is that correct ?. I will appreciate any help on this.
Hi leo9 and welcome to the D95P thread.

Yes, the strategy uses the high and low of the previous 17hrs from 5pm EST (which is 17:00 by 24hr time). So we are using the high and low of practically the whole day(17hrs), not for that hour only. Monday is the exception as weekend activity is often minimal, therefore we use the data going back to midnight Friday morning.
I suggest that you simply use the Expert Advisor to automate the trading of this strategy. If EA's are new to you then just ask for assistance and we'll guide you from there.

rgs
mike
  • #1,263
  • Dec 7, 2007 3:55pm Dec 7, 2007 3:55pm
Again, not much on the EUR/CHF due to price being to close to set most pending orders this week.

AUD/JPY and GBP/JPY both are doing well in the 08-17 time frame.
Attached Image (click to enlarge)
Click to Enlarge Name: Daily 95 (2007-11-25 and beyond).jpg Size: 476 KB
  • #1,264
  • Dec 7, 2007 3:58pm Dec 7, 2007 3:58pm
I will post the results for this past weeks reverse testing as soon as I receive the statements.

Thanks again to Vensik for running those demos for us this week.
  • #1,265
  • Edited 11:52pm Dec 7, 2007 11:40pm | Edited 11:52pm
Daily95pips:

Date: Monday 3 December 2007
EURJPY -90
USDJPY nt
EURUSD -90

Total: -180pips

Comment: These things were sent to try us....I'll just have to ride out the current slump towards increased profitability.

Date: Tuesday 4 December 2007
EURJPY +15
USDJPY +95
EURUSD +95

Total: +205pips

Comment: There's light at the end of the tunnel....

Date: Wednesday 5 December 2007
EURJPY +95
USDJPY +15
EURUSD nt

Total: +110pips

Comment: We just need these good results to continue to maintain a decent weekly average.

Date: Thursday 6 December 2007
EURJPY +15
USDJPY +15
EURUSD -90

Total: -60pips

Comment: Oh well...can't win 'em all.

Date: Friday 7 December 2007
EURJPY -90
USDJPY +15
EURUSD -90

Total: -165pips

Comment: Hmmm...a weekly total of -90pips. Not overly drastic, however a positive result would've been better.

Total for week ending Friday 7 December 2007: -90pips


Weekly Results:

Total for week ending Friday 7 December 2007: -90pips
Total for week ending Friday 30 November 2007: -225pips
Total for week ending Friday 23 November 2007: +305pips
Total for week ending Friday 16 November 2007: -32pips
Total for week ending Friday 9 November 2007: +407pips
Total for week ending Friday 2 November 2007: -101pips
Total for week ending Friday 26 October 2007: +415pips
Total for week ending Friday 19 October 2007: +110pips
Total for week ending Friday 12 October 2007: +130pips
Total for week ending Friday 5 October 2007: +288pips
Total for week ending Friday 28 September 2007: +280pips
Total for week ending Friday 21 September 2007: +1050pips
Total for week ending Friday 14 September 2007: -651pips
Total for week ending Friday 7 September 2007: +164pips
Total for week ending Friday 31 August 2007: +585pips

Grand Total: +2620pips


Individual Pair Results:

Daily95pips individual pair results for week ending Friday 7 December 2007:

EURJPY -55
USDJPY +140
EURUSD -175

Total: -90pips

For the past 15 weeks:

EURJPY +1763
USDJPY +208
EURUSD +644

Total: +2615pips

Comment: Profitability has been retracing over recent weeks. Let's see if this strategy continues to prove profitable over the long term with minimal drawdown.
  • #1,266
  • Dec 8, 2007 6:33am Dec 8, 2007 6:33am
I finished this up a couple of weeks ago, this is for the EUR/JPY only. This is a great strategy if you are in the market at the right times. This strategy will result in huge 4000+ pip draw downs. The rules used in the back test mirror Mike's original post. It looks like right now may be a decent time to be in this strategy. Good luck

Quoting mikelath
Daily95pips:

Date: Monday 3 December 2007
EURJPY -90
USDJPY nt
EURUSD -90

Total: -180pips

Comment: These things were sent to try us....I'll just have to ride out the current slump towards increased profitability.

Date: Tuesday 4 December 2007
EURJPY +15
USDJPY +95
EURUSD +95

Total: +205pips

Comment: There's light at the end of the tunnel....

Date: Wednesday 5 December 2007
EURJPY +95
USDJPY +15
EURUSD nt

Total: +110pips

Comment: We just need these good results to continue to maintain a decent weekly average.

Date: Thursday 6 December 2007
EURJPY +15
USDJPY +15
EURUSD -90

Total: -60pips

Comment: Oh well...can't win 'em all.

Date: Friday 7 December 2007
EURJPY -90
USDJPY +15
EURUSD -90

Total: -165pips

Comment: Hmmm...a weekly total of -90pips. Not overly drastic, however a positive result would've been better.

Total for week ending Friday 7 December 2007: -90pips


Weekly Results:

Total for week ending Friday 7 December 2007: -90pips
Total for week ending Friday 30 November 2007: -225pips
Total for week ending Friday 23 November 2007: +305pips
Total for week ending Friday 16 November 2007: -32pips
Total for week ending Friday 9 November 2007: +407pips
Total for week ending Friday 2 November 2007: -101pips
Total for week ending Friday 26 October 2007: +415pips
Total for week ending Friday 19 October 2007: +110pips
Total for week ending Friday 12 October 2007: +130pips
Total for week ending Friday 5 October 2007: +288pips
Total for week ending Friday 28 September 2007: +280pips
Total for week ending Friday 21 September 2007: +1050pips
Total for week ending Friday 14 September 2007: -651pips
Total for week ending Friday 7 September 2007: +164pips
Total for week ending Friday 31 August 2007: +585pips

Grand Total: +2620pips


Individual Pair Results:

Daily95pips individual pair results for week ending Friday 7 December 2007:

EURJPY -55
USDJPY +140
EURUSD -175

Total: -90pips

For the past 15 weeks:

EURJPY +1763
USDJPY +208
EURUSD +644

Total: +2615pips

Comment: Profitability has been retracing over recent weeks. Let's see if this strategy continues to prove profitable over the long term with minimal drawdown.
Attached File(s)
File Type: pdf CHART.pdf   30 KB | 1,129 downloads
  • #1,267
  • Dec 8, 2007 8:21am Dec 8, 2007 8:21am
Hi All

Firstly a big thanks to mikelath for sharing this system and results and thanks to all other regular contributors for helping it develop.

I have been following the thread for some time now and testing manually for the last 2 weeks. I am using the GFT broker at the moment so cannot use any of the posted ea's.

I am in the GMT timezone and I have been placing my orders at 8am gmt with a 24hr look back. I think the 24hr lookback is important as I want to include moves from the start of yesterdays London session as part of my daily range.
Apart from that the strategy is as per page 1 of the thread. I have been moving the stop loss of the 3rd (50 pip target) trade to breakeven when the 2nd target is hit.

I have only been using 2 pairs with results (for 9 days) as follows:-
GBP/USD = +105
EUR/JPY = +330

I can post the spreadsheet if required.

Pretty impressive and in correlation with Mike's results.

I am currently reading Kathy Lien's book titled 'Day trading the currency market' within which there is chapter titled 'best time to trade for individual currency pairs. You can find this chapter here:-
http://mediaserver.fxstreet.com/Repo...2d0fa4a83f.pdf

The problem with this data is that it is somewhat out of date. If anyone knows where there is an up to date source i would be interested.

I am woundering if targeting the session and pair combinations with the highest ranges would improve profitability.

I am also wondering if the profit targets and stop losses could be adjusted based on the avergage pair and session range. e.g. for big ranges increase the orders to s/l = -40, tp1 = 20, tp2 = 40, tp3 = 60 and use smaller targets for pairs and sessions with smaller ranges.

These ideas are up for discussion and I would be interested in the thoughts of others.

I will probably look to manually test this theory going forward.

Good luck all
  • #1,268
  • Dec 8, 2007 8:38am Dec 8, 2007 8:38am
I am a little confused. When would you execute the breakout EA and when would you execute the reverse EA?
Or would you execute both and see both buy and sell kick in at, say, yesterdays' high, or one to be stopped out?

Any help appreciated.

I use Solid Gold as a broker. Would it be possible for me to change an existing EA to run for this broker as a complete novice?
  • #1,269
  • Dec 9, 2007 7:20am Dec 9, 2007 7:20am
Hi endroute, Thanks for your work. Can you re-run the back test you did with rules reversed...Sell at high +5 pips,and Buy at low -5 pips? Pippo
Vincit qui se vincit.
  • #1,270
  • Dec 9, 2007 11:43am Dec 9, 2007 11:43am
hi endroute,

thank you very much for your graph, i guess this shows that the strategy is probably game over now, or what do you guys think?


do you also have graphs for other currency pairs?

would love to hear other opinions on those 5 year backtest results.
  • #1,271
  • Edited 5:39pm Dec 9, 2007 5:28pm | Edited 5:39pm
Quoting endroute
I finished this up a couple of weeks ago, this is for the EUR/JPY only. This is a great strategy if you are in the market at the right times. This strategy will result in huge 4000+ pip draw downs. The rules used in the back test mirror Mike's original post. It looks like right now may be a decent time to be in this strategy. Good luck

Endroute,

Thanks for the analysis you did on the ej. Would it be possible for you to run another analysis on the ej with perhaps a different time frame such as PipNick suggested (different results might be achieved):

"8am gmt with a 24hr look back"

This might help us all find the most profitable time frame.

Regards,
Sam
  • #1,272
  • Dec 9, 2007 7:54pm Dec 9, 2007 7:54pm
Quoting fsm
hi endroute,

thank you very much for your graph, i guess this shows that the strategy is probably game over now, or what do you guys think?


do you also have graphs for other currency pairs?

would love to hear other opinions on those 5 year backtest results.
I do not think that anyone thins it's "game over." You are going to have losing days, weeks, etc. It is all part of trading!
  • #1,273
  • Dec 10, 2007 3:21am Dec 10, 2007 3:21am
Quoting bjk2801
I do not think that anyone thins it's "game over." You are going to have losing days, weeks, etc. It is all part of trading!

but losing over a timeframe of 2 years, resulting in a negative result for the last 5 years??
  • #1,274
  • Dec 10, 2007 5:36am Dec 10, 2007 5:36am
Which EA has worked best for IBFX mt4?
  • #1,275
  • Dec 10, 2007 7:33am Dec 10, 2007 7:33am
Quoting fsm
but losing over a timeframe of 2 years, resulting in a negative result for the last 5 years??

I wasn't able to download the chart. It showed negative results over 5 years? Also, how does everyone think this system will work tomorrow with the Fed's decision? Would it be a good day to stay out of the market? With a strategy like this where you straddle the market, I think it would work fine. Any thoughts?
  • #1,276
  • Edited 10:24am Dec 10, 2007 9:28am | Edited 10:24am
Reverse results for the 1st week seem to be very positive. I would like to see how they do over time and then we can consider tweaking.

My thanks again to Vensik for running these demos.
Attached Image (click to enlarge)
Click to Enlarge Name: Daily 95 (2007-12-02 and beyond) Reverse.jpg Size: 466 KB
  • #1,277
  • Dec 10, 2007 9:43am Dec 10, 2007 9:43am
I think it's good for people to experiment with different ideas on this strategy. That's exactly what I'm doing. At this point I am just keeping it simple and close to the original idea that started this thread. I would also like to say that I believe back testing has proven to be flawed more often than it has been correct. I would not discourage anyone from running a back test and sharing but I would also ask that people don't jump ship just because someone got bad results in a back test. I am of the thinking that the only good way to test is with forward live testing. Even under a great model quality in back testing is never more than 90% and live testing almost always proves to differ from back testing.
  • #1,278
  • Dec 10, 2007 10:33am Dec 10, 2007 10:33am
This is how I look at the results.

AUD/JPY in red did great with the original EA under the 08-17 TF and poorly under the reverse EA. They are extreme from each other and I have begun running this pair in this TF on my live account.

Same for the GBP/JPY on the NF account although I'm not running this because my live account is IBFX.

I haven't decided which broker to go with yet but I have looked at the results and chosen to run some of these live on my IBFX where those IBFX demos did well. My rules for running have been loose so far but I generally look for high days and average numbers to qualify running.

AUD/JPY has 9 days traded with an average of 37 pips which I feel is pretty good and the reverse just helps to support that so far. I'm sure over time thing may change and I plan to run the demos for a long time to come while adjusting my pairs I trade live as the results become clearer.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: Daily 95 (2007-11-25 and beyond) Marked.JPG Size: 172 KB
Click to Enlarge Name: Daily 95 (2007-12-02 and beyond) Reverse Marked.JPG Size: 168 KB
  • #1,279
  • Dec 10, 2007 12:00pm Dec 10, 2007 12:00pm
Hi all,

As a newbie I would like to test your system/systems on a demo account . But having read some 30+ pages i am starting to get somewhat confused as regards which is the latest downloadable EA for this strategy minus the bugs.
plus what is the REVERSE EA all about ? plus has bksujal (who seems to have vanished) got a separate EA or has it been integrated into the daily95pips method ?

can any one help ?
  • #1,280
  • Dec 10, 2007 12:38pm Dec 10, 2007 12:38pm
Quoting nightpipper
Hi all,

As a newbie I would like to test your system/systems on a demo account . But having read some 30+ pages i am starting to get somewhat confused as regards which is the latest downloadable EA for this strategy minus the bugs.
plus what is the REVERSE EA all about ? plus has bksujal (who seems to have vanished) got a separate EA or has it been integrated into the daily95pips method ?

can any one help ?
If you click the paper clip near the top of the page you will find a complete list of all attachments. If you then scroll down to Nov. 3rd you will find the versions of this EA that I'm using. You will need to choose the right version based on your broker and then copy the file(s) to your experts directory.

I have also taken these EAs and reversed them in functionality. This means that sells are placed at the 17 hour high and buys are placed at the 17 hour low. Vensik is running demos with these EAs for us. The reverse EAs were posted on Nov. 30th.

I have been posting results for my testing with Interbank FX and North Finance demos. For each of these brokers I am running the EA on 18 different pairs with different start times. I am running them starting at 8 gmt, 13 gmt, and 22 gmt on the IBFX accounts and the North Finance accounts get set 2 hours greater so they match the gmt time (10, 15, and 0).

Does this answer your questions?
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