DislikedCan some of you please do some manual backtesting for this system on the EUR/JPY for the period 26th Nov'07 til 16th Dec'07 (1 hour chart)?Ignored
Pivot Point Squeeze, high probability system
Yes, my auto backtesting used PP's for exit levels and stop levels, but not for entry levels.
It's pretty much as per GCT's system, with a few tweeks.
Don't worry about the manual testing for now, I'm still ironing some bugs out of the code (there is 11 pages of it now).
I don't use MT4, I only use PRT (or CMC's MarketMaker). To be honest, I find MT4 and it's equivalents an awfully antiquated and not very user freindly programming language. The language used in the PRT platform is very user friendly and I don't think there is any super deep process I've required, that I haven't been able to write code for. I'm not blowing my own trumpet here, rather I just find the language so straight forward and clear to de-bug etc.
.
It's pretty much as per GCT's system, with a few tweeks.
Don't worry about the manual testing for now, I'm still ironing some bugs out of the code (there is 11 pages of it now).
I don't use MT4, I only use PRT (or CMC's MarketMaker). To be honest, I find MT4 and it's equivalents an awfully antiquated and not very user freindly programming language. The language used in the PRT platform is very user friendly and I don't think there is any super deep process I've required, that I haven't been able to write code for. I'm not blowing my own trumpet here, rather I just find the language so straight forward and clear to de-bug etc.
.
I don't use MT4, I only use PRT (or CMC's MarketMaker). To be honest, I find MT4 and it's equivalents an awfully antiquated and not very user freindly programming language. The language used in the PRT platform is very user friendly and I don't think there is any super deep process I've required, that I haven't been able to write code for. I'm not blowing my own trumpet here, rather I just find the language so straight forward and clear to de-bug etc.
- #645
- Jan 17, 2008 1:14am Jan 17, 2008 1:14am
- | Commercial User | Joined Oct 2007 | 1,015 Posts
Anyone that has followed this thread since its inception knows how powerful this tool is. We have all learned a thing or 2 from GCTTrader. While he is serving his time on banishment I think we should all take a second out of our time and "rate" this thread. I was surprised to see that this thread has a "zero" star rating. Go to the first page of this thread and click the link to "rate this thread". I gave it a 5 stars rating..if I could have given it 10 it would be rated as 10! So please take a second and go rate this thread!! Thank you!
Rick
Thank you Again GCTTRADER...look forward to corresponding with you again!!
Rick
Thank you Again GCTTRADER...look forward to corresponding with you again!!
Anyone that has followed this thread since its inception knows how powerful this tool is. We have all learned a thing or 2 from GCTTrader. While he is serving his time on banishment I think we should all take a second out of our time and "rate" this thread. I was surprised to see that this thread has a "zero" star rating. Go to the first page of this thread and click the link to "rate this thread". I gave it a 5 stars rating..if I could have given it 10 it would be rated as 10! So please take a second and go rate this thread!! Thank you!
Rick
Thank you Again GCTTRADER...look forward to corresponding with you again!!
- #647
- Jan 17, 2008 11:29pm Jan 17, 2008 11:29pm
- | Commercial User | Joined Oct 2007 | 1,015 Posts
Fxhermit,
Thank you for the work you did on this indicator. I also like your pdf file!! I do have one question about something that appears to be a dropped subject. Why did you leave the bandwidth indicator off of your demarker template? To me, that was the most important aspect of this method. I wouldn't place a trade unless bandwidth is below .0056 (it's not a proper squeeze otherwise!). GCTtrader harps on this quite a bit. If you don't like the bbhistotest indicator, may I suggest replacing it with the bandwidth indicator? I am still using your old methodology, and it appears a bit stronger than your current template. Just my observation of it. Thank you again for your input to this forum!
Thank you for the work you did on this indicator. I also like your pdf file
!! I do have one question about something that appears to be a dropped subject. Why did you leave the bandwidth indicator off of your demarker template? To me, that was the most important aspect of this method. I wouldn't place a trade unless bandwidth is below .0056 (it's not a proper squeeze otherwise!). GCTtrader harps on this quite a bit. If you don't like the bbhistotest indicator, may I suggest replacing it with the bandwidth indicator? I am still using your old methodology, and it appears a bit stronger than your current template. Just my observation of it. Thank you again for your input to this forum!Since this methodology is based on the Bollinger band squeeze concept, I would like to expound a little about the Bbsqueeze and how the Magenta dots are derived. This indicator actually uses the interaction between two indicators, the Bollinger bands (Green) and another indicator called Keltner channels (blue). The coding calculates when the Bollinger bands narrow to within the Keltner channel. This condition constitutes the start of a squeeze. I have attached a chart showing both the bollinger bands as well as the Keltner channel overlaying the price chart. The vertical blue lines that I have drawn on the chart show where Bollinger bands have entred within the Keltner channels. As you can see this corresponds with a printing of the Magenta squeeze dots.
Thought that you might also find the attached documents interesting. Thanks Akuma99.
I've done a 4 year backtest (EUR/JPY 1H) and got the following results for the equity curve. The first pic was with a shorter main BB period (16) and a shorter trigger line sample period (33).
The second pic was with a longer main BB period (20) and a longer trigger line sample period (43).
GCT's default figures for these was 18 and 38, so you can see obviously lengthening these periods gives greater probability of success, with much less opportunity for drawdown.
The stop loss in both scenarios was 40 points (snapped to beyond any nearby PP level). The profit target was taken at 2 levels (both snapped to just prior to any nearby PP level). For the first pic it was at 80 and 160 pts. For the second pic it was much less at 50 and 100. The MACD turnaround exit was not used in this test.
By the way, this is pretty complex backtesting code and is far from complete ... will no doubt be a work in progress for sometime, but I hope to optimise the required parameters in as tightly as possible.
I am contemplating writing in code to move the stop loss to break even once the first profit target has been triggered, however that may not allow automation for me (or many other traders) as I might have to be alerted in the middle of the night to amend my stops upon execution of the first profit level ... as this would be a tricky thing to do using 'if done' and 'oco' orders. If anyone can think of the order syntax to pre-place orders for these exits (and moving the stop to break even), with most non-auto brokers (such as CMC etc.) ... please feel free to post, thanks.
Also, I have another question for the professionals out there ... do you feel it would be profitable and less risky on a day to day basis, to trade using parameters which are tested and optimised over a 4 year average period, OR tested and optimised over a 4 month period and continually re-tested and re-optimised every two weeks? Don't jump in with your answer here, as there are pros and cons for both methods, and although the later sounds like a better idea you risk curve fitting the numbers and always playing catchup with perhaps never having the right numbers to be trading with ... so there is a bit to consider. I'd really welcome everybody's comments on this one, thanks!
The second pic was with a longer main BB period (20) and a longer trigger line sample period (43).
GCT's default figures for these was 18 and 38, so you can see obviously lengthening these periods gives greater probability of success, with much less opportunity for drawdown.
The stop loss in both scenarios was 40 points (snapped to beyond any nearby PP level). The profit target was taken at 2 levels (both snapped to just prior to any nearby PP level). For the first pic it was at 80 and 160 pts. For the second pic it was much less at 50 and 100. The MACD turnaround exit was not used in this test.
By the way, this is pretty complex backtesting code and is far from complete ... will no doubt be a work in progress for sometime, but I hope to optimise the required parameters in as tightly as possible.
I am contemplating writing in code to move the stop loss to break even once the first profit target has been triggered, however that may not allow automation for me (or many other traders) as I might have to be alerted in the middle of the night to amend my stops upon execution of the first profit level ... as this would be a tricky thing to do using 'if done' and 'oco' orders. If anyone can think of the order syntax to pre-place orders for these exits (and moving the stop to break even), with most non-auto brokers (such as CMC etc.) ... please feel free to post, thanks
.Also, I have another question for the professionals out there ... do you feel it would be profitable and less risky on a day to day basis, to trade using parameters which are tested and optimised over a 4 year average period, OR tested and optimised over a 4 month period and continually re-tested and re-optimised every two weeks? Don't jump in with your answer here, as there are pros and cons for both methods, and although the later sounds like a better idea you risk curve fitting the numbers and always playing catchup with perhaps never having the right numbers to be trading with ... so there is a bit to consider. I'd really welcome everybody's comments on this one, thanks!
- #653
- Jan 19, 2008 10:52pm Jan 19, 2008 10:52pm
- Joined Apr 2007 | Status: Trader | 1,842 Posts
I tried the full 24hr period for you
Interesting results. Just to confirm, are these full pivot point break signals, or just generated when the BB squeeze expanded beyond the trigger level? (irregardless of the central pivot being broken)
- #657
- Jan 20, 2008 8:19am Jan 20, 2008 8:19am
- Joined Jul 2007 | Status: Trader | 1,685 Posts
BTC Return This Year:
na
The reality is, that you have no idea what the average loss is going to be. .
.We do know 'almost' exactly what the AVERAGE loss will be, because we decide that in advance. We trade with a set stop loss, in this case 42 pips. The only variation to this is that it is 'PP snapped' so it could decrease or increase by a few points for each trade depending on the PP levels, but this adjustment is made going into the trade, and not left open ended. The only other variable to the average stop loss actually experienced, is that some winning trades turn into losers ... or let me put it another way, some trades do well but do not get to the proift limits, so we end up closing them out after a while if they have failed to achieve targets. So, those trades did not get stopped out for the max stop loss, they would be closed out sometimes for a smaller gain, sometimes for a smaller loss ... in which case the loss in these trades will always be <= the proposed stop loss, thus reducing the 'average' losing trade to 36.50 (and that is relatively predictable). If you wanted to play it safe, you could play worse case scenario and budget your capital management on the actual average set stop loss of 42 ... but personally I think you're robbing yourself of some profit there by not exposing your full proposed % risk (whether that be 2% or 5% etc.). It's a personal thing though of course.
Just to clarify
... cheers, Johnny.
- #659
- Jan 20, 2008 6:38pm Jan 20, 2008 6:38pm
Hey Johnny,
Thanks for the input. Your SL's are higher than the ones I use hence the different R/R ratio's. This system, like most systems out there can be adjusted to suit different traders styles of trading. Me for example set a SL of between 20 - 30 depending on where the price is compared to pivot points. Once my first TP of the R1 or S1 line has been hit, my SL comes up to entry and half of my lot is exited. Staging out suits my style of trading and it seems to work well. Many books preach about it such as Forex Conquered, Forex patterns and probabilities and trading secrets to name a few. Van Tharp advises against it in a contrarian approach due to when you actually are in a profitable trade, you pull positions out when you did pick it correctly. There are pros and cons to both position management systems.
So while two people have the same entry strategy, other areas of a trade can be utterly different whether constructive or destructive depends on that trader.
Hope this clears it up, now back to trading! Its a new week of opportunities!
GCT
Thanks for the input. Your SL's are higher than the ones I use hence the different R/R ratio's. This system, like most systems out there can be adjusted to suit different traders styles of trading. Me for example set a SL of between 20 - 30 depending on where the price is compared to pivot points. Once my first TP of the R1 or S1 line has been hit, my SL comes up to entry and half of my lot is exited. Staging out suits my style of trading and it seems to work well. Many books preach about it such as Forex Conquered, Forex patterns and probabilities and trading secrets to name a few. Van Tharp advises against it in a contrarian approach due to when you actually are in a profitable trade, you pull positions out when you did pick it correctly. There are pros and cons to both position management systems.
So while two people have the same entry strategy, other areas of a trade can be utterly different whether constructive or destructive depends on that trader.
Hope this clears it up, now back to trading! Its a new week of opportunities!
GCT