hi all...i've been working on a weekly breakout system for a while...just finished 1 year manual backtest so i can share it now...
basically we are taking last 2 candle's on 4 hour chart of the previous week as a breakout boundary..
entry at the break either way...
stop loss at the out of break out
target profit 2x stop loss...
when the price hits stop loss in a way our we increase target profit x3 stop loss in opposite direction...
no trailing stop...
trade ends with sl -tp or end of the week...
1 year result is monthly average 714 pips...
spreadsheet and chart attached....
good luck
---------------------
Optimization from Bigricky
---------------------
HI guys,
Have been following this system with great interest. I am relatively new to forex and am looking for a mechanical type system. I have spent most of the weekend backtesting this system and although the results looked promising to start with when I applied the system and stepped through every trade it unfortunately doesn't look to good for the way I would trade it over the 2005 and 2006 years. Before I go on I just want to say I am new to this and there is always the possibility that my backtesting is flawed in some way.
I have attached my spreadsheet and MT4 template to show the setups for each trade.
I trialed 2 systems side by side. I have used harolds rules.
System 1 - Take profit at 1x channel.
Use the 2 bar, then back to 3 bar. If channel less than 100pips. Make a 100 pip channel.
Add 7 pips on to upper level of channel (allowance for spread).
Buy and sell stop orders placed 3 pips outside of upper and lower channel lines to allow for channel to be actually broken before entry.
Stop levels also set at 3 pips outside of channel again to allow for channel to actually be broken before being stopped out.
Take profit at 1x channel band.
Gaps - Ignore smaller gags - less than 20 pips.) For larger gaps If gap is filled within the channel trade as per normal. If it gaps outside of channel, don't take the trade. If price returns to channel and closes gap, trade as per normal. (I actually backtested ignoring gaps vs waiting for them to close and it didn't really make much difference to the bottom line)
If the first trade is successful then thats it for the week.
If the first trade fails, Take a trade in the opposite direction if triggered.
System 2 - Take profit at 2x channel.
Same as above but take profit at 2 x channel band.
Risk
Risk is 1% of account on each trade ( compounded).
I see the system profitability is sometimes measured in pips instead of return on account. I'm still trying to figure out how that accurately measures profitability. (I'm still a newbie, remember).
For me I will only risk a set % per trade. Whether the channel is 100 pips wide or 400 pips wide it will still be 1% risk. This means that some pips will be worth $1 (100pip chan) or 25 cents (400 pip chan). Again, if I am missing something here I would appreciate more experienced people pointing me in the right direction.
I have also subtracted 5% off of the winning trades. This is to allow for the 3 pip buffer on either side of the channel. (probably more like 3% but I like to allow for the worst case scenario)
RESULTS
System 1 - Take profit at 1x channel.
2005 - 7.95% return on account
2006 - 9.62% return on account
System 2 - Take profit at 2x channel.
2005 - 8.78% return on account
2006 - 2.04% return on account
2007 (2% risk per trade - compounded)
1x chan T/P (2nd trade 1x) 46.09%
2x chan T/P (2nd trade 2x) 65.21%
2x chan T/P (2nd trade 3x) 47.16%
basically we are taking last 2 candle's on 4 hour chart of the previous week as a breakout boundary..
entry at the break either way...
stop loss at the out of break out
target profit 2x stop loss...
when the price hits stop loss in a way our we increase target profit x3 stop loss in opposite direction...
no trailing stop...
trade ends with sl -tp or end of the week...
1 year result is monthly average 714 pips...
spreadsheet and chart attached....
good luck
---------------------
Optimization from Bigricky
---------------------
HI guys,
Have been following this system with great interest. I am relatively new to forex and am looking for a mechanical type system. I have spent most of the weekend backtesting this system and although the results looked promising to start with when I applied the system and stepped through every trade it unfortunately doesn't look to good for the way I would trade it over the 2005 and 2006 years. Before I go on I just want to say I am new to this and there is always the possibility that my backtesting is flawed in some way.
I have attached my spreadsheet and MT4 template to show the setups for each trade.
I trialed 2 systems side by side. I have used harolds rules.
System 1 - Take profit at 1x channel.
Use the 2 bar, then back to 3 bar. If channel less than 100pips. Make a 100 pip channel.
Add 7 pips on to upper level of channel (allowance for spread).
Buy and sell stop orders placed 3 pips outside of upper and lower channel lines to allow for channel to be actually broken before entry.
Stop levels also set at 3 pips outside of channel again to allow for channel to actually be broken before being stopped out.
Take profit at 1x channel band.
Gaps - Ignore smaller gags - less than 20 pips.) For larger gaps If gap is filled within the channel trade as per normal. If it gaps outside of channel, don't take the trade. If price returns to channel and closes gap, trade as per normal. (I actually backtested ignoring gaps vs waiting for them to close and it didn't really make much difference to the bottom line)
If the first trade is successful then thats it for the week.
If the first trade fails, Take a trade in the opposite direction if triggered.
System 2 - Take profit at 2x channel.
Same as above but take profit at 2 x channel band.
Risk
Risk is 1% of account on each trade ( compounded).
I see the system profitability is sometimes measured in pips instead of return on account. I'm still trying to figure out how that accurately measures profitability. (I'm still a newbie, remember).
For me I will only risk a set % per trade. Whether the channel is 100 pips wide or 400 pips wide it will still be 1% risk. This means that some pips will be worth $1 (100pip chan) or 25 cents (400 pip chan). Again, if I am missing something here I would appreciate more experienced people pointing me in the right direction.
I have also subtracted 5% off of the winning trades. This is to allow for the 3 pip buffer on either side of the channel. (probably more like 3% but I like to allow for the worst case scenario)
RESULTS
System 1 - Take profit at 1x channel.
2005 - 7.95% return on account
2006 - 9.62% return on account
System 2 - Take profit at 2x channel.
2005 - 8.78% return on account
2006 - 2.04% return on account
2007 (2% risk per trade - compounded)
1x chan T/P (2nd trade 1x) 46.09%
2x chan T/P (2nd trade 2x) 65.21%
2x chan T/P (2nd trade 3x) 47.16%
Attached Image (click to enlarge)
Attached File(s)
