Daily hi/low fib trading | Forex Factory

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Daily hi/low fib trading

  • #1
  • First Post: Mar 12, 2008 4:35am Mar 12, 2008 4:35am
Hi everyone-

I wanted a set and forget system that combined profit targets with appropriate stops. After reading the daily95 tread and some other treads, I came up with this idea.

You take the hi/ low from yesterday and you calculate the 38 fib level. You than set your stop orders. I take my levels at 19:00 GMT.

Long= yesterday's high + spread + 2
Long TP= yesterday's high + 38 fib level
Long SL= yesterday's high - 38 fib level

Short= yesterday's low - 2
Short TP= yesterday's low- spread - 38 fib level
Short SL= yesterday's low+ spread + 38 fib level

The key to this is consistency. I don't like the idea of a X amount of pips for TP and SL because each currency behaves a little differently. IMO the fib levels provide more accurate targets. As of now, I will be comparing the results of the 38 vs. 61 fib level profit targets with a 38 stop loss.

Please feel free to contribute, criticize, or just read along as the tread evolves.
  • #2
  • Mar 12, 2008 5:16am Mar 12, 2008 5:16am
As you can see in the file- I have colour coded my results.

The left column shows the fib level reached and the right column shows what the 38 fib was and if it was hit.

Silver means that the order was stopped out.

Dark green means that the order was not stopped and at least the 38 fib level was hit to take profit.

Maroon with silver means that the 23 fib target was hit but turned around and was stopped out. If I would set the target to 23, I would win however we are testing the 38 fib level.

The best is to have both lime green/ dark green. That means the 61 level was hit.

Orange/ dark green or yellow/ dark green means that the 38 fib level profit was hit but not the 61. So for counting purposes, this will go as a win for the 38 and a loss for the 61.

Black means no order/ no trade.

On the right hand side, you will see the totals. As I mentioned in the earlier post, I am comparing the results of the 61 vs 38 profit target.

So for the 61 won, I count all the lime green boxes and for the lost I count everything else since anything that did not hit the 61 target we should assume it was stopped out.

The 38- I counted all the 38 wins and for the lost I count only the silver.

I will be posting my results often I hope this has not confused anyone.
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  • #3
  • Mar 12, 2008 5:27am Mar 12, 2008 5:27am
Thanks derailed, any chance of reposting the attachment - doesn't load atm.
  • #4
  • Mar 12, 2008 5:41am Mar 12, 2008 5:41am
Sure- anyone else have problems with loading the first attachment?
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  • #5
  • Mar 12, 2008 2:06pm Mar 12, 2008 2:06pm
I think this strategy could be very easily backtested using historical ohlc data in Excel.

Have you done that? I can run some tests for you but we would have to build in some big assumptions like the profit target was hit BEFORE it was stopped out, etc.
  • #6
  • Mar 12, 2008 2:07pm Mar 12, 2008 2:07pm
Also, if you discover you have more losing trades then winners, just reverse the rules to get a profitable system : )
  • #7
  • Mar 12, 2008 2:45pm Mar 12, 2008 2:45pm
Quoting FrankTheTank
I think this strategy could be very easily backtested using historical ohlc data in Excel.

Have you done that? I can run some tests for you but we would have to build in some big assumptions like the profit target was hit BEFORE it was stopped out, etc.
I have done some eye balling back testing and for the most part they are winners. I have been forward testing a similar hi/low break out but with a fixed 30 pip sl and tp. I realized that the 30 pip sl was not enough sometimes and I would get stopped out before the price takes off. On the other hand, price would hit 30 pips and go for 200 pips or more. I came up with adding fib levels for targets. I know I should add a filter but I'm not sure what.

What would we need to do in order to backtest in excel?
  • #8
  • Mar 13, 2008 4:32am Mar 13, 2008 4:32am
I am still waiting for 2 orders to close out. One order has reached the 50tp and the other is right below the 38. 3-11 was a bad day for trading this system.

3-12 on the other hand already made up for the 3-11 losses. Still, I have to wait for some orders to close before posting results.
  • #9
  • Mar 13, 2008 5:29am Mar 13, 2008 5:29am
simple breakout system .. good
  • #10
  • Mar 13, 2008 3:35pm Mar 13, 2008 3:35pm
Quoting Syafi
simple breakout system .. good
Simple is good- already for the week +338. Still waiting for some orders to close before I post results. Anyone have any problems with my colour coded chart?
  • #11
  • Mar 13, 2008 6:07pm Mar 13, 2008 6:07pm
Finally all the open trades from 3-11 closed. As you can see, the 68 fib beat the 38 fib target but both ended with losses. 5/10 wins for 38 fib. The Yen pairs usually have stop losses in the 80-120 range so getting stopped out on all 3 pairs hurt.
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  • #12
  • Mar 14, 2008 5:51am Mar 14, 2008 5:51am
I am still waiting for 4 trades to close to count the 61 fib tp. For the 38 fib tp, 8 out 10 trades won giving me 419 pips profit.
  • #13
  • Mar 14, 2008 7:46am Mar 14, 2008 7:46am
I am going to try it on weekly's.
  • #14
  • Mar 14, 2008 8:16am Mar 14, 2008 8:16am
Quoting mades
I am going to try it on weekly's.
I also started testing this on the weekly. I have last week's result and it is not too good. Maybe last week was a fluke.
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  • #15
  • Mar 14, 2008 9:34am Mar 14, 2008 9:34am
Quoting derailed
I also started testing this on the weekly. I have last week's result and it is not too good. Maybe last week was a fluke.
It depends where you put the stoploss, which is problematic for this method (i did this method on 1H for some time). Usually the stoploss should be placed on the other side of fib range, but that gives us a really bad win ratio.

Especially cross-pairs don't act really good, as it is a result of mixture, not actual trading. But the best-performing fib pair GU works nicely (check for example the 162 fib of all time high) and EU is not that bad aswell. UJ (which drives ej/gj) is a bit mess due to other-than-currency-trader influences on this pair , with its strong correlation to equities and safe-haven trades. (same applies for chf).
  • #16
  • Mar 14, 2008 12:43pm Mar 14, 2008 12:43pm
I need a filter for this system. It is getting around 5/10 wins or 50%. So I thought of adding this.

If prev day open> close- short only
If prev day open< close- long only
If prev day open=close (more or less)- both long and short

I backed tested this on eurusd since the beg. of the year. The total is +650 with tp and sl at 38 fib level. This includes the filter- which kept me out of 7 bad trades and 2 good trades. 29/43 wins for a 67%. Not bad huhh. I will backtest some other pairs and I think I will start monitoring how many trades it kept me out of- good or bad.
  • #17
  • Mar 14, 2008 1:05pm Mar 14, 2008 1:05pm
I back tested gbpusd w/ sl and tp at the 38 fib level. The total amount of pips is 258 with 16/25 wins or 64%. The filter however kept me out of 1 bad trade and 4 good trades.
  • #18
  • Mar 14, 2008 2:50pm Mar 14, 2008 2:50pm
Same as before. 38 fib level stop and tp.

audusd: +208 pips with 18/29 wins which is 62%
nzdusd: +883 pips with 33/48 wins which is 69%

I was going to scrape these pairs since they were not preforming too hot recently. I guess I will keep a close eye.
  • #19
  • Mar 14, 2008 3:04pm Mar 14, 2008 3:04pm
Quoting derailed
Hi everyone-

I wanted a set and forget system that combined profit targets with appropriate stops. After reading the daily95 tread and some other treads, I came up with this idea.

You take the hi/ low from yesterday and you calculate the 38 fib level. You than set your stop orders. I take my levels at 19:00 GMT.

Long= yesterday's high + spread + 2
Long TP= yesterday's high + 38 fib level
Long SL= yesterday's high - 38 fib level

Short= yesterday's low - 2
Short TP= yesterday's low- spread - 38 fib level
Short SL= yesterday's low+ spread + 38 fib level

The key to this is consistency. I don't like the idea of a X amount of pips for TP and SL because each currency behaves a little differently. IMO the fib levels provide more accurate targets. As of now, I will be comparing the results of the 38 vs. 61 fib level profit targets with a 38 stop loss.

Please feel free to contribute, criticize, or just read along as the tread evolves.

Wow, i developed one system same of that but, i don't use your fib levels to SL and TP, i just put Trailing at 25 and my SL is the low and repective high of last day

Actually since 02/26 at this time i earned up to 625 pips

Only 3 loss traders


Thank's very much to share with us your system, i will try use these fibos too
  • #20
  • Mar 15, 2008 3:34am Mar 15, 2008 3:34am
Hi... I have done serious amount of analysis regarding these systems. As I have a family with 2 kids and a demanding day job I have no time to watch my trades all day long. So I wanted a system that allows me to set and forget.

A few findings for the GU:
TPs will deteriorate your results. For example in one of my variations with 4 units (3TP and 1 leave till the end of the day). between 2007.06.28 and 2008.03.07 resulted in a cumulative 3668 pips. Then I have just multiplied by four a single unit without TP and the result was 3966 pips.
Trailing TP dont work either for me because that would assume I watch the markets.
I also use very titght SLs.

Hope this helps
BR
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