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The Bat...a strategy by Team Aphid

  • #341
  • Jan 27, 2007 4:30am Jan 27, 2007 4:30am
Quoting sm31
I have mine at 1.9635.

BTW, in my backtesting of this strategy, 2005 was pretty poor while '04 and '06 were pretty decent. Here are my results:

2004: 5818 pips
2005: 1100 pips
2006: 5355 pips
2007: 1239 pips

edit: This is with the "5 lot version" also. Dunno where TA got that extra 2000 pips in '06...
Hi,
are those NET pips?Is the spread included?
  • #342
  • Jan 27, 2007 9:42am Jan 27, 2007 9:42am
I have visually backtested this system and the best method i come up with as far as money management goes is:

open 3 positions on line cross.

#1....has a fixed TP with trail of 30 pips. (which break even at 30 pips too)
#2....exits only when another line break occurs in the opposite direction, i.e if u entered on a red cross, then a blue cross will be the exit signal
#3...this position has no TP but has a trail of 30 pips.


this has greatly improved the ods. Also, i didn't use the rentries on a negative swing (fib 382 and 618).

all three positions must be = to your total leverage risk, for me it is 1:10 soa 10,000 account opens each position with 0.33 lots
  • #343
  • Jan 27, 2007 3:04pm Jan 27, 2007 3:04pm
Quoting TeamAphid
.....On the other hand, we haven't thought about using Elliot Waves because we believe the waves add more subjectivity to mechanical systems.....
I wasn't suggesting that we get involved with Elliott wave complexities, other than the idea that the first wave in a sustained trend is frequently shorter than the subsequent ones.

David
  • #344
  • Jan 27, 2007 7:14pm Jan 27, 2007 7:14pm
Thank you for sharing your ideas to improve BAT, we appreciate that.

Have you done a proper backtest for 2006 by using these rules? If yes, can you please also share your backtest results with us so that we can compare with original test results?



Quoting don perry
I have visually backtested this system and the best method i come up with as far as money management goes is:

open 3 positions on line cross.

#1....has a fixed TP with trail of 30 pips. (which break even at 30 pips too)
#2....exits only when another line break occurs in the opposite direction, i.e if u entered on a red cross, then a blue cross will be the exit signal
#3...this position has no TP but has a trail of 30 pips.


this has greatly improved the ods. Also, i didn't use the rentries on a negative swing (fib 382 and 618).

all three positions must be = to your total leverage risk, for me it is 1:10 soa 10,000 account opens each position with 0.33 lots
  • #345
  • Jan 27, 2007 7:20pm Jan 27, 2007 7:20pm
We agree with you. On the other hand, we give a great value and consideration on each idea from members to improve this system, therefore, either applicable or not, either tested or not, please keep thinking aloud and sharing with us. Thanks again for your contributions.


Quoting hanover
.... other than the idea that the first wave in a sustained trend is frequently shorter than the subsequent ones.

David
  • #346
  • Jan 27, 2007 11:49pm Jan 27, 2007 11:49pm
Quoting TeamAphid
We agree with you. On the other hand, we give a great value and consideration on each idea from members to improve this system, therefore, either applicable or not, either tested or not, please keep thinking aloud and sharing with us. Thanks again for your contributions.
TeamAphid, it is a pleasure to read and reread this thread as you have been very gracious in your responses to the many ideas and tid bits shared by FF members in this thread. It is this "grace" you've shown to all that will allow many good things to come out of this simple strategy and thread.

Thank you again for all your time and energy.
Thom
  • #347
  • Jan 28, 2007 12:14am Jan 28, 2007 12:14am
Money management seems to be a real nail biter on this one.

Consider this -- if you divide up your risk by four when you enter on the ATR touch, and price continues in your direction, you are only risking (on 2% risk) .5%.

That would suck. Basically, you're going to kick yourself for not risking your full 2%...

So that's why there are some issues with this system in terms of entries and probably why most people have a heck of a time trying to find that all-in-one range + trend system.

What I would suggest is possibly dividing your risk by four as we have discussed, but if price reaches the 1.618 level, you pyramid up into your full risk position. This way, you are letting the market tell you what it's doing.

If it gets to 1.618 and turns around, well... tough... but I bet that doesn't happen often. Furthermore, you'd only had risked a total of 2% anyway...

This is much better than just doing .5%... Most people won't be able to handle that mentally.
Mr. Trend
  • #348
  • Jan 28, 2007 5:14am Jan 28, 2007 5:14am
Thank you Thom, for your kind words and full support. We are trying to keep this thread alive as much as we can so that it can be improved and every member in FF can benefit.

To be honest, we are happy with entry and range trading techniques of the BAT, on the other hand we are aware that we leave too many pips on table because of trend following ability of BAT indicator especially if the trend is short lived.

We tried to filter out some losing trades as some of the valuable contributers did here, but then there is a risk of filtering out the big winners which shouldn't be for a trend following system. Therefore, instead of trying to improve the winning ratio (winning ratio varies between 50% - 60% in times, and we believe this is more than enough to trade a mechanical system profitably), if the ratio of Pips actually gained / Max. potential pips can be improved, it would be huge for BAT and we believe BAT has this potential.

Thanks again for everybody trying to contribute and develop BAT.



Quoting accrete
TeamAphid, it is a pleasure to read and reread this thread as you have been very gracious in your responses to the many ideas and tid bits shared by FF members in this thread. It is this "grace" you've shown to all that will allow many good things to come out of this simple strategy and thread.

Thank you again for all your time and energy.
Thom
  • #349
  • Jan 28, 2007 8:41am Jan 28, 2007 8:41am
Thank you for all your effort here and for sharing it with us. My question is on the initial entry into a trade you say to let it run until it hits the opposite bat line. Doesn't this sometimes leave alot of pips on the table compaired to taking profit at the first or second fib line? Thanks Again.
  • #350
  • Jan 28, 2007 9:02am Jan 28, 2007 9:02am
The BAT is based on the volatility breakout principle. Let’s look at the indicator.

First we must calculate, for each bar, the Average True Range (ATR). The ATR is a measure of volatility which takes into account the daily pip spread between the highs and the lows, adjusted to include gaps. For BAT GBPUSD we use a 5 period ATR, if too many bars are used for the ATR, the indicator becomes unresponsive to changes in volatility.

Next we assign a factor (coefficient) by which we multiply the ATR. The factor is just a number we arrived at through testing – please read at bottom of post how we decide on a number. After we have multiplied the factor times the ATR we arrive at a value, which we call the Pip Move.

If the factor is too small we will get too many small trades, if it’s too large we will get too few trades and miss much of the action.

The Pip Move will vary in direct proportion to the current volatility. The factor, once we choose its value, does not change from bar to bar, it is a constant, but the ATR varies with the market. The Pip Move is the product of a variable (the ATR) times a constant (the factor or coefficient).

At the close of each bar we can update the ATR using the high, low and close prices for the past N bars, where N is the number of days length for the ATR. We then find the Pip Move, by multiplying the ATR times the factor, and we add the Pip Move to the current bar close to get the next bars’ long target. We also subtract the Pip Move from the current bar close the get the next bar‘s short target.

Picture the long and short targets as forming lines above and below the market. We buy at the top line when it’s penetrated and sell at the bottom line when it is penetrated. Something important you will notice is that the signal line will always move in one direction only. The top band can only go down once it started and the bottom line can only move up. This creates a “step” or “ratchet” effect. The program picks up which band must be switched “off” for the trade so we will only see the active line. So in an uptrend the bottom line will start to follow price action and adapt to market conditions, and in a downtrend the top line will follow price action and adapt to market conditions.

In coding the indicator the only way I could figure out to decide which signal line to display was to start in the past somewhere and pick up which direction was the active one.

Let’s look at a quick example. Trading GBPUSD, and the ATR over a 5 bar period is .0025 (or 25 pips), and we use a factor (coefficient) of 4, which we multiply by the ATR:

5 period ATR = .0025 (25 pips)
4 * ATR = .0100 (100 pips) move.

Now, if the ATR increases, so does the pip move necessary to generate a trade. The reverse is equally true.

5 period ATR = .0050 (50 pips)
4 * ATR = .0200 (200 pips) move.

5 period ATR = .0010 (10 pips)
4 * ATR = .0100 (40 pips) move.

Before flooding the thread with the “optimal settings”, please first test and compare it with our results. Team Aphid never optimize a system, we go for robust. The system does not need to be perfectly tuned to make good profits – it only has to be “in the ball park”. Too many times we have seen optimized systems get hurt because a small deviation in market conditions cause an optimized value to fail. With a “robust” setting we are sure that values on both sides of our settings will still give winning results. It might not always be the best settings, but they are most probably the safest.

Zeus
  • #351
  • Jan 28, 2007 5:20pm Jan 28, 2007 5:20pm
Yes it does, please see post #348 for further comment.


Quoting Toothman
Thank you for all your effort here and for sharing it with us. My question is on the initial entry into a trade you say to let it run until it hits the opposite bat line. Doesn't this sometimes leave alot of pips on the table compaired to taking profit at the first or second fib line? Thanks Again.
  • #352
  • Jan 30, 2007 6:06am Jan 30, 2007 6:06am
Sometime ago someone posted the idea of adding a 72EMA to your system.I haven't done a complete backtest of 2006 but this additional filter keeps you out of alot of neg. trades if you don't trade against the slope. Have you had a chance to backtest this additional filter to see if it improves over all results for the year? Thanks again for sharing this great system.
  • #353
  • Jan 30, 2007 8:46am Jan 30, 2007 8:46am
We haven't yet, but it is definitely in our agenda.


Quoting Toothman
Sometime ago someone posted the idea of adding a 72EMA to your system.I haven't done a complete backtest of 2006 but this additional filter keeps you out of alot of neg. trades if you don't trade against the slope. Have you had a chance to backtest this additional filter to see if it improves over all results for the year? Thanks again for sharing this great system.
  • #354
  • Jan 30, 2007 12:44pm Jan 30, 2007 12:44pm
Forgive me if this has been explained earlier but do we open additional lots on every retracement to fib lines (some trades may have several ) or just the first retrace?For example,price may retrace to 61.8 level then back to initial entry then back to 61.8 again. I,m beginning to see the beauty in this system. Even if initial lot doesn't TP, lots 2,3 and 4 can give you a nice gain overall on the trade. thank you
  • #355
  • Jan 31, 2007 3:16am Jan 31, 2007 3:16am
Yes, we open additional positions on every retracement unless price hits 161.8 fib level. When it does, we don't open positions for trade #2, 3 and 4 anymore.


Quoting Toothman
Forgive me if this has been explained earlier but do we open additional lots on every retracement to fib lines (some trades may have several ) or just the first retrace?For example,price may retrace to 61.8 level then back to initial entry then back to 61.8 again. I,m beginning to see the beauty in this system. Even if initial lot doesn't TP, lots 2,3 and 4 can give you a nice gain overall on the trade. thank you
  • #356
  • Jan 31, 2007 10:26am Jan 31, 2007 10:26am
Hi TA:

Just curious where you placed the swing low on the last long entry. 157 pips south seems a bit far away.
Attached Image
Michael fxgorilla
  • #357
  • Jan 31, 2007 3:47pm Jan 31, 2007 3:47pm
Quoting fxgorilla
Hi TA:

Just curious where you placed the swing low on the last long entry. 157 pips south seems a bit far away.
fxgorilla-

I've got mine drawn the same way as yours. It certainly is a long way but it is done per the strategy which says to draw the fib to a "recent or significant" low. Putting the SL 10 pips below that will test the nerves.

At the time of this post however, the blue BAT line is already coming north of that original SL point, so I've moved the SL to correspond with the price the blue BAT line is at.
Hemico If you're not having any fun, you're doing it all wrong!
  • #358
  • Feb 1, 2007 12:02am Feb 1, 2007 12:02am
We have put our SL @ 1.9480 minus 10 pips as it is the recent and significant swing low. We agree it is a bit far away, but blue BAT line adjusts itself a few bars later and increases rapidly during the consolidation of sharp upward move. Think this way; there may be a correction after such a sharp increase and SL @1.9480 minus 10 pips gives a good chance for your position to live. By the way, you can profit from range trading positions during the consolidation period.


Quoting fxgorilla
Hi TA:

Just curious where you placed the swing low on the last long entry. 157 pips south seems a bit far away.
  • #359
  • Feb 1, 2007 7:44am Feb 1, 2007 7:44am
When price passes by a Bat line but doesn't touch it , do we still make a trade? If we are waiting for an actual touch, I can see in the past we would have missed out on alot of trades. An example of this would be on the 24th of this month at 6:00 on the MT4 platform. Thank you.
  • #360
  • Feb 1, 2007 8:16am Feb 1, 2007 8:16am
We are putting our limit order just under blue BAT line or just above red BAT line. So it is impossible to miss out any trade. In your example, blue BAT line is @ 1.977020, therefore if you put a SELL limit order @ 1.9770 or 1.9769, you won't miss out this trade.

You should use limit orders as you see the trigger levels beforehand, you don't need to wait for the price to touch the BAT line and send market order which will cause miss-outs.


Quoting Toothman
When price passes by a Bat line but doesn't touch it , do we still make a trade? If we are waiting for an actual touch, I can see in the past we would have missed out on alot of trades. An example of this would be on the 24th of this month at 6:00 on the MT4 platform. Thank you.
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