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EMA 25-50 Trading System (Detailed)

  • #1,941
  • Jul 28, 2008 10:04pm Jul 28, 2008 10:04pm
For the comparing tests:

I used the period of beginning of the year, until present (exactly 01/01/08 until 18/07/08);

Pairs: EURUSD, GBPUSD, GBPJPY, EURJPY, USDJPY, GBPCHF;

I counted by hand all the X, TP1, TP2, TP3 and TP4 reached by both versions:
- The “normal” indicator that we had, which gets signals from the close of the previous candle;
- The filtered version I made, with the 4H Stochastic, also based on the close of the previous candle.

Both versions with ATR = 1 for SL & TP;

Since the SL & TP are not constant, because of the use of ATR, I used the value of ATR(3400) for a median value (ATR since approximately the beginning of the year), to count the pips won/lost. It can’t be a precise method, but it’s the possible one, and the same for both versions.

MTF Stochastic of changed version with settings of 4H, 5, 3, 3, 0, 0.
  • #1,942
  • Jul 28, 2008 10:07pm Jul 28, 2008 10:07pm
Normal version:

Total trades = 286

X – 127 (44,4 %)
TP1 – 73 (25,5 %)
TP2 – 38 (13,3 %)
TP3 – 29 (10,1 %)
TP4 – 19 (6,6 %)

For ATR=26:
X – (26+26+26+26)*127= -13208 pips
TP1 – (26+0+0+0)*73= +1898 pips
TP2 – (26+52+26+26)*38= +4940 pips
TP3 – (26+52+78+52)*29= +6032 pips
TP4 – (26+52+78+104)*19= +4940 pips

TOTAL = + 4602 pips

----------------------------------------------

Stochastic version:

Total trades = 221

X – 85 (38,4 %)
TP1 – 63 (28,5 %)
TP2 – 31 (14,0 %)
TP3 – 26 (11,8 %)
TP4 – 16 (7,2 %)

For ATR=26:
X – (26+26+26+26)*85= -8840 pips
TP1 – (26+0+0+0)*63= +1638 pips
TP2 – (26+52+26+26)*31= +4030 pips
TP3 – (26+52+78+52)*26= +5408 pips
TP4 – (26+52+78+104)*16= +4160 pips

TOTAL = + 6396 pips

---------------------------------------------

Improvement in total pips: +39,0 %
Improvement in quantity of trades: -22,7 %

Changes by type of trade:
X: -33,1 %
TP1: -13,7 %
TP2: -18,4 %
TP3: -10,3 %
TP4: -15,8 %
  • #1,943
  • Jul 28, 2008 10:08pm Jul 28, 2008 10:08pm
Normal version:

Total trades = 297

X – 128 (43,1 %)
TP1 – 102 (34,3 %)
TP2 – 32 (10,8 %)
TP3 – 18 (6,1 %)
TP4 – 17 (5,7 %)

For ATR=30:
X – (30+30+30+30)*128= -15360 pips
TP1 – (30+0+0+0)*102= +3060 pips
TP2 – (30+60+30+30)*32= +4800 pips
TP3 – (30+60+90+60)*18= +4320 pips
TP4 – (30+60+90+120)*17= +5100 pips

TOTAL = + 1920 pips

----------------------------------------------

Stochastic version:

Total trades = 235

X – 93 (39,6 %)
TP1 – 81 (34,5 %)
TP2 – 27 (11,5 %)
TP3 – 17 (7,2 %)
TP4 – 16 (6,8 %)

For ATR=30:
X – (30+30+30+30)*93= -11160 pips
TP1 – (30+0+0+0)*81= +2430 pips
TP2 – (30+60+30+30)*27= +4050 pips
TP3 – (30+60+90+60)*17= +4080 pips
TP4 – (30+60+90+120)*16= +4800 pips

TOTAL = + 4200 pips

---------------------------------------------

Improvement in total pips: +118,8 %
Improvement in quantity of trades: -20,9 %

Changes by type of trade:
X: -27,3 %
TP1: -20,6 %
TP2: -15,6 %
TP3: -5,6 %
TP4: -5,9 %
  • #1,944
  • Jul 28, 2008 10:10pm Jul 28, 2008 10:10pm
Normal version:

Total trades = 292

X – 149 (51,0 %)
TP1 – 64 (21,9 %)
TP2 – 43 (14,7 %)
TP3 – 14 (4,8 %)
TP4 – 22 (7,5 %)

For ATR=52:
X – (52+52+52+52)*149= -30992 pips
TP1 – (52+0+0+0)*64= +3328 pips
TP2 – (52+104+52+52)*43= +11180 pips
TP3 – (52+104+156+104)*14= +5824 pips
TP4 – (52+104+156+208)*22= +11440 pips

TOTAL = + 780 pips

-----------------------------------------------------------

Stochastic version:

Total trades = 214

X – 92 (43,0 %)
TP1 – 53 (24,8 %)
TP2 – 37 (17,3 %)
TP3 – 13 (6,1 %)
TP4 – 19 (8,9 %)

For ATR=52:
X – (52+52+52+52)*92= -19136 pips
TP1 – (52+0+0+0)*53= +2756 pips
TP2 – (52+104+52+52)*37= +9620 pips
TP3 – (52+104+156+104)*13= +4992 pips
TP4 – (52+104+156+208)*19= +9880 pips

TOTAL = + 8112 pips

-------------------------------------------------------

Improvement in total pips: +940 %
Improvement in quantity of trades: -26,7 %

Changes by type of trade:
X: -38,3 %
TP1: -17,2 %
TP2: -14,0 %
TP3: -7,1 %
TP4: -13,6 %
  • #1,945
  • Jul 28, 2008 10:11pm Jul 28, 2008 10:11pm
Normal version:

Total trades = 288

X – 149 (51,7 %)
TP1 – 59 (20,5 %)
TP2 – 40 (13,9 %)
TP3 – 21 (7,3 %)
TP4 – 19 (6,6 %)

For ATR=34:
X – (34+34+34+34)*149= -20264 pips
TP1 – (34+0+0+0)*59= +2006 pips
TP2 – (34+68+34+34)*40= +6800 pips
TP3 – (34+68+102+68)*21= +5712 pips
TP4 – (34+68+102+136)*19= +6460 pips

TOTAL = + 714 pips

---------------------------------------------

Stochastic version:

Total trades = 233

X – 111 (47,6 %)
TP1 – 51 (21,9 %)
TP2 – 35 (15,0 %)
TP3 – 19 (8,2 %)
TP4 – 17 (7,3 %)

For ATR=34:
X – (34+34+34+34)*111= -15096 pips
TP1 – (34+0+0+0)*51= +1734 pips
TP2 – (34+68+34+34)*35= +5950 pips
TP3 – (34+68+102+68)*19= +5168 pips
TP4 – (34+68+102+136)*17= +5780 pips

TOTAL = + 3536 pips

-------------------------------------------------

Improvement in total pips: +395,2 %
Improvement in quantity of trades: -19,1 %

Changes by type of trade:
X: -25,5 %
TP1: -13,6 %
TP2: -12,5 %
TP3: -9,5 %
TP4: -10,5 %
  • #1,946
  • Jul 28, 2008 10:12pm Jul 28, 2008 10:12pm
Normal version:

Total trades = 332

X – 163 (49,1 %)
TP1 – 96 (28,9 %)
TP2 – 28 (8,4 %)
TP3 – 21 (6,3 %)
TP4 – 24 (7,2 %)

For ATR=24:
X – (24+24+24+24)*163= -15648 pips
TP1 – (24+0+0+0)*96= +2304 pips
TP2 – (24+48+24+24)*28= +3360 pips
TP3 – (24+48+72+48)*21= +4032 pips
TP4 – (24+48+72+96)*24= +5760 pips

TOTAL = - 192 pips

-------------------------------------------

Stochastic version:

Total trades = 237

X – 105 (44,3 %)
TP1 – 71 (30,0 %)
TP2 – 22 (9,3 %)
TP3 – 20 (8,4 %)
TP4 – 19 (8,0 %)

For ATR=24:
X – (24+24+24+24)*105= -10080 pips
TP1 – (24+0+0+0)*71= +1704 pips
TP2 – (24+48+24+24)*22= +2640 pips
TP3 – (24+48+72+48)*20= +3840 pips
TP4 – (24+48+72+96)*19= +4560 pips

TOTAL = + 2664 pips

-----------------------------------------------

Improvement in total pips: +1487,5 %
Improvement in quantity of trades: -28,6 %

Changes by type of trade:
X: -35,6 %
TP1: -26,0 %
TP2: -21,4 %
TP3: -4,8 %
TP4: -20,8 %
  • #1,947
  • Jul 28, 2008 10:14pm Jul 28, 2008 10:14pm
Normal version:

Total trades = 313

X – 167 (53,4 %)
TP1 – 63 (20,1 %)
TP2 – 33 (10,5 %)
TP3 – 23 (7,3 %)
TP4 – 27 (8,6 %)

For ATR=44:
X – (44+44+44+44)*167= -29392 pips
TP1 – (44+0+0+0)*63= +2772 pips
TP2 – (44+88+44+44)*33= +7260 pips
TP3 – (44+88+132+88)*23= +8096 pips
TP4 – (44+88+132+176)*27= +11880 pips

TOTAL = + 616 pips

-----------------------------------------------

Stochastic version:

Total trades = 259

X – 127 (49,0 %)
TP1 – 58 (22,4 %)
TP2 – 29 (11,2 %)
TP3 – 21 (8,1 %)
TP4 – 24 (9,3 %)

For ATR=44:
X – (44+44+44+44)*127= -22352 pips
TP1 – (44+0+0+0)*58= +2552 pips
TP2 – (44+88+44+44)*29= +6380 pips
TP3 – (44+88+132+88)*21= +7392 pips
TP4 – (44+88+132+176)*24= +10560 pips

TOTAL = + 4532 pips

-----------------------------------------------

Improvement in total pips: +635,7 %
Improvement in quantity of trades: -17,2 %

Changes by type of trade:
X: -24,0 %
TP1: -7,9 %
TP2: -12,1 %
TP3: -8,7 %
TP4: -11,1 %
  • #1,948
  • Edited 11:27pm Jul 28, 2008 10:20pm | Edited 11:27pm
I leave it to your thoughts and comments.
Oh, and I almost forgot… here’s the Indicator with the changes, and also the MTF Stochastic it uses (it has to be in your custom indicator's folder).
Attached File(s)
File Type: mq4 EMA_25_Indicator_i+1_MTFSto.mq4   27 KB | 584 downloads
File Type: mq4 #MTF_Stochastic.mq4   4 KB | 541 downloads
  • #1,949
  • Edited 5:48am Jul 29, 2008 4:18am | Edited 5:48am
so your idea consists in a Stochastic on a higher timeframe as a filter. cool, definitly going to try this live.

Do you mind if we ask to a programer to make this system an EA? Imho it's time to start to test live both our version, the normal one and the i+1.

Thank you very much for your coding and testing toni, good job!!

Anyway, are you sure of your numbers? I counted up to 97 loss on EURUSD with your system :|
  • #1,950
  • Jul 29, 2008 6:13am Jul 29, 2008 6:13am
Quoting Corre
so your idea consists in a Stochastic on a higher timeframe as a filter. cool, definitly going to try this live.

Do you mind if we ask to a programer to make this system an EA? Imho it's time to start to test live both our version, the normal one and the i+1.

Thank you very much for your coding and testing toni, good job!!

Anyway, are you sure of your numbers? I counted 102 loss on EURUSD with your system :|
About the loss count:
I knew this could happen, but I just recounted only the losses and it's right.
The reason may be the different data feed we use on our demo or live accounts.

I would love to see an EA made out of it
At the very least, It would make the testing easier... and if it passes those tests, why not try to go live with the EA?

The problem is... who could do it?
I don't know if ronmatzkin is still working on it (we haven't got any news from him - vacations?), and nobody else has come forward to try that!

And I still have faith in the "repainting" version, it just would have to be backtested by an EA to see.
That version could also be filtered by this method, because as we see by my results, in general we get:
- less total trades (less spreads);
- lower percentage of "X" trades and higher of TP trades;
- higher amount of total gained pips.

And I haven't studied it pair by pair... as maybe different values for ATR or Stochastic could improve the results in specific pairs.
Limiting trading in a pair to a specific time of the day could also improve it.
But this finetuning could be easily done after, with an EA.
  • #1,951
  • Jul 29, 2008 6:16am Jul 29, 2008 6:16am
can you post your template please???


Quoting tonirai
About the loss count:
I knew this could happen, but I just recounted only the losses and it's right.
The reason may be the different data feed we use on our demo or live accounts.

I would love to see an EA made out of it
At the very least, It would make the testing easier... and if it passes those tests, why not try to go live with the EA?

The problem is... who could do it?
I don't know if ronmatzkin is still working on it (we haven't got any news from him - vacations?), and nobody else has come forward to try that!

And I still have faith in the "repainting" version, it just would have to be backtested by an EA to see.
That version could also be filtered by this method, because as we see by my results, in general we get:
- less total trades (less spreads);
- lower percentage of "X" trades and higher of TP trades;
- higher amount of total gained pips.

And I haven't studied it pair by pair... as maybe different values for ATR or Stochastic could improve the results in specific pairs.
But this finetuning could be easily done after, with an EA.
  • #1,952
  • Jul 29, 2008 7:05am Jul 29, 2008 7:05am
Quoting hipofiz
can you post your template please???
Sure.
Here it is (I've added the MTFStochastic in the chart, which I normally don't have).

Folks, about this system:
It's not a thousand pip/week system, like sometimes I hear talking about...
But I believe it has potential to be consistent, and with several pairs.

Oh, and by the way, during my countings, the maximum consecutive losses I found was 6 to 8 (don't remember which pairs).
Attached File(s)
File Type: tpl ema_indicator_i+1_mtfsto.tpl   5 KB | 509 downloads
  • #1,953
  • Jul 29, 2008 7:24am Jul 29, 2008 7:24am
IMPRESSIVE work tonirai http://www.forexfactory.com/images/s...ser_online.gif
"One Grows Tall After Walking Through A Forest Of Tall Trees."
  • #1,954
  • Jul 29, 2008 7:38am Jul 29, 2008 7:38am
the repainting version is at a blind spot. without EA can't work on that.

I'm trying to improve the i+1 version now. If you notice you'll see that there are "grapes" of 5-6 loss all together and this is because SL is too thight, it comes reached and the trade closes. Next candle we open again in the same direction and we get another loss.

In my opinion we should add another check to avoid this groups of 4-5 crosses.

work in progress

again, what do you use as broker? With ALpari UK it seems we have different datas
  • #1,955
  • Jul 29, 2008 7:40am Jul 29, 2008 7:40am
Quoting effilang
IMPRESSIVE work tonirai http://www.forexfactory.com/images/s...ser_online.gif
Thanks a lot Effi... it means a lot, coming from you!
Your ideas and inspiration are a big part of it!
  • #1,956
  • Jul 29, 2008 7:54am Jul 29, 2008 7:54am
Quoting Corre
the repainting version is at a blind spot. without EA can't work on that.

I'm trying to improve the i+1 version now. If you notice you'll see that there are "grapes" of 5-6 loss all together and this is because SL is too thight, it comes reached and the trade closes. Next candle we open again in the same direction.

In my opinion we should add another check to avoid this groups of 4-5 crosses.

work in progress
Yes, I said it above: when I was counting, I saw a maximum of 6 to 8 consecutive losses.
Mostly it hapens when we are in a tight siding range...

So be carefull, as larger SL could easily reduce some bad trades, but create many others.
But that's why I wanted an ATRMultiplier in the code since the beginning, to allow playing with SL/TP values, but always proportionally.

The ball is in your hands now
  • #1,957
  • Edited 8:37am Jul 29, 2008 8:15am | Edited 8:37am
2 ideas:

1) if we reach TP4 in 1 or 2 single candles then, do not enter any trade in the same direction of that one. we wait for a reverse to enter. This is because many loss are due to an explosion of the volatility that is followed by a long choppy market. The system doesn't react fast and it keeps on placing orders

2) if MA Angle (Ema_5) < 2.2 don't enter any trade.

this is the ma_angle indicator, try it.

anyway the system is already great as you modified it tonirai, congratulation. It's just that we can do even better perhaps!
Attached File(s)
File Type: mq4 MAAngle.mq4   6 KB | 319 downloads
  • #1,958
  • Jul 29, 2008 11:24am Jul 29, 2008 11:24am
thank you
  • #1,959
  • Jul 29, 2008 11:41am Jul 29, 2008 11:41am
Quoting hipofiz
thank you



Corre,
About the EMA5 angle, I will try to take a look at it, but it will have to wait:
I have 2 very busy days ahead of me, and then I leave for a longer weekend, in the quiet countryside
  • #1,960
  • Jul 29, 2008 11:17pm Jul 29, 2008 11:17pm
Hey all,

I'm testing your new method on demo right now tonirai and it worked it really good yesterday. I hope the success is repeated!

Just wanted to let you know that others care and are watching, just not posting! I'll be forward testing it in demo though for a while.
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