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  • #281
  • Sep 18, 2008 11:08pm Sep 18, 2008 11:08pm
Quoting gnllr
Based on your results posted thus far for E/U, this system has a good 14.2% edge or Kelly Value of 0.142. (and that's based on a Win Probability of 50%, where E/U has demonstrated a greater win probability of 65.1%. With a W/L at 1.4, you need a win probability of roughly greater than 46% to have a 10% edge.)

Check out this link to view an equity curve simulator:

http://www.hquotes.com/tradehard/simulator.html

In my opinion, I'd say based on the strong fundamentals of this system (PivotPoints), the good Risk-Reward ratio, and the infrequency of trades (not overtrading), this system has good long-term viability.

Glen
Kelly value is 14.2% (based on 50% win prob.), which means either of these:
i) we should risk 14.2% on each trade to get optimum results.
ii) the margin value of each trade should be 14.2% of our capital

We are doing far more conservative than that, which means we can save ourselves from heart attack caused by huge drawdowns, yet still on the right path to riches.

Anyway, this only applies to trading EU only. I am interested to see how the Kelly criterion goes with all 5 pairs as a whole. Waiting for blueace's results.
  • #282
  • Sep 19, 2008 4:13pm Sep 19, 2008 4:13pm
I'm not sure how to best present these these numbers. What I realized I had done originally with my EU numbers was give them to you compounded. Here are the non-compounded results for each pair and what my returns were.

2-25-08 to 09-19-08

Individually
EU +22.8% Largest drawdown -4% (My prior result was incorrect by 1 win)
GU +12.6% Largest DD -3%
GJ +8.6% Largest DD -6%
EJ +5.2% Largest DD -5% x2
UJ +4.8% Largest DD -4%

As a whole
+54% largest drawdown was -4.8%

Hope that fills in some blanks for you. The best way to truly test any system is to forward test it on your own demo account. I encourage anyone to do that.
  • #283
  • Edited 2:07pm Sep 20, 2008 1:57pm | Edited 2:07pm
If not obvious by the results of my past 7 months it looks like this system might be due for a streamline. EU and GU preformed much better than the other three pairs with EU standing heads and shoulders above the rest.

As far as this thread is concerned I will be updating the first page with the 'rules' of the system to only include using the system on two recommended pairs of EU and GU.

---
Also if anyone is testing the Weekly Pivot Net out I recommend GJ and UJ. As they have the best results for the past 7 months as well. I encourage you to do all forward testing in demo mode and backtest this system. It is very easy to visually backtest if you use the ST Pivot Point Indicator.
  • #284
  • Sep 20, 2008 2:11pm Sep 20, 2008 2:11pm
Oanda practices stop-gunning and limit avoidance...I would steer clear of them. I use FXCM's mini account with no deal desk and they don't screw with me anymore after I caught them with their hand in the cookie jar a couple times and sent it to arbitration, but to their credit they gave me my money back. I asked them point blank in a job interview if they manipulated the feed to run stops and screw traders. They said they used to, but technically and logistically it didn't pay off so they quit doing it. Never use introducing brokers through Metatrader either. The Micro FXCM accounts are market maker accounts but the feed is pretty accurate compared to any other platform.

I like your strategy a lot. I'm going to do it live with 1/2 risk and demo 7% just to see what would happen.
  • #285
  • Sep 20, 2008 6:39pm Sep 20, 2008 6:39pm
Quoting blueace
I'm not sure how to best present these these numbers. What I realized I had done originally with my EU numbers was give them to you compounded. Here are the non-compounded results for each pair and what my returns were.

2-25-08 to 09-19-08

Individually
EU +22.8% Largest drawdown -4% (My prior result was incorrect by 1 win)
GU +12.6% Largest DD -3%
GJ +8.6% Largest DD -6%
EJ +5.2% Largest DD -5% x2
UJ +4.8% Largest DD -4%

As a whole
+54% largest drawdown was -4.8%

Hope that fills in some blanks for you. The best way to truly test any system is to forward test it on your own demo account. I encourage anyone to do that.
Blueace,

Thanks for posting these results. Could you also post the number of wins and losses per pair?

Glen
  • #286
  • Sep 20, 2008 8:06pm Sep 20, 2008 8:06pm
Quoting gnllr
Blueace,

Thanks for posting these results. Could you also post the number of wins and losses per pair?

Glen
Wins/Losses

EU +27 -15
GU +19 -14
GJ +19 -18
EJ +18 -20
UJ +17 -19
  • #287
  • Sep 21, 2008 7:32am Sep 21, 2008 7:32am
Quoting blueace
Wins/Losses

EU +27 -15
GU +19 -14
GJ +19 -18
EJ +18 -20
UJ +17 -19
So the average Win Probability is 53.55%. This makes a Kelly Value of 0.203. Sounds great to me. I'm not saying I'll risk 20% per trade (only 1% personally), but even with all the pairs traded, this is a great system.
  • #288
  • Sep 21, 2008 7:45am Sep 21, 2008 7:45am
Quoting blueace
EU +22.8% Largest drawdown -4% (My prior result was incorrect by 1 win)
GU +12.6% Largest DD -3%
GJ +8.6% Largest DD -6%
EJ +5.2% Largest DD -5% x2
UJ +4.8% Largest DD -4%

Wins/Losses

EU +27 -15
GU +19 -14
GJ +19 -18
EJ +18 -20
UJ +17 -19
From your wins/losses and also individual % performance, based on 1.4% for wins and 1% for losses for 1% risk factor, I think we should keep giving the 5 pairs a chance. Who knows any of the least performing now could turn to perform better in coming months. (Even the 2 best pairs should be EU and GU)

Can we please have your weekly averages (as official? for comparison) as we prepare for coming week??
I also sent you a PM.

Fosters
  • #289
  • Sep 21, 2008 6:14pm Sep 21, 2008 6:14pm
Quoting fosters
From your wins/losses and also individual % performance, based on 1.4% for wins and 1% for losses for 1% risk factor, I think we should keep giving the 5 pairs a chance. Who knows any of the least performing now could turn to perform better in coming months. (Even the 2 best pairs should be EU and GU)

Can we please have your weekly averages (as official? for comparison) as we prepare for coming week??
I also sent you a PM.

Fosters
My averages from last week are:

EU 313.4
GU 360.9
  • #290
  • Sep 21, 2008 10:29pm Sep 21, 2008 10:29pm
so at last our conclusion is just to trade EU and GU?
if this is so.. maybe we can backtest from 2006... i think 2 or 3 years backtest is good to prove the winning percentage of one system.
  • #291
  • Sep 21, 2008 11:10pm Sep 21, 2008 11:10pm
Quoting budi_838
so at last our conclusion is just to trade EU and GU?
if this is so.. maybe we can backtest from 2006... i think 2 or 3 years backtest is good to prove the winning percentage of one system.
That was the conclusion that I have come to. Feel free to apply it to as many pairs as you wish. Unless I am presented with overwhelming evidence that it's more profitable to apply it to more than these two I am only going to trade EU and GU.

An EA of this system would be helpful in conducting a further backtest. I have my actual results from february as I have posted, but as all of my trades were done by hand. Any further backtesting would also have to be done by hand. I have my rough results and that is how I came up with the system in the first place. So I am satisfied of it's results and will continue to trade this system. For those of you that wish to have a more in depth backtest I would appreciate some help in gathering the needed weekly averages.
  • #292
  • Sep 21, 2008 11:46pm Sep 21, 2008 11:46pm
I have difficulty logging into Oanda FX Game since last night. Anybody with similar experience please?
  • #293
  • Sep 21, 2008 11:47pm Sep 21, 2008 11:47pm
Quoting blueace
That was the conclusion that I have come to. Feel free to apply it to as many pairs as you wish. Unless I am presented with overwhelming evidence that it's more profitable to apply it to more than these two I am only going to trade EU and GU.

An EA of this system would be helpful in conducting a further backtest. I have my actual results from february as I have posted, but as all of my trades were done by hand. Any further backtesting would also have to be done by hand. I have my rough results and that is how I came up with the system in the first place. So I am satisfied of it's results and will continue to trade this system. For those of you that wish to have a more in depth backtest I would appreciate some help in gathering the needed weekly averages.
Yes, that's good
If there are just EU and GU have a high percentage of winning, it's not problem..1 pairs, 2 pairs or 5 pairs it's the same.
if 5 pairs the lot size is less
if 2 pairs the lot size is more
it's the same i think, the most important is the winning percentage.
  • #294
  • Sep 21, 2008 11:50pm Sep 21, 2008 11:50pm
i want to ask something, for Monday Pivot we use Friday or Sunday?
  • #295
  • Sep 22, 2008 12:11am Sep 22, 2008 12:11am
Quoting budi_838
i want to ask something, for Monday Pivot we use Friday or Sunday?
This system only trades 3 days a week. Tuesday, Wednesday and Thursday.
  • #296
  • Sep 22, 2008 9:07pm Sep 22, 2008 9:07pm
Looks like a no-trade night for the system. EU and GU were both over last week's average range today.

Scott
Prices are never too high to begin buying or too low to begin selling.
  • #297
  • Sep 23, 2008 11:17pm Sep 23, 2008 11:17pm
We have green lights on both EU and GU tonight.

My trades are placed... hoping for a couple wins!

Scott
Prices are never too high to begin buying or too low to begin selling.
  • #298
  • Sep 23, 2008 11:29pm Sep 23, 2008 11:29pm
Quoting thehenryfam
We have green lights on both EU and GU tonight.

My trades are placed... hoping for a couple wins!

Scott
Hey there,

I haven't checked the numbers for last week and the setups for tonight. Think you could you pass them along?
  • #299
  • Sep 23, 2008 11:56pm Sep 23, 2008 11:56pm
Hi. Here are Blueace's numbers for tonight:

EU
LONG 1.47910
SL 1.47168
TP 1.48953

SHORT 1.45952
SL 1.46529
TP 1.45157

GU
LONG 1.86272
SL 1.85666
TP 1.87110

SHORT 1.84579
SL 1.85116
TP 1.83844
Prices are never too high to begin buying or too low to begin selling.
  • #300
  • Sep 24, 2008 1:51pm Sep 24, 2008 1:51pm
bummer...didn't get hit today...but it keeps winding up tighter and tighter...
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