GBP/USD backtest Jan - July 2006 IBFX with %risk
Attached File(s)
BAT-GBPUSD TEST- 2006.zip
126 KB
|
569 downloads
My Bat from team aphid trades 82 replies
The BAT Method - The EA 186 replies
BAT system for 15 min chart 28 replies
BAT indicator 2 replies
The BAT mathematical formula for lines? 0 replies
DislikedWhat you are doing is actually something very similar to change Factor parameter in original BAT indicator.
Please have a look at GBPJPY chart. Change distance parameter to 1.0 and keep ATR Period @ 5 and Factor @ 4.0
Then, in original BAT indicator, keep ATR period @ 5, but change Factor to 4.6. You'll see what we mean.
The result will be less noise, bigger stoplosses.
Thanks for your contributions.Ignored
DislikedI took a little quick visual backtest and fix a little bug.
On the schedule 2 indicators are resulted: BAT ATR v1 and BAT ATR Distance (last version which the author has corrected from a mistake)
BUT! The mistake of new indicator BAT ATR Distance Is observed
EUR/USD concerns the remote indicator (11 pips) with a thorn and departs back, BUT! The indicator reacts (instead of ignores a thorn) and starts to draw from below a dark blue line. The arrow of white color specifies the new corrected indicator.
The previous indicator (first version BAT ATR Distance) was more correct. It ignored a contact of thorns and reacted only to the price of the closed position bar's. I do not understand for what you have altered it. The new indicator badly works, return please old version BAT ATR DistanceIgnored
DislikedHello,
I tried to improve the system by reducing it to 1 lot only, without using fibonacci retracements to add to the initial position. This way, you only look for big moves in the direction of your entry.
Then I searched for those moves (mostly 200 pips or more maximum favorable excursion [MFE] since entry without touching Bat ATR in the meantime) and observed the maximum adverse excursion (MAE) since entry. I did this manually for both 2005 and 2006. Next I calculated how large an initial stop was needed to keep you in 3/4 of those trades or at least in 1/2 of those trades (quartile 3 and 2).
If you use a smaller intitial stop, whipsaws hurt you much less, and you can increase the position size while keeping account risk the same as before.
Maybe someone could do an automatic backtest wether this helps on overall profitability.Ignored
DislikedI might not have explained myself clearly. I agree that ATR factor 4 is best overall. However, I was proposing to change it only after a threshold is reached (say 200 pips gain). This way, you keep the initial risk the same, but give the market more room when trending (see chart below).
In a similar way, you would only avoid the contra trend trade after a large (say 200 pip) gain. As a result, the proposed change would have taken the short signal on 3 Jan. I only looked at this on GBPUSD, so don't know if the same rule / threshold would improve the results on GBPJPY. If you have a spreadsheet on GBPJPY, I could check this fairly quickly.Ignored
DislikedBounty,
Thanks for result, questions :
1. what is the pair ?
2. Are those trades win only ?
3. is MAE a BAT line to BAT line pips ?
4. is MFE a BAT line to maximum pips ?
5. is Quartile3 & 4 a minimum SL ? do you use fibo swing point as SL ?Ignored
DislikedHello Mason,
1. The pair is GBP/USD
2. Yes, losing trades have been skipped in the spreadsheet. My intention was to optimize the initial stop loss width by determining how small it can be set without stopping you out of more then 1/4 or 1/2 of the relevant winning trades. Since there's no harm to be stopped out of a losing trade, I disregarded losing trades in my calculation.
3. MAE is a statistical number for each trade. It tells you how much the trade went against you after your entry.
4. MFE is a statistical number for each trade. It tells you how much the trade went in your favor after your entry.
5. I didn't use any fibo swing points at all. Quartile 3 for a group of numbers tells you at which number 3/4 of the group are smaller than the resulting number. For me, all favorable trades' MAEs were the group of numbers, and Quartile 3 of that group tells me how small I can set the stop without being stopped out more than 1 out of 4 times for those favorable trades.Ignored
DislikedThanks for explanation, any conclusion on how we should put SL and TP, such as if swing is less than 57 pips from BAT line, we stick to 57 pips.
Or our RRR should be around 1 : 10, because average of MAE : MFE is 32.75 and 324.Ignored
DislikedWe were considering next entry strategy when saying ATR factor 4 is the best.Ignored
DislikedI have seen that we need to take partial profit when Pin Bar break against BAT direction.
Let's find the most reliable setting to detect Pin Bar, you can apply this indicator more than one.
Credit to Jim from PF, he is really an eye opener to me.
AttachmentIgnored
Dislikedsomebody using price action to better the BAT? brilliant and something ive been patiently watching for. ive been demiong BAT with price analysis and it helps. but then it always does. thanks for the kind words.
jimIgnored
DislikedHi James,
No problem with using price action as an exit. We just need to create a mathematical rule or something to make sure that we treat every scenario exactly the same. If we don’t do that then we are not treating this as a mechanical trading system. We’ll try to describe the pin bar in math terms. Some of the “magic” might get lost because we will not be able to bring in pivot areas, trend lines and the other tools that the “chart gazers” use but let’s see how it works out.
ThanksIgnored
Disliked...demoing the system and using price action to help refine or determine entries and exits.Ignored
DislikedI can't believe the master is here, it is an honour.
It comes to me when I saw many charts, especially cleaner ones, I saw another tool such as resistance, support and flip of res/supp line could become early warning/confirmation. (yes, you know where it comes from)
I also believe EA can help this, with more focus, enhancement and correct setting, we can have more robust strategy in an already very strong method.
Off course we have to monitor always the chart and EA, but we could put an early warning EA before the EA really takes an action.
I don't want to talk about EA in this thread, but since our goal is to be mechanical, it is not a bad idea to have an assistance such as EA, but not to be confused as a reason if the method is profitable or not. EA is just as dumb as rock. (not to mean harsh)Ignored
DislikedHi all
Thank you for your great system. I trade almost a year and I find your system very comfortable .
I thought abaout whipsaw filter : all the rules as you wrote except entry must be the first candle that his open price is above/under the bat line. what do you think about it?
SimonIgnored