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Dially Daily

  • #21
  • Jan 4, 2007 10:54pm Jan 4, 2007 10:54pm
Quoting Matthew
From the backtesting spreadsheet in the first post by Dial:

If you just take one exit of 100 pips you will increase your profits by 42% 1418 pips verse 2018 pips for the year 2006. More variance though.

Do the math. All the 40 pip gains become 0 all the 140 pip gains become 200. Losses remain the same.
Ya lost me Matt! Wanna run that by us again with a bit more detail?
sxaxlxvxaxtxixoxnxbxyxgxrxaxcxexdxoxtxoxrxgx
  • #22
  • Jan 4, 2007 11:05pm Jan 4, 2007 11:05pm
Quoting The Wizard of Oz
I'm sure I have read about MAE in one of my books. Perhaps Tharp's. I would also be willing to be involved once I know how to do it.

Wiz.
I've got a book around here somewhere that goes into MAE analysis in great depth. Now if I could just find it, I could give you the basics. I hope I haven't lost that book 'cause it is out of print and the last price I saw for a used copy was nearly $400!!

In general, from memory, you backtest a system using the same entry rule every time, and the same single TP every time. No stop loss is used in order to allow the widest swing possible against you. Then you look at all the trades that hit TP. These are the winners (duh). Then, for each of these winners, you measure how far price moved against the trade, measuring from the entry. With a large enough sample, you'll have some trades that only went a few pips against you; a few that went a large amount against you and most of the trades will fall somewhere in the middle. It is roughly a standard bell curve distribution. Because the few that moved a great number of pips against you are in the same range as trades that turned into losers, these are eliminated from consideration.

Of the remaining winners, the MAE's are grouped into bins or buckets like 0-10 pips, 11-20, 21-30 etc. Then the average MAE in each bucket is backtested and the bucket with the best systemic return wins. The average MAE from that bucket becomes the fixed stop for the system.

I believe gidnoa is doing the same thing. His "buckets" are percentiles, and if I read him right, he chopped off the bottom 25% largest MAEs.

Dial
sxaxlxvxaxtxixoxnxbxyxgxrxaxcxexdxoxtxoxrxgx
  • #23
  • Jan 4, 2007 11:08pm Jan 4, 2007 11:08pm
Quoting gidnoa
initial results:
please find attached file.
first sheet has trades where i got out on MACD bar color change.
22 wins (+113 pips on avg), 9 losses (-234 pips on avg), total of 378 pips.
second has trades where i waited for SL to get hit.
23 wins (+105 pips on avg), 5 losses (-348(!) pips on avg), total of 678 pips.

MAE showed most winning trades went less than 100 pips against us.
I used 75 percentile to get 71 pips SL for the 2nd method to get 418 pips (W:L=17:11)
using a stop of 70 (85 percentile, seems obvious from the data) for the 1st method yielded 848 pips ((W:L=20:11)
obviously playing with the TP will give better results too ,as some trades went much higher. will look into this more.
eliminating trades based on where the close is in relation to the trend might be a filter, too. too late for me to check this now though.
good luck all!
Great work gidnoa! I'll have to dig into your spreadsheet more to understand exactly what you've done here. But this took a lot of work on your part! Thanks for the great effort!!

Dial
sxaxlxvxaxtxixoxnxbxyxgxrxaxcxexdxoxtxoxrxgx
  • #24
  • Jan 4, 2007 11:18pm Jan 4, 2007 11:18pm
thanks, Dial! just tried to give alittle something back for the unbelievable efforts people put into the material on the forum. noob so hope not many mistakes there. I used stops placed below the previous hi/lo and did not let the trades run till they get their profit as you just explained, but as i mentioned when price goes your way ~85% of the time it won;t go against you more than 70 pips.
will backtest more with different TPs, but think i need to focus a bit on my reading here 1st, as i just arrived and LOTS of awesom stuff to be found
good night and good trading!
  • #25
  • Jan 4, 2007 11:55pm Jan 4, 2007 11:55pm
Quoting diallist
Ya lost me Matt! Wanna run that by us again with a bit more detail?
OK if you look at the spreadsheet in post #1 called Dially Daily Backtest.zip you will notice the profits in that backtest were taken at 40 pips and 100 pips for a total yearly profit of 1418 pips. All I was saying was that if you look at that same spreadsheet and assume that profit was only taken at 100 pips or nothing you would find you have a yearly profit of 2018 pips, which is a 42% increase from the 1418 pips shown in the EURUSD backtest. This does assume that all trades which went to 40 pips had their stoploss set to breakeven (which they were in the backtest). This would also mean that all the trades which gained only 40 pips would be stopped out for a gain of 0. The losses would stay the same.

The system looks promising on the surface. I'll have to explore it at a later time. It looks so simple too. Dial if you still don't understand I'll post a picture or do something for ya. Welcome back by the way.
  • #26
  • Jan 5, 2007 12:17am Jan 5, 2007 12:17am
Thanks Dial for the great new system. I have been doing some backtesting on it also and it looks quite good. However, I have some questions for you since you have done some forward testing on it.

How much/how many pips does it take to move the MACD significantly on one bar?. I ask this because when backtesting, I suspect that whilst the start of the 'entry' bar, the MACD might have confirmed an entry, but then reverses significantly which causes the MACD to change direction. See attached image.
Attached Image
  • #27
  • Jan 5, 2007 1:00am Jan 5, 2007 1:00am
Oops, I put my entry on the open of the next bar instead of the close of the bar confirming the TDL2. Anyways, it shouldn't make that much difference...

There maybe some discrepancies with some of the numbers or entries because I have tried to 'anticipate' entries to be more accurate. (see above post)

Instead of 2 lots, I tried 3 lots because most of the trades usually went more than the 100pip target. On a side note, I agree with Matthew's comment that it would more profitable if you were to only take profit at 100pips or nothing.

Some other points:
- I didn't enter if there was an outside bar with TDL2 going long and short
- I didn't enter if the MACD wasn't in line on the same bar (didn't enter if MACD lined up on later bar)
- I tried some stop combinations as well
Attached File(s)
File Type: zip KL Dially Daily.zip   24 KB | 337 downloads
  • #28
  • Jan 19, 2007 1:58pm Jan 19, 2007 1:58pm
ly0009.
i have looked at your spreadsheet and all my daily trades differ, it must be to do with datafeeds, i use interbank which i see you do too, so i am not sure whats going on.
my results are not as good as your backtest. i do however agree that the 100 pip single target seems a better solution after some of my initial workings. i am wanting a smaller time frame trading system, and so have looked at 4hr charts.

i have done a little manual backtesting from the 1st december on CABLE only on this in its very rawest form on 4hr charts.
here is what i have looked for.

Entry on the close of the second bar after the fractal indication ONLY if the dailly daily MACD concurs in colour.
If the fractal indicator is under the candle then i am looking for longs etc etc.

I have looked at a single lot trade
setting stops at 100 pips automatically.
Having no target until price has moved 100 pips in favour, then setting stop at that 100 pip. (this is the harder part as i see it)

Exits will be taken if reverse signals are made, and that reverse signal acted on.


I have come up with 20 trades since dec 1st on cable upto today, with 10 winners and10 losers.
ALL the winners have been for 100 pips, i have not managed to make this work for longer runs, after always geting stopped out after moving the stop to lock in 100 pips.
however, only 4 of the losers went all the way to the 100 pip stop i note, the remaining 6 were stopped on reverse signals earlier, which is good to note.

I have a total of 371 pips banked in those 20 trades in 5 weeks of trading on the 4hr chart.

I show a piccy below with the first trade showing to get an idea
Attached Image
Its gonna happen, it will happen.....i know!
  • #29
  • Jan 20, 2007 9:14pm Jan 20, 2007 9:14pm
Hi Rockrat,

For my backtest, instead of entering on the close of the second bar, I entered on the open of the third bar so the trades would differ by 1 day (easier for me to see when backtesting). I don't think this should effect the results too much as forex markets don't usually gap.

I haven't tested it on shorter time frames, but I suspect it won't work as well because there are more whipsaws and trends are shorter.

I did do some backtesting for 2005 as well. The results were much less impressive. Trades moved against you more before heading back in the right direction, eg. for Cable, it would have been better to use Dial's original stop (TDL2 pivot), because you would have gotten stopped out a lot more frequently if you used any tighter stop.

On a side note, I found that with 2005 a lot of 'systems' tend to not do as well compared to 2006 (not just Dially Daily). I think 2006 was an exceptional year for trading forex as it was more 'trendy', whereas 2005 was a bit more ranging with shorter trends which made it more difficult. Does anyone agree?

Kiem

Quoting rockrat
ly0009.
i have looked at your spreadsheet and all my daily trades differ, it must be to do with datafeeds, i use interbank which i see you do too, so i am not sure whats going on.
...
  • #30
  • Jan 24, 2007 10:32am Jan 24, 2007 10:32am
the basic setup as descibed above bagged me 70 pips on cable today, though it did lose me 60 earlier as the same short signal came on the 19th but was obviously too early
Its gonna happen, it will happen.....i know!
  • #31
  • Jan 31, 2007 3:58am Jan 31, 2007 3:58am
What is the best SL?
  • #32
  • Feb 1, 2007 2:08pm Feb 1, 2007 2:08pm
Quoting PTOURNIS
What is the best SL?
Ptournis, please read post #1 of this thread. This is not a finished system. The "best" stop loss has yet to be determined. In fact, there probably isn't one single best stop loss because of the variety of possible trade management styles. I suggest you read this short thread very carefully to see what other ideas for stop loss have been proposed. Then, you can either test one of those ideas, or use them as a springboard for your own ideas.

The object of this thread is not to present a completed system. It is to give you guys the chance to take a basic idea and turn it into a system that makes sense to you and works for you.

Does this make sense?

Dial
sxaxlxvxaxtxixoxnxbxyxgxrxaxcxexdxoxtxoxrxgx
  • #33
  • Feb 1, 2007 6:35pm Feb 1, 2007 6:35pm
Sorry Dial. I guess I meant what is the current frontrunning method being tested?
  • #34
  • Feb 5, 2007 2:10pm Feb 5, 2007 2:10pm
i have been looking at this on 4hr charts for a week or so, and cant confess that i am the best at when it comes to adding elements to systems, i just dont know enough about the workings of indicators etc to feel comfortable with them.

thats why i am in the PF, 'cos i like price action.

anyway...... what i have noticed though is this.
when a fractal is confirmed 9i.e two bars later, and MACD concurrs, AND the bar that the fractal is based on is a PINBAR, then they are almost 100% winners!!

Now, i need to do some real backtesting as this is based on just visually glancing back... but if i could just suggest you have a look and you should see what i do.

i use interbank feed. I have looked at cable only at the min.

now, i have decided to take a plunge on demo and take two trades that have just confirmed for me at the close of the 4pm bar (i.e at 8PM gmt)

cable short 1.9594 (not a pinbar as described above however)
euro short 1.2929 ( DOES have a pinbar)

target at 100 on both, stop 100

UPDATED 24 hours later

cable hit 100 pips thankyou very much.
i decide on reflection that euro should not have the same target as its ranging is not as great as cable, and so i closed out when i had 40 pips, i did look for more, but on its retracement i closed.
a good day, well on demo anyway
Its gonna happen, it will happen.....i know!
  • #35
  • Feb 8, 2007 12:02am Feb 8, 2007 12:02am
Is there a place to download this indicator? Thanks
  • #36
  • Feb 8, 2007 12:07am Feb 8, 2007 12:07am
I believe you just mean the fractals indicator?

It is under Bill Williams in your indicators with metatrader
  • #37
  • Feb 8, 2007 9:24am Feb 8, 2007 9:24am
Thanks for the help.
  • #38
  • Feb 12, 2007 8:24am Feb 12, 2007 8:24am
i am surprised at the apparant lack of interest in this new system, as for me in its simplistic form seems to be working out quite well.
I am still struggling with finding the best stop for this as well as target, and currently am working on one signal to the next , but its woirking out.

for stop i am thinking of using the high/low of the actual bar the the fractal indicator shows up on. it seems to work out, though on news spikes i have given a much wider stop for the 30 min period of the event itself.

below is a piccy of the last 3 trades i have taken on euro.
100 pips taken in profit, but as always more was available.
would appreiate any ideas, like daillist asked on how to perfect it further.
Attached Image
Its gonna happen, it will happen.....i know!
  • #39
  • Feb 12, 2007 12:22pm Feb 12, 2007 12:22pm
rockrat, I'd love to learn more about this system, but I seem to be still submerged by the variety of applications of PA, Knife, Bat, Base 150365, so I had to put this thread on hold for the moment.
Could you please elucidate following questions:
1. As I understand this system is designed as daily setup for the traders who don't have time to trade knife on the 4 hour, are you trading the 4 hour chart with this system exclusively, and if yes, why?
2. Does it give you an edge over the knife, or do you even think it could be combined with it?
3. how do you use the fractals indicator, what information does it give you additionally to price action?

Best wishes,
Nick
  • #40
  • Feb 12, 2007 2:02pm Feb 12, 2007 2:02pm
i will answer as best i can in the quote.
I currently am looking at pinbar trades on daily and weekly, dailly daily on 4hr and considering the BAT on the hourly (cautiously). Obviously all with strong PA to back them up.


PS. the last reversal signal on the piccy above is still working out, up 34 pips currently

Quoting islandtrader
rockrat, I'd love to learn more about this system, but I seem to be still submerged by the variety of applications of PA, Knife, Bat, Base 150365, so I had to put this thread on hold for the moment.
Could you please elucidate following questions:
1. As I understand this system is designed as daily setup for the traders who don't have time to trade knife on the 4 hour, are you trading the 4 hour chart with this system exclusively, and if yes, why?
A:- Well, to be honest no matter how much i try to get to grips with the knife, it just seems to be one of those trading methods that eludes me, i just dont "get it". I have what i feel is a pretty good daily system in play with the pinbar setups i am using (see my journal) and am looking for a good 4hr system to go with it. This system on euro and cable seems pretty stable so far on the 4hr, i have not checked with other markets yet.

2. Does it give you an edge over the knife, or do you even think it could be combined with it?
A:- see above, i cant really answer that

 3. how do you use the fractals indicator, what information does it give you additionally to price action?
A:- the fractal simply tell me the bar that has two bars either side of it with lower highs/lower lows etc. Combined with the dailly daily MACD to confirm whgich are valid signals and which are not seems to provide a very good filter. Currently i have not been looking at it to tell me anything else, though i have noted several signal occure around strong MA's (150, 50 etc) and these have made me wary till now. This is where i would value other opinions as well as the stop and target elements.

Best wishes,
Nick
Its gonna happen, it will happen.....i know!
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