DislikedHi my friend Iced Earth , regarding to this quastion
2- when you set up your pending orders?
He answer it
2) 06.00GMT on Monday.
Thanx for you mades for sharing your system.Ignored
2 Trades per Week (Weekly scalping&First Strike modification)
No we can't. And im not even interested in gaps, because eventhough gaps get always eventually filled, it might take weeks, even months to do to it with significant drawdown (check 2008 charts, happened more than once).
- #28
- Edited 3:09am Jan 14, 2009 2:59am | Edited 3:09am
- | Joined Jul 2007 | Status: Trader | 1,399 Posts
Hey Mades,
Good luck with your trading, i will be watching closely,
I too follow Joel's trading methods, have been since october last year.
I do hope your modification works, and doesn't end up being a form of curve fitting, please don take me the wrong way , i just wonder how you came up with the stop loss and take profit amounts?
any way good luck.
cheers
geoff
i'll tell you how i came up , i tried them blindly
First i thought of 50/100/300 but i considered that 300 pip takeprofit would not be hit most of the weeks so i reduced it by 10 pips and again 10 pips (40/80/240 and 30/60/180). Then i realized that once an order gets hit and we can reduce the stoploss by 1/4, (100 to 75, 80 to 60, 60 to 45), it won't affect vast majority of positive weeks and i will be able to reduce the takeprofit which basically means, that the chance of takeprofit being hit grows again. When i did the backtest, i tested all of these 6 possibilities. Let me show you the results (positive % of succesful weeks) :50/100/300 - 27,45%
50/75/225 - 45%
40/80/240 - 39,20%
40/60/180 - 58,82%
30/60/180 - 58,82%
30/45/135 - 68,62%
I chose the numbers due to simplicity of counting by hand.
The starting line (Monday 06.00GMT) was the only time i used but i plan ot testing 07.00GMT and 08.00GMT with only 30/45/135 to see if the % of success rate raised or dropped. Hope this helped you to understand that i wasn't fitting the numbers to hit the highest % rate.
I also did not consider the DST (daylight saving time) which from my point of view places Frankfurt and London open by 1 hour backward. So during normal time, 06.00GMT is 2 hours before London open (1 hour before Frankfurt open) and during DST , it is 1 hour before London open and Frankfurt open.
hey Geoff,
i'll tell you how i came up , i tried them blindly
good stuff, putting in some hard yards doing all by hand, well done.
like i said i wish you good luck and i will deffinitely be watching how this turns out.
cheers
geoff
- #32
- Edited 6:20am Jan 14, 2009 5:55am | Edited 6:20am
- | Joined Jul 2007 | Status: Trader | 1,399 Posts
- #34
- Jan 14, 2009 10:11am Jan 14, 2009 10:11am
DaBuschi;
I would like to put together an EA for your take on the strategy, but I don't totally understand your rules. Please explain what it is you mean by spread? Here is my understanding of Spread:
GBPUSD on IBFx Last Week:
High: 1.5372
Low: 1.4427
Last Weeks Range ("LWR"): 1.5327 - 1.4427 = 945 pips
Spread ("SP"): 945*0.20 = 189 pips.
What are your entry rules?
TimeFreedom
I donīt want to mess up mades thread though as itīs his and not mine
. So you either send me a PM or you open up a new thread, were we can go into detail and I will answer all your questions, so you can put the EA together.
- #35
- Jan 14, 2009 1:14pm Jan 14, 2009 1:14pm
- | Joined Feb 2006 | Status: Trader | 1,392 Posts
Hi, DaB.
Your name sounds like it's from da Bronx, but I see you're from Munich.
Ich habe Deutsch in der Schule gelernt, but that was a long time ago, so I'm finding it hard to accurately follow your German thread (I wish I could because it looks very well presented and documented). But I don't think anyone would mind you sharing a little more of how you arrived at your approach - if you care to - over here, as it seems very similar to what mades is proposing and is probably much more researched in real time. Joel also has quite a few fans at FF, myself included.
Did you start wth your present volatility spread and MM, or has it evolved and been tweaked over the course of your forexfabriek thread ? Have you also modded ONS ? I see your equity curve has one huge run-up and is more or less flat either side : how do you feel that compares with the "standard" FS+ / ONS combo (which is over here for those who have no idea what we're talking about : http://infiniteyieldforex.blogspot.com/ )? Did you consider MM that increases and reduces risk with winning / losing streaks and how did you arrive at your trend-based positon-sizing ?
Too many questions really...
J.
Your name sounds like it's from da Bronx, but I see you're from Munich
. Ich habe Deutsch in der Schule gelernt, but that was a long time ago, so I'm finding it hard to accurately follow your German thread (I wish I could because it looks very well presented and documented). But I don't think anyone would mind you sharing a little more of how you arrived at your approach - if you care to - over here, as it seems very similar to what mades is proposing and is probably much more researched in real time. Joel also has quite a few fans at FF, myself included.
Did you start wth your present volatility spread and MM, or has it evolved and been tweaked over the course of your forexfabriek thread ? Have you also modded ONS ? I see your equity curve has one huge run-up and is more or less flat either side : how do you feel that compares with the "standard" FS+ / ONS combo (which is over here for those who have no idea what we're talking about : http://infiniteyieldforex.blogspot.com/ )? Did you consider MM that increases and reduces risk with winning / losing streaks and how did you arrive at your trend-based positon-sizing ?
Too many questions really...
J.
- #36
- Jan 14, 2009 2:20pm Jan 14, 2009 2:20pm
- | Membership Revoked | Joined Dec 2005 | 2,298 Posts
Same Whore .... Different Dress
Hi J.,
Your questions are fine, not a problem. As you can tell from my German thread I donīt mind writing posts of the size of a book
I posted the link to my thread just for the reason, that people can look at my stats and trade results and I expected questions to come up here. So if mades doesnīt mind, Iīll jump in and answer the questions being asked.
I started with the present volatility rules a little later than Joel. I used the fixed spreads until that big winner week happened. Thatīs why my equity curve looks that way. Joel widened the spread after some time by doubling the spread - I didnīt. I argued in that way, that the wider spread would give me a higher percentage of profitable trades but less gains once a trade is running and never looks back. But after that major winning week I realized how lucky I was. The market could have easily turned around, hit my stop and started his race. Iīm lucky Mr Market was nice to me. So I changed the rules and implemented the volatility criteria, but increased the risk from 1% to 2% per week per currency pair.
Yes, I trade FASS and ONS although due to the high volatility there havenīt been many ONS trades.
Iīve partially answered that above. In general itīs hard to say how it compares to Joelīs approach. I think trading the second strike as well added some positive trades. As mades states here around 57% of the second strike ends up being profitable. The point that makes it really hard to compare Joelīs and my approach is the fact, that he doesnīt explain his MM. There are some hints here or there, but not enough to really get it. Thatīs why I implemented my own where I trade with higher lotsize once the trade is with the trend and with lower lotsize when its countertrend.
I use TradeSignal5 as a charting software and created an EA based on my rules for that system. I also did some backtest (not with the volatility rules though), were I tried to figure out, whether it just works with trades placed on Monday or if it also works on other days. Well, to make a long story short - it also works with all the other days, but there is one important thing - I have to give the trade time to evolve. I had the best results with closing a trade between 3 and 5 days after placing the order in the market. I havenīt tried a longer timeframe, but I assume that the percentage of profitable trades will decrease whereas the gain increases due to holding onto profitable trades much longer. But I donīt want to be dependent on some big winners (I am somehow, but not that much), so Iīll stick to the rule of closing a trade one week after placing the order, if the trade hasnīt been stopped out yet and being profitable.
My positions increase with an increasing account balance, so I donīt care about winning / losing streaks. As I understood Joel, heīs increasing the position size after a losing trade. Whether that makes sense or not - I donīt know.
But just a quick comment on the comparison of Joelīs and my performance - mineīs better - could be due to luck though as stated above
Your questions are fine, not a problem. As you can tell from my German thread I donīt mind writing posts of the size of a book
I posted the link to my thread just for the reason, that people can look at my stats and trade results and I expected questions to come up here. So if mades doesnīt mind, Iīll jump in and answer the questions being asked.
Did you start wth your present volatility spread and MM, or has it evolved and been tweaked over the course of your forexfabriek thread ?
Have you also modded ONS ?
I see your equity curve has one huge run-up and is more or less flat either side : how do you feel that compares with the "standard" FS+ / ONS combo (which is over here for those who have no idea what we're talking about : http://infiniteyieldforex.blogspot.com/ )?
I use TradeSignal5 as a charting software and created an EA based on my rules for that system. I also did some backtest (not with the volatility rules though), were I tried to figure out, whether it just works with trades placed on Monday or if it also works on other days. Well, to make a long story short - it also works with all the other days, but there is one important thing - I have to give the trade time to evolve. I had the best results with closing a trade between 3 and 5 days after placing the order in the market. I havenīt tried a longer timeframe, but I assume that the percentage of profitable trades will decrease whereas the gain increases due to holding onto profitable trades much longer. But I donīt want to be dependent on some big winners (I am somehow, but not that much), so Iīll stick to the rule of closing a trade one week after placing the order, if the trade hasnīt been stopped out yet and being profitable.
Did you consider MM that increases and reduces risk with winning / losing streaks and how did you arrive at your trend-based positon-sizing ?
But just a quick comment on the comparison of Joelīs and my performance - mineīs better
- could be due to luck though as stated above Thanks, DaBuschi, for a very informative reply.
You're probably aware that there have been quite a few Daily breakout methods posted on various forex forums in recent years (eg. Hans123) : some do very well when Mr Market is feeling benevolent.
Well, I am, but people (including me) tend to believe things being said by someone who seems to know what heīs talking about. And although Joel never literally said, that it only works on mondays, everyone reads that between the lines, when heīs saying, that we try to take advantage of the fact, that it happens that the big money determines a trend at the beginning of the week and never looks back. It sure does happen in about 20% of the time, which leaves around 20% for every other day of the week
For me, it was my backtests that reminded me of it. Thatīs why I trade FASS on a daily basis also. I use two accounts for that as my broker/marketmaker doesnīt allow hedging within one account. Iīm still testing with very low risk, but itīs looking good so far.
To come back to the fixed spreads used at the very beginning of my thread @forexfabrik. I will go back to that strategy once Iīm a full time trader. Right now I work a full time job and try to build up my account by doubling every year.
Anyway, the reason why I will go back to the original strategy is the mere fact, that gains are just incredibly higher once you trade with tight spreads as your positionsize increases. But the downside of that - you need time to watch the market. I donīt have that right now, so I trade the lazy version that just needs a couple of minutes every day and is still profitable
Well, I am, but people (including me) tend to believe things being said by someone who seems to know what heīs talking about. And although Joel never literally said, that it only works on mondays, everyone reads that between the lines, when heīs saying, that we try to take advantage of the fact, that it happens that the big money determines a trend at the beginning of the week and never looks back. It sure does happen in about 20% of the time, which leaves around 20% for every other day of the week
For me, it was my backtests that reminded...
lots of great info you have provided, thanks heaps,
I have started another thread regarding firststrike and ons if you wish to post there rather than taking over Mades?
http://www.forexfactory.com/showthread.php?t=145504
It is really interesting that you mention trading your version on a daily basis, i have been thinking about this myself just recently, would you care to elaborate on the way you might implement it, if not no problem, i would be curious is all.
cheers
Geoff