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  • #41
  • Jan 15, 2009 1:45pm Jan 15, 2009 1:45pm
I have followed Joel's blog for several months and although I have not followed or traded the strategies as he has done, there has never been any suspicion in my mind that he might be fluffing the results.

Personally I find it difficult to follow such a strategy entering using a 'stretch' off the open and, it is simply not in my nature to leave a trade unattended for a week. However, it did arouse my interest in breakout strategies, and has formed an integral part of my approach to the market in formulating a bias based upon weekly, daily and session direction. If I can trade the first breakout or get a fade from support/resistance early in these time periods then I have much greater confidence that a significant move will ensue, than if I had taken a trade at any other time. The high or low of the day is made in the first 30 mins of trading around 33% of the time, and when it does not, the breakout is usually vigorous enough to bank some profits and manage risk enough to 'ride out the market' cheaply, and often with positive results, especially in this volatile market. Similarly, the breakout from the first Asian session of the week can yield significant information about the sentiment of market participants who show their hands during the early European session, and this information may have predictive value for future sentiment. This is why these simple strategies have an edge - when price choses a direction it usually sticks to it. Personally I try to pick my entries a little more precisely but it is hard to criticise the simplicity of the First Strike/Open Range Breakout Strategies or their recent performance.
  • #42
  • Jan 15, 2009 2:07pm Jan 15, 2009 2:07pm
Quoting geoffrod
I too have been watching joel post results since october, and on his site there are records for over a year of live trading, which is more than most will do, and he doesn't even charge anything for it!!!!
i found joel thru the dibs thread and peter crown, who seemed to get instant respect from long timers here at FF straight away, joel also seemed to get the same respect from the comments that he has made on FF, and peter crowns respect for joel was evedent as well. Joel was also a member of another forum i think it was the traders round table or...

I've been lurking here for over a year, and finally got off my ass and registered an account just to put in my 2 cents worth regarding joel's strategies.

The gains he claims to have been made from first strike and ONS( he plots them via tradestation, and so do I) have been accurate. He has indeed been making alot of money if he used these system the last 1-2 years.

Unfortunately, tradestation only keeps minute data since mid 2003, and his graphs run well before that. Notice that the performance graph from 2003-present breaks even only till recently, with massive gains last year. I've tried running the strategies myself 2003-present without using minute data(more inaccurate), and there is no doubt that with this more inaccurate data source, the strategy is ALWAYS profitable(even on occasions where the accurate data set says otherwise).

I know this is confusing, but bear with me. From this, I conclude Joel has either been kidding himself delibrately or otherwise with results taken from bad backtesting, or that he has data from another source.

I've written to Joel pointing out his possible error, and he has never written back. I've asked him to share his pre 2003 data with me if he had any, and there's been no reply. Considering I got a reply for my subscription of the newsletter within 24 hours, I'm gonna have to say he's probably delibrately fudging his numbers.


So here's my point. The strategies have worked well from 2003-present. That is definately true. But I hesitate to recommend a person who knowingly uses corrupted data as evidence that the strategy also works pre 2003.

Also, as someone already pointed out, his reported trading covers a really small sample size. I know some of you will point out that anything above 60 is probably significant, but the truth of the matter is, 2 years isn't really anything concrete to go by. Poker players have learnt to laugh off stats that rely on anything less than 100,000 data points. In the world of small edges, more data points is required before passing judgement.

That said, the strategies have done great for the past 2 years. I will probably be putting some money into them myself once I've completed more tests. I just wouldn't get too disappointed if they suddenly turn south.
  • #43
  • Jan 15, 2009 2:54pm Jan 15, 2009 2:54pm
Quoting Cornelius
550 trades are a lot of trades if we are taking into account the fact that every week is indicated to watch a maximum of 8 to 10 pairs. 10x4x4=160 trades until now. Being a breakout strategy, if one order in a direction is activated means that the other order is canceled.
Iīve been trading this strategy on a daily basis. Mondays trades being exited on Mondays only and the same for all the other weekdays and I take both sides so I also trade the second strike. That gives me 2 trades a day times 5 days a week times 5 pairs Iīm trading it with = 50 trades per week. So as per my stats Iīve been trading this strategy for 11 weeks so far on a daily basis.

I trade the weekly system since April 2008.

For both I can tell that it has been profitable but I also can say that I wonīt make forecasts off of that as I donīt have enough data. Maybe in 7 years I will. I risk 2% per pair per week in both the daily and the weekly system. With the trend I risk 75% of the risk so 1.5% for the weekly system and 0.3% for daily (2% / 5 = 0.4% * 75% = 0.3%). The remaining 25% are risked for countertrend trades.

And even with these little risks Iīm taking I made more than 300% with the weekly system and 50% with the daily.

I can only recommend to not risk too much. Iīve seen so many people here that risk 5% or even 10%. You donīt need to get rich in one day and the markets will be there tomorrow and a year from now.

Nobody ever said that First Strike or ONS has a huge edge over the market. Joel always pointed out that it has a small edge and to make 1.000.000 dollar you have to take 50.000 trades where you winners will accumulate to 10.000.000 and your losers to 9.000.000. You still made a million. And even if you canīt trade that system profitably - so be it, but you can learn a lot from Joels blog. Itīs about consistency and good money and risk management.
  • #44
  • Jan 15, 2009 3:46pm Jan 15, 2009 3:46pm
On weekly charts, I'm watching for those pairs which had a low range. In the idea that on the following week, a violent break can occur. So, from 10 pair, on a week only 5 or 6 of them can qualify for the next week. In this way a better M.M. can be made because the SL's are smaller. The same principle can be applied on the daily charts. Also, I see no reason to chase the market if a order was stopped loss and then enter in the opposite direction. As, you said, the market will be there the next day, also.
Just my two cents.
A good trade is when I Break Even. A great trade is when I Take Profit.
  • #45
  • Jan 15, 2009 4:18pm Jan 15, 2009 4:18pm
Quoting Cornelius
Also, I see no reason to chase the market if a order was stopped loss and then enter in the opposite direction. As, you said, the market will be there the next day, also.
Just my two cents.
Thanks for you opinion. I like the idea of trading pairs only that show some kind of contraction.

To above statement - I more see it as a - could be that the market retraces, hits my order and then turns around just to continue its original way. So I want to be in that move. In choppy times that costs performance but the second strike has a higher percentage of profitable trade - might be a conincidence in the current market though.
Cheers
Dave
  • #46
  • Edited Jan 16, 2009 11:45am Jan 15, 2009 5:35pm | Edited Jan 16, 2009 11:45am
Quoting tdion
Let me say this again....

I ran backtest on several years of data. And before you say "backtests aren't reliable" .... I opened the charts and checked their validity with my own eyes.

Hey, if you guys say it has been profitable over the past few months, GREAT! All the evidence I've found points me to steer clear of trading both systems.
I'm the guy who wrote the other thread that was linked here with some test data.

Below is equity curve for EURUSD / 1 min data from 2004 - today 10k begin saldo (alpari data). 3% risk for each trade. Yes there are losing periods but if you use all the pairs at the same time then the curve is much smoother.

EDIT: There was a bug in ea I used, the money management was totally off. I updated the chart to correct version. sorry about that. Added almost all majors (I don't have data for GBPUSD)
Attached Image(s) (click to enlarge)
Click to Enlarge Name: TesterGraph.gif Size: 10 KB
Click to Enlarge Name: TesterGraph2.gif Size: 11 KB
Click to Enlarge Name: TesterGraph3.gif Size: 11 KB
  • #47
  • Jan 15, 2009 9:34pm Jan 15, 2009 9:34pm
Hey this is my first post on the great Forex Factory. I added FirstStrike (Now FirstStrikePlus) and OneNightStand to the other systems that I have traded for the past four years back in December. Both FSP & ONS have added 60% return last year to my results. The systems are not perfect, but they are both good systems. The great thing about FirstStrikePlus is you can find filters that allow you to add size onto your postions. The key to the system is to have enough size on the winners. Joel is great! He answers any questions that you have by email and has helped me a lot in my trading.
"If you personalize losses, you can't trade." - Bruce Kovner
  • #48
  • Jan 16, 2009 12:13am Jan 16, 2009 12:13am
we have been moved, i was just thinking last night i probably should have started this thread in the discussion thread.
  • #49
  • Jan 16, 2009 1:31am Jan 16, 2009 1:31am
Quoting DaBuschi

Nobody ever said that First Strike or ONS has a huge edge over the market. Joel always pointed out that it has a small edge and to make 1.000.000 dollar you have to take 50.000 trades where you winners will accumulate to 10.000.000 and your losers to 9.000.000. You still made a million. And even if you canīt trade that system profitably - so be it, but you can learn a lot from Joels blog. Itīs about consistency and good money and risk management.

Actually, if i recall correctly, Joel quantified his edge to about 11%. That's pretty huge.
  • #50
  • Jan 16, 2009 2:32am Jan 16, 2009 2:32am
Quoting deathbait
Actually, if i recall correctly, Joel quantified his edge to about 11%. That's pretty huge.
Sure, but he also stated that there might be years where you realize losses or trade breakeven. There might even be some years in a row that arenīt as successful as most people would wish.

So trading this system gives you an egde - but do you have the guts to trade it. Thatīs why many people ask for an EA. They think once the system is traded automatically they can stick to the rules, but they canīt because there will be drawdowns and if they look at the account balance psychology jumps in and makes them hit the stop button.

You can trade any system using an EA once you traded it manually for a long time and get a feeling of what to expect in terms of drawdowns.
  • #51
  • Jan 16, 2009 2:38am Jan 16, 2009 2:38am
Hi,

I read the thread and opinions/experiences vary about whether the methods are delivering what they say on the can.

Personally, I was a little sceptical because as Tdion stated, there are some missing ingredients. (discretionary trades on other instruments, positions sizing alorithm and changing the method entirely with increasing volatility)

I am an intraday prop-trader and I have modified the "first strike" model to my liking with still 100% mechanical parameters - just to see whether it could work. It has its own MM and pos. sizing without any curve fitting. I have attached the results for 2008 and it can be done with an avg. of +5% per month. (Jan 09 is at +1.9% as of y'day's close)

Please don't PM or e-mail me since I am busy with trading other stuff. From the data you can more or less figure out the parameters if you wish.

regards
daytrading
Attached File(s)
File Type: doc ORT month-year.doc   63 KB | 1,087 downloads
File Type: doc ORT all currency performance.doc   27 KB | 1,095 downloads
File Type: doc ORT January 2008.doc   91 KB | 870 downloads
Enter Signature
  • #52
  • Jan 16, 2009 3:09am Jan 16, 2009 3:09am
Quoting DaBuschi
Sure, but he also stated that there might be years where you realize losses or trade breakeven. There might even be some years in a row that arenīt as successful as most people would wish.
That's just a standard disclaimer. Every fund manager in the world would tell you that.

Quote
So trading this system gives you an egde - but do you have the guts to trade it. Thatīs why many people ask for an EA. They think once the system is traded automatically they can stick to the rules, but they canīt because there will be drawdowns and if they look at the account balance psychology jumps in and makes them hit the stop button.

You can trade any system using an EA once you traded it manually for a long time and get a feeling of what to expect in terms of drawdowns.

You're talking about people chickening out. Fact is, mechanical testing doesn't chicken out. If the rules say to take the trade, it takes the trade. That's what makes back testing more accurate than forward ones. There's no bias.

So when back testing tells you something is wrong, you better sit up and take notice. 07-08 were very good years for the strategy. Just because you happened to start trading it in 07 does not make it a profitable strategy.

Kinda reminds me of this strategy I was told to try in Sep 08. At that point, I only had the september and july contract minute data(Russell futures contract). Based on that dataset, I concluded that the strategy worked FOR THAT TIME FRAME.

We put that strategy to work, and it worked beautifully for November. Then December came along and totally decimated us. Coincidentally, I managed to get minute data running back to 2000 just then, and the results from back testing was horrible. years of losses followed by sharp bursts of small wins. We just happened to test only the winning period.


Let me just repeat my findings on Joel's proclaimed results

1) It does indeed work very well in 07-08(identical to Joel's claims)
2) From 03-06, it meanders, barely eeking a profit(identical to Joel's claims)
3) Joels blog is started just as the recent winning streak starts, hence the fantastic returns
4) If Joel is using tradestation to test his data as he claims, his results pre 03 is corrupted by insuffecient data from tradestation. I can duplicate his charts by delibrately allowing tradestation to give me that incomplete data for testing.

So yes, it could all possibly be true that the strategies work. But the data points are just not enough to conclude that they have worked for a significant period of time.
  • #53
  • Jan 16, 2009 3:31am Jan 16, 2009 3:31am
Quoting deathbait
That's just a standard disclaimer. Every fund manager in the world would tell you that.
I didnīt talk about the disclaimer and fund managers obviously donīt really say that, because they think they can beat the market every year and promise positive returns, because theyīre better than the rest

Quoting deathbait
So yes, it could all possibly be true that the strategies work. But the data points are just not enough to conclude that they have worked for a significant period of time.
Never said anything different than that.
  • #54
  • Jan 16, 2009 3:34am Jan 16, 2009 3:34am
Quoting DaBuschi
I didnīt talk about the disclaimer and fund managers obviously donīt really say that, because they think they can beat the market every year and promise positive returns, because theyīre better than the rest

erm. As someone who works in the industry, no sane fund manager would ever promise they can beat the market every year.
  • #55
  • Jan 16, 2009 4:54am Jan 16, 2009 4:54am
Quoting deathbait
erm. As someone who works in the industry, no sane fund manager would ever promise they can beat the market every year.
Show me one sane fund manager . If they would be as good as they think they are, they would have the guts to trade just with their own money.
  • #56
  • Edited 6:35am Jan 16, 2009 5:55am | Edited 6:35am
Quoting DaBuschi
Show me one sane fund manager . If they would be as good as they think they are, they would have the guts to trade just with their own money.
Small slice from big amount is usually bigger than big slice from small amount.

Also why wouldn't they just invest in their own fund and also take a slice from customers money?
  • #57
  • Jan 16, 2009 6:49am Jan 16, 2009 6:49am
Quoting mikkom
Small slice from big amount is usually bigger than big slice from small amount.

Also why wouldn't they just invest in their own fund and also take a slice from customers money?

what makes you think they don't? It's virtually impossible to be this close to the markets and stay away from it i think. At least, that's how I justify trading=)
  • #58
  • Jan 16, 2009 7:04am Jan 16, 2009 7:04am
Quoting deathbait
what makes you think they don't? It's virtually impossible to be this close to the markets and stay away from it i think. At least, that's how I justify trading=)
I know they [edit: those who trust that their fund makes money that is] do. That was just a comment for buschi.
  • #59
  • Jan 16, 2009 5:37pm Jan 16, 2009 5:37pm
I followed Joel's "$500 to $150k challenge" for the first 32 weeks, and created an XLS (attached) to tabulate the results.

What puzzled me was that (at that point) the raw pip count was significantly negative, but the account balance had nonetheless grown by more than 40%....!! I queried Joel's MM (by e-mail) and his response was that there was no sleight of hand involved, but admiited that his MM method favored some trades over others, allocating them a larger position size. He also attributed the negative pip count to the market being "pretty much garbage since the beginning of the year".

Since the MM method appeared to be crucial to the success of the FS/ONS trades, but was not being disclosed in the blog, I lost interest in the challenge, and moved on.

I suspect that the pip count might be into significantly positive territory by now, given that the massive moves last Aug/Sept would likely have created some decent weekly trends for FS.
Attached File(s)
File Type: xls TRT challenge test.xls   95 KB | 717 downloads
  • #60
  • Edited 6:32pm Jan 16, 2009 6:19pm | Edited 6:32pm
Quoting deathbait
Also, as someone already pointed out, his reported trading covers a really small sample size. I know some of you will point out that anything above 60 is probably significant, but the truth of the matter is, 2 years isn't really anything concrete to go by. Poker players have learnt to laugh off stats that rely on anything less than 100,000 data points. In the world of small edges, more data points is required before passing judgement.
Excellent point. Without wishing to sound too condescending, I would guess that the vast majority of folk here have little idea as to the relationship that exists between sample size and statistical confidence.

Interestingly, here's a quote from one of Joel's posts:
"A couple of great trades, or a month of great trades, or a year of great trades is nowhere near enough. To make 50 thousand-plus trades and be ahead, to be able to survive years of changing markets, politicians, governments, wives, ex-wives, good health, bad health--- while trading profitably is what you need from an edge."
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