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Inside Bar Trading Revisited

  • #541
  • Feb 19, 2009 4:44am Feb 19, 2009 4:44am
really appreciate your help, very kind of you 1ka.
__Thanks__ MJ
  • #542
  • Feb 19, 2009 7:42am Feb 19, 2009 7:42am
I ran a quick check following on from Abnormalone's idea of using a Minimum Limit on the IB size.

The next series of posts show the effect on EURUSD, the IB Limits are:

None, 5, 10 & 15 pips.
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  • #543
  • Feb 19, 2009 7:43am Feb 19, 2009 7:43am
As above, the IB Limits are 20, 25, 30 & 35 pips
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  • #544
  • Feb 19, 2009 7:45am Feb 19, 2009 7:45am
As above, the IB Limits are 40, 45, 50 & 55
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  • #545
  • Feb 19, 2009 7:46am Feb 19, 2009 7:46am
As above, the IB Limits are 60, 70 & 80
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  • #546
  • Feb 19, 2009 7:51am Feb 19, 2009 7:51am
The results confirm what Abnormalone found, that the profit increases if we restrict the smaller IB sizes.

The optimum seems to be around the 30~40 pip range, where we still get a good throughput of trades and maintain a reasonable profit. As we increase the limit, then our trades drop off and we start to get bigger losses.

I'll modify the EA later today to add the Minimum limit and put it on the first post.

Nice work Abnormalone. Any luck with other currencies or timescales?
  • #547
  • Feb 19, 2009 8:04am Feb 19, 2009 8:04am
I'm Working on GBP/USA now will take some time yet.
Wondering if the fact we will be working with bigger IB,s, if putting a limit on the Stop Loss at maybe 60 or so pips might help cut the larger losses down. When I did the spread sheet I forgot to subtract spread and offset from the Setup Bar size so your numbers should come out about 8 to 10 pips lower than the sheet would show.
  • #548
  • Feb 19, 2009 8:47am Feb 19, 2009 8:47am
After I posted that spread sheet I added a column so I could get a graph and it looked a little smother than the ones you posted. I had Trail stop turned off and I wounder if that made a difference or maybe it was just a characteristic of the spread sheet.
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  • #549
  • Feb 19, 2009 9:05am Feb 19, 2009 9:05am
Nice downside move caused by news.

http://i42.tinypic.com/20h34ag.gif
TRO
  • #550
  • Feb 19, 2009 9:18am Feb 19, 2009 9:18am
Got better

http://i40.tinypic.com/2m4b0oi.gif
TRO
  • #551
  • Feb 19, 2009 9:21am Feb 19, 2009 9:21am
Hi Money,
Hope all is well with you.
I was lucky to be in on the money on the GBP/USD downside shift you mentioned. I know you don't use any indicators when you trade, besides just price action, but on MACD histogram on the 30M chart, you could see negative divergence, and it was only time before price turned south. Nice trade!

Best wishes to you and thank you for posting up your setups. Very cool!

Algis
  • #552
  • Feb 19, 2009 9:39am Feb 19, 2009 9:39am
Quoting algism
Hi Money,
Hope all is well with you.
I was lucky to be in on the money on the GBP/USD downside shift you mentioned. I know you don't use any indicators when you trade, besides just price action, but on MACD histogram on the 30M chart, you could see negative divergence, and it was only time before price turned south. Nice trade!

Best wishes to you and thank you for posting up your setups. Very cool!

Algis
Hello Algis:

Thanks for the greeting.

I don't use the usual lagging indicators, I use gauges that tell me in real time what price is doing on all the time periods. It just seems to me that if any indicator or system worked then there would be no market. If one knew for certain what the next tick would be, then it would eventually be the end of trading. Divergence works sometimes but not all the time. You just have to take your chances in the trading game. The reason you entered at a particular time and price doesn't matter. If your indicator based system determined a long entry at 1.4567 and a flip of coin determined the same entry at the same time, it will make no difference. All that matters is what happens next and that is not in your control. The market determines that. You just get to exit with a profit or loss.

Those are not really "my setups". Those are just inside bar trade setups. I didn't invent them, so I can't take credit. I am just a practitioner of inside bar trades. And you're welcome.
TRO
  • #553
  • Edited 11:10am Feb 19, 2009 10:28am | Edited 11:10am
Quoting 1ka
The results confirm what Abnormalone found, that the profit increases if we restrict the smaller IB sizes.

The optimum seems to be around the 30~40 pip range, where we still get a good throughput of trades and maintain a reasonable profit. As we increase the limit, then our trades drop off and we start to get bigger losses.

I'll modify the EA later today to add the Minimum limit and put it on the first post.

Nice work Abnormalone. Any luck with other currencies or timescales?

Some thoughts:

1. I implemented a MinOutSideBar: from my small testing it seems the: if the very small once are excluded it is better.

2. there might be still value in having a Min IB count before a signal is accepted:like MasterCandle (http://www.forexfactory.com/showthread.php?t=140130)


3. (I have an additional check for how many candles I keep a signal valid)
reason I don't use MarketOrders for this system. And what happens if a spike (valid or not valid happens -- just as the pic below)


4. maybe a possible idea would be to configure: MasterCandle == OutSideBar

* StopLoss_InPercentOfMasterCandleHighLow
* TakeProfit_InPercentOfMasterCandleHighLow
* OrderEntryOffset_InPercentOfMasterCandleHighLow


Basic Idea: a expected outbreak extend is in some relation to the size of the MasterCandle(OutSideBar)

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__Thanks__ MJ
  • #554
  • Feb 19, 2009 11:15am Feb 19, 2009 11:15am
Not a good morning for me but I did accidently saw something that I will look at closely next week. I only look at the 4 majors: E/4, cable, swissy, and $/Y so I note the D. & 4H overall trend. The 1H & 30M which I trade were many times counter trending this a.m. but not the 15M. The 15M IB is a trading strat. over on BP; it gets some heat once in a while because it now requires a monthly payment if you want to follow the "live" session via skype. Of course a SL & TP target would be smaller but I wonder if this is a viable idea - I will check it out next week.

Please comment if you like and good trading all, p.
  • #555
  • Feb 19, 2009 11:20am Feb 19, 2009 11:20am
Quoting piprac
Not a good morning for me but I did accidently saw something that I will look at closely next week....
Can't one just look at their own M15 charts? What's the point of a "live" session - either price triggers the trade or it doesn't?

http://i40.tinypic.com/2m7bzex.gif
TRO
  • #556
  • Feb 19, 2009 11:34am Feb 19, 2009 11:34am
I just finished a Spread sheet on GBP/USD. The 8 month period tested showed a good size loss to start with. I was able to improve the loss but not make it turn a profit. To many trades were stopped out in the 100-120 pip range.
  • #557
  • Feb 19, 2009 12:04pm Feb 19, 2009 12:04pm
Quoting Abnormalone
I just finished a Spread sheet on GBP/USD. The 8 month period tested showed a good size loss to start with. I was able to improve the loss but not make it turn a profit. To many trades were stopped out in the 100-120 pip range.
May I suggest you have your EA run statistics on the entries. See what the frequency distribution is for the run up is after the entry. This will tell you how many trades didn't stand a chance. It will also tell you what your TP should be for maximum wins. I ran some statistics on 10,000 H1 bars and it looks like 203 bars out of 1185 didn't have a prayer.

http://i43.tinypic.com/15mbq7p.gif
TRO
  • #558
  • Feb 19, 2009 12:36pm Feb 19, 2009 12:36pm
Not sure why I have different numbers
but what is interesting is that 60% of pip gain is in the less than 20 pips 41% less than 10 for me
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  • #559
  • Feb 19, 2009 12:49pm Feb 19, 2009 12:49pm
I'm feeling especially dense today, so apologies

With reference to M4N's post above, is this a measure of the max. pips a trade would make after breaking the IB? i.e. of 395 trades (1/3 or 33.3%) only make 1-9 pips?
  • #560
  • Feb 19, 2009 12:52pm Feb 19, 2009 12:52pm
That's what his chart says mine was less than 27%
also 15% show zero gain on mine
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