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NFP System - Backtest data provided

  • #41
  • Mar 29, 2007 12:38pm Mar 29, 2007 12:38pm
Bubo,

I think that is a great idea.

1. As to verifying weather or not the indicator is correct, I'll take a look at iya's code and determine how his is calculated, and let you know something definate on if the same calculations were used in mine (though I have a pretty good feeling it is). If it is any different, or some changes need to be made, I'll make the changes and post commented code that shows what I changed and why (if Iya doesn't mind me messing with his code a bit ). I'll also be posting data on my index, so we can all compare.

2. Backtesting is self explanitory...once you get the Sentinal indicator down solid (major props on getting it automated so fast by the way...I was having more than a hard time updating it by hand), then the backtesting should be easy to do, and the variables (such as the SMAs you are using, entry methods, etc) can be easily changed and tweaked until we come up with something better.

---snip--

As for my box drawing, I do it midnight the following Monday (not Tuesday). 8:30 am on Friday to 00:00 on Monday.

-Kev
Savage Pip Fiend
  • #42
  • Mar 29, 2007 1:10pm Mar 29, 2007 1:10pm
Perfect! I suggest you use the modified 'Sentinal Index_SMA' - it is iya's code but has the same direction as GBPUSD and the SMA built in.

http://www.forexfactory.com/showpost...0&postcount=29
  • #43
  • Edited Apr 11, 2007 8:22pm Mar 29, 2007 1:36pm | Edited Apr 11, 2007 8:22pm
Excellent job all!

I did some eye tests with Sentinal Index_SMA, and everything seems to be perfect. I've attached some sentinal data done by hand, 30 minute chart with the NZD removed (because thats what I calculated it with this last time I re-made my sentinal index...the feed I was using didn't have the NZD. You'll see my sans-NZD results in the attached xml file). I removed the NZD on the Sentinal Index_SMA and charted it, pretty much a perfect match. This code is what you should use to do your backtesting.

I'll put some stuff together today, and see what kind of backtesting data I can come up with. I'll post my results.

If this works out right, I have a few other high success Sentinal systems I'd like to test out with this coded indicator. Then I'll run those by you guys too, see how it feels to you.

-Kev
Savage Pip Fiend
  • #44
  • Mar 29, 2007 2:20pm Mar 29, 2007 2:20pm
hi, i added sentinel_SMA to cable 30m chart but it only plots the indicator when I change TF to daily, why doesn't it work with 30m TF?
  • #45
  • Edited Apr 11, 2007 8:22pm Mar 29, 2007 3:03pm | Edited Apr 11, 2007 8:22pm
Quoting camisa
hi, i added sentinel_SMA to cable 30m chart but it only plots the indicator when I change TF to daily, why doesn't it work with 30m TF?
It seems to be working on my charts.
  • #46
  • Edited Apr 11, 2007 8:22pm Mar 29, 2007 4:36pm | Edited Apr 11, 2007 8:22pm
Hi all,

Thanks for sharing the system and the indicator.

However, after I loaded the indicator, all I got is a blank indicator window, please see attached image. Is there anyone with the same problem? And anyone know the solution? Please kindly advise.

Regards,

hksweeper
  • #47
  • Edited Apr 11, 2007 8:22pm Mar 29, 2007 4:42pm | Edited Apr 11, 2007 8:22pm
Quoting hksweeper
Hi all,

Thanks for sharing the system and the indicator.

However, after I loaded the indicator, all I got is a blank indicator window, please see attached image. Is there anyone with the same problem? And anyone know the solution? Please kindly advise.

Regards,

hksweeper
The reason is because you are using a mini account and the names do not match.

I can change the indicator so it will work on ibfx mini... be right back

Try this
  • #48
  • Mar 29, 2007 4:56pm Mar 29, 2007 4:56pm
Quoting smjones
The reason is because you are using a mini account and the names do not match.

I can change the indicator so it will work on ibfx mini... be right back

Try this
could you do the favor to adapt it to north finance as none of this works on me?
  • #49
  • Mar 29, 2007 4:57pm Mar 29, 2007 4:57pm
Quoting camisa
could you do the favor to adapt it to north finance as none of this works on me?
Could you post a chart, so i can see thanks scott
  • #50
  • Mar 29, 2007 5:11pm Mar 29, 2007 5:11pm
Thank you for the data, Kevin!

Looks like we calculated the same way. There is a slight discrepancy, you divided by 7 but had only used 6 currencies. This should not affect the pattern much.

I was actually surprised to see that leaving out of the NZD had still similar pattern but crossed the SMA at different points. So yes, we better leave NZD out for recreating your success story, at least for now. Easy to do, just set weight for NZD=0.

Or has anyone else different results?


Quoting Kevin_E
Excellent job all!

I did some eye tests with Sentinal Index_SMA, and everything seems to be perfect. I've attached some sentinal data done by hand, 30 minute chart with the NZD removed (because thats what I calculated it with this last time I re-made my sentinal index...the feed I was using didn't have the NZD. You'll see my sans-NZD results in the attached xml file). I removed the NZD on the Sentinal Index_SMA and charted it, pretty much a perfect match. This code is what you should use to do your backtesting.

I'll put some stuff together today, and see what kind of backtesting data I can come up with. I'll post my results.

If this works out right, I have a few other high success Sentinal systems I'd like to test out with this coded indicator. Then I'll run those by you guys too, see how it feels to you.

-Kev
Savage Pip Fiend
  • #51
  • Edited Apr 11, 2007 8:22pm Mar 29, 2007 6:03pm | Edited Apr 11, 2007 8:22pm
Quoting Kevin_E
Whats up fellas? I have something that I would like to share with you all. Rob Booker www.robbooker.com recently held a contest to see who could come up with the best system to trade the NFP report. Here is the system (backtest data in Excel format), as I've agreed to make it freely available shortly after I won the contest. A couple of notes about it:

This system relies heavily on an indicator called the Sentinal Index. Origionally created by Joe Knight, I adopted the concept and gave it a use in my system. What it is is a "dollar index" created by taking the movement of the 7 major USD based pairs (GBP/USD, EUR/USD, AUD/USD, NZD/USD, USD/JPY, USD/CAD, USD/CHF) and averaging their daily moves together to come up with a meld of them all, and an overall direction of the dollar. I plot this in Excel, and lay my 7 day SMA indicator overtop, which I use for entry into the system. I don't have an automated means of charting and distributing the Sentinal Index yet (which I intend to distribute freely), but I do still update it by hand, and do offer services such as custom system development based on the index, my signals based on the Sentinal Index and a short description of each trade daily, and so forth. If you are interested in any of these, PM or email me, and we can make a system like this one together

Success rate: aprox. 80% over 4 years
Equity: $5,000 to $460,526.50 USD in 4 years
Pips: 10,467 in 4 years (or an average of 215 a month)


Kev
Hi Kevin,

I think I'm not clearly understanding some things.

1) Should the sentinal index always be above the SMA, regardless of which way you are trading? Or if going long it should be above and if going short it should be below?

2) Once the two horizontal lines are drawn, are those positions good until the next NFP or only for some other length of time?

On the attached chart I believe I have everything plotted correctly. The up arrow would be 8:30 EST and the down arrow would be midnight EST (I think FXDD is 0GMT). My lines are drawn accordingly.. Does this look correct?

Thanks,

Jason
  • #52
  • Mar 29, 2007 7:57pm Mar 29, 2007 7:57pm
Well, if one arrow is 8:30 and the other midnight on Monday, then your high line isn't in the right place. Draw with the absolute high and absolute low between those time frames.

In reguards to the Sentinal question -- Long trades taken above, short taken below. And in reguards to how long the lines are good for, I've never had a problem with them running all until the next NFP, so I just take it as it comes If it ran into the next NFP date, I would just not have taken the trade that month.

-Kev
Savage Pip Fiend
  • #53
  • Mar 29, 2007 9:40pm Mar 29, 2007 9:40pm
Quoting Kevin_E
Well, if one arrow is 8:30 and the other midnight on Monday, then your high line isn't in the right place. Draw with the absolute high and absolute low between those time frames.

In reguards to the Sentinal question -- Long trades taken above, short taken below. And in reguards to how long the lines are good for, I've never had a problem with them running all until the next NFP, so I just take it as it comes If it ran into the next NFP date, I would just not have taken the trade that month.

-Kev
Savage Pip Fiend
Kev,

Ok, I see my mistake with the upper line (I was just looking at the specific bar). But based on your comments in your notes you mention taking several trades per month (4-5) which makes me believe this box scale is good until the next NFP date. So are you saying that if you could still see the lines when the next NFP came about, you wouldn't re-draw them?

Lastly, the exit is only when the price crosses the sma, or also when the sentinal crosses back over it's sma?

Thanks,

Jason
  • #54
  • Mar 30, 2007 3:22am Mar 30, 2007 3:22am
Quoting smjones
Could you post a chart, so i can see thanks scott
i think it worked in build 202 of MT4 for I upgraded to build 203 and now it doesn't work?
  • #55
  • Mar 30, 2007 4:36am Mar 30, 2007 4:36am
Quoting smjones
The reason is because you are using a mini account and the names do not match.

I can change the indicator so it will work on ibfx mini... be right back

Try this
Hi smjones,

My problem is solved! Thank you very much!

Best Regards,

hksweeper
  • #56
  • Mar 30, 2007 12:51pm Mar 30, 2007 12:51pm
hi all

i seem to have a differnet problem with the indicator. i cant seem to get it to work with any time frame.
i have increased the max number of bars already suggested, i am not on a mini account (have tryd the amended version anyway just in case), i am on a normal demo from IBFX.

any advice, i so wanna be able to look at this as it looks pretty interesting
Its gonna happen, it will happen.....i know!
  • #57
  • Mar 30, 2007 9:45pm Mar 30, 2007 9:45pm
I use North Financial which uses MT4, however, anytime I try to call the indicatior in my EA, the indicator only returns the number 2147483647. No matter what I change and do, the indicator only returns this number. This only occurs in the backtesting. It works just fine when you add the indicator to the chart. Can't figure this one out. Anyone have any clue? The EA right now only calls the indicator and then prints the result so I could see if it working. Argh!!!

Any help is appreciated.

Thanks,
  • #58
  • Mar 30, 2007 10:02pm Mar 30, 2007 10:02pm
Quoting rockrat
hi all

i seem to have a differnet problem with the indicator. i cant seem to get it to work with any time frame.
i have increased the max number of bars already suggested, i am not on a mini account (have tryd the amended version anyway just in case), i am on a normal demo from IBFX.

any advice, i so wanna be able to look at this as it looks pretty interesting
Please post a chart, so we can see what it looks like...
  • #59
  • Mar 30, 2007 10:05pm Mar 30, 2007 10:05pm
Quoting dormdweller
I use North Financial which uses MT4, however, anytime I try to call the indicatior in my EA, the indicator only returns the number 2147483647. No matter what I change and do, the indicator only returns this number. This only occurs in the backtesting. It works just fine when you add the indicator to the chart. Can't figure this one out. Anyone have any clue? The EA right now only calls the indicator and then prints the result so I could see if it working. Argh!!!

Any help is appreciated.

Thanks,
It is a very small indicator with well designed logic. Why not just cut and paste the logic of the indicator directly into your EA?
  • #60
  • Mar 31, 2007 3:00am Mar 31, 2007 3:00am
hi all

i have a question:
the Sentinal indicator is calculate the average of 7 currency (the most merchantable).
i think the calculate should be with weight for each currancy. (for example
the eur/usd have a bigger weight from the aus/usd) that will give more accurate result.

what do you think fellow?
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