Has the Twisted Ribbon been posted yet?

- | Joined Mar 2007 | Status: Trend Sailor | 22 Posts

To The Sea My Friend....oh we already on the sea!!!!

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Open-Close Trending with Hedging Discussion Thread 204 replies

- Joined Jan 2007 | Status: Member | 3,719 Posts

i'm thinking, for a given timeframe there has to be a connection between the average length of the candlestick and the type & period of the moving average, the outter lines... i wonder how this strategy would work if combined with bollinger bands.

Nihil Sine Deo.

- | Joined Mar 2007 | Status: Trend Sailor | 22 Posts

tk,

i hope u can compose some other rules base on this method

that can deal with ranging market...

is someone on this thread got a tool to indentify ranging market fastly?

To The Sea My Friend....oh we already on the sea!!!!

- Joined Jan 2007 | Status: Member | 3,719 Posts

you need to use another one as a filter, HAS by itself can give you a lot of fake signals.

DislikedHas anyone taken a look at the Heiken_Ashi-Smoothed indicator on the original setup? It seems to alert on the direction on trends. Just my small two cents.

Bob C.Ignored

Nihil Sine Deo.

I came up with 55 total trades (left out the holidays) 29 losers and 26 winners. I was basing my trades on 5 standard lots with each entry. My total profit to date is $230,909.00 with approx $1500 of interest.

I also did another test where I entered with 5 standard lots, with TP of 25,50, and 100 pips (1 lot on each TP) and let the remaining two lots run. This I found was good for some of the whipsaw action. That test is totalling profits of $82,117.00 to date.

The end of Nov started out rough, 8 losing trades back to back for about -$10,300 but from that point on it was smooth sailing.

A ways back you said, "What I was agreeing with was the caution that FxN was expressing. I do not agree that crossover systems don't work. They can work very well, but one has to use their brain. (I get weary of all the good folks who think silly indicators can solve everything). For example, Jim (james16) showed me a technique that, when applied to a simple moving average crossover system, made it into a reliable strategy."

Could you share that simple moving average system and the additional technique? I could help us think about the whipsaw problem. Or could you point me to where james16 talks about this system?

Thanks.

pjwinner

Disliked

A ways back you said, "What I was agreeing with was the caution that FxN was expressing. I do not agree that crossover systems don't work. They can work very well, but one has to use their brain. (I get weary of all the good folks who think silly indicators can solve everything). For example, Jim (james16) showed me a technique that, when applied to a simple moving average crossover system, made it into a reliable strategy."

Could you share that simple moving average system and the additional technique? I could help us think about the whipsaw problem. Or could you point me to where james16 talks about this system?

Thanks.

pjwinnerIgnored

Good question, I would like to know as well.

For now what I'm considering is if the positon goes negative by >50 pips then hedge it until your position is positive again. Could also make pips with your hedged position as well when it peaks out at the next SL point.

This is still a work in progress, but as of this past week it appears to be working well. Theoretically it should remove 1/2 to 3/4 of all wipsaw SL.

Just some thoughts about this program and its potential. I'll post more if others have interest in this and as it progresses.

yezbick

P.S. This Open-Close Trending system is more profitable than the W1 tKimble system this year. I show a YTD of 4543 pips and for the W1 only 2581 as of the end of this past week. Ultimately it was almost as profitable as the D1 tKimble with 4897 total pips. Just my 2 cents worth.

- Joined Jan 2007 | Status: Member | 3,719 Posts

yes, BUT let's not forget about the fact that G-J has been trending A LOT these last 3 months. every trend following program would have been profitable (probably with similar returns).

the point is to avoid the whipsaws or minimize the damages.

hedging might be a solution, but the rules must be very precise. so far i couldn't figure something to make profit... i'm still thinking about it.

the point is to avoid the whipsaws or minimize the damages.

hedging might be a solution, but the rules must be very precise. so far i couldn't figure something to make profit... i'm still thinking about it.

DislikedP.S. This Open-Close Trending system is more profitable than the W1 tKimble system this year. I show a YTD of 4543 pips and for the W1 only 2581 as of the end of this past week. Ultimately it was almost as profitable as the D1 tKimble with 4897 total pips. Just my 2 cents worth.Ignored

Nihil Sine Deo.

Using the GBP/JPY pair on the hourly chart, I backtested from October '06 to current and ended up with phenomenal returns. I also ran an optimization on the spread. Turned out that 50 pips was pretty good, 45 was best.

But the curious part is that I ran the backtest on a bunch of other pairs and could not show a profit. I need to look at this in a little more depth, but has anyone else seen similar results? If so, it makes me a little nervous about this system because that would mean it's not that robust. Makes me think that we are simply in a strange period for the GY that makes it profitable.

Comments?

Phil

- Joined Jan 2007 | Status: Member | 3,719 Posts

in case you didn't notice, this is a trend following system. so as long as you have a trend, you will have very nice returns. it should work with every pair, BUT you need to work on the LWMA period, timeframe and the limits from where you open trades.

let me give you an example: this system works best with g-j, on H1 timeframe, with 25LWMA, and you open trades when price is at 50 pips away from 25LWMA. now let's try with another pair, let's say u-chf: try H1 timeframe, 25LWMA and open trades when price is at 20 pips away from 25LWMA... see what you get.

what i'm trying to say is that this system works on every pair BUT using different parameters. find a LWMA period that works best and then try to find the ratios between these parameters and the daily average... then play with it.. you'll get a nice profit.

i hope you understand what i'm saying.

by the way, i ran a backtest for the whole last year (2006)... see my results at the beginning of this thread.

i'll come back with more details as soon as i have time.

let me give you an example: this system works best with g-j, on H1 timeframe, with 25LWMA, and you open trades when price is at 50 pips away from 25LWMA. now let's try with another pair, let's say u-chf: try H1 timeframe, 25LWMA and open trades when price is at 20 pips away from 25LWMA... see what you get.

what i'm trying to say is that this system works on every pair BUT using different parameters. find a LWMA period that works best and then try to find the ratios between these parameters and the daily average... then play with it.. you'll get a nice profit.

i hope you understand what i'm saying.

by the way, i ran a backtest for the whole last year (2006)... see my results at the beginning of this thread.

i'll come back with more details as soon as i have time.

Disliked

Using the GBP/JPY pair on the hourly chart, I backtested from October '06 to current and ended up with phenomenal returns. I also ran an optimization on the spread. Turned out that 50 pips was pretty good, 45 was best.

But the curious part is that I ran the backtest on a bunch of other pairs and could not show a profit. I need to look at this in a little more depth, but has anyone else seen similar results? If so, it makes me a little nervous about this system because that would mean it's not that robust. Makes me think that we are simply in a strange period for the GY that makes it profitable.

Comments?

PhilIgnored

Nihil Sine Deo.

Dislikedin case you didn't notice, this is a trend following system. so as long as you have a trend, you will have very nice returns. it should work with every pair, BUT you need to work on the LWMA period, timeframe and the limits from where you open trades.

let me give you an example: this system works best with g-j, on H1 timeframe, with 25LWMA, and you open trades when price is at 50 pips away from 25LWMA. now let's try with another pair, let's say u-chf: try H1 timeframe, 25LWMA and open trades when price is at 20 pips away from 25LWMA... see what you get.

what i'm trying to say is that this system works on every pair BUT using different parameters. find a LWMA period that works best and then try to find the ratios between these parameters and the daily average... then play with it.. you'll get a nice profit.

i hope you understand what i'm saying.

by the way, i ran a backtest for the whole last year (2006)... see my results at the beginning of this thread.

i'll come back with more details as soon as i have time.Ignored

I backtested the gbp/jpy back to October (as far as the data on the 1 hr chart goes on my system) using an EA on MT4. I also backtested manually just to confirm that the EA was working properly. I did this so I could have confidence when I tested the other pairs using the EA. When I tested the other pairs, I assumed that the spread would be the key parameter that would need to be adjusted. I ran an optimization from 15 to 100 pips at increments of 5 pips (total of 16 runs) and could not find a profitable scenario for any of the pairs tested.

I didn't believe a priori that the LWMA period would have that big of an effect, nor did I consider other timeframes since I tested other timeframes on the gbp/jpy with mixed results. So I didn't test those parameters.

I appreciate the suggestion to test the other parameters, but didn't really appreciate the "In case you didn't notice . . ." comment.

Perhaps others, including yourself, could post parameters that they have tested and used with other pairs. This thread seems to be dominated by gbp/jpy, which has clearly matched up very well with this system over the past six months.

Thanks,

Phil

- Joined Jan 2007 | Status: Member | 3,719 Posts

first thing: my post wasn't meant to patronize you, if you were offended i apologize - my first language is not english and because of that i can't translate all the nuances... my last post was made in a hurry, so i thought it might have been a little bit difficult to follow - but not difficult to understand the basic principle. sorry.

second: about the method, i only changed the distance from LWMA. right now, my entry points would be at: +/-40 for g-j; +/-26 for e-j; +/-16 for e-u; +/-19 for u-chf... same timeframe, 1H; same 25LWMA. but it might be a good idea to to look at higher timeframes - 4H, even daily - and with a different LWMA.

second: about the method, i only changed the distance from LWMA. right now, my entry points would be at: +/-40 for g-j; +/-26 for e-j; +/-16 for e-u; +/-19 for u-chf... same timeframe, 1H; same 25LWMA. but it might be a good idea to to look at higher timeframes - 4H, even daily - and with a different LWMA.

DislikedThanks for the response - and don't be misled by my low number of posts here, I understand this stuff.

I backtested the gbp/jpy back to October (as far as the data on the 1 hr chart goes on my system) using an EA on MT4. I also backtested manually just to confirm that the EA was working properly. I did this so I could have confidence when I tested the other pairs using the EA. When I tested the other pairs, I assumed that the spread would be the key parameter that would need to be adjusted. I ran an optimization from 15 to 100 pips at increments of 5 pips (total of 16 runs) and could not find a profitable scenario for any of the pairs tested.

I didn't believe a priori that the LWMA period would have that big of an effect, nor did I consider other timeframes since I tested other timeframes on the gbp/jpy with mixed results. So I didn't test those parameters.

I appreciate the suggestion to test the other parameters, but didn't really appreciate the "In case you didn't notice . . ." comment.

Perhaps others, including yourself, could post parameters that they have tested and used with other pairs. This thread seems to be dominated by gbp/jpy, which has clearly matched up very well with this system over the past six months.

Thanks,

PhilIgnored

Nihil Sine Deo.

Dislikedabout the method, i only changed the distance from LWMA. right now, my entry points would be at: +/-40 for g-j; +/-26 for e-j; +/-16 for e-u; +/-19 for u-chf... same timeframe, 1H; same 25LWMA. but it might be a good idea to to look at higher timeframes - 4H, even daily - and with a different LWMA.Ignored

hi scrat, thanks for all your contributions to this and other threads...I always check your comments, as they have been very helpful for me....

it is really interesting your input regarding how to adapt this method to become successful in other pairs...but my question is: how did you finally determine the best entry point in each of them...i mean, why 26 pips e-j, 16 e-u, etc...Did you test those pairs yet? can you share your results? I think I'll try couple of pairs with this modifications...i'll post my results....

Thanks again...

good trading week...

- Joined Jan 2007 | Status: Member | 3,719 Posts

i looked at the daily average for g-j when +/-50 entries worked best, and then i thought i should apply a directly proportional straddle to the other pairs. so i divided g-j daily average with 100 (2*50) and it gave me 2.25; then i picked other pairs and i divided their daily average by this, and i got the straddle value for every one of them. obviously, i can't use a +/-50 straddle on e-usd; but +/-15 (which is ~ 67 daily average / 2.25 /2) works better, at least on a visual check. i adjust this value every day, depending on the daily average value.

i don't know if this works, but i'm giving it a try.

i don't know if this works, but i'm giving it a try.

Dislikedhi scrat, thanks for all your contributions to this and other threads...I always check your comments, as they have been very helpful for me....

it is really interesting your input regarding how to adapt this method to become successful in other pairs...but my question is: how did you finally determine the best entry point in each of them...i mean, why 26 pips e-j, 16 e-u, etc...Did you test those pairs yet? can you share your results? I think I'll try couple of pairs with this modifications...i'll post my results....

Thanks again...

good trading week...Ignored

Nihil Sine Deo.

please please help me figure it out

- Joined Jul 2006 | Status: Charts + PA > * | 3,251 Posts

DislikedI just got done with some testing and got some good and curious results.

Using the GBP/JPY pair on the hourly chart, I backtested from October '06 to current and ended up with phenomenal returns.

But the curious part is that I ran the backtest on a bunch of other pairs and could not show a profit. I need to look at this in a little more depth, but has anyone else seen similar results? If so, it makes me a little nervous about this system because that would mean it's not that robust. Makes me think that we are simply in a strange period for the GY that makes it profitable.

Comments?

PhilIgnored

Hiya.

If it was developed for a high ATR GJ, how is it less robust if it doesn't fit low ATR pairs? Seems a bit odd to argue that way

And in general: You seem to have used an EA, yes?

If so:

How you determined your exits can make or break your results alone I'd hazard. I don' think there's been a hard rule established for this.

As for the period - if we are in a "strange" (read: more volatile/trending as opposed to sloshing sideways) period, why didn't you just test the last 3 years instead of just 6 months?

If you didn't use an EA - then you'll already have realized that this is very hard to properly backtest with being honest to yourself and takes a ton of time. And as for forward testing - how long is long enough to make sure you've gone through trending AND nontrending periods and ended up on top in total?

Just to say this: I am not biased to either side.

I think this is another one of those "big unknowns" systems.

Starts out making people millionaires, builds fanbase, then could potentially run into trouble as GJ goes sideways or thrashy and things fizzle and so forth. And in the end a seemingly mechanical beast turns 80% discretionary again

Or maybe not.

Not saying this must happen, just has been what happened to most. Then new additions are introduced(hedging, filters..), etc.

As for the other question regarding pip precision of where the MAs are - since the boundaries and the MA "moves" as price moves inside of a current bar/ the current hour, these will shift anyway. This can mean +- 10 pips there already. I think it was recommended to look and place/adjust once per every hour's close to keep things proper. Not sure.

Just throwing some thoughts around =)

Btw, since I a posting in your thread Tkimble, I just wanted to say thanks for posting and sharing your many and various systems freely, that's very cool of you! =)

Take care,

SeekingLight

Trust price. Know yourself.