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Pair Divergence Method

  • #241
  • Apr 16, 2009 8:17pm Apr 16, 2009 8:17pm
Quoting vbro
Hey Jig,

That trade's as close as it gets, but I'm pretty sure Bill would say that Euro peaked 1 bar sooner than Swissy, so technically, it was a no trade, even though it succeeded as you traded it.

Ironically, there was a Swissy long trade off the new lows on Euro at around 18:00 and 19:30 (can you see how the valleys on both pairs reach their lowest lows at exactly the same bar?) Looks like that one would have failed though.

Hope this helps,

VBro
Thanks a lot,

I see what you mean now with regards to the EURUSD.

Can you make up a chart on the Swissy trade by any chance if you can ? I can't seem to get it.
  • #242
  • Apr 16, 2009 8:26pm Apr 16, 2009 8:26pm
Hey Jig,

I'd be glad to post a chart for you, but first...

I was just glancing at your posted chart and I think you have to check your settings on the moving average lines. It should be:

period: 1
type: simple
apply to: typical (I think you have this set to 'close')

Once you change the settings, I believe that 'Swissy long' I was talking about will disappear.

Going to edit my prior post so I don't confuse anyone.

VBro
  • #243
  • Apr 16, 2009 8:29pm Apr 16, 2009 8:29pm
Quoting vbro
Hey Jig,

I'd be glad to post a chart for you, but first...

I was just glancing at your posted chart and I think you have to check your settings on the moving average lines. It should be:

period: 1
type: simple
apply to: typical (I think you have this set to 'close')

Once you change the settings, I believe that 'Swissy long' I was talking about will disappear.

Going to edit my prior post so I don't confuse anyone.

VBro
Ahhh, you are correct.

  • #244
  • Apr 16, 2009 8:38pm Apr 16, 2009 8:38pm
Quoting primajaya
GBPJPY vs EURJPY (today)
H4 and Daily, Long signal for GBPJPY..am I right?
Hi Pri,

Had a glance at my IBFX charts (GMT) and could not see a long. What is the time zone of your charts?

VBro
  • #245
  • Apr 16, 2009 8:42pm Apr 16, 2009 8:42pm
Quoting primajaya
GBPJPY vs EURJPY (today)
H4 and Daily, Long signal for GBPJPY..am I right?
Hi again Pri,

Sorry, my bad, just found the 4H long G/J - yes that's a system compliant long there!

VBro
  • #246
  • Apr 16, 2009 8:52pm Apr 16, 2009 8:52pm
I've finished backtesting EURUSD/USDCHF since March 1 until now.

I used very a strict definition for the trades. The same one I've put out here about the peaks and valleys lining up.
I'll update post#1 with clear rules when I have time.

I also considered a 5 pip spread on CHF and a 2 pip spread on EURO.

Also, I let each trade run it's course, either TP or SL. Because of that, these results are worst case scenario. Closing a trade when a counter trade appears, is much more profitable.

46 Trades
36 W
10 L
78.2% Win rate

I assumed 3% of account size risked on each trade. (numbers like this justify 3%)

Beginning with a $1,000 account on March 1, by the end of today it would equal $2,063
  • #247
  • Apr 16, 2009 8:56pm Apr 16, 2009 8:56pm
Hi Pri,

I had a look for the 'daily' long you mentioned. On my charts, E/J & G/J made synchronized daily lows on the 6th and 10th. The second lows (the 10th) created the 'set up', when E/J made new lows, but G/J could not make new lows. Then the trade was 'triggered' the following day, as both pairs turned long. After the close of the trigger day (the 11th), this system would have you taking a long on G/J.

But I think you were trying to point out a more recent entry for a 'daily' long in G/J, and I do not see one (in GMT any way). Reason?

In my GMT charts, the first lows (10th) are synchronized (happen on exactly the same bar). But the second lows happen on two different bars (G/J on the 14th, E/J on the 15th). Since the second lows do not happen on the same bar, this system does not trade.

Hope this helps,

VBro
  • #248
  • Apr 16, 2009 9:00pm Apr 16, 2009 9:00pm
Quoting billbss
I've finished backtesting EURUSD/USDCHF since March 1 until now.
Looks good Bill. I will post January 09 results on same pair shortly.

VBro
  • #249
  • Apr 16, 2009 9:11pm Apr 16, 2009 9:11pm
Thank you for this valuable information. I tried to do a backtest using trade simulator but the "overlayed" usd/chf will not be simulated, only the eur/usd on which the actual chart is displayed was simulated.

I have 3 questions on which conditions you entered the backtested trades.

1. Did you wait for both pairs to point in the same direction(in mirror mode)?

2. Did you wait for the 15m period to close before entering the trade to confirm the direction?

3. Do you have a certain time when you trade (London, US session)?

Quoting billbss
I've finished backtesting EURUSD/USDCHF since March 1 until now.

I used very a strict definition for the trades. The same one I've put out here about the peaks and valleys lining up.
I'll update post#1 with clear rules when I have time.

I also considered a 5 pip spread on CHF and a 2 pip spread on EURO.

Also, I let each trade run it's course, either TP or SL. Because of that, these results are worst case scenario. Closing a trade when a counter trade appears, is much more profitable.

46 Trades
36 W
10 L
78.2% Win rate

I assumed 3% of account...
  • #250
  • Apr 16, 2009 9:16pm Apr 16, 2009 9:16pm
Quoting artov
Thank you for this valuable information. I tried to do a backtest using trade simulator but the "overlayed" usd/chf will not be simulated, only the eur/usd on which the actual chart is displayed was simulated.

I have 3 questions on which conditions you entered the backtested trades.
Quote
1. Did you wait for both pairs to point in the same direction(in mirror mode)?
Yes

Quote
2. Did you wait for the 15m period to close before entering the trade to confirm the direction?
Yes

Quote
3. Do you have a certain time when you trade (London, US session)?
No. I traded every signal, regardless of time.
  • #251
  • Apr 16, 2009 9:24pm Apr 16, 2009 9:24pm
Thanks Bill, sounds good.
  • #252
  • Apr 16, 2009 9:37pm Apr 16, 2009 9:37pm
Hi,

Just completed manual backtest of January 09, 15 min only, Euro/Swissy.

- Took all trades, according to the strict 'synchronization' rules.
- TP: 2 x ATR14, SL: 2 x ATR14 - So, R:R = 1:1
- Enter trade at close of 'trigger' bar (in other words, 14:59 after close of second peak/valley bar)
- In the case of a second trade in the same direction before the first trade closed (on either currency), I added a second trade.
- In the case of a second trade in the opposite direction before the first trade closed (on either currency), I closed the first trade and opened the new direction trade.

Here's what I got -

January 2 - January 31
37 trades
20 wins
12 losses
5 reversals (trades closed early due to reversal signal)

Not counting reversal trades which were near enough to breakeven, that's 20 wins of 32 trades, or 62.5%. A very solid percentage.

Will look at February next.

VBro
  • #253
  • Apr 16, 2009 9:48pm Apr 16, 2009 9:48pm
Great result Bill.

How many of the 10 losers do you estimate would have been eliminated if counter trends were implemented?

ps - I'm very grateful for you sharing your method with us. It looks very promising indeed. Keep up the good work.
  • #254
  • Apr 16, 2009 9:53pm Apr 16, 2009 9:53pm
Quoting Yibble
Great result Bill.

How many of the 10 losers do you estimate would have been eliminated if counter trends were implemented?

ps - I'm very grateful for you sharing your method with us. It looks very promising indeed. Keep up the good work.
Two, maybe three, would be my guess.
  • #255
  • Apr 16, 2009 10:10pm Apr 16, 2009 10:10pm
Quoting vbro
Hi,

Just completed manual backtest of January 09, 15 min only, Euro/Swissy.

- Took all trades, according to the strict 'synchronization' rules.
- TP: 2 x ATR14, SL: 2 x ATR14...
Let's touch base and make sure we're doing it the same way.

Would you take this trade?
Attached Image (click to enlarge)
Click to Enlarge Name: ecdiv.gif Size: 23 KB
  • #256
  • Apr 16, 2009 10:27pm Apr 16, 2009 10:27pm
Quoting billbss
Let's touch base and make sure we're doing it the same way.
Good Idea.

Quoting billbss
Would you take this trade?
No, because of the small peaks in the valley. Do I have it right?

VBro
  • #257
  • Apr 16, 2009 10:31pm Apr 16, 2009 10:31pm
Quoting vbro
Good Idea.



No, because of the small peaks in the valley. Do I have it right?

VBro
Yep. I was avoiding those too.
We're on board.
  • #258
  • Apr 16, 2009 10:33pm Apr 16, 2009 10:33pm
Quoting StockKJay
I must admit, this is rather intriguing. I have always had a thing for this type of approach, ever since "boxingislife" made a thread on correlation trading years ago. It is a far different way of looking at the market than is typical, simple in its own right, yet fancy and deep at the same time. I will read through this, interestingly... I wouldn't even have clicked on it had I not seen Billbss name on it
Thank you, Jay.
I hope we can make some money with it.
  • #259
  • Apr 16, 2009 10:35pm Apr 16, 2009 10:35pm
Quoting StockKJay
... I wouldn't even have clicked on it had I not seen Billbss name on it
Sometimes, it's not WHAT you know...
  • #260
  • Apr 16, 2009 11:23pm Apr 16, 2009 11:23pm
Hi Bill

So looking at your image that you posted you wouldn't have taken the trade you highlighted because of the peaks/spikes in the valley BUT you would have taken the one just preceding because there's no spikes?

Trust trying to get my head around it.

Been doing quite well testing this method this week and last.

Lux
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