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Attachments: New Variation on 7 am to 9 am Breakout Strategy
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New Variation on 7 am to 9 am Breakout Strategy

  • #61
  • Jun 2, 2009 5:03am Jun 2, 2009 5:03am
Quoting mer071898
I tell you what, I've been experimenting with this regarding a London timeframe breakout and seems to be working extremely well. I don't want to hijack lucashammer's thread so if anyone wants to see what I've developed I'll open a new thread.
Hi, i'd like to see this too.
  • #62
  • Jun 2, 2009 6:48am Jun 2, 2009 6:48am
Quoting jtrade
London open should be better... but this won't give much sleep for the Yankees...
Every morning I look at what happened while I slept, and every morning I'm amazed at the price action I missed out on. The London open is definitely a period of good volatility. Unfortunately I'm one of those Yanks on eastern US time.
You are in a maze of twisty little passages, all alike.
  • #63
  • Jun 2, 2009 9:44am Jun 2, 2009 9:44am
Hi All:
Even though this is a purely mechanical system, using the 50 pip box size filter seems to help.
In today's case (6/2), E/$ has already move a lot since London open. It could move - I don't know. Since the box size is larger than 50, its a no trade for me today.

Thanks
  • #64
  • Jun 2, 2009 12:01pm Jun 2, 2009 12:01pm
Quoting denverdude
Hi All:
Even though this is a purely mechanical system, using the 50 pip box size filter seems to help.
In today's case (6/2), E/$ has already move a lot since London open. It could move - I don't know. Since the box size is larger than 50, its a no trade for me today.

Thanks
Agreed
  • #65
  • Jun 2, 2009 12:05pm Jun 2, 2009 12:05pm
without a sound re-entry rule, such system seems difficult to be consistently profitable.

it is more common that a ranging morning takes all positions stopped out.
  • #66
  • Jun 2, 2009 12:54pm Jun 2, 2009 12:54pm
Quoting mer071898
I tell you what, I've been experimenting with this regarding a London timeframe breakout and seems to be working extremely well. I don't want to hijack lucashammer's thread so if anyone wants to see what I've developed I'll open a new thread.
mer071898, I'd be interested in what you've found. I've been hoping someone would check other sessions with other strategies.
  • #67
  • Jun 2, 2009 5:32pm Jun 2, 2009 5:32pm
Hey all, I've posted my thread called the London Progressive Strategy for you. Feel free to ask any questions but beware I've already have people started to bash things already, lol!!!
  • #68
  • Jun 3, 2009 12:11pm Jun 3, 2009 12:11pm
Hi everyone. I am on vacation to Chicago right now, so I've been unable to make any trades this week. I know that Monday and Tuesday both resulted in small losses. Was anyone able to make the trade today or could anyone at least post the charts with the fibs on it? My access to charts is hit and miss. Thanks. And when I get back, I'll be able to check the losses to hopefully find a common denominator to improve this even further.
  • #69
  • Jun 3, 2009 3:14pm Jun 3, 2009 3:14pm
Lucas,
Here you go.

Again no trade for me today after applying the 50 pip box size filter.
Attached Image (click to enlarge)
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  • #70
  • Jun 3, 2009 3:17pm Jun 3, 2009 3:17pm
Attached Image (click to enlarge)
Click to Enlarge Name: eurusd 6-3-09 15min.gif Size: 14 KB


Quoting lucashammer
Hi everyone. I am on vacation to Chicago right now, so I've been unable to make any trades this week. I know that Monday and Tuesday both resulted in small losses. Was anyone able to make the trade today or could anyone at least post the charts with the fibs on it? My access to charts is hit and miss. Thanks. And when I get back, I'll be able to check the losses to hopefully find a common denominator to improve this even further.
Here is my chart from today. I didn't actually take this trade, but it looks like it also would have resulted in a loss. The box was over 50 pips, and so I stayed out. Plus price was near the Murrey reversal lines.
  • #71
  • Edited Sep 15, 2009 6:45pm Jun 3, 2009 3:50pm | Edited Sep 15, 2009 6:45pm
I wrote a script to backtest the USD pairs for the past 6 months. I used FXPro for this test and they are on CET. To the best of my knowledge, the EU recognized Daylight Savings on 3/29/09. The US recognized Daylight Savings on 3/8/09. Normally FxPro is 7 hours ahead of Eastern Time. That puts the box at 14:00 - 15:55 (I used 5 minute chandles for this test). During the gap between 3/8 and 3/29, FxPro was only 6 hours ahead of Eastern Time. That puts the box during there dates at 13:00 - 14:55.

I used 5 minute candles to provide more accurate results. However, these results may differ from actual results because a lot can happen in 1 5-minute candle. For example, there are some 5 minute candles that flew throught 1.272, 1.500, 1.764, and 2.000 fibs. From the 5 minute candle there is no way to determine if there were any retraces that would cause a SL to be hit.

The attached results file is Excel 2007 and uses some Excel 2007 specific formulas. Those with previous Excel version may not see all calculations. I went ahead and included both a 2007 version (2007.xls) and a 2003 version (BigDogFibTestUSD-NY.xls). Since I have Excel 2007, I have no idea how the .xls version will perform. If you want to use the 2007 version, rename file to 2007.xlsx. In the Excel file, note that "PF" stands for Profit Factor.

I have not had time to verify each and every trade manually. I chose random trades and manually verified the best I could.

Hopefully this will assist many of you in determining the best application of this strategy.
  • #72
  • Edited 4:39pm Jun 3, 2009 4:28pm | Edited 4:39pm
Quoting zznbrm
I wrote a script to backtest the USD pairs for the past 6 months. I used FXPro for this test and they are on CET. To the best of my knowledge, the EU recognized Daylight Savings on 3/29/09. The US recognized Daylight Savings on 3/8/09. Normally FxPro is 7 hours ahead of Eastern Time. That puts the box at 14:00 - 15:55 (I used 5 minute chandles for this test). During the gap between 3/8 and 3/29, FxPro was only 6 hours ahead of Eastern Time. That puts the box during there dates at 13:00 - 14:55.

I used 5 minute candles to provide more accurate...
zznbrm,

Thanks for the backtest. Quick question. Did this filter out all of the trades where the box was over 50 pips?

EDIT: Nevermind, I see it now. By the way, profit was noticeably higher limited the box to less than 50 pips.

EDIT: Final edit, 45 pips seems to be the magic number on this backtest. Pips showing around 1000 if the box size is limited to Less Than 45. zznbrm, Thanks again. This is invaluable in updating my system.
  • #73
  • Jun 3, 2009 4:42pm Jun 3, 2009 4:42pm
Quoting lucashammer
zznbrm,

Thanks for the backtest. Quick question. Did this filter out all of the trades where the box was over 50 pips?

EDIT: Nevermind, I see it now. By the way, profit was noticeably higher limited the box to less than 50 pips.

EDIT: Final edit, 45 pips seems to be the magic number on this backtest. Pips showing around 1000 if the box size is limited to Less Than 45. zznbrm, Thanks again. This is invaluable in updating my system.
None of my data includes the spread. The problem with < 50 pip box size is that the spread will really eat into profits for those pairs with higher spreads. Not a huge problem for EURUSD and USDJPY, depending on your broker.
  • #74
  • Jun 3, 2009 7:33pm Jun 3, 2009 7:33pm
We would've knocked out 128 pips during the London session last night. I've still got to knock out a few kinks and research a different filter but it's getting pretty close.
Attached Image (click to enlarge)
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  • #75
  • Jun 3, 2009 8:20pm Jun 3, 2009 8:20pm
I've just made a few changes in the London Progressive Strategy thread for testing. I am no longer going to use the Murrey indicator as I feel that the timeframe is too small for reliable use. I will be using the Trend Magic indicator to help with filtering out the direction. I've also added a separate entry level on the fib tool at -.236 and 1.236. The old entry levels of -.382 and 1.382 will be used as a stop for TP 2. When price hits TP 2, you will now move your stop to this point. These changes will allow for an earlier entry but not sacrifice those pips back when we do get stopped out. All changes I've made are now on the 1st post along with a new zip file with the indicators and template.
  • #76
  • Jun 4, 2009 12:17am Jun 4, 2009 12:17am
Quoting zznbrm
None of my data includes the spread. The problem with < 50 pip box size is that the spread will really eat into profits for those pairs with higher spreads. Not a huge problem for EURUSD and USDJPY, depending on your broker.
Yeah, I have a usual 1 or 2 pip spread on my EUR/USD so I don't think that it would be a problem. Plus my TPs always include the spread so I make the full profit. Anyways, thanks again. I think I'm going to use this in conjunction with another trading strategy for the +45 pip box days.
  • #77
  • Jun 8, 2009 2:13pm Jun 8, 2009 2:13pm
Are you guys able to place orders in both directions after the hedging policy. My broker (Alpari - US) does not allow me to do this. Just wondering if every broker is following this or not...
  • #78
  • Jun 8, 2009 2:14pm Jun 8, 2009 2:14pm
I can on Oanda, but not on IBFX.
You are in a maze of twisty little passages, all alike.
  • #79
  • Jun 9, 2009 9:42am Jun 9, 2009 9:42am
Hey I was wondering I have never really placed Fib lines before and have been looking online but cant really find a way to place the like the ones in the first post. I use IBFX and MT$ platform. Any help?
  • #80
  • Jun 9, 2009 11:57am Jun 9, 2009 11:57am
They're not really the Fibonacci ratios except for the 50% level. The OP came up with them empirically.
You are in a maze of twisty little passages, all alike.
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