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4H Box Breakout

  • #1,781
  • Aug 13, 2009 1:07am Aug 13, 2009 1:07am
Quoting bobha
I have run the system over '07, '08 and '09 with interesting results. I then used the forex factory calendar to mark the FOMC weeks. If no trading was done during these weeks in '08 the total pips gained went up by about 33%. This year the same strategy would have meant a reduced profit but it could be something to keep an eye on. I haven't gone back to '07.
bobha, You have done a good study. Could you please attach the Excel sheet on the results? Thank you.
  • #1,782
  • Aug 13, 2009 5:06am Aug 13, 2009 5:06am
Sorry, PJ. I am not into Excell. I have just done it all on a sheet of paper which may be hard for you to read.
  • #1,783
  • Aug 13, 2009 8:00am Aug 13, 2009 8:00am
Quoting bobha
Sorry, PJ. I am not into Excell. I have just done it all on a sheet of paper which may be hard for you to read.
I'll attach some I just did for my system. It uses the same basic idea as Ace's (Sunday 4hr break out), but I take profit based off the ATR (similar to Phils's babypips thread).

Anyway, attached at bt results for both 08 and 09, with and without trading weeks where there were "High Impact" FOMC events (as per the FF calendar).

Of course, you can take the actual profits with a grain of salt compared to Ace's, but by the looks of it not trading those weeks may help.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: ff08_before.JPG Size: 92 KB
Click to Enlarge Name: ff08_after.JPG Size: 92 KB
Click to Enlarge Name: ff09_before.JPG Size: 99 KB
Click to Enlarge Name: ff09_after.JPG Size: 92 KB
  • #1,784
  • Aug 13, 2009 8:24am Aug 13, 2009 8:24am
Quoting bobha
I have run the system over '07, '08 and '09 with interesting results. I then used the forex factory calendar to mark the FOMC weeks. If no trading was done during these weeks in '08 the total pips gained went up by about 33%. This year the same strategy would have meant a reduced profit but it could be something to keep an eye on. I haven't gone back to '07.
bobha thanks for your research. Did you exclude the entire week where FOMC meetings occurred? Or just the day of the meeting?

Thanks,
Sandy
  • #1,785
  • Aug 13, 2009 9:45am Aug 13, 2009 9:45am
Quoting decus
I'll attach some I just did for my system. It uses the same basic idea as Ace's (Sunday 4hr break out), but I take profit based off the ATR (similar to Phils's babypips thread).

Anyway, attached at bt results for both 08 and 09, with and without trading weeks where there were "High Impact" FOMC events (as per the FF calendar).

Of course, you can take the actual profits with a grain of salt compared to Ace's, but by the looks of it not trading those weeks may help.


That's great statistics research. Thank you for your time.
By the way, were these trades traded with hands off approach. Position opened and then it is running to S/L or T/P without you doing anything or you were taking partial profit at some predetermined point, moved S/L to B/E and let the rest of position run to original target or B/E?

Plus, were there only 1 trade per week with first break out out of the box or in case if your first position got stopped but you got box break out in another direction you would follow it with another position?

I am starting trading this Sunday and live funds and I am going to use take partial profit at 50 pips approach and move s/l to b/e after this let the rest run with moving s/l after each s/r level broken.
Looks like very promising strategy that I do not have to watch all the time.
  • #1,786
  • Aug 13, 2009 10:17am Aug 13, 2009 10:17am
Quoting decus
I'll attach some I just did for my system. It uses the same basic idea as Ace's (Sunday 4hr break out), but I take profit based off the ATR (similar to Phils's babypips thread).

Anyway, attached at bt results for both 08 and 09, with and without trading weeks where there were "High Impact" FOMC events (as per the FF calendar).

Of course, you can take the actual profits with a grain of salt compared to Ace's, but by the looks of it not trading those weeks may help.

Thanks for these valuable information.

One thing I don't understand why ppl get troubled by FOMC event that are usually in middle of week. by that time, the trades open on Sunday is either exited or running with a lot of profits, why could FOMC affect this system's performance?

to me, i trade all weeks.
  • #1,787
  • Aug 13, 2009 11:53am Aug 13, 2009 11:53am
I know there's a place for back testing. But since I've been looking at this system (demo trading) there was just 1 week (I think) where there were losing trades on the buy and sell side. A lot depends on how you manage or don't manage the trades. Naturally there will be some bad weeks.

An interesting stat would be how many weeks in 2009 were there consecutive losing weeks (no pips on the buy or sell, stopped out etc)


Sandy
  • #1,788
  • Aug 13, 2009 12:26pm Aug 13, 2009 12:26pm
Good job Decus; however, some of the information doesn't add-up to me. With this strategy, there's a r:r of 1:4. Therefore, if you win only 25% of the time, you'll break-even. Your win % were 58.2% (incl news) & 67.6% (excluding news) in FY08. With such high winning rates I'm puzzled to see that the 58.2% win rate experienced $59.8k in gross gains and $49.4k in gross losses, for a net gain of $10.4k. That doesn't seem correct... Also, as previously stated, by the time the FOMC info is released the gbpjpy has probably already made its move for the week.

thanks,

Walt
  • #1,789
  • Aug 13, 2009 2:22pm Aug 13, 2009 2:22pm
one problem with backtesting 2008 was the incredible volatility the second half of the year. Alot of massive boxes that would make trading this system very difficult. Obvious those were the market conditions that we were given, which obviously leads me to believe this system is not going to work all the time and thats why as traders we need to be diversified in our methods and systems.
  • #1,790
  • Aug 13, 2009 2:23pm Aug 13, 2009 2:23pm
a big thanks to ace284 for a great method. i have just one question is everyone only taking a max of 2 trades per week per pair.
  • #1,791
  • Aug 13, 2009 2:27pm Aug 13, 2009 2:27pm
ronald the indicator in the post #1773 is the ea for ace's system correct?
  • #1,792
  • Aug 13, 2009 3:44pm Aug 13, 2009 3:44pm
Quoting shiko
I am starting trading this Sunday and live funds and I am going to use take partial profit at 50 pips approach and move s/l to b/e after this let the rest run with moving s/l after each s/r level broken.
Looks like very promising strategy that I do not have to watch all the time.
Is there a reason why you chose 50 pips? Have you tested it on a lower time frame like 1hr and 30 mins to see whether you'll get taken out at the start. GBP/JPY is quite volatile and can move 50 pips back and forth easily.
  • #1,793
  • Aug 13, 2009 4:16pm Aug 13, 2009 4:16pm
Quoting charvo
Thanks for these valuable information.

One thing I don't understand why ppl get troubled by FOMC event that are usually in middle of week. by that time, the trades open on Sunday is either exited or running with a lot of profits, why could FOMC affect this system's performance?

to me, i trade all weeks.
Spot on - Totally Agree.
Trading is SIMPLE not EASY.
  • #1,794
  • Aug 13, 2009 4:49pm Aug 13, 2009 4:49pm
Same strategy as Post# 1607

GBPJPY: 1 trade

1st lot: 120 pips
2nd lot: 479 pips


EURJPY: 1 trade

1st lot: 102 pips
2nd lot: 307 pips


AUDJPY: 1 trade

1st lot: 64 pips
2nd lot: 194 pips


CHFJPY: 1 trade

1st lot: 84 pips
2nd lot: 0 pips
  • #1,795
  • Aug 13, 2009 4:58pm Aug 13, 2009 4:58pm
Quoting FXLab
Same strategy as Post# 1607

GBPJPY: 1 trade

1st lot: 120 pips
2nd lot: 479 pips


EURJPY: 1 trade

1st lot: 102 pips
2nd lot: 307 pips


AUDJPY: 1 trade

1st lot: 64 pips
2nd lot: 194 pips


CHFJPY: 1 trade

1st lot: 84 pips
2nd lot: 0 pips

Looks like you have a nice winning approach to a good system!! What were your results (2) weeks ago?
  • #1,796
  • Aug 13, 2009 5:45pm Aug 13, 2009 5:45pm
I don't want to derail the thread because my system isn't the same as Ace's. But for the sake of explaining the backtest here it goes.

Profit target (PT1) is the ATR(14) of the 4H chart, stoploss is the opposite breakout line. If PT1 is hit I move SL to BE+10pips and PT2 = PT1 + half the current 4H candles ATR. If PT2 is hit I move SE to PT1 and again increase profit by half the ATR. If that is hit then I get out. There are a max of two trades a week (if first trade hits SL I enter reverse position).

This means that I miss the really big winners, I am still playing with the scaling.

It is a self contained "ea", but I don’t really trade it that way (I can manually control it live). It's good for backtesting tho.

Charvo: I agree with you. I don't trade this way with the news, I only did the comparison for bobha

Jones247: I think that is due to the way of my scaling profits. Also, I wouldn't trust 2008 backtest results (well the early months anyway). There are probably missing data periods that ninjatrader doesn't tell me about.

If people want to talk about news, then from my limited testing I have found that not trading this system when there is news coming out for GBP between 9:00PM (NY, the candle I use for my box) and 3:00AM (start of London session) gives an advantage (only effects about 4-5 weeks from memory). Not trading JPY news during that timeframe drops the number of trades down to 18, but with a 94.44% win rate. Not trading USD news only effects 7 trades, but also helps. This is all for 2009.
  • #1,797
  • Aug 13, 2009 6:23pm Aug 13, 2009 6:23pm
Results for week GJ:

206 pips
102 pips - re entry

308 total
  • #1,798
  • Aug 13, 2009 6:54pm Aug 13, 2009 6:54pm
Just checking to see if this is right. The 1Box 4A and 4B indicators seem to painting off of the 00:00 bar of my Interbank FX Metatrader charts.

However the first 4H bar of the week ( which coincides with the period separator lines when I press Ctrl + Y ) is actually the 20:00 bar. Thus the indicator's are giving me a box high of 162.96 and a box low of 161.82 for this week. Is this correct?
  • #1,799
  • Aug 13, 2009 8:20pm Aug 13, 2009 8:20pm
To Nubchai. I crossed off the whole week.
  • #1,800
  • Aug 13, 2009 8:39pm Aug 13, 2009 8:39pm
Quoting wrenski
Looks like you have a nice winning approach to a good system!! What were your results (2) weeks ago?
Not every week is a winner!


GBPJPY: 2 trades

1st lot: +117 pips
2nd lot: 0 pips

1st lot: -117 pips
2nd lot: -117 pips


EURJPY: 2 trades

1st lot: -108 pips
2nd lot: -108 pips

1st lot: +108 pips
2nd lot: 0 pips


AUDJPY: 2 trades

1st lot: +81 pips
2nd lot: 0 pips

1st lot: -81 pips
2nd lot: -81 pips


CHFJPY: 2 trades

1st lot: -80 pips
2nd lot: - 80 pips

1st lot: +80 pips
2nd lot: 0 pips
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