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4H Box Breakout

  • #2,041
  • Aug 18, 2009 1:08pm Aug 18, 2009 1:08pm
Quoting Ronald Raygun
Holy grail characteristics:

 

  1. No drawdown
  2. 100% win rate
  3. 1 million brazillion bazillion % return on every trade.

Can't get all 3.

Absolutely true but:

 

  1. shouldn't everyone be striving for minimum drawdown (cut your losses and let the profits run). Fundamental trading goals.
  2. strive for the best win rate possible based on knowledge, observation, experience etc.
  3. achieve the highest % return by letting the profits run again based on knowledge, observation, experience etc.

I know you were trying to be sarcastic but in fact, you are accurate. Obviously no one will acheive all three of your points all the time but that is the basic trading goal of successful traders.

Dave R.

  • #2,042
  • Aug 18, 2009 1:20pm Aug 18, 2009 1:20pm
Quoting droland
Absolutely true but:
[list][*]shouldn't everyone be striving for minimum drawdown (cut your losses and let the profits run)....
It's been my experience that in order to increase one, you need to decrease something from somewhere else.

 

  1. Ultra conservative systems tend to have low drawdown, but at the expense of return. I have a system which averages about 10 trades a year. Hasn't lost yet.
  2. Scalping systems tend to have high win rates, but each trade has a low return comparatively speaking.
  3. High return tends to be joined with increased risk (higher risk => Higher return) which means your drawdown and win rate suffer.

This is merely a delicate balancing act as I see it.

  • #2,043
  • Aug 18, 2009 1:29pm Aug 18, 2009 1:29pm
Quoting Ronald Raygun
It's been my experience that in order to increase one, you need to decrease something from somewhere else.

 

  1. Ultra conservative systems tend to have low drawdown, but at the expense of return. I have a system which averages about 10 trades a year. Hasn't lost yet.
  2. Scalping systems tend to have high win rates, but each trade has a low return comparatively speaking.
  3. High return tends to be joined with increased risk (higher risk => Higher return) which means your drawdown and win rate suffer.

This is merely a delicate balancing...

Absolutely right. Delicate balancing act based on as much experience you can cram in.

dr
  • #2,044
  • Aug 18, 2009 1:31pm Aug 18, 2009 1:31pm
OOPs. Set B/E too high. Just got killed.
But GBP/ USD still running.
  • #2,045
  • Aug 18, 2009 1:37pm Aug 18, 2009 1:37pm
G/U at B/E , let's see can it run.
I am back testing G/U results since the start of May 2009 right now. so far results are not bad at all. With proper money management. Not as spectacular as G/J but pretty good.
Profit
  • #2,046
  • Aug 18, 2009 1:42pm Aug 18, 2009 1:42pm
so, I guess this strategy is done for this week. Only if G/U will run , I will follow. so far. 0.8% up. Not so bad for start especially taking partly profits and without a big move.
I use different numbers for G/U. it is not as volatile.
Partly profit taking is 30-40 pips then B/E
  • #2,047
  • Aug 18, 2009 2:03pm Aug 18, 2009 2:03pm
Just so that I am consistent in what my basic trading plan would have been, when my Long got SL's at the lower box boundary, if I was awake or if I had an EA in place, I would have been placing a new Long Pending order 25 or so pips above my SL exit. It turned almost immediately but if it had continued down to further before it reversed I would have moved my Long Pending Order down to the lower boundary of the box. In this case, the market would have been hit my pending order about 25 pips above the bottom of the box and I would be recapturing most of what I lost.

Still need an EA to backtest this concept however.

I didn't know this before but someone pointed out another trader that does something similar - Jacko's House of Pleasure and Pain. It worth a read.

http://www.forexfactory.com/showthre...t=27286&page=1

Dave R.
  • #2,048
  • Aug 18, 2009 2:11pm Aug 18, 2009 2:11pm
Quoting droland
Just so that I am consistent in what my basic trading plan would have been, when my Long got SL's at the lower box boundary, if I was awake or if I had an EA in place, I would have been placing a new Long Pending order 25 or so pips above my SL exit....
Been working on that. I can get it to work (mostly) during a backtest. The hard part is making it recoverable.
  • #2,049
  • Aug 18, 2009 2:25pm Aug 18, 2009 2:25pm
Quoting Ronald Raygun
I modified the EA to not take trades while the EA is still determining the range.

Problem B can be solved by expanding your buffer. Let's face it, in live trading, the price may be outside the box on the first tick of the 5th bar, then jump inside the next tick, then jump back outside the following tick, only to go to your stoploss.
I've been running your most recent version of EA since the beginning of the week. The EA opened positions without SL & TP, however. What should I do?

I set the Inputs parameters as follows:

UseStopLoss: true
UseFixedStopLoss: false
StopLoss: 100
UseStopLossMultiplier: true
StopLossMultiplier: 1.0
UseTakeProfit: true
UseFisedTakeProfit: false
FixedTakeProfit: 60
UseTakeprofitMultiplier: true
TakeProfitMultiplier: 4.0

  • #2,050
  • Aug 18, 2009 2:59pm Aug 18, 2009 2:59pm
Quoting shiko
This sytem is actually a lot like 25-50 EMAs system which also was on this forum. But it is a way better one. Less false signals.
I am trading live but small.
I made only 1 modification and will follow all other rules.
My modifications are very minor as well. Not much is needed because as you noted it's a great system right "out of the box".
Greetings from Guanajuato, Mexico
  • #2,051
  • Aug 18, 2009 3:02pm Aug 18, 2009 3:02pm
I have back tested GBP/ JPY with similar rules but because the pair is less volatile and its box is smaller I used smaller stop losses and smaller take 50% first profit of 30-40 pips and then B/E.
Also, TP-1,2,3 all different from G?J due to lower volatility.
Otherwise same rules.

Net: 2230 pips.
Assuming average box/ stop loss of 100 pips and risking 1% per trade. It is about 11% in 3 months and a half. add to this GBP/JPY and it is cool 24-25% in such a short period with very low risk.
  • #2,052
  • Aug 18, 2009 3:03pm Aug 18, 2009 3:03pm
Quoting yen44x
My modifications are very minor as well. Not much is needed because as you noted it's a great system right "out of the box".
It is not system that requires improvements It is traders
  • #2,053
  • Aug 18, 2009 3:06pm Aug 18, 2009 3:06pm
G/U is 8 pips above B/E stop loss. seems it is not going run at least from here. But we got some pips anyway...
this is why I take 50% profit early. safer way. Not every signal gives a huge profit but almost every signal gives 30-50 pips.
  • #2,054
  • Aug 18, 2009 3:12pm Aug 18, 2009 3:12pm
Quoting michaelhryu
I've been running your most recent version of EA since the beginning of the week. The EA opened positions without SL & TP, however. What should I do?

I set the Inputs parameters as follows:

UseStopLoss: true
UseFixedStopLoss: false
StopLoss: 100
UseStopLossMultiplier: true
StopLossMultiplier: 1.0
UseTakeProfit: true
UseFisedTakeProfit: false
FixedTakeProfit: 60
UseTakeprofitMultiplier: true
TakeProfitMultiplier: 4.0

that was a genuine bug in the system which only affected the sell side.

Here is the fix.
Attached File(s)
File Type: mq4 4H Weekly Box Breakout.mq4   17 KB | 741 downloads
  • #2,055
  • Edited 3:36pm Aug 18, 2009 3:15pm | Edited 3:36pm
Quoting Jimbop
Be wary of getting to far off on a tangent and taking this thread to the Graveyard with the thousand of others that start out profitable and simple with naked charts and end up looking like I puked Tequilla and Speghetti-os
Now there's a mental image that makes me feel warm and fuzzy.
Greetings from Guanajuato, Mexico
  • #2,056
  • Edited 10:50pm Aug 18, 2009 4:05pm | Edited 10:50pm
Quoting droland
Just so that I am consistent in what my basic trading plan would have been, when my Long got SL's at the lower box boundary, if I was awake or if I had an EA in place, I would have been placing a new Long Pending order 25 or so pips above my SL exit. It turned almost immediately but if it had continued down to further before it reversed I would have moved my Long Pending Order down to the lower boundary of the box. In this case, the market would have been hit my pending order about 25 pips above the bottom of the box and I would be recapturing most...
After I got stopped out I checked both the 4H and 1H charts. The price had retraced and it looked like the long trend was going to reestablish itself. I place a market order at 155.63 and closed at 156.62 for 101 pips. I was hoping momentum would carry us up into the TP levels but it didn't.

Short: +102
Long: -147
Long Reentry + 101

+56

As for placing new pending hedge orders I'm thinking about it.

Sandy
  • #2,057
  • Aug 18, 2009 4:34pm Aug 18, 2009 4:34pm
Quoting Ronald Raygun
that was a genuine bug in the system which only affected the sell side.

Here is the fix.
Thank you very much for your quick FIX! I am much impressed by your promptness!!

I attached your EA on several charts to check it out. The EA within a minute or so went "Short" on Euro at 1.4133, with correct SL and TP this time. However, the entry is supposed to be made only when the price penetrates thru the 4H box defined at the beginning of the week according to the rule? Correct me if I am wrong! The price is simply hit the entry point while retracing from the recent low (moving up). FYI, I used default (MaxTradePerWeek: 10; MaxShortPerWeek: 8). Can you comment on my concern, please?
  • #2,058
  • Aug 18, 2009 4:52pm Aug 18, 2009 4:52pm
Quoting michaelhryu
Thank you very much for your quick FIX! I am much impressed by your promptness!!

I attached your EA on several charts to check it out. The EA within a minute or so went "Short" on Euro at 1.4133, with correct SL and TP this time. However, the entry is supposed to be made only when the price penetrates thru the 4H box defined at the beginning of the week according to the rule? Correct me if I am wrong! The price is simply hit the entry point while retracing from the recent low (moving up). FYI, I used default (MaxTradePerWeek: 10; MaxShortPerWeek:...

Were the lines painted in the correct places?

As long as there are trades remaining, the EA will trade signals whenever the price crosses from the inside to the outside of the box.
  • #2,059
  • Aug 18, 2009 5:54pm Aug 18, 2009 5:54pm
Quoting Ronald Raygun
that was a genuine bug in the system which only affected the sell side.

Here is the fix.
Ron. Thanks for your work on this. I have so many copies now I don't which is which. Could you maybe put version numbers on from now on.

Dave R.
  • #2,060
  • Aug 18, 2009 5:59pm Aug 18, 2009 5:59pm
Quoting Ronald Raygun
Were the lines painted in the correct places?

As long as there are trades remaining, the EA will trade signals whenever the price crosses from the inside to the outside of the box.
Yes, the lines were painted in the correct places.

I am using FXDD demo account. My Breakout Settings for the EA:

DayStart: 1
BarsFrom Week Start: 0 (21-01 GMT, or 0-4 FXDD)
BreakoutBuffer: 20 (per Ace's rule)
MaxTradesPerWeek: 10
MaxLongsPerWeek: 8
MaxShortsPerWeek: 8

High for the H4 box bar is 1.4194 and Low 1.4153 for Euro. Accordingly, the UpperEntry line is market at 1.4214 and LowewrEntry line 1.4133. As such, the EA went short at 1.4133.

However, it is not clear whether the price moved from the recent low of 1.4050 area to inside the box once and then crossed from the inside to the outside of the box.

Thank you for your attention!
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