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4H Box Breakout

  • #2,661
  • Aug 27, 2009 7:39am Aug 27, 2009 7:39am
shilko
use the system for entries
the exits per the system are simply maths...they are not nec realistic!
check the s/r
use ur own exits based on what u see and what makes sense
use an ea and u will have well...avg losses and profits
use ur knowledge of s/r and u will bank profits
  • #2,662
  • Aug 27, 2009 7:48am Aug 27, 2009 7:48am
Quoting danno96
Hi All,

I've complete my back testing results back to 2002. Thank Ace's for this simple and stress free strategy. I try to keep it as simple as possible based on ACE's original approach with minor variations to meet my own trading needs.

Keep it simple, believe in the system, stick to the plan and you'll be rewarded.

Attached is my backtesting results
Nice job as always Danno! Your extensive backtesting data add a lot of persuasion to your suggested changes.

One question regarding your variations on the original rules: Rule #4 mentions not trading if the range is over 200 pips. Are you referring to the high and low of the candle itself, or including the buffer as well?
Greetings from Guanajuato, Mexico
  • #2,663
  • Aug 27, 2009 7:55am Aug 27, 2009 7:55am
Quoting begbrook
shilko
use the system for entries
the exits per the system are simply maths...they are not nec realistic!
check the s/r
use ur own exits based on what u see and what makes sense
use an ea and u will have well...avg losses and profits
use ur knowledge of s/r and u will bank profits

Begbrook, thanks

However I follow Ace on this one. S/R method I use at another account.
I do not like to mess things and want to see statistics with pure methods.
I am just making minor changes on trade management level but they are small and I also trade according to original rules.
  • #2,664
  • Aug 27, 2009 7:56am Aug 27, 2009 7:56am
Danno,

how is this possible?
4) Do not trade when range is > than 200, SL will be > than 2%


Why it should be 2%. Probably it is relkated to the broker you are with?
I can have 1$ risk with any number of pips per box.
I also noticed that when box is 200 pips or more it says that volatility is very high and we have had a number of TP3 trades this year with boxes of 200 and even more.
  • #2,665
  • Aug 27, 2009 8:03am Aug 27, 2009 8:03am
Quoting yen44x
Nice job as always Danno! Your extensive backtesting data add a lot of persuasion to your suggested changes.

One question regarding your variations on the original rules: Rule #4 mentions not trading if the range is over 200 pips. Are you referring to the high and low of the candle itself, or including the buffer as well?


Box range including the buffer as well.
  • #2,666
  • Aug 27, 2009 8:06am Aug 27, 2009 8:06am
Quoting danno96
Box range including the buffer as well.
Thanks Danno. That means the maximum 4-hour movement would be 160 pips then if you're adding a 20-pip buffer on both sides. That doesn't seem like much for such a volatile pair, but your research is compelling.

Just to be sure, your backtesting included the rule variation? That is, there were no trades listed if the box range was +200 pips for that week?
Greetings from Guanajuato, Mexico
  • #2,667
  • Aug 27, 2009 8:16am Aug 27, 2009 8:16am
Quoting shiko
Danno,

how is this possible?
4) Do not trade when range is > than 200, SL will be > than 2%


Why it should be 2%. Probably it is relkated to the broker you are with?
I can have 1$ risk with any number of pips per box.
I also noticed that when box is 200 pips or more it says that volatility is very high and we have had a number of TP3 trades this year with boxes of 200 and even more.
Shiko,

Normally the average range is about 130 pips, but sometime the range can be quite large for example week starting 17/03/2008 the range is 521 pips which SL - why risk the trade with such a large range. I trade with a standard account with min $1/pip so would not be able to adjust the lot size to maintain the 1-2% risk per trade.

  • #2,668
  • Aug 27, 2009 8:22am Aug 27, 2009 8:22am
Quoting yen44x
Thanks Danno. That means the maximum 4-hour movement would be 160 pips then if you're adding a 20-pip buffer on both sides. That doesn't seem like much for such a volatile pair, but your research is compelling.

Just to be sure, your backtesting included the rule variation? That is, there were no trades listed if the box range was +200 pips for that week?

The results excluded week with +200 pips range.
  • #2,669
  • Aug 27, 2009 8:24am Aug 27, 2009 8:24am
Quoting danno96
Shiko,

Normally the average range is about 130 pips, but sometime the range can be quite large for example week starting 17/03/2008 the range is 521 pips which SL - why risk the trade with such a large range. I trade with a standard account with min $1/pip so would not be able to adjust the lot size to maintain the 1-2% risk per trade.


I would pass 500 pips box myself. but 200 pips looks fine
with Oanda we can set any size we want. it is a really great feature, however, EA will not work here.
  • #2,670
  • Aug 27, 2009 8:29am Aug 27, 2009 8:29am
Quoting yen44x
Thanks Danno. That means the maximum 4-hour movement would be 160 pips then if you're adding a 20-pip buffer on both sides. That doesn't seem like much for such a volatile pair, but your research is compelling.

Just to be sure, your backtesting included the rule variation? That is, there were no trades listed if the box range was +200 pips for that week?

I think overall volatility should be included into our decision to pass or to get in. If overall volatility is high and 200 pips for a box/ candle is regular so we enter, if general volatility is not that high and we suddenly have 200 pips box we pass. what's your opinion?
  • #2,671
  • Aug 27, 2009 8:57am Aug 27, 2009 8:57am
I'm fine with having big boxes. However, I lower the TPs to 150 pips maximum. SL would be 75 + 20(the buffer). This way I am still in the trade with less exposure. I don't think anyone here would set there TPs as high as 300-500 pips. But I may be mistaken. That just seems a little greedy to me.
  • #2,672
  • Aug 27, 2009 9:15am Aug 27, 2009 9:15am
Quoting saltydoo
I'm fine with having big boxes. However, I lower the TPs to 150 pips maximum. SL would be 75 + 20(the buffer). This way I am still in the trade with less exposure. I don't think anyone here would set there TPs as high as 300-500 pips. But I may be mistaken. That just seems a little greedy to me.
I am actually aiming at TP3 or 3% as maximum. Moving stop loss twice. once to BE and after it hits TP2 moving to TP1 and letting it run to max TP3. it is about letting profits run to be profitable in the long run.
  • #2,673
  • Aug 27, 2009 9:21am Aug 27, 2009 9:21am
Ace,

I think that this Monday is a bank holiday in the UK, so will you trade as per normal or not???

cheers

Grant
  • #2,674
  • Aug 27, 2009 9:45am Aug 27, 2009 9:45am
Quoting danno96
Hi All,

I've complete my back testing results back to 2002. Thank Ace's for this simple and stress free strategy. I try to keep it as simple as possible based on ACE's original approach with minor variations to meet my own trading needs. Like what Mark Douglas say in his book "Trading in the Zone". You needs to believe in your trading edge and follow your plan. My backtesting proof to me that this system work and if I stick to the plan I'll be rewarded.

Keep it simple, believe in the system, stick to the plan and you'll be rewarded.

Attached...
Wow, great job there Danno!
Though is it only me being a bit unsettled by the results?
I mean sure, the volatility has been multiplied over the years, but the last 8 months of this year has only yielded a 25 pip/day, ok with the modification it's 42 pips/day, that's not bad at all actually.
Great modification!

I guess you could have this running in the background and then switch to active trading/scalping if you have the time, but only trades in the same direction of the week strategy, no hedging right.

Hmm, i think this is something i will try.
If you can make an additional 20 pips per day by scalping or intraday trading you'll have 62 pips/day or 1240 pips per month (this is only based on the first 8 months of this year, so don't get any ideas aight?)

Interesting concept i must say.
Great job guys!


Best wishes
Jesper
  • #2,675
  • Aug 27, 2009 9:51am Aug 27, 2009 9:51am
Quoting Jesper
Wow, great job there Danno!
Though is it only me being a bit unsettled by the results?
I mean sure, the volatility has been multiplied over the years, but the last 8 months of this year has only yielded a 25 pip/day, ok with the modification it's 42 pips/day, that's not bad at all actually.
Great modification!

I guess you could have this running in the background and then switch to active trading/scalping if you have the time, but only trades in the same direction of the week strategy, no hedging right.

Hmm, i think this is something i will...

Yeah, Danno96 has made a super JOB!
His modification is what I am trading as well.
If I make 30% annually by risking 1% per trade, I will be extremely happy!
I am really fed up of scalping although I can do it pretty well.
This is the strategy I want to work with for years to come.
  • #2,676
  • Aug 27, 2009 10:27am Aug 27, 2009 10:27am
Great Job back testing those results Danno,

I was just wondering, you did not use if price > 75% 1XTP then move stop to 50% of Box..........In your prior backtesting, you implemented that strategy as well.....Did you not include it because it would involve watching the candles more closely and it would be more time consuming? (AS far as trading it I mean)
Keeping Life Simple
  • #2,677
  • Aug 27, 2009 10:33am Aug 27, 2009 10:33am
Quoting shiko
Yeah, Danno96 has made a super JOB!
His modification is what I am trading as well.
If I make 30% annually by risking 1% per trade, I will be extremely happy!
I am really fed up of scalping although I can do it pretty well.
This is the strategy I want to work with for years to come.
Let put this in prespective, starting with $10,000 account risking only 1% per trade projected using my backtesting results from 01/01/2002 to 10/08/2009 missing 2004 due to bad data would have netted $182K compounded (trading $18/pip). However, risking 2% would had compounded to $2.5 Mil (trading $474/pip). This include having couple of bad years (2005 & 2002).

Not bad for 2 trades per week, less than an hour per day stress free trading. So KISS principle, stay with the plan and enjoy life.

  • #2,678
  • Aug 27, 2009 10:35am Aug 27, 2009 10:35am
Quoting shiko
Yeah, Danno96 has made a super JOB!
His modification is what I am trading as well.
If I make 30% annually by risking 1% per trade, I will be extremely happy!
I am really fed up of scalping although I can do it pretty well.
This is the strategy I want to work with for years to come.
shiko,whats ur scalp system?? maybe u wana pm me?
  • #2,679
  • Aug 27, 2009 10:42am Aug 27, 2009 10:42am
Quoting time1300
Great Job back testing those results Danno,

I was just wondering, you did not use if price > 75% 1XTP then move stop to 50% of Box..........In your prior backtesting, you implemented that strategy as well.....Did you not include it because it would involve watching the candles more closely and it would be more time consuming? (AS far as trading it I mean)
That was me just playing with different variations but thinking if I implement too much variations. It would require constant monitoring and time consuming. I''m not discipline, so the less time to watch the market trade the better. Save me from my emotions and jumping out of trade to early. Better stick with the original plan that I'm comfortable with.

  • #2,680
  • Aug 27, 2009 11:01am Aug 27, 2009 11:01am
Quoting danno96
Let put this in prespective, starting with $10,000 account risking only 1% per trade projected using my backtesting results from 01/01/2002 to 10/08/2009 missing 2004 due to bad data would have netted $182K compounded (trading $18/pip). However, risking 2% would had compounded to $2.5 Mil (trading $474/pip). This include having couple of bad years (2005 & 2002).

Not bad for 2 trades per week, less than an hour per day stress free trading. So KISS principle, stay with the plan and enjoy life.

i did a visual backtest n it seems that 50% stop loss in the box doesnt seem to b a good idea cos we might get stop out..
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