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Attachments: 0400-0700 GMT Breakout Strategy
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0400-0700 GMT Breakout Strategy

  • #2,001
  • Dec 17, 2009 2:24am Dec 17, 2009 2:24am
Quoting maq
grant

how long have you been trading this way?

i started when Tasciy first posted with the same system as him and have been modifying and tweaking it ever since.

i haven't changed anything since Sept 1st as it is working rather nicely.. BUT if someone posts a tweak that i like then i will change it no problem...

cheers

Grant
  • #2,002
  • Dec 17, 2009 3:20am Dec 17, 2009 3:20am
I have been playing around and here is a reasonable set file for the ea.


TP1=200.00000000
TP2=400.00000000
TP3=800.00000000
TP3_control=1
expiration_hours=18
place_order_at_hour=8
place_order_at_minute=45
use_previous_x_15_min_bars=10
buffer_for_entry=0.00000000
turn_on_spread=0
buffer_for_SL=0.00000000
max_range_SL=300.00000000
SL_factor=0.76400000
Lots=0.50000000
close_order=1
order_close_at_hour=23
order_close_at_minute=0
move_new_SL_when_TP1_BE=1
var_from_entry=0
var_from_TP1=0
str1=-=MA setting=-
MA_idicator=0
MA_TF=15
MA_period=85
OCO=1
magic_num=3149
str2=-=Week_No_setting=-
mon=1
tue=1
wed=1
thu=1
fri=1

Broker is gmt +2. Would be keen to hear other peoples backtest of this.

Thanks
  • #2,003
  • Edited 9:04am Dec 17, 2009 8:56am | Edited 9:04am
Quoting maq
flyer can you explain dt's can version fully in one post along with a chart please

thanks
Maq, here are charts on DubaiTrader's approach. Note that the settings for the Slope Direction lines are 25,3,0 and 50,3,0.

Note also that DT uses a 5 to 7 GMT box but the example that I am showing is the 4 to 6 box that Grant uses. Sorry but that is how I have it set up now.

EDIT: On the chart when i say that the Slope Direction line changed orientation in the box, I should have more correctly said that they change orientation within the trading zone timeframe and not the actual box. Also, the grey shaded boxes on he H1 timeframe are just the London session times so just ignore them. I forgot to delete it before taking the picture.


Attached Image (click to enlarge)
Click to Enlarge Name: DubaiTrader_M15_17_Dec.jpg Size: 126 KB


Attached Image (click to enlarge)
Click to Enlarge Name: DT_Box_H1.png Size: 102 KB
  • #2,004
  • Dec 17, 2009 9:12am Dec 17, 2009 9:12am
grant congrat's today a winner


Quoting grant18265
HI Maq,

have had a look back at myt results from my live account and apologies i got the figures wrong, i have no idea how i have got it wrong considering i only had to count and type the answer but i did, again apologies,

so Sept now reads...

10 trades, 4 wins, 3 losses, 3 BE, +17%...

i checked the Oct, Nov and Dec figures and i have at least got those correct...

again apologies for misleading people on here..

cheers

Grant
"The person who knows that enough is enough, will always have enough". .
  • #2,005
  • Dec 17, 2009 9:22am Dec 17, 2009 9:22am
sure was, lovely..... lol

+9% for Dec if you risk 1% per trade..

Merry xmas...lol

Grant
  • #2,006
  • Dec 17, 2009 12:46pm Dec 17, 2009 12:46pm
Grant would you kindly post a picture of your box for this trade

thx

N
  • #2,007
  • Edited 2:40pm Dec 17, 2009 12:52pm | Edited 2:40pm
EDIT..See Post 2019. It appears that I inadvertently crossed timezone changes on 01 Apr 2008 as London went into summer time. Post 2019 shows corrected data for Jan to mar 2008.


I backtested DubaiTrader's method of using the Slope Indicator as a filter against Grant's box time of 4 to 6 GMT from 01 Jan 2008 to 01 May 2008.

The results are:

trading days _______________86
NO Trade __________________28 32.6%
Trade not triggered __________5 5.8%
total trades ________________53 61.6%
Wins ______________________38 71.7%
Losses ____________________11 20.8%
BE _________________________4 7.5%


Note that i used 25 pips as the point to go to BE. Also 3 of the Wins hit the TP of 30 but then retraced to a BE (I left these 3 trades in the Win column, You can put them in the BE column if you so choose).

i used a TP of 30 pips as a WIN. Note also that approximately 50% of the WIN trades also coincided with a BB breakout. Where ever a BB Breakout and a Box breakout occurred the move ran for 105 pips or more on average.

An example of a BB breakout coupled with a Box breakout is attached.

I am not sure if most people are using a TP of 30 or actually allowing the move to run. I realize that some people use EA's and this is tough to program in an EA and that some people are not able to be at the screen to monitor their trades so the TP concept makes perfect sense. For those of you able to monitor your trades you may wish to have a look at the BB and Box Breakout combination.

In this case the conservative number of associated trades were 16 out of the 38. The 16 were worth 480 pips if using a 30 TP or as high as 1648 pips if using PA as the exit instead.

Overall the original concept gave 38 winners and 11 losers. If using a 30 pip SL and 1% risk then this would have generated approximately 27% over the 4 months backtested or 6.75% per month. Not that great but not bad.

Even just using half of the 1648 BB pips (or approx 840 additional pips on the run) then we could have added another 360 pips (840 - 480) for another 12% over the four months or an additional 3% per month. (Hopefully I did not make that sentence too confusing).

Attached Image (click to enlarge)
Click to Enlarge Name: BB_Breakout_example.png Size: 52 KB
  • #2,008
  • Dec 17, 2009 1:17pm Dec 17, 2009 1:17pm
nice one flyer 9% a month is very nice and 2% per week
thats 100% over the year
that does not include componding which comes to about 180% a year
6% per month componded is 100% year

was your backtesting manual of ea ?
and why Jan 2008 to 01 May 2008. are you going to consider doing it upto date ?

Quoting flyer415
I backtested DubaiTrader's method of using the Slope Indicator as a filter against Grant's box time of 4 to 6 GMT from 01 Jan 2008 to 01 May 2008.

.

Overall the original concept gave 38 winners and 11 losers. If using a 30 pip SL and 1% risk then this would have generated approximately 27% over the 3 months backtested or 9% per month. Not that great but not bad.


Attachment
"The person who knows that enough is enough, will always have enough". .
  • #2,009
  • Dec 17, 2009 1:20pm Dec 17, 2009 1:20pm
flyer

seems you know dt's set up very well infact better than himself suppose now we don't need to buy his ebook as we have a better version here for free

well done

Quoting flyer415
Maq, here are charts on DubaiTrader's approach. Note that the settings for the Slope Direction lines are 25,3,0 and 50,3,0.

Note also that DT uses a 5 to 7 GMT box but the example that I am showing is the 4 to 6 box that Grant uses. Sorry but that is how I have it set up now.

EDIT: On the chart when i say that the Slope Direction line changed orientation in the box, I should have more correctly said that they change orientation within the trading zone timeframe and not the actual box. Also, the...
"The person who knows that enough is enough, will always have enough". .
  • #2,010
  • Dec 17, 2009 1:32pm Dec 17, 2009 1:32pm
grant

you may consider 1.25 or 1.5% in the near future

Quoting grant18265
sure was, lovely..... lol

+9% for Dec if you risk 1% per trade..

Merry xmas...lol

Grant
"The person who knows that enough is enough, will always have enough". .
  • #2,011
  • Dec 17, 2009 1:33pm Dec 17, 2009 1:33pm
Quoting maq
nice one flyer 9% a month is very nice and 2% per week
thats 100% over the year
that does not include componding which comes to about 180% a year
6% per month componded is 100% year

was your backtesting manual of ea ?
and why Jan 2008 to 01 May 2008. are you going to consider doing it upto date ?
My backtesting was manual. I have logged everything into a spreadsheet. I started Jan 2008 with the intention of doing all of 2008 but then thought that post Sept 2008 is probably a ridiculous time to do a backtest.

I was going to do 2007 instead and 2009. If someone has an opinion on dates to backtest and why then i am open to suggestions.

Yes, 9% per month on a consistent basis does really add up. With a 1% risk and the results as shown it is a good little system that people have here. The BB info was more of an accidental discovery during the backtesting observation phase.
  • #2,012
  • Dec 17, 2009 1:42pm Dec 17, 2009 1:42pm
Quoting nickmead
Grant would you kindly post a picture of your box for this trade

thx

N

Hi Nick

Attahced is my chart pic as requested. the consolidation just after the order triggered never got to 25 pips hence i never moved to BE until the news caused the big down candle...

cheers

Grant
Attached Image (click to enlarge)
Click to Enlarge Name: 171209.gif Size: 21 KB
  • #2,013
  • Dec 17, 2009 1:45pm Dec 17, 2009 1:45pm
Quoting flyer415
My backtesting was manual. I have logged everything into a spreadsheet. I started Jan 2008 with the intention of doing all of 2008 but then thought that post Sept 2008 is probably a ridiculous time to do a backtest.

I was going to do 2007 instead and 2009. If someone has an opinion on dates to backtest and why then i am open to suggestions.

Yes, 9% per month on a consistent basis does really add up. With a 1% risk and the results as shown it is a good little system that people have here. The BB info was more of an accidental discovery during...

Flyer,

fantastic work, am starting to get confused as to what combination of filters are best to use... lol

cheers

Grant
  • #2,014
  • Dec 17, 2009 1:47pm Dec 17, 2009 1:47pm
Thanks for your contribution. On March 30 2008, London changed to BST, and the London opening hour changed from 08:00 GMT to 07:00 GMT for the summer. Did you just continue to use 04:00 GMT to 06:00 GMT for box hours without regard for the new opening hour? The difference being, that before the time change the box was completed 2 hours before London open while after the time change only one hour before, if box hours were left unchanged.
Vincit qui se vincit.
  • #2,015
  • Dec 17, 2009 2:06pm Dec 17, 2009 2:06pm
Quoting Pippopotamus
Thanks for your contribution. On March 30 2008, London changed to BST, and the London opening hour changed from 08:00 GMT to 07:00 GMT for the summer. Did you just continue to use 04:00 GMT to 06:00 GMT for box hours without regard for the new opening hour? The difference being, that before the time change the box was completed 2 hours before London open while after the time change only one hour before, if box hours were left unchanged.

PIPPO,

Great catch..I DID NOT CHANGE MY BOX TIMES>

or to put it another way....I SCREWED UP....

i used my current configuration for the winter months. So forgetting GMT for a second....

The current 5 to 7 GMT box is 1 hour prior to London Open while the current 4 to 6 GMT box is 2 hours before London Open. For backtesting purposes it is the relationship to london Open and not anything else that is important....That is correct..YES???

So put it another way I use 5 to 7 London time or I use 4 to 6 London time always...YES???

Also pippo, If I read you correctly then Jan, Feb and Mar are Ok but April is off for 1 hour. If so then i will delete the April data from the results.
  • #2,016
  • Edited 2:26pm Dec 17, 2009 2:10pm | Edited 2:26pm
April is off, and so is March 31. EDIT: I think using London time as the reference for box hours helps to clarify things. Also, I am not entirely sure that Frankfort open is of no consequence. At any rate, we trade on the basis of performance statistics, and I am sure the principal contributors to this thread have things pretty well figured.
Vincit qui se vincit.
  • #2,017
  • Dec 17, 2009 2:12pm Dec 17, 2009 2:12pm
Quoting flyer415
PIPPO,

Great catch..I DID NOT CHANGE MY BOX TIMES>

or to put it another way....I SCREWED UP....

i used my current configuration for the winter months. So forgetting GMT for a second....

The current 5 to 7 GMT box is 1 hour prior to London Open while the current 4 to 6 GMT box is 2 hours before London Open. For backtesting purposes it is the relationship to london Open and not anything else that is important....That is correct..YES???

So put it another way I use 5 to 7 London time or I use 4 to 6 London time always...YES???

Also pippo,...

Pippo, Flyer,

i use 4-6 am UK time year round regardless of gmt...

just if your comparing times etc

cheers

Grant
  • #2,018
  • Dec 17, 2009 2:23pm Dec 17, 2009 2:23pm
indeed nice work and thanks for your effort!

there a some things i would like to ask you about:

1. Could please attach that BB with "alert" ?
2. I know you mentioned that you used DT's method but did you also apply your new rule to only take the trade when the slopes are in the correct "order" i mean only short if 50 slope above 25 slope and vice versa for long ?
3. If not you maybe want to check the difference?


Since i'm more a fan of a positive risk/reward i will backtest with a tp 60 and sl30 and be after 25. additionally i will try to set my stop to +45 pips if priceaction is only 5 pips before hitting tp.
i think that g/u has the potential to hit the 60 pip tp because of its quite large daily range of about ~150 pips.
but i can only go back to mid oktober and as we all know nomvember was a very good month and results are not representative..but we'll see!


cheers!
  • #2,019
  • Dec 17, 2009 2:25pm Dec 17, 2009 2:25pm
Ok, so i went back and re-did the data on the 4 to 6 GMT box with the slope direction indicator. Previously I had used the same timeframe in Jan to Mar and April but in April the London time changed.

the results from Jan to mMarch on 4 to 6 GMT and using Slope direction are :




trading days _______________64
NO Trade __________________19 29.7%
Trade not triggered __________5 7.8%
total trades ________________40 62.5%
Wins ______________________26 65.0%
Losses ____________________10 25.0%
BE _________________________4 10.0%


Thank god for spreadsheets so it was easy to recalculate. This works out to be 16 net wins and if using a 1:1 with 30 SL and 1% risk then it is 16% over the three months or about 5.33%. Not great at all.

I believe that some people are using smaller SL in which case the % return would be different.
  • #2,020
  • Dec 17, 2009 2:32pm Dec 17, 2009 2:32pm
Quoting xeqter
indeed nice work and thanks for your effort!

there a some things i would like to ask you about:

1. Could please attach that BB with "alert" ?
2. I know you mentioned that you used DT's method but did you also apply your new rule to only take the trade when the slopes are in the correct "order" i mean only short if 50 slope above 25 slope and vice versa for long ?
3. If not you maybe want to check the difference?


Since i'm more a fan of a positive risk/reward i will backtest with a tp 60 and sl30 and be after 25. additionally i will try...
I have attached an excel file with Jan to Mar 30 2008 results. You can easily see that a 60 TP can be achieved.
Attached File(s)
File Type: xls jan to mar 2008 4 to 6 GMT results.xls   52 KB | 404 downloads
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