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0400-0700 GMT Breakout Strategy

  • #2,441
  • Jan 29, 2010 7:58am Jan 29, 2010 7:58am
Quoting grant18265
HI sebasound,

attached are my live results for Jan.

cheers

grant
Thanks Grant, I compared your results to mine and realized I made a few mistakes in the backtesting, specially with the move SL to BE rule. My results are sadly now the same as yours, minus spread, so it'd have been a -10pip month for me.

I wonder if I made similar mistakes when testing Scull's method. I think he is about -50 this month. Scull if you're around and have your Jan 2010 results with you, could you please send them when you have a minute? I'd like to compare them to mine as well to see where I got it wrong.

Thanks everyone, hopefully next month will be better!
  • #2,442
  • Jan 29, 2010 8:48am Jan 29, 2010 8:48am
is this an EA or an indicator?

Quoting grant18265
Rob

the backtest was done with an EA and then manually checked by me, so they are as good as i could get...

as for an EA, check out RBI and Ronald Raygun on the big dog thread as i think they have programmed box methods.

attached is the EA by RBI i used for the backtesting but please demo it first so you know it works ok as i have never used it for forward testing...

cheers

Grant
  • #2,443
  • Jan 29, 2010 8:57am Jan 29, 2010 8:57am
Quoting sebasound
Hi, been following this thread and 7-9 big dog, read the whole of this one and am a big fan of it. Thanks to Scullmeister and Grant for sharing their method despite recent abuse. Thanks to Indyfx and all the regulars here that help so much and inspire us newbies to trade fx.

I'd like to contribute with testing if that's ok. Attached is my backtest of January of both Grant's and Scullmeister's methods. The results in Capital Spreads charts are a bit more upbeat than Scull's and Grant's, particularly in the case of Scull's the SL40 version. Please,...
Hi Seb,

Just to recap here are my rules. Go to post # 2066 for more info on the comparison between Grant's system and combining it with the use of slope indicators

a) Grant's method using the 4.00am - 6.00am GMT box with the 85 EMA with his rules regarding whether it was a valid trade in relation to the position of the 85 EMA in relation to the box

b) I also use slope indicators using a 4.00am - 6.00am GMT box again with 200, 3, 0 and 100, 3, 0 where both have to be pointing in the same direction at the end of the box and you would trade in that direction

both applied to a 15 min chart

So you would look to take a trade if there is a valid set up from either a) or b)

This provides more trade opportunities and good results

I have looked for the optimum parameters which would produce the best return whilst not making that return too dependant upon a small number of winners. The result was very close to Grant's setting and are as follows:

Buffer 4 pips excluding spread

Stop 20 pips excluding spread

Move to breakeven after 19 pips excluding spread

Target 77 pips excluding spread

No trade after 08.30am GMT


The results for January are as follows:

Winners--------------1

Breakeven------------8 (one reached 56 pips 18 Jan and another reached 61 pips yesterday)

Losers-----------------3

ROI for JAN (including my spread which is 2 pips):

3.4 - 3 = RO1 of 0.4

I agree with Grant that if you have a system you do not want to change it every time the market does not perform as you would wish. So on this basis I am happy sticking with these parameters for the time being. The only thing that would make me change is if the ATR continued to stay at these levels but today was a big move and the ATR seems to be rising a little so hopefully we will get back to the daily range that we saw prior to 18th December
  • #2,444
  • Jan 29, 2010 9:04am Jan 29, 2010 9:04am
i have noticed from my readings that people say not to trade july and august and also mid december or all of december and mid way through january. if we appy that to grants results, we can see that last january, the results would have been better, july and august teh same, if we skipped dec, one stop loss avoided and this month if we began half way through, things would be better
  • #2,445
  • Jan 29, 2010 9:14am Jan 29, 2010 9:14am
so wouldn't it be better just going for 50 pips or something? you let 2 trades go back to BE?

Quoting Indyfx
Hi Seb,

Just to recap here are my rules. Go to post # 2066 for more info on the comparison between Grant's system and combining it with the use of slope indicators

a) Grant's method using the 4.00am - 6.00am GMT box with the 85 EMA with his rules regarding whether it was a valid trade in relation to the position of the 85 EMA in relation to the box

b) I also use slope indicators using a 4.00am - 6.00am GMT box again with 200, 3,...
  • #2,446
  • Jan 29, 2010 9:21am Jan 29, 2010 9:21am
perhaps,...In Scullmeister method document in post 1 the time monitored for H/L is stated as 5-7:15, with no trade taken until 7:30. In post 2139 the time as stated is 5-7:00. Could be important.
Vincit qui se vincit.
  • #2,447
  • Jan 29, 2010 9:29am Jan 29, 2010 9:29am
Quoting robl45
so wouldn't it be better just going for 50 pips or something? you let 2 trades go back to BE?
The problem with that is that it would reduce the returns as follows:

October the ROI falls by 3.6

November the ROI falls by 9.8

December the ROI falls by 2.8

January the ROI increases by 2.84

So over this 4 month period by reducing the target the return goes down by 13.36.

The problem is that you do not know whether the current range is here to stay, so for the momment I am happy with the current parameters which showed a very small profit in January. I want to use a mechanical system and the problem with tweeking it is that you can tweek it every day and then you do not have a system you are trading what you think the market will do. I hope that this is helpful which was my intention
  • #2,448
  • Jan 29, 2010 9:38am Jan 29, 2010 9:38am
Quoting robl45
is this an EA or an indicator?
an EA.

Grant
  • #2,449
  • Jan 29, 2010 9:41am Jan 29, 2010 9:41am
What are the odds that ea ends up one of the $97 commercial sites? I give 3 to 1 odds it is for sale on clickbank within 60 days lol.

Regards,
Jeff

Quoting grant18265
an EA.

Grant
  • #2,450
  • Jan 29, 2010 9:43am Jan 29, 2010 9:43am
Quoting robl45
i have noticed from my readings that people say not to trade july and august and also mid december or all of december and mid way through january. if we appy that to grants results, we can see that last january, the results would have been better, july and august teh same, if we skipped dec, one stop loss avoided and this month if we began half way through, things would be better
i know that Scull had 3 wins in Dec compared to my 1 loss, cos he traded further into the month than i did.

i would have had the same but took some time off, my wife thinks i'm glued to the pc too much as it is.... lol

Good weekend all

Grant
  • #2,451
  • Jan 29, 2010 10:40am Jan 29, 2010 10:40am
isn't that what the EA is for??

so the results of your backtests arent for everyday then? which other days did you skip? I thought most of dec just weren't tradable.
  • #2,452
  • Jan 29, 2010 11:09am Jan 29, 2010 11:09am
can i put my whole bank balance and borrow some more and take these odds

Quoting azjeff
What are the odds that ea ends up one of the $97 commercial sites? I give 3 to 1 odds it is for sale on clickbank within 60 days lol.

Regards,
Jeff
"The person who knows that enough is enough, will always have enough". .
  • #2,453
  • Jan 29, 2010 11:10am Jan 29, 2010 11:10am
Quoting robl45
isn't that what the EA is for??

so the results of your backtests arent for everyday then? which other days did you skip? I thought most of dec just weren't tradable.
Rob

i stopped trading for the year on the 14th Dec where as i think most traders stopped on the 18th...

the backtest ran from the first day of trading in 2009 (5th jan) to the end of august where my live account results take over...

as i'm in the UK i can be at my pc or pda to enter the orders so dont need an ea to do that for me...

cheers

Grant
  • #2,454
  • Jan 29, 2010 12:06pm Jan 29, 2010 12:06pm
Quoting Indyfx
Hi Seb,

a) Grant's method using the 4.00am - 6.00am GMT box with the 85 EMA with his rules regarding whether it was a valid trade in relation to the position of the 85 EMA in relation to the box

b) I also use slope indicators using a 4.00am - 6.00am GMT box again with 200, 3,...
HI IndyFx

Thanks for the recap. It sounds very good, a bit more SL room (which is good considering the buffer) and still very healthy RP Ratio.

Unfortunately I spent all day trying to sort out my issue with Mac being incompatible with MT4 and haven't found a solution (free PC simulator) yet. So for now I'll only be able to test the previous three weeks, and won't be able to run the Slope Indicator, only the 85EMA option... rubbish. Nevertheless I'll get going with January from the 11th on in the next days and keep updating that as we go. Hopefully I'll find a solution soon, there's always a solution!

I guess we shouldn't expect to have only winning months; both Scullmeister and Grant have been trading these methods succesfully for over a year, so that is reassuring. Other people have been trading this breakout for years in one way or another. I reckon for now we can just keep an eye on the ATR and see what it does in the next month without changing anything.

I've been testing other variations of this breakout both am and pm since mid-october, and they've all performed notably worse during these last weeks in jan. And not just cable, but also EU, UJ, and GE, specially in the am breakout. Oh well.

Thanks!
Seba
  • #2,455
  • Jan 29, 2010 2:32pm Jan 29, 2010 2:32pm
In fact the pm box has been performing much better than the am. It'd be worth testing Grant's and Indyfx variation on the pm box... just an idea. I'll do it (in my limited way, no luck yet) in the next days.
  • #2,456
  • Jan 29, 2010 5:46pm Jan 29, 2010 5:46pm
Quoting grant18265
Hi Rob

apologies for my slow response, my full time job is a pain in the ass sometimes....lol

correct set your times to 5 - 7 am on the 15 min chart, i use an 85 ema which is 1 colour, if its above the box sell, if its below the box buy, if its in the box at any stage then no trade...

Grant
Hi Grant, Thanks for this interesting system.I am a new member and it is my first visit to this thread.
Here is a querry:
In your doc, it is mentined that timing should be 4 to 6 GMT all year but here you said 5-7 GMT.So do we need to adjust timing according to day light savings ? or did I misunderstand your system?
Cheers
  • #2,457
  • Jan 29, 2010 5:55pm Jan 29, 2010 5:55pm
Grant,

for this EA you posted, can you tell me the settings you used? i'm on a +1 GMT broker and the trades are not coming out right, some numbers come out right in th back test, others are like from left field, plus it is taking trades when it shouldn't according tot he MA.
  • #2,458
  • Jan 29, 2010 8:56pm Jan 29, 2010 8:56pm
Quoting Ifee
Hi Grant, Thanks for this interesting system.I am a new member and it is my first visit to this thread.
Here is a querry:
In your doc, it is mentined that timing should be 4 to 6 GMT all year but here you said 5-7 GMT.So do we need to adjust timing according to day light savings ? or did I misunderstand your system?
Cheers

Hey Ifee,

welcome along.

the time used is 4-6 am UK time year round. at the moment that is the same as GMT.

the 5-7 quoted was in answer to another members question whose broker is gmt +1

cheers

Grant
  • #2,459
  • Jan 29, 2010 9:06pm Jan 29, 2010 9:06pm
Quoting robl45
Grant,

for this EA you posted, can you tell me the settings you used? i'm on a +1 GMT broker and the trades are not coming out right, some numbers come out right in th back test, others are like from left field, plus it is taking trades when it shouldn't according tot he MA.
Rob

i have no idea why your backtest is so different, thats why i manually checked each and every trade myself to make sure the results were correct.

i'd also put more weight onto the live forward test results from sept onwards.

the EA i posted has been updated by RBI several times since that version so if you have a look here:

http://www.forexfactory.com/showpost...postcount=2167

you will find the latest one (i think)

cheers

Grant
  • #2,460
  • Jan 29, 2010 10:35pm Jan 29, 2010 10:35pm
when going long, you add 2 pips on top ofthe buffer, that will cause some stops to be hit, do you just let them be hit ? also when going short, do you make the stop loss 13 pips to account for the 2 pip spread?
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