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0400-0700 GMT Breakout Strategy

  • #2,541
  • Feb 3, 2010 7:36am Feb 3, 2010 7:36am
Quoting Ezmai
Good one Matlobien but I was of the understanding that Sculls' method did not use additional indicators other then the time box; am I wrong??
You are right. it does not.

It just struggled around R2 and weekly pivot and then it dropped suddenly.
And I took my trade 15 min later than Scull did. So it was a brain call.

But I do use this strategy as my basis.

  • #2,542
  • Feb 3, 2010 7:55am Feb 3, 2010 7:55am
Quoting matlobien
You are right. it does not.

It just struggled around R2 and weekly pivot and then it dropped suddenly.
And I took my trade 15 min later than Scull did. So it was a brain call.

But I do use this strategy as my basis.

That's very interesting, Matlo, thanks for that. I see your second TP got hit, well done.

After the reversal at 930, did you wait for your first SL to get hit, or took profits soon after you spotted that behaviour around the Week pivot and Daily R2?

I guess if you didn't wait then that sounds like a good day profit, otherwise it's -10 (I guess if your box ends 7:29:59 then your SL is 40...). I'm asking because I'd like to hear about different traders view and use of price action.
  • #2,543
  • Feb 3, 2010 10:13am Feb 3, 2010 10:13am
has anyone tried the exit with a moving average or something like that, just seems from testing that a lot of pips can get left on the table when using fixed take profit. possibly a trailing stop could work, but what a pain to backtest something like that.
  • #2,544
  • Feb 3, 2010 10:19am Feb 3, 2010 10:19am
Grant,

when you did the backtest with all the different profit targets that you sent me. was that done with 85 EMA? and no trade when EMA is in any part of the yellow box?

I'm getting a number of different results usually you took a trade and on my chart, the ema is in the box, like a good amount in the box. just trying to figure out where the discrepancy could be. getting fair results on 105 tp with no break even. thinking maybe making 50 break even or something and testing that. just such a long time to test.

i'm beginning to wonder if this strategy will still work this year, last year they worked great because of volatility, wondering if we need more conservative settings.
  • #2,545
  • Feb 3, 2010 11:00am Feb 3, 2010 11:00am
Quoting robl45
Grant,

when you did the backtest with all the different profit targets that you sent me. was that done with 85 EMA? and no trade when EMA is in any part of the yellow box?

I'm getting a number of different results usually you took a trade and on my chart, the ema is in the box, like a good amount in the box. just trying to figure out where the discrepancy could be. getting fair results on 105 tp with no break even. thinking maybe making 50 break even or something and testing that. just such a long time to test.

i'm beginning to wonder if this...

hey Rob,

yes the ema was present but the no trade in box rule was not in force then, so your results will be different...

i'm happy at the moment with 75 pips as the TP, daily range average i have is 145, so its still around half despite it ranging over the last few weeks...

that being said i am keeping an eye on it and if it drops much lower then yes a TP change may be needed...

cheers

Grant
  • #2,546
  • Feb 3, 2010 11:18am Feb 3, 2010 11:18am
Quoting robl45
getting fair results on 105 tp with no break even. thinking maybe making 50 break even or something and testing that.
This agrees with my preliminary testing (just samples of a couple of weeks here and there over the past two years). I seem to be getting good results with a simple 100-110 pip TP1, with no breakeven, no trailing stop, leaving the stoploss on the other side of the box and closing at major support or end of day.

I believe grant wouldn't have taken this approach due to his clients wanting to minimise drawdown.

Quoting robl45
i'm beginning to wonder if this strategy will still work this year, last year they worked great because of volatility, wondering if we need more conservative settings.
I agree. The strategy is sound, but assuming the same parameters will work best year to year is not.

If you look at a relatively short (say, 5 to 8) period ATR for the daily or weekly GBPUSD chart, there was a huge spike in 2008 dwarfing everything for the last 20 years. However, throughout 2009 the ATR has been falling consistently (after the last mega-spike in 1998, weekly volatility slowly fell for 7 years!) This alone suggests a higher TP that worked in 2008/2009 backtesting mightn't work so well under current conditions.

It would take a huge amount of testing, but I suspect one might be able to dynamically determine profit targets based on the ATR over some prior period.

It would be interesting to have an indicator that worked out, for example, the daily ATR for the preceding week and displayed a TP target for the day based on that (or even dynamically modified the box and TP points - very handy for manual backtesting!)

Wish I had the time...

olpips
  • #2,547
  • Feb 3, 2010 11:25am Feb 3, 2010 11:25am
so what was the rule on the EMA back then, i'm guessing trade was good as long as ema wasn't going through price? obviously you found the new way to be better. backtests are okay, I will compile later.

Quoting grant18265
hey Rob,

yes the ema was present but the no trade in box rule was not in force then, so your results will be different...

i'm happy at the moment with 75 pips as the TP, daily range average i have is 145, so its still around half despite it ranging over the last few weeks...

that being said i am keeping an eye on it and if it drops much lower then yes a TP change may be needed...

cheers

Grant
  • #2,548
  • Feb 3, 2010 11:34am Feb 3, 2010 11:34am
the rule back then was:

ema in top third of box go short
ema in mid third set long and short just letting the first trigger
ema in bottom third go long

cheers

Grant
  • #2,549
  • Feb 3, 2010 11:38am Feb 3, 2010 11:38am
Re: the ATR mentioned in my previous post, I've attached a picture.

olpip
Attached Image (click to enlarge)
Click to Enlarge Name: GBPUSDATR6weekly.gif Size: 24 KB
  • #2,550
  • Feb 3, 2010 1:49pm Feb 3, 2010 1:49pm
Quoting olpip
Re: the ATR mentioned in my previous post, I've attached a picture.

olpip
Olpip

Here is the 14 day ATR that I posted earlier based upon the daily chart. The key thing as we know has been the fall since mid December and the lack of recovery since. Here hoping for bigger range days !!
Attached Image (click to enlarge)
Click to Enlarge Name: Z zzzzz gbp usd .png Size: 56 KB
  • #2,551
  • Feb 3, 2010 3:09pm Feb 3, 2010 3:09pm
Quoting Indyfx
Olpip

Here is the 14 day ATR that I posted earlier based upon the daily chart. The key thing as we know has been the fall since mid December and the lack of recovery since. Here hoping for bigger range days !!
Hi Indy

Thanks for that; I did see your earlier posting.

There's definitely been a fall since December. However, that looks like a short term blip in a longer term period of falling volatility following the mega-spike in the second half of 2008.

Comparing this to the big spike in 1998, there could conceivably be years of falling volatility (I hasten to add this isn't my prediction - my best guess is that things will heat up again this year as the finance world falls apart again).

My main point is that if volatility does stagnate or keep falling, it could be dangerous to keep using the TP levels that gave the best results in 2008 and 2009, waiting for the losses and breakevens to stop happening.

cheers
olpip
  • #2,552
  • Feb 3, 2010 6:07pm Feb 3, 2010 6:07pm
manual backtested results for 2009.

Grant method 105 tp, 15 sl, no breakeven. 85 ema only when line is out of yellow area or the slightest bit over one edge.

1215 pips for the year.

modified scull method, 4-6 like grant box. 35 tp 40sl
1010 pips for year.

same scull method using 85 ema like grant method above 720 pips but less drawdown.

not bad numbers but jan of last year was a beast netting almost half the pips for these things. I would guess we'd be lucky to see a 1/4 of these numbers this year.

should note that same scull method that did 1010 pips did 1135 pips when I just subtracted the pips out at the end instead of having to increase the take profits to make up for the spread, we missed one or two take profits because of that.

hopefully we get an ea soon that really works to test this stuff, its just so time consuming doing it this way.
  • #2,553
  • Feb 3, 2010 11:40pm Feb 3, 2010 11:40pm
Quoting sebasound
That's very interesting, Matlo, thanks for that. I see your second TP got hit, well done.

After the reversal at 930, did you wait for your first SL to get hit, or took profits soon after you spotted that behaviour around the Week pivot and Daily R2?

I guess if you didn't wait then that sounds like a good day profit, otherwise it's -10 (I guess if your box ends 7:29:59 then your SL is 40...). I'm asking because I'd like to hear about different traders view and use of price action.
I actually took the reverse trade after my SL got hit and only till I recovered my loss.I got out at 5980 but could have gone further as you can see.

I do this just on losing days to recover my loss. It is a different reverse breakout strategy that I have tweaked a bit.

The hit rate is only 65% at the moment, so I am still tweaking.

  • #2,554
  • Feb 3, 2010 11:50pm Feb 3, 2010 11:50pm
Quoting robl45
has anyone tried the exit with a moving average or something like that, just seems from testing that a lot of pips can get left on the table when using fixed take profit. possibly a trailing stop could work, but what a pain to backtest something like that.
Tried that one. Got burned.

Good for trending days, but in ranging markets it takes all your profits back.

For these breakout methods there are more ranging than trending days.

  • #2,555
  • Feb 4, 2010 1:26am Feb 4, 2010 1:26am
Another stop loss on grants method

tomorrow is another day
  • #2,556
  • Feb 4, 2010 1:37am Feb 4, 2010 1:37am
SL hit with Grant today

zaba1
  • #2,557
  • Feb 4, 2010 1:44am Feb 4, 2010 1:44am
Quoting wawarulez
Another stop loss on grants method

tomorrow is another day
Yip, I saw the divergence but was to late to get out.

But, that is trading .

  • #2,558
  • Feb 4, 2010 1:52am Feb 4, 2010 1:52am
Quoting zaba1
SL hit with Grant today

zaba1
and for me, but kind of shouldnt have entered with all the Data that is due out today historically a very sleepy Euro and UKopen before Int rate decisions.
  • #2,559
  • Feb 4, 2010 1:59am Feb 4, 2010 1:59am
Quoting Ezmai
Hey Scullmeister, nice trade although I am a tad confused. I too use IG and was unsuccessful by 5 pips. What price did you enter LONG on GBP? Is your buffer still at 7 pips? Thanks for your time.
I agree, sorry read the charts wrong.
Trade the price action, not the cash!!!
  • #2,560
  • Feb 4, 2010 2:08am Feb 4, 2010 2:08am
Quoting kiwiduvet
and for me, but kind of shouldnt have entered with all the Data that is due out today historically a very sleepy Euro and UKopen before Int rate decisions.
pivot & s/r lines working like a charm.
i know this does not work everytime, and i will miss some good trades, but ive seen this too often to ignore it.
took some profit at the support line which was ~ 13 pips, but did not touch the SL, which leads to -2 for today.


another day to come
Attached Image (click to enlarge)
Click to Enlarge Name: gu_ppzsupport.jpg Size: 131 KB
Never whishing, always trading.
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