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A Simple London Breakout

  • #361
  • Apr 22, 2010 5:15am Apr 22, 2010 5:15am
!!! BUGFIX for London BreakoutV4,V5,V6 !!!

Ok, while trying to play around with the various factors, i hit a bug that affects versions V4, V5, and V6 of the indicator...
(so, MY versions of it... )

However it will not show up with the default *Factors, so you're still safe using them with the default *Factors.

It starts showing up when EntryFactor and TPFactor differ by something different than 1.
For instance EntryFactor=0.3 and TPFactor=2.0 will give you wrong levels.
But 0.5 / 1.5 are ok.

The V6.1 below fixes this issue.
Sorry about that...

Sq.
Attached File(s)
File Type: mq4 London BreakoutV6.1.mq4   8 KB | 622 downloads
  • #362
  • Apr 22, 2010 5:45am Apr 22, 2010 5:45am
Quoting squalou
hi all, back on line...

other ideas came up during the night...
I was quite surprised to read NiceGuys post #342... it puts words to my overnight idea...

The question was: how could we fine-tune the levels if we want them different from the box size, however keeping the box as the basis?

Answer: add a LevelsResizeFactor input...

So i couldnt resist to produce yet another indy, V6, which has this new input.
Default is 1.0, which leaves everything exactly as before: nothing changes.

Now, if you set it to 0.7, then all levels will adjusted as...
Sound like a brilliant Idea....
.. whew....honestly.....I am not exactly sure what it means
Never been good in math and code... all I see is the pattern


Squalo, something important should not to be forgotten. I never place 2 stop on both side at the same time. If the box is too small, it's too risky. After London Open the movement pattern tends to gets way bigger than the box ... too many SL will got hit. I place my Stop order every 3-4 hour. One at atime.

btw just got 5 hits on GBPJPY, GBPUSD, EUROJPY, USDCHFand EUROUSD. Not counting the pips yet... earn me around 90 bucks or so already.

Why change something which already fantastic from the start?

But...I' ll give it a shot!
  • #363
  • Apr 22, 2010 6:07am Apr 22, 2010 6:07am
Quoting SteveHopwood
Cheers. I also had a look at the indi code and noticed a couple of =1's missing from mine.

Inserted Code
//Calculate the high and low
   bhighest = iHigh(symbol, PERIOD_M15, iHighest(symbol, PERIOD_M15,  MODE_HIGH, (StartShift - EndShift [color=Red]+ 1[/color]),  EndShift));
   blowest = iLow(symbol, PERIOD_M15, iLowest(symbol, PERIOD_M15,  MODE_LOW, (StartShift - EndShift [color=Red]+ 1[/color]),  EndShift));
This has made to figures even more accurate - not always absolutely correct but much nearer.
Yes, about +1 I wrote here http://www.forexfactory.com/showpost...&postcount=238

box of 12 bars but with shift - based on your original code:
bhighest = iHigh(symbol, PERIOD_M15, iHighest(symbol, PERIOD_M15, MODE_HIGH, StartShift - EndShift, EndShift+1));
blowest = iLow(symbol, PERIOD_M15, iLowest(symbol, PERIOD_M15, MODE_LOW, StartShift - EndShift, EndShift+1));

or box of 13 bars - mer65465 original strategy:
bhighest = iHigh(symbol, PERIOD_M15, iHighest(symbol, PERIOD_M15, MODE_HIGH, StartShift - EndShift +1, EndShift));
blowest = iLow(symbol, PERIOD_M15, iLowest(symbol, PERIOD_M15, MODE_LOW, StartShift - EndShift +1, EndShift));
Pavel
  • #364
  • Apr 22, 2010 6:10am Apr 22, 2010 6:10am
One question to the strategy - what to do with opened BUY STOP and SELL STOP trades when they were not filled till new box is formed?
Leave it open or close for example at London close?

Currently EA leaves this trades opened, so they can be open weeks...
Pavel
  • #365
  • Apr 22, 2010 6:55am Apr 22, 2010 6:55am
Quoting NiceGuy
Squalo, something important should not to be forgotten. I never place 2 stop on both side at the same time. If the box is too small, it's too risky. After London Open the movement pattern tends to gets way bigger than the box ... too many SL will got hit. I place my Stop order every 3-4 hour. One at atime.
...
Why change something which already fantastic from the start?
I can see several cases for wanting to use LevelsResizeFactor != 1.0:

- case 1: when the box gets red -- it's higher than 50 pips -- you might want to narrow the levels, because the strategy suggests that there is too much volat.
So you may want to bypass the "don't trade" rule, and set LevelsResizeFactor to 0.8 or 0.7 to narrow all levels and not have the TP too far away, hoping to still reach it.

- case 2: -- this one requires math skills for sure... --

the idea here is that i find the Reward:Risk ratio a bit too much against us:
with EntryFactor=0.3 / TPFactor==1.3 (the defaults), you end up with RR = 1 / 1.3;
i.e. when your TP is +10p, your SL is -13p (not counting spread).
Your SL is bigger than your TP.

If you want to make this RR a bit better, you would like to make your SL closer.
That's where the LevelsResizeFactor can be of use:
setting it to < 1.0 will make your SL line closer to the box midpoint, therefore reducing SL.
Now it will also require to adjust both the EntryFactor and TPFactor at the same time to keep them at required levels -- that's where the math comes into play...
or you can just play with the values until it draws something to your taste...

Try with the following settings and compare the lines with original settings, to give you an idea of what i'm talking about:

EntryFactor = 7 (yes, no commas here!)
TPFactor = 17
LevelsResizeFactor = 0.1
(meaning the two SL lines will be norrowed down to only 1/10th of the box size, almost to the midpoint)

You'll see the TP pips identical, but SL pips quite less.

It's just a new possiblity offered by the indicator, which still keeps the original behaviour as the default, so everyone can be happy with it.
  • #366
  • Apr 22, 2010 7:03am Apr 22, 2010 7:03am
Quoting tazmaan
Sangmane's ea is tracking identically with your trades merl with only the following exception.

For reentrys, it waits until price gets back into the box then pops back out for a trade to be taken, where your's just takes it as soon as price taps the initial entry again. Curious of whether results this way are better/worse. Something to check out I guess.

But otherwise, with a small tweak to the box end time, and final trade close time, its matching up perfectly. Just figured i'd let you know.
Finally, I have someone that use my EA and give feedback.

Tazman, you are right about my EA's reentry. I think if we are talking about breakout, it has to go inside the range before making a new trigger. Re-entry just because it taps the initial entry, make it a "bouncing" instead of "breaking out". Anyway, I'll recode the EA to see if we get difference result.
  • #367
  • Apr 22, 2010 7:37am Apr 22, 2010 7:37am
Quoting squalou
I can see several cases for wanting to use LevelsResizeFactor != 1.0:

- case 1: when the box gets red -- it's higher than 50 pips -- you might want to narrow the levels, because the strategy suggests that there is too much volat.
So you may want to bypass the "don't trade" rule, and set LevelsResizeFactor to 0.8 or 0.7 to narrow all levels and not have the TP too far away, hoping to still reach it.

- case 2: -- this one requires math skills for sure... --

the idea here is that i find the Reward:Risk ratio a bit too much against...

Hi Squalou...
I have enough trade for tonight. So decided to try your Latest indi version.

I dont have a clear idea with your math theory... but I really do like what I saw on my screen....

I am already happy with Mer's original Indi but now I am happier...

I like my TP closer..... so it hits faster.... More than once if it's possible.
You read my mind!!! Simply Fantastic!

btw.. after studying Mer's latest trade plan for tonight, I think the strategy sounds like "London Trapper" now... hmmm...Interesting.....
  • #368
  • Apr 22, 2010 7:52am Apr 22, 2010 7:52am
Quoting NiceGuy
Hi Squalou...
I have enough trade for tonight. So decided to try your Latest indi version.

I dont have a clear idea with your math theory... but I really do like what I saw on my screen....

I am already happy with Mer's original Indi but now I am happier...

I like my TP closer..... so it hits faster.... More than once if it's possible.
You read my mind!!! Simply Fantastic!
Glad to have convinced you!

So you like case 1... (even using it on blue box rather than just on red)
-> less TP but more often perhaps
...might give good results as well.

Time will tell.

Just need now to apply that to Steve's EA after coding the inputs into it.
(or Sangmane or Mer but we don't have the code for them ... ok just kidding )
I'm not going to do that now -- too busy!
  • #369
  • Apr 22, 2010 8:37am Apr 22, 2010 8:37am
Quoting sangmane
Finally, I have someone that use my EA and give feedback.

Tazman, you are right about my EA's reentry. I think if we are talking about breakout, it has to go inside the range before making a new trigger. Re-entry just because it taps the initial entry, make it a "bouncing" instead of "breaking out". Anyway, I'll recode the EA to see if we get difference result.
Sangmane,
I coded both and realize bouncing introduces too much risk in the long run when waiting for a true "breaking" in the right trend is the way to go (that was the point of my earlier posts). You might be willing to investigate in re-dimensioning the box after a bounce ... it shows promise in what I have to prevent re-entering false signals. This is close to the idea of adjusting the TP/SL around the median box size but I like to keep the orginal structure for the first entry as it is good, it is the re-entry that should be worked on ... mainly to recoup from a losing first signal. (my 2 cents).

Cheers,
  • #370
  • Edited 10:49am Apr 22, 2010 10:42am | Edited 10:49am
xmph,

I also found that one breakout per trade give slightly better PF.

Regarding time zone, currently (DST) Alpari UK clock is GMT+2. But because Alpari UK using CET (currently London Time+1) and Alpari adjust their clock to DST, I don't see the need to know the hour difference between Alpari Time zone with GMT. Alpari's clock is always one hour ahead of London Time, regardles DST status.
  • #371
  • Apr 22, 2010 11:53am Apr 22, 2010 11:53am
Quoting sangmane
Regarding time zone, currently (DST) Alpari UK clock is GMT+2. But because Alpari UK using CET (currently London Time+1) and Alpari adjust their clock to DST, I don't see the need to know the hour difference between Alpari Time zone with GMT. Alpari's clock is always one hour ahead of London Time, regardles DST status.
I know this is not the programming forum, but...

Wouldn't it be easier to just do the time conversion (Time Zone and DST) automatically in the EA/indicator?

The user specifies the box times and the "Session". For example, for this strategy, the user would specify:

Box Start Time = 05:00
Box End Time = 08:00
Session = EUR

These inputs would be the same for everyone. Then, programmatically convert the times based upon the broker TZ, the session TZ, and DST settings.
  • #372
  • Apr 22, 2010 1:24pm Apr 22, 2010 1:24pm
Ah coders.... why not use strictly TimeLocal? Its prevent from DST, GMT offset, question about I am from Russland, Arabia, US, UK, etc, etc... Yes, for system description must author use GMT.
  • #373
  • Apr 22, 2010 2:56pm Apr 22, 2010 2:56pm
Quoting sangmane
Finally, I have someone that use my EA and give feedback.

Tazman, you are right about my EA's reentry. I think if we are talking about breakout, it has to go inside the range before making a new trigger. Re-entry just because it taps the initial entry, make it a "bouncing" instead of "breaking out". Anyway, I'll recode the EA to see if we get difference result.
I've had it running for 2 days no trades yet
steve's has had some ....so not sure reason I have a 5 digit criminal
  • #374
  • Edited 4:10pm Apr 22, 2010 3:49pm | Edited 4:10pm
Quote
hi all, back on line...

other ideas came up during the night...
I was quite surprised to read NiceGuys post #342... it puts words to my...
sqaulou, I really do appreciate your contributions, but i think we need to slow it down a little. In the span of a week we went from version 1 to version 6!. If we keep at this pace we're all going to be in disarray of what indicator does what. This last version has a great concept, but the whole idea is to keep the entry points outside of major fib extensions and if we change the re-size factor, you'll have a rough time telling where these levels are. I have really loved all the changes so far, but I'm not really too keen on this one myself.

Quote
One question to the strategy - what to do with opened BUY STOP and SELL STOP trades when they were not filled till new box is formed?
Leave it open or close for example at London close?

Currently EA leaves this trades opened, so they can be open weeks...
First off, there should be only one order open at a time on the pair your trading. I haven't played with the EA at all but if is placing pending orders on both sides, the EA should delete the pending order on the side that was not triggered until a profit target is hit or a stop is hit, then the EA should reset and place new pending orders on both sides. Any open trades should preferably be closed, whether in profit or not, by the start of the new box.

Quote
the idea here is that i find the Reward:Risk ratio a bit too much against us:
with EntryFactor=0.3 / TPFactor==1.3 (the defaults), you end up with RR = 1 / 1.3;
i.e. when your TP is +10p, your SL is -13p (not counting spread).
Your SL is bigger than your TP.
But that is the whole concept behind adding in the martingale, because even though your loss was larger, you'll still end up in profit when the smaller Take Profit target hits.

Quote
You'll see the TP pips identical, but SL pips quite less.

It's just a new possiblity offered by the indicator, which still keeps the original behaviour as the default, so everyone can be happy with it.
And I guarantee you'll hit your stoploss a lot more often as well, which is kind of defeating the purpose, isn't it? But as a fair man, I will work on putting in in post #1 for those who would want to use that particular function along with Steve's updated EA.

Quote
Finally, I have someone that use my EA and give feedback.

Tazman, you are right about my EA's reentry. I think if we are talking about breakout, it has to go inside the range before making a new trigger. Re-entry just because it taps the initial entry, make it a "bouncing" instead of "breaking out". Anyway, I'll recode the EA to see if we get difference result.
You have to understand that we are dealing with fib lines here. If any of you have used fibs in your trading can testify to how many times price has hit a major fib line or extension right to the pip. That is why I consider it a re-entry when price retraces back to the entry even if it is by .001 of a pip, a touch is a touch. Sometimes price won't reach back to the boundaries of the box. A perfect example was on the Gbp/Usd this morning where we had a retrace back to the entry point right to the pip! If you took this you just added +30 more pips to your bank account. (see pic)
Attached Image (click to enlarge)
Click to Enlarge Name: gbpusd 4-7.jpg Size: 155 KB
  • #375
  • Apr 22, 2010 6:55pm Apr 22, 2010 6:55pm
Here are Thursday's results:

Eur/Usd

04:00 to 07:00

No Martingale

-31
+24 =
-7 pips

With Martingale Multiplier

-31
+48 (+24 x 2)
+17 pips

We'll start out fresh tonight with no multipliers on this set.

03:00 to 06:00

No Martingale

+20
-25
+20 =
+15 pips

With Martingale Multiplier

+20
-25
+40 (+20 x 2) =
+35 pips

We'll start out fresh tonight with no multipliers on this set.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: eurusd 4-7.jpg Size: 81 KB
Click to Enlarge Name: eurusd 3-6.jpg Size: 86 KB
  • #376
  • Edited 7:23pm Apr 22, 2010 7:01pm | Edited 7:23pm
Gbp/Usd

04:00 to 07:00

No Martingale

-39
-39
+30
+30 =
-18 pips

With Martingale Multiplier

-39
-78 (-39 x 2)
+300 (+30 x 5)
+30 =
+213 pips

We'll start out fresh tonight with no multipliers on this set.

03:00 to 06:00

No Martingale

+23
-31
+23
+23 =
+38 pips

With Martingale Multiplier

+23
-31
+46 (+23 x 2)
+23 =
+66 pips

We'll start out fresh tonight with no multipliers on this set.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: gbpusd 4-7.jpg Size: 90 KB
Click to Enlarge Name: gbpusd 3-6.jpg Size: 96 KB
  • #377
  • Apr 22, 2010 7:05pm Apr 22, 2010 7:05pm
Usd/Jpy

04:00 to 07:00

No Martingale

+16
+16
+16
+16 =
+64 pips

With Martingale Multiplier

N/A

We'll start out fresh tonight with no multipliers on this set.

03:00 to 06:00

No Martingale

+16
+16
+16
+16 =
+64 pips

With Martingale Multiplier

N/A

We'll start out fresh tonight with no multipliers on this set.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: usdjpy 4-7.jpg Size: 92 KB
Click to Enlarge Name: usdjpy 3-6.jpg Size: 93 KB
  • #378
  • Apr 22, 2010 7:13pm Apr 22, 2010 7:13pm
Eur/Jpy

04:00 to 07:00

No Martingale

+38
-49
+38
+38
-49
-49
+38 =
+5 pips

With Martingale Multiplier

+38
-49
+76 (+38 x 2)
+38
-49
-98 (-49 x 2)
+190 (+38 x 5) =
+146 pips

We'll start out fresh tonight with no multipliers on this set.

03:00 to 06:00

No Martingale

+31
-41
+31
+31
-41
-41
+31 =
+1 pips

With Martingale Multiplier

+31
-41
+62 (+31 x 2)
+31
-41
-82 (-41 x 2)
+155 (+31 x 5) =
+115 pips

We'll start out fresh tonight with no multipliers on this set.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: eurjpy 4-7.jpg Size: 95 KB
Click to Enlarge Name: eurjpy 3-6.jpg Size: 98 KB
  • #379
  • Edited 10:33pm Apr 22, 2010 7:21pm | Edited 10:33pm
Usd/Chf

04:00 to 07:00-

No Martingale

-25
+19 =
-6 pips

With Martingale Multiplier-Starting with a multiplier of 5

-125 (+25 x 5)
+247 (+19 x 13) =
+122 pips

We'll start out fresh tonight with no multipliers on this set.

03:00 to 06:00

No Martingale

-21
+17 =
-3 pips

With Martingale Multiplier- Starting with a multiplier of 13

-273 (-21 x 13)
+578 (+17 x 34) =
+305 pips

We'll start out fresh tonight with no multipliers on this set.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: usdchf 4-7.jpg Size: 84 KB
Click to Enlarge Name: usdchf 3-6.jpg Size: 86 KB
  • #380
  • Edited 9:22pm Apr 22, 2010 9:18pm | Edited 9:22pm
Quoting mer071898
.... right to the pip. ..... (see pic)
http://cdn.forexfactory.com/attachme...1&d=1271969216
(wonder if your pic will post again?)

Hi mer0, thanks again for your great idea's & thread.

Noticed in a sell EURUSD trade last night on an IBFX demo account that the ask price went past the TP line by 5 pips & showed that on the chart, but the trade wasnt closed. Normal spread for that pair is 2 pips. Thought WTF.
Opened little tick chart but spotted nothing. Hit F9 for a bigger tick view and just spotted a huge 8 pip spread going off the left of the chart but the following ticks spreads were returning to normal as the ask price came back up.

So spotted the crim manipulating or maybe its their "liquidy providers"/ market makers stop hunting other live accounts.

Interesting to see it just off the crucial spot. Buy end of trades seem the most vulnerable to spread changes. Thats close of a short or open of a long.

cheers scalpz
Target 2 : Stoploss in the green
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