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Attachments: Lost in the Tunnel...
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Lost in the Tunnel...

  • #301
  • Jan 2, 2006 6:20am Jan 2, 2006 6:20am
Hi,
Quoting diallist
Great job Alan! Thanks for taking the time to be so thorough in your backtesting.
Thanks. I just like to know where my money is going after paying my tuition fee
Quoting diallist
Quoting firehorse
Divide 4838 by 3 to get the number of points per 'risk on trade' => 1612.6
Now as to the errors. They're mine, and I take full credit for them!
You lost me here. Why are you dividing by three?
I'm dividing by three to determine the equivalent number of pips I would get if I had been trading 1 lot or 'risk amount' or my '2% per trade'.

The Vegas method calls for splitting your 'trade' up into 3 and exiting each part separately.

If a 'trade' enters and exits for a gain of 10 points on all three parts, then in the profit calculations in the document it is counted as 30 points, which doesn't really reflect what will happen into my account. My account will reflect a gain of 10 points on what I risked on the trade, so for me, I need to divide the total points by three to get an idea of what I will get in my account.

I hope that is clear.

Best regards
Alan
  • #302
  • Edited Jan 3, 2006 8:48am Jan 2, 2006 7:12am | Edited Jan 3, 2006 8:48am
Hi,

It was just before bed before I posted my results so I missed taking out a variable I had set to always take 'short' trades regardless of weekly momentum.

After I removed this and ran the backtest again I get 2170.5 pips for the period 1/1/04 to 1/7/05 with a drawdown in the range 1800.

Note that this figure is still inaccurate because it uses the current weekly momentum calculation during Mon-Fri so it 'knows' the weekly momentum calculation before the week has ended, which you wouldn't do in real life.

Note that the 4hr 50 pip momentum is determined using the previous bar and is correct in that respect in what you will know in real life but doesn't help if the current 'bar' enters a trade and that bar's momentum closes below 50 pips.

I've updated spreadsheet (on sheet 2) detailing all the trades so that if anyone has the inclination, they can have a go at spotting where I could have made mistakes in the backtesting.

Best regards
Alan
Attached File(s)
File Type: zip EURUSD_Sell_Backtest(3).zip   15 KB | 520 downloads | Uploaded Jan 3, 2006 8:48am
  • #303
  • Jan 2, 2006 8:00am Jan 2, 2006 8:00am
Happy New Year folks!

There has been a lot of great discussion, tips, potions. etc.... on entering in respect to the V4 docs and tweaks!

I would like some feedback on exiting positions as called out by V4 ...please see passage below! (bear run)

Quote
Assuming the market starts to go down, we stay short until 1) at some point in time the 8 SMA changes slope from negative to positive, at which point we exit the entire 3 unit trade, 2) the market moves down, there is no slope change, and goes to the 144 or 233 fib number from the 55 SMA line, where 1 unit is taken off, 3) the market moves down to the next fib number [233 or 377], again with no slope change, and the 2nd unit is booked.

Vegas- 4HR Tunnel
Cut up further still-
Quote
1) at some point in time the 8 SMA changes slope from negative to positive, at which point we exit the entire 3 unit trade,
Vegas- 4HR Tunnel
I can see this as a sort of exit retreat. Does he mean slope change at the print of the new 4hr bar? and does this exit apply throughout the life of the trade? as hinted here?
Quote
3) the market moves down to the next fib number [233 or 377], again with no slope change, and the 2nd unit is booked.

Vegas- 4HR Tunnel
The way I read this Vegas would exit the position any time the slope prints against him regardless of profit level. Am I getting this?

Sounds simple enough....just wanted some affirmation!

Good day all
HJ
HeavyJ -"Posterboy for Spellchecker!" "Will work for pips!"
  • #304
  • Jan 2, 2006 8:19am Jan 2, 2006 8:19am
Quoting HeavyJ

The way I read this Vegas would exit the position any time the slope prints against him regardless of profit level. Am I getting this?
Yep, that's the Vegas way. However, toward the end of the document, under the Risk Models section, they list a possible alternative action to take upon slope reversal:

(We) may not take off entire position at slight change in slope of 8 SMA on the 4 hour chart. Most likely scenario is to take partial profit, with stop based on technicals for remaining position.


Even so, Vegas never quantifies a slope change. That is why I use a neutral line and filter the slope change either by looking for the bar to close beyond the neutral line, or for a certain number pips beyond the neutral line. (see my post #26 [or is it #13])

The reason I filter the slope change is that in real time, the price can dither the slope back and forth every few seconds for many minutes before it finally moves beyond it.

Personally, I rarely exit on a slope reversal. I prefer to use a trailing stop instead.

FYI, I currently trail a 50 pip stop once the trade has moved 30 pips into profit. But this is subject to change as I continue to refine my interpretation of this model.


Dial
sxaxlxvxaxtxixoxnxbxyxgxrxaxcxexdxoxtxoxrxgx
  • #305
  • Jan 2, 2006 9:01am Jan 2, 2006 9:01am
Quoting diallist
Personally, I rarely exit on a slope reversal. I prefer to use a trailing stop instead.

FYI, I currently trail a 50 pip stop once the trade has moved 30 pips into profit. But this is subject to change as I continue to refine my interpretation of this model.


Dial
Thanx Dial

This seems to be an improvement

HJ
HeavyJ -"Posterboy for Spellchecker!" "Will work for pips!"
  • #306
  • Jan 2, 2006 11:52am Jan 2, 2006 11:52am
I was just wondering if it is a good idea to look into trading different currency pairs throught this system. If we only trade the US currency pairs (USD/AUD, USD/CAD, EUR/USD), we might come to a point where US currency is in a trading range. At this point there is a chance that any pair involving US currency might also be in a trading range. On the other hand if someone is trading EUR/USD, AUD/JPY, USD/CAD or GBP/JPY, it might have a better outcome. Any ideas to why one should trade the original currency pairs as in Vegas 4 hr Tunnel? Thanks.
  • #307
  • Jan 2, 2006 7:24pm Jan 2, 2006 7:24pm
Refering to the 8/55 I completely eliminated the 55 off my charts. I simply use directional movement of 8 in compliance with weekly and daily momentum.

I have the same problem as firehorse though, I am having trouble achieving the same results as Vegas stated in the document.

Also, last we heard Vegas is writing a document on the updated version of the tunnel method as well as how he trades futures. Should be out soon.

Will Vegas ever come back?

BTW, I wish everyone a happy, profitable, and fun New Year!
  • #308
  • Jan 2, 2006 9:28pm Jan 2, 2006 9:28pm
Quoting keris2112
I think Volan is referring to the position sizing aspect of the 8/55 cross. When the 8 crosses the 55 and turns, take a full position. When the 8 turns without having crossed the 55, take 1/2 position.
That's exactly what I meant.

I believe (and correct me if I'm wrong) Dial calls it a primary signal as opposed to a secondary signal given when there is no cross.
  • #309
  • Jan 3, 2006 8:59am Jan 3, 2006 8:59am
Hi,

I've gone back and added the spreadsheet of eurusd trades that I forgot to attach!

http://www.forexfactory.com/forexfor...&postcount=306

Best regards
Alan
  • #310
  • Jan 6, 2006 9:23am Jan 6, 2006 9:23am
Any luck?

I have had nothing but stop outs recently and just losses with this. Considering to start making personal alterations this weekend.
  • #311
  • Jan 6, 2006 8:45pm Jan 6, 2006 8:45pm
Quoting xspowerx
Any luck?

I have had nothing but stop outs recently and just losses with this. Considering to start making personal alterations this weekend.
Here's a chart that looks OK in perfect, technicolor 20/20 hindsight.

I did not take this setup due to bonehead reasons. Got to admire this system tho!

If I had I would be knee deep in tacos right now! 710 pips on 3 primary and 3 secondary positions.

Dial....Jump in if I'm off somewhere!

HJ
Attached Image
HeavyJ -"Posterboy for Spellchecker!" "Will work for pips!"
  • #312
  • Jan 6, 2006 9:34pm Jan 6, 2006 9:34pm
hmmmmm but the 24 28 on the weekly are flat, which eliminated and type of trading, no?
  • #313
  • Jan 6, 2006 10:49pm Jan 6, 2006 10:49pm
Quoting xspowerx
hmmmmm but the 24 28 on the weekly are flat, which eliminated and type of trading, no?
I have been interested in the theories you and Volan have proffered on the use of the new vegas indicator but to be honest, I don't get it!

I'm not saying you don't get it. You may. But I am anxiously awaiting the new V-Daily doc for what I hope will be a more thorough explaination. In the mean time......

I was just wondering if the new indicators were maybe causing you to miss the forrest for the trees so to speak.

The reason I bring that up is because, clearly, this was a big payoff week for those who wait for a V4 setup and you had said that you weren't having any luck.

The stuff you need to catch this move is in this thread! I just reread it from Post #26 Dials got some great stuff on here and I Luv Isotonics commentary.

Once again! Please don't take me the wrong way.....I Watched as this opportunity passed me by. I did not follow the system because I was exploring another system......The Bonehead system! Whereby I saw these setups but had a preconcieved notion that the Dollar would swing strong.

It's the bone head way! but I enjoy your posts and comments and am trying to understand your thinking......

Anywho!!! Lets get after it this year!

HJ
Attached Image
HeavyJ -"Posterboy for Spellchecker!" "Will work for pips!"
  • #314
  • Jan 7, 2006 12:58am Jan 7, 2006 12:58am
Quoting HeavyJ
Here's a chart that looks OK in perfect, technicolor 20/20 hindsight.

I did not take this setup due to bonehead reasons. Got to admire this system tho!

If I had I would be knee deep in tacos right now! 710 pips on 3 primary and 3 secondary positions.

Dial....Jump in if I'm off somewhere!

HJ
HeavyJ, you are doin' great! Don't sweat the trades you missed. keep focused on what's coming up.

Did you happen to take the CAD trade leading into the NFP? I got 338 pips off of that one, and that's with two of my three units getting stopped out!

Dial
sxaxlxvxaxtxixoxnxbxyxgxrxaxcxexdxoxtxoxrxgx
  • #315
  • Jan 7, 2006 10:26am Jan 7, 2006 10:26am
Quoting HeavyJ
I have been interested in the theories you and Volan have proffered on the use of the new vegas indicator but to be honest, I don't get it!

I'm not saying you don't get it. You may. But I am anxiously awaiting the new V-Daily doc for what I hope will be a more thorough explaination. In the mean time......

I was just wondering if the new indicators were maybe causing you to miss the forrest for the trees so to speak.

The reason I bring that up is because, clearly, this was a big payoff week for those who wait for a V4 setup and you had said that you weren't having any luck.

The stuff you need to catch this move is in this thread! I just reread it from Post #26 Dials got some great stuff on here and I Luv Isotonics commentary.

Once again! Please don't take me the wrong way.....I Watched as this opportunity passed me by. I did not follow the system because I was exploring another system......The Bonehead system! Whereby I saw these setups but had a preconcieved notion that the Dollar would swing strong.

It's the bone head way! but I enjoy your posts and comments and am trying to understand your thinking......

Anywho!!! Lets get after it this year!

HJ
No harm taken! We just don't have a solid foundation on this new style that vegas has released to us.

It almost seems to easy if we were to take the calculation of momentum out. So IMO I believe that message in the email is an addition.

He should be releasing and updated version soon.
  • #316
  • Jan 7, 2006 12:07pm Jan 7, 2006 12:07pm
I too am waiting anxiously for vegas's new method. Until then I've decided not to use the 24/28 MAs in my trading. I am, however using the weekly momentum indicator given by iso AND I've modified the same indicator to show daily momentum on the same MA's (5 and 21).

Changing the time period on Iso's "tun_macd" indicator from 10080 to 1440 gives the daily 5/21. You can also use his indicator and show different MAs if you wish.

It's still a work in progress, but I'm working on a system where the weekly and daily momentums have to be going the same way before I take a trade. This, limits the number of trades significantly, but I think it will give good results (hopefull).
  • #317
  • Jan 7, 2006 1:10pm Jan 7, 2006 1:10pm
Quoting volan

It's still a work in progress, but I'm working on a system where the weekly and daily momentums have to be going the same way before I take a trade. This, limits the number of trades significantly, but I think it will give good results (hopefull).
Now that sounds Great! Keep us posted as to your progress.

Did you grab some pips in last weeks dollar bear fiesta?

HJ
HeavyJ -"Posterboy for Spellchecker!" "Will work for pips!"
  • #318
  • Jan 7, 2006 4:41pm Jan 7, 2006 4:41pm
Quoting firehorse
If a 'trade' enters and exits for a gain of 10 points on all three parts, then in the profit calculations in the document it is counted as 30 points, which doesn't really reflect what will happen into my account. My account will reflect a gain of 10 points on what I risked on the trade, so for me, I need to divide the total points by three to get an idea of what I will get in my account.

I hope that is clear.

Best regards
Alan
Great Point Alan! It does allow for a pretty methodical scaling for exits tho. Would you agree?

HJ
HeavyJ -"Posterboy for Spellchecker!" "Will work for pips!"
  • #319
  • Jan 7, 2006 4:57pm Jan 7, 2006 4:57pm
Quoting diallist
HeavyJ, you are doin' great! Don't sweat the trades you missed. keep focused on what's coming up.

Did you happen to take the CAD trade leading into the NFP? I got 338 pips off of that one, and that's with two of my three units getting stopped out!

Dial
Thanx for the encouragement Dial!

I spent this morning looking back at the Loonie last week. That momentum change snuck up on me! Killer catch tho! UDAMAN!

When I marked up a a 4hr chart on my Interbank system and applied what I've picked up from you, I only come up with a measley 220 pips. Also the trade never hits the D144 yet you imply that only 2 of your positions were stopped out. Did you Take profit at the D89 fib level ?

Maybe you could chart the anatomy of this trade for us ....with all that free time you have now that the PF is open. Honestly, I don't see how you have any time left at all. So these posts are very appreciated by me!

BTW- I saw the link for the new payment method for the PF so I hope to join this weekend. Paypal was holding me up.....on my end.

Anywho! Heres a chart on your momentum change catch on the loonie (Kudos)

I'll post my Hourly Next

HJ
Attached Image
HeavyJ -"Posterboy for Spellchecker!" "Will work for pips!"
  • #320
  • Jan 7, 2006 9:40pm Jan 7, 2006 9:40pm
Gentlemen after getting a good days nap I woke up to the labtop next to my bed and decided to do a little more research into this, analyzing the 4hr method final.

I redid all my charts considering I had many personal alterations. I have deleted most of them. Then I reread the file, very carefully. I can almost sing it now, for its about the 100th time.

This is what I have for a few members here that were confused.

Trade closed bars only! Thats the first thing, answered my own question.

Firehorse, this ones for you.

The reason you have trouble achieveing the same gains as Vegas states in his spreadsheet is because he uses the close of the 4hr 8 SMA and not the price of the bar! Its very confusing, and you must read it carefully to finally comprehend the pricing. It wasn't written in bold letters, and took me many times to finally catch it till now.

Having that said, gains can be much much different then stated.

Also, in regards to the email the vegas sent to one of the fellow memebers. In there, it stated respectively. I know we analyzed it well before but it finally clicks to me, that the 24/28 EMA's on the daily are there to eliminate the lag and the ones on the weekly are there just as an addition and confirmation to the trend. But the main point is that the daily gets rid of the 1 week lag.

I feel I am onto something here.

Hope everyone has a good weekend.

-S Power.
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