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A Simple London Breakout

  • #861
  • May 29, 2010 4:30pm May 29, 2010 4:30pm
Hey Squalou,

It appears it has to do with the OCO maybe not functioning exactly right?
If you look at the attached series of losses, it appears the opposite side pending orders are not being reset after a loss?
Attached File(s)
File Type: csv LB.csv   1 KB | 636 downloads
  • #862
  • May 30, 2010 7:46am May 30, 2010 7:46am
Quoting squalou
I've been thinking about the martingale sequence settings...
What we observe with Mer's sequence (which i call "aggressive_fibbonacci"), is that it gives big boost when a win happens after a series of losses, BUT it is very dangerous due to its "aggressivity", and can blow your account in just 1 trade quite rapidly, because the factors are not adapted to the R:R we are using.

So.... the initial idea of a "soft" Martingale as i expect it to work is as follows:
- for simplicity sake, let's assume we have a fixed RR=TP/SL, and we are beginning...
Squalou,
You will realize that at some point, doing the math to recover every loosing strikes is actually more aggressive than Mer's original "aggressive_fibonnacci".

This is what I did/do and and mentioned earlier in the thread (see thereafter)

From my experience with a proper math approach to recover losses and make a win every time possible, the "death sequence" will hit harder the math than it does Mer's .... that is because Mer's sequence does not take into account what is lost (that is the box size), but simply the multiplier.

Sq, What do you think will be your lot size if you loose 8 consecutive strikes with box sizes 45 and that the next one is a box size 15 ? Indeed, this will have a big impact for you ... not on Mer's

Just a hint, if you want this to work in the long term, you will have to eventually spread the recovery over multiple boxes depending on the box size ... yes this does add a little more risk .... but it prevents trashing the account on rough swings and "box volatility" .... that is my results from backtesting since 2009 with a mathematically correct approach.

Cheers,

Sq, check this:
Quoting xmph
First of all, I have nothing against Martingale ... actually I like...
  • #863
  • May 30, 2010 10:25pm May 30, 2010 10:25pm
First off, I hope everyone is enjoying their Memorial day weekend with your family or friends. As this thread has progressed over the past month and a half, I have to thank everyone who has contributed, no matter how big or small, and hope the thread continues to thrive and develop. I know by now, with all the chart examples and results, that everyone should have a solid grasp of the concept of the strategy and it's fundamentals and I encourage all of you to not limit yourself to the basic strategy itself, but to try and improve upon what has been posted to make it better. I will, regrettably, not be posting any more results and charts as it is very time consuming and I am going to have to limit my time on this thread as I need to devote more time into my other project (yes, it's another martingale type strategy) designed for long term trading. I will stop in to answer questions on occasion, but if I'm not online and you need to ask a question, feel free to pm me as well. Hopefully, everyone can join me on the new thread once everything has been finalized.

Thanks again.
  • #864
  • May 30, 2010 11:14pm May 30, 2010 11:14pm
Quoting mer071898
[color=Blue]First off, I hope everyone is enjoying their Memorial day weekend with your family or friends. As this thread has progressed over the past month and a half, I have to thank everyone who has contributed, no matter how big or small, and hope the thread continues to thrive and develop. I know by now, with all the chart examples and results, that everyone should have a solid grasp of the concept of the strategy and it's fundamentals and I encourage all of you to not limit yourself to the basic...
Might I ask which one or is it top secret at this point?



EDIT: Oh, and thanks for putting in all the effort. Interesting concept and I hope SQ. and others can make it better pro-grammatically! I wish I could stay up all night..
We are our own best indicator.
  • #865
  • May 30, 2010 11:21pm May 30, 2010 11:21pm
No, not top secret, just something I stumbled on while revisiting some old daily strategies. I would rather wait until I've kinda fine tuned the settings a little more. I've always like trading strategies that use higher timeframes and this one will also allow us to take advantage of the swaps for each pair as well, I think you'll like it.
  • #866
  • May 31, 2010 4:59am May 31, 2010 4:59am
Mer,

Thanks for having starting this thread, and good luck for your new project.

We'll see how the strat will perform in the future, and try to fine-tune the settings and the mart factors.
I guess everyone will have his own settings that he likes best, probably different for each pair.

You guys are welcome posting your findings here.

Suggestions for improvements are also welcome of course.

Mer, drop us a line here when you are releasing your new project.

Sq.
  • #867
  • May 31, 2010 5:18am May 31, 2010 5:18am
Quoting xmph
Squalou,
You will realize that at some point, doing the math to recover every loosing strikes is actually more aggressive than Mer's original "aggressive_fibonnacci".

This is what I did/do and and mentioned earlier in the thread (see thereafter)

From my experience with...

Hi xmph,

Thanks for the "reminder" on your very interesting post.

Indeed the moving box size WILL hurt you badly one day when using hard-coded martingale sequence.
This is why i use a FIXED box size.
Thanks to the "MinExtentInPips" and "MaxExtentInPips" inputs i added: set them identical, and you have a fixed box size.
This way you have control over the amount of lots every day.
Also, the RR ratio is against us with Mer's setttings: first settings of 0.3/1.3: gets you RR=1.0/1.3=0.77 only; newer settings gives RR=1.618/1.8=0.89.
Still not very "sexy".
I use settings that gives me a RR=3/1, much better, and giving a much softer Mart sequence.
At the cost of a lower win/loss chance.
And the win/loss probability is also a big factor in the result of the Martingale, as it directly drives the number of consecutive losses you are facing, and therefore the Martingale factor you will reach.

RR=3 gives k(n) = (1.33)^n:
=> { 1, 1.3, 1.8, 2.4, 3.2, 4.2, 5.6, 7.5, 10, 13.3, ... }
RR=1 gives k(n) = 2^n: { 1, 2, 4, 8, 16, 32, 64, 128, 256, 512, ... }

So, after 8 losses i get a factor of 10 "only".
Mer's sequence is already topped at 4181...

We could add a "maxAutoMartFactor" input to prevent too large amounts.

Recouping losses over more than 1 trade would be interesting too.
Keeping the last mart factor even after a win could help achieving that.
But it raises the risk too.
And we need to have a good win/loss chance to avoid sequences with a loss-after-1win, which would make things even worth...

In the end, this is all about cooking the right recipe...

lotsToTrade = f (Win/loss prob , RR , Mart sequence, maxRisk);

Or something like that.

Sq
  • #868
  • May 31, 2010 7:15am May 31, 2010 7:15am
Quoting squalou
Hi xmph,

...I use settings that gives me a RR=3/1, much better, and giving a much softer Mart sequence.

Sq
Hi Squalou,

may I ask what settings U use?

O.
  • #869
  • May 31, 2010 11:23am May 31, 2010 11:23am
Quoting Olarion1975
Hi Squalou,

may I ask what settings U use?

O.
Here is what i use:

EntryFactor=0.5
TPFactor=5.1
MinExtentInPips=12
MaxExtentInPips=12

This gives me a fixed TP of 55 pips and SL=18p, everyday.

Having only 18p SL is quite narrow, though, leading to more loss-trades, and therefore make the Mart index raise more quickly.
That's why keeping a low Mart Factor is essential.

I get 35~40% win trades only, depending on the pairs, which is not very nice... but as long i stay above 35%, it is in profit in the end:
This also depends if i'm using the HalfClose option, and Trailing stop.

A filter to avoid entering in counter-trend (retracement to the box area) would probably help increase the win/loss ratio.

A trailing stop "after profit only" would also help -- the current trailing stop implementation kicks-in immediately, which gives bad results, choking trades too quickly.
It has even worth results with autoMart, making it not recoup all past consecutive losses, when a trades closes with very small profit due to the trailing stop (then the autoMart takes this as a win, and restarts at factor 1).

Ideas are welcome here!

Sq
  • #870
  • Edited 1:11am Jun 1, 2010 12:58am | Edited 1:11am
For those who are wanting to keep the 1:1 RR, you can combine the original settings with the new which will give you an earlier entry but your TP will still equal your stop. I was going to look into testing .3 for my entry with a TP of 1.618.

Understand though, it can be a double edged sword. Sure you can get in earlier but are susceptible to more losses because the Stoploss will be inherently shorter, but on the other hand, you have a better chance of hitting TPs because price doesn't have to go as far. Last nights Eur/Jpy was a perfect example. With the updated settings I was last posting charts for, we would still have 1 open trade, but combining the original settings with those settings we would have had two entries hitting target for +136 pips. As you can also see, the TP has dropped from +94 pips in pic 1 to +68 pips in pic 2, again because your entry point is now closer to your initial stoploss thus shortening your TP but still gets you a 1:1 RR. Remember, this could go the other way as well, so best to play around and test it out.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: eurjpy.jpg Size: 108 KB
Click to Enlarge Name: eurjpy 2.jpg Size: 113 KB
  • #871
  • Jun 1, 2010 9:33am Jun 1, 2010 9:33am
I hope everyone made some money with the big moves last night. I'm sure everyone is finally glad to see the Gbp/Chf (x 233) trade close out!
Attached Image (click to enlarge)
Click to Enlarge Name: gbpchf.jpg Size: 126 KB
  • #872
  • Jun 1, 2010 11:39am Jun 1, 2010 11:39am
Quoting squalou
Here is what i use:

EntryFactor=0.5
TPFactor=5.1
MinExtentInPips=12
MaxExtentInPips=12

This gives me a fixed TP of 55 pips and SL=18p, everyday.

Having only 18p SL is quite narrow, though, leading to more loss-trades, and therefore make the Mart index raise more quickly.
That's why keeping a low Mart Factor is essential.

I get 35~40% win trades only, depending on the pairs, which is not very nice... but as long i stay above 35%, it is in profit in the end:
This also depends if i'm using the HalfClose option, and Trailing stop.

A filter...
Hi squalou, new here. Firstly, i like to thank you for sharing the EA, i try it on backtest, but it didn't show up any data when test in, no trade at all. Is i need set something to run it? Please advise, thank you
  • #873
  • Jun 1, 2010 1:50pm Jun 1, 2010 1:50pm
Quoting special0nefx
Hi squalou, new here. Firstly, i like to thank you for sharing the EA, i try it on backtest, but it didn't show up any data when test in, no trade at all. Is i need set something to run it? Please advise, thank you

Please read post #610:
http://www.forexfactory.com/showpost...&postcount=610
sq
  • #874
  • Jun 2, 2010 2:13am Jun 2, 2010 2:13am
hello @ mer071898,

In you last post, on the gb/uchf chart you osted yesterday...i can see u use V7 but mine is different on my chart though i use v9.1 but the air says no trade so lease how do i adjust mine to have same result like yours?

secondly, the new EA adjusted by sauaolu, is not attaching to my chart each time i try ti insert it on the chart. lease help
The World As It Is Can Do With Your Positive Disposition
  • #875
  • Jun 2, 2010 3:52pm Jun 2, 2010 3:52pm
Cool ea thanks
  • #876
  • Jun 2, 2010 5:22pm Jun 2, 2010 5:22pm
Quote
In you last post, on the gb/uchf chart you osted yesterday...i can see u use V7 but mine is different on my chart though i use v9.1 but the air says no trade so lease how do i adjust mine to have same result like yours?

Remember to make sure your times are correct. If not, adjust your times so they match my chart. If so, check what your "MaxBoxSizeInPips" parameter is, mine is set to 90 on Gbp/Chf due to the high volatility and larger daily range. My EntryFactor is .8 and my TPFactor is 2.618, make sure those are correct also.
  • #877
  • Jun 2, 2010 5:35pm Jun 2, 2010 5:35pm
thanks mer071898, i'll apply those changes and see how it goes
The World As It Is Can Do With Your Positive Disposition
  • #878
  • Jun 4, 2010 8:34am Jun 4, 2010 8:34am
Big Moves on chart started just before the NFP tonight...
Is there anyone here can figure out this system for an NFP breakout?

  • #879
  • Jun 4, 2010 9:39am Jun 4, 2010 9:39am
I have an Idea for this system.

After studying the result that Mer's post in this thread, I could see that the Filter Range area is the most profitable area in this system. I think we are wasting too many green pips in the filter area.

So I why dont we decrease the Filter area and take the space from filter area and put it behind the Target Profit.

Please study this picture below.

Attached Image


My setting in this picture
Entry factor = 0.1, TP factor = 1.3

With the current setting, the trade above is a losing one but with the porposed setting we still have a winner one (win by 5 pips). So with this setup we simply turn a losing scenario into a winning one.

I havent test the EA with strategy tester. The EA provided by Squalou might come in handy to figure out the optimum TP factor to maximize the profit from this scenario.

Well this might be just another silly idea from me. But less scenario for losing trades always a good idea

  • #880
  • Edited 10:45pm Jun 4, 2010 8:49pm | Edited 10:45pm
can someone explain what is meant by Entry Factor and TP Factor ? how they relate to box hi/lo ?

also what are the best 5 pairs for this system and their Entry/TP Factors, box sizes

thanks
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