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A Simple London Breakout V.2

  • #461
  • Aug 24, 2010 2:09am Aug 24, 2010 2:09am
Usd/Cad

Breakout

T1= -26
T2= -26
T3= -26

Running Total= -78 pips

Re-entry

T1= -52 (-26 x 2)
T2= -52 (-26 x 2)
T3= -52 (-26 x 2)

Running Total= -234 pips

Re-entry

T1= +125 (+25 x 5)
T2= +230 (+46 x 5)
T3= Active-Target 3 locked in

Final Total= +121 pips

T3 trade still active- Target 3 is locked in with a multiplier of 5.

New BO trades will be placed with no multiplier.

Counter Trend

T1= -26
T2= -26
T3= -26

Final Total= -78 pips

New CT trades will be placed with a multiplier of 2.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: usdcad.jpg Size: 86 KB
Click to Enlarge Name: usdcad2.jpg Size: 82 KB
  • #462
  • Aug 24, 2010 2:13am Aug 24, 2010 2:13am
Eur/Jpy

Breakout

T1= +25
T2= +45
T3= +45

Final Total= +115 pips

New BO trades will be placed with no multiplier.

Counter Trend

T1= -25
T2= -25
T3= -25

Running Total= -75 pips

Re-entry

T1= -50
T2= -50
T3= -50

Final Total= -225 pips

New CT trades will be placed with a multiplier of 5.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: eurjpy.jpg Size: 89 KB
Click to Enlarge Name: eurjpy2.jpg Size: 85 KB
  • #463
  • Aug 24, 2010 2:19am Aug 24, 2010 2:19am
Gbp/Jpy

Breakout

 New BO trades will be placed with a multiplier of 2 from Friday.

T1= +118 (+59 x 2)
T2= +214 (+107 x 2)
T3= Active-Target 2 locked in

Final Total= +332 pips

T3 trade still active- Target 2 is locked in with a multiplier of 2.

New BO trades will be placed with no multiplier.

Counter Trend

T1= -59
T2= -59
T3= -59

Final Total= -177 pips

New CT trades will be placed with a multiplier of 2.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: gbpjpy.jpg Size: 85 KB
Click to Enlarge Name: gbpjpy2.jpg Size: 79 KB
  • #464
  • Edited 3:01pm Aug 24, 2010 7:01am | Edited 3:01pm
Hello

Here are my settings for 2 broker.

Settings for ForexPlace EUR / USD

Settings for ActivTrades ECN EUR / USD

I am in France.

Backtest ForexPlace in real account (2009/03/20 : 2010/08/23)
Attached Image (click to enlarge)
Click to Enlarge Name: StrategyTester.gif Size: 6 KB
Attached File(s)
File Type: zip 3 tier london eurusd ForexPlace.zip   < 1 KB | 589 downloads
File Type: zip 3 tier london eurusd Activtrade.zip   < 1 KB | 498 downloads
File Type: zip Backtest ForexPlace.zip   49 KB | 537 downloads
  • #465
  • Aug 24, 2010 12:02pm Aug 24, 2010 12:02pm
@Squalou:

Today, with v1.1, the EA went short @ the breakout of EURUSD.
But when reaching the TP1, SL2 and SL3 didn't move to BE (+1pip)
I am using an ECN-broker.

Is there something wrong in the EA in the ECN-code? (maybe only when going short with this EA like mentioned in post #298.
Or is it caused by the spread, like mentioned before in posts #319, #320 and #323?

Just bringin it to your attention. Sorry to bother if it is the "fault" of my broker

By the way. Good work guys!!
Incredible what amount of work you've done so far! I'm grateful for it.
  • #466
  • Aug 24, 2010 12:35pm Aug 24, 2010 12:35pm
Quoting JulesvH
@Squalou:

Today, with v1.1, the EA went short @ the breakout of EURUSD.
But when reaching the TP1, SL2 and SL3 didn't move to BE (+1pip)
I am using an ECN-broker.

Is there something wrong in the EA in the ECN-code? (maybe only when going short with this EA like mentioned in post #298.
Or is it caused by the spread, like mentioned before in posts #319, #320...
Dear JulesvH,
First, can you reproduce the potential bug in backtest (with today's data) ?
Second, can you reproduce the potential bug with the version I posted earlier and where I did modify the ECN code ( ... using the "temporary fix" as suggested may lead, as I explained, to an order being passed without SL being approved of) ?

I used the code I provided earlier (V2-modded by XmPh few post ago) and everything is OK, I was not able to reproduce the potential bug).

Finally, any error message in your terminal ?

thx for the feedbacks.
  • #467
  • Aug 24, 2010 5:52pm Aug 24, 2010 5:52pm
New setting EA 3 Tier London EUR/USD ForexPlace.

2009/03/20 to 2010/08/24
Attached Image(s) (click to enlarge)
Click to Enlarge Name: TesterGraph.gif Size: 12 KB
Click to Enlarge Name: ScreenHunter_02 Aug. 25 00.54.jpg Size: 125 KB
  • #468
  • Aug 24, 2010 8:00pm Aug 24, 2010 8:00pm
Quoting fungraphic
New setting EA 3 Tier London EUR/USD ForexPlace.

2009/03/20 to 2010/08/24

Hi
what's your setting?
  • #469
  • Aug 24, 2010 8:42pm Aug 24, 2010 8:42pm
Squalou,

I've been playing around with the MaxBoxSize and using low numbers and notice your code is centering the box on the Median. This approach I believe would cause more false breakouts.

If the price within the box is moving to a high pivot then moving the top of the box down will make the price break through the box top and a buy will take place. If the box extents is recoded so the High or Low whichever came last is the bottom or the top of the box and the box is extended from that point would be a better box position.

The box is depicting the high and low and a break through of these levels is considered significant enough to signal a buy or sell. The last occurrence of this is the most significant in drawing the box as it is the London Break out. An additional pip or two above the high would be wise for the top of the box as this high point can be revisited often as it is a line of resistance.

This can be seen happening five different times on the EURUSD on the August 23 with the MaxBoxSizeInPips set low enough that the high was above the box. The high pivot reached 1.2729 within the box and 1.2727, 1.2718, 1.2712, 1.2723, 1.2725 and 1.2722 occurred on retraces towards that resistance level. All bounced down close to that level but never reached or broke through the 1.2729 high.

In this example it never became a problem because the price never broke through the top of the box but then again it could become one even on higher box size settings.

Just an observation.

Johnny
  • #470
  • Aug 24, 2010 10:51pm Aug 24, 2010 10:51pm
Hi,

First of all, I would like to thank mer for starting this great thread and also

thank SQ who made it possible to do it with ea.

keep it short, I want to point out that i found some interesting

backtesting results with several pairs which showed gradual loss.

that was interesting because if I buy instead of sell or I sell instead of

buy ( that would be CT method ) it can turn up the result up side down.

I just changed TP/SL and without martingale I let it run for past five years

which kind of cover almost all kinds of market condition.

I attached one example which can turn into good result with CT EA.

I will go through more backtests with different settings and different pairs.

I appreciate all who contribute this thread to work things better and

I look forward to see SQ's CounterTrend EA on this one. that will be great

combination with BreakOut EA.

This is first time to post on FF and Thank you guys again for great work!
Attached Image (click to enlarge)
Click to Enlarge Name: LondonboUSDCAD.gif Size: 9 KB
  • #471
  • Edited 3:43am Aug 25, 2010 3:25am | Edited 3:43am
Quoting JohnnyBSmart
Squalou,

I've been playing around with the MaxBoxSize and using low numbers and notice your code is centering the box on the Median. This approach I believe would cause more false breakouts.

If the price within the box is moving to a high pivot then moving the top of the box down will make the price break through the box top and a buy will take place. If the box extents is recoded so the High or Low whichever came last is the bottom or the top of the box and the box is extended from that point would be a better box position.

The box is...
can i have ur YM or skype , i want to discuss somethings with u off this thread pls,i cant PM cos of my thread count, if u look at my join date u will know i am not that new also
Thanks,
  • #472
  • Aug 25, 2010 7:38am Aug 25, 2010 7:38am
Quoting xmph
Dear JulesvH,
First, can you reproduce the potential bug in backtest (with today's data) ?
Second, can you reproduce the potential bug with the version I posted earlier and where I did modify the ECN code ( ... using the "temporary fix" as suggested may lead, as I explained, to an order being passed without SL being approved of) ?

I used the code I provided earlier (V2-modded by XmPh few post ago) and everything is OK, I was not able to reproduce the potential bug).

Finally, any error message in your terminal ?

thx for the feedbacks.

Hi Jules,

This issue is not related to the ECN problem.

I can reproduce it in backtest (Alpari data) on EURJPY on Aug.18:

Backtest on EURJPY from aug.18 to aug.20, 2010;

Settings are "regular" times/box size:

StartTime="06:00"
EndTime="09:14"
SessionEndTime="04:00"
MinBoxSizeInPips=5
MaxBoxSizeInPips=80
LimitBoxToMaxSize=true
TP1Factor=1.000
TP3Factor=2.618

Attached Image (click to enlarge)
Click to Enlarge Name: wrong-T2&T3-close-EURJPY.gif Size: 10 KB


Trade 4 hits TP1, but trades 5&6 go to initial SL...

We'll have a fix soon.

SQ
  • #473
  • Aug 25, 2010 7:41am Aug 25, 2010 7:41am
Hi SQ,

when will the next EA come?
  • #474
  • Aug 25, 2010 7:43am Aug 25, 2010 7:43am
Quoting jimnz
mer/ squalou, is it pos to run the EA with only 1 trade?
I have added that option for the coming release
You'll just need to set your TP3Factor to 0 to keep only Trade 1 with TP1 and remove trades 2&3.

SQ
  • #475
  • Edited 9:09am Aug 25, 2010 8:34am | Edited 9:09am
Quote
I have added that option for the coming release http://cdn.forexfactory.com/images/s...im/winking.gif
You'll just need to set your TP3Factor to 0 to keep only Trade 1 with TP1 and remove trades 2&3.
We should probably leave TP2 & TP3 in there for those who like trades to run and instead have the option to open 1, 2, or 3 trades.

______________________________________________________________________________________________________________________________________

Sorry for the late results for Tuesday. I was out of town and my remote desktop on the laptop was not letting me log in to my home computer, sorry guys.

Eur/Usd

Breakout

T1= +32
T2= +1
T3= +1

Running Total= +34 pips

Re-entry

T1= -33
T2= -33
T3= -33

Running Total= +65 pips

Re-enter

T1= +64 (+32 x 2)
T2= +118 (+59 x 2)
T3= +64 (+32 x 2)

Running Total= +246 pips

Re-entry

T1= -33
T2= -33
T3= -33

Running Total= +147 pips

Re-entry

T1= active
T2= active
T3= active

Final Total= +147 pips

T1, 2, & 3 still active with a multiplier of 2.

Counter Trend

 New CT trades will be placed with a multiplier of 2 from Monday.

T1= +66 (+33 x 2)
T2= +132 (+66 x 2)
T3= +132 (+66 x 2)

Running Total= +330 pips

Re-entry

T1= +33
T2= +66
T3= +33

Final Total= +462 pips

New CT trades will be placed with no multiplier.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: eurusd.jpg Size: 91 KB
Click to Enlarge Name: eurusd2.jpg Size: 90 KB
  • #476
  • Aug 25, 2010 8:34am Aug 25, 2010 8:34am
Quoting JohnnyBSmart
Squalou,

I've been playing around with the MaxBoxSize and using low numbers and notice your code is centering the box on the Median. This approach I believe would cause more false breakouts.

If the price within the box is moving to a high pivot then moving the top of the box down will make the price break through the box top and a buy will take place. If the box extents is recoded so the High or Low whichever came last is the bottom or the top of the box and the box is extended from that point would be a better box position.

The box is depicting...
Hi Johnny,

I'm sure you would have been banned from any of SteveHopwood's threads long ago with your previous posts...
I'm glad you are now getting to useful posts at last...


This is an interesting observation indeed.
The box is formed of 4 parameters: EXTENT in TIME and PRICE, and POSITION in TIME and PRICE.
We have been focussing on the 3 first parameters, and left quite appart the box POSITION in PRICE until now.
And this is clearly a key factor in the success/quality of the breakout, as you are pointing out.

We should play around with that parameter as well, and i think your remark about S/R is truly relevant here.
Centering the box on its median price was a first approach to limit its extent while still allowing trading it, but it might very well not be the best we can do here.

Let's see how we can improve this parameter.

Your suggestion of using the most recent high(resp. low) price to setup the box high (resp. low) edge clearly goes in that direction.
Now the other parameter would be how many pips of "buffer" should we use?
This is another factor to be optimized.

We definitety have to explore this path.

Thanks Johnny for being constructive, finally...

We need some "taskforce" to do that, guys...
please contribute as you can.

SQ
  • #477
  • Edited Aug 26, 2010 1:14am Aug 25, 2010 8:39am | Edited Aug 26, 2010 1:14am
Gbp/Usd

Breakout

 T3 trade closed from Monday with a multiplier of 2.

T3= +240 (+120 x 2)

Running Total= +240 pips

T1= -58
T2= -58
T3= -58

Final Total= +66 pips

T1, 2, & 3 trade still active with a multiplier of 2.

Counter Trend

No CT trades were triggered

Final Total= +0 pips

New CT trades will be placed with a multiplier of 2.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: gbpusd.jpg Size: 92 KB
Click to Enlarge Name: gbpusd2.jpg Size: 85 KB
  • #478
  • Aug 25, 2010 8:51am Aug 25, 2010 8:51am
Usd/Cad

Breakout

 Trades are still open from Monday so we open new BO trades with the same multiplier of 5.

T1= +160 (+32 x 5)
T2= +295 (+59 x 5)
T3= +160 (+32 x 5)

Running Total= +615 pips

T3 trade closed from Monday at Target 5 with a multiplier of 5.

T3= +545 (+109 x 5)

Running Total= +1160 pips

Re-entry

T1= +32
T2= Active
T3= Active

Final Total= +1192 pips

T2 & T3 trade are still active with no multiplier.

Counter Trend

T1= -66 (-33 x 2)
T2= -66 (-33 x 2)
T3= -66 (-33 x 2)

Running Total= -198 pips

Re-entry

T1= +165 (+33 x 5)
T2= +2 (+1 x 5)
T3= +2 (+1 x 5)

Running Total= -31 pips

Re-entry

T1= active
T2= active
T3= active

Final Total= -31 pips

T1, 2, & 3 are still active with a multiplier of 5.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: usdcad.jpg Size: 92 KB
Click to Enlarge Name: usdcad2.jpg Size: 83 KB
  • #479
  • Aug 25, 2010 8:56am Aug 25, 2010 8:56am
Hi Sq.

Today trade on GBPUSD had a serious problem.Candel of market touched the entry buy or entry sell so your EA actuated many times,and suddenly it reversed and went the reverse path and oscillated between two entry buy and entry sell, and it didn't have any good performance in oscillating markets.
Do you have any plan to compensate this problem ?
I apologize you because I'm not good English.
  • #480
  • Edited 9:19am Aug 25, 2010 8:57am | Edited 9:19am
Quote

Hi Sq.


Today trade on GBPUSD had a serious problem.Candel of market touched the entry buy or entry sell so your EA actuated many times,and suddenly it reversed and went the reverse path and oscillated between two entry buy and entry sell, and it didn't have any good performance in oscillating markets.
Do you have any plan to compensate this problem ?
I apologize you because I'm not good English.
Many times? If you look at my chart above, it was only triggered twice. This is going to happen all the time, so you better get use to it. That is why we have added the martingale aspect to the strategy so we can recoup those losses when this situation occurs. You might want to go back a re-read the thread from the beginning because you do not have a full grasp of how this strategy works yet.
_______________________________________________________________________________________________________________________________________

Eur/Jpy

Breakout

T1= +27
T2= +50
T3= +72

Final Total= +149 pips

New BO trades will be placed with no multiplier.

Counter Trend

 New CT trades are placed with a multiplier of 5 from Monday.

T1= -140 (-28 x 5)
T2= -140 (-28 x 5)
T3= -140 (-28 x 5)

Running Total= -420 pips

Re-entry

T1= -364 (-28 x 13)
T2= -364 (-28 x 13)
T3= -364 (-28 x 13)

Running Total= -1512 pips

Re-entry

T1= -952 (-28 x 34)
T2= -952 (-28 x 34)
T3= -952 (-28 x 34)

Final Total= -4368 pips

New CT trades will be placed with a multiplier of 89.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: eurjpy.jpg Size: 87 KB
Click to Enlarge Name: eurjpy2.jpg Size: 87 KB
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