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A Simple London Breakout V.2

  • #541
  • Aug 27, 2010 5:13am Aug 27, 2010 5:13am
Quoting chehab
Hi Sqalou
USDCAD
Y'day Aug 26 , The EA did trigger the trades LONG 10579 and this trade is still active-
Today , todaybox height= 21Pips= the entry buy reads 10586 but was not triggered although the price reads now=1.0595 .
Is there any special reason for not being triggered ?
rgds
======================
Hi
Pls disregard this post
as I was wrong
my apology
rgds
  • #542
  • Aug 27, 2010 6:09am Aug 27, 2010 6:09am
Quoting JohnnyBSmart
celticheart,

What was your MaxPipBox setting? Was this at the start of the London Open or did it occur later?

Now that an option to have the box fixed to a pivot high or low as a user option then the opposing box level is just an arbitrary number of pips above the pivot and may or more likely is not a support or resistance level. Breaking through this level has no real meaning and from what I see is not contributing to the profitability of the trade and is actually detrimental to the profit.

If the trade is a successful trade then it is more...
Hi Johnny,

I'll admit that I did not fully grasp al your points when you're talking about pivots,although I do understand the point you are making about all th "lost" pips as it were in waiting till the buy/sell point by which time its is possible that the move is exhausted.
Am I correct in understanding as in the followng: Lets say you have an initial box, with therefore tp1, tp2 and a tp3. Lets say short tp3 is triggered. Price might now start moving long, therefore we now consider the tp3 as the buy extent point. This way, we have changed the pivot point, and have a far higher likelihood of taking profit going long, compared to waiting for price to reach the original static buy point.

I also think there is much merit in your suggestion to tp on a retrace to the tp point. So, by way of example, if going long and tp1 is crossed, rather than tp at that point, we tp only if price comes bck to hit tp1. If however it continues on to tp2, goes beyond and then retraces to hit tp2, we tp both tp1 and tp2, thereby considering improving our return.

Also agree with being averse to huge martingales when trading real accounts, this could begin to address that.

Neat ideas, I think.

Pardy
  • #543
  • Aug 27, 2010 6:33am Aug 27, 2010 6:33am
Quoting JohnnyBSmart
celticheart,

What was your MaxPipBox setting? Was this at the start of the London Open or did it occur later?
Hi, Johnny, completely different time. Only the e/j (although it would probably work with the g/j), max box size 75, limit set to true, the times of the box is 21:00 GMT to 02:00 GMT (this should equate to 5pm EST to 10pm EST), session end time 17:00 GMT (or 1pm EST). Session end time for this pair might work a little bit better cutting it off an hour earlier, have not had time to test that.

I settled on this box time partly because of the Asian session time and partly because after visually scanning the charts and starting some back tests, it looked like a good time period for breakouts. After the manual back testing back to Jan '09, it did work out pretty well, possibly better than the London times for this particular pair. Although i'm not positive of that, did not do the back test for the London time. I wanted something I could trade manually without getting up at 3am. The London time works better for the e/u and g/u, and the New York time also looks like it works well for several pairs, but I have not had time to back test. It takes many, many hours to do one pair (with one set of settings) manually for that long a time period.

I am hoping that with some of the upcoming EA revisions I will be able to reproduce similar results and can then test lots of different settings and times Although it still may not come out exactly the same.... in my manual back testing, I traded it just like I actually would... I set one buy and one sell pending order at 10pm, then re-entered manually if applicable after 7 or 8am until 1pm. Adding iParamonWorkTime to the chart made it easy to see those times. This worked out a little bit better than taking every single trade during that period.
  • #544
  • Aug 27, 2010 6:53am Aug 27, 2010 6:53am
Quoting jimnz
sorry another issue with the martingale approach.
Please treat this as constructive..

mer, in previous posts you’ve stated a big bank is required to run this system successfully. do you know how big?
i believe the worst run of luck has been 5 losses, making the next trades at multi x 89? next being x 225?

i think its great all these people are perfecting entrys and exits, but as the win ratio is only around 60-65% a string of bad trades is inevitable.
i think someone with time needs to do a spreadsheet calculating the bank required to withstand...
Valid points, Jimnz. The bank requirements are quite steep, OK in a demo, but real trading not many could afford it.

I have been pondering and testing how I can overcome those things to keep it realistic for me. I do not wish to be greedy, in fact a safe 20 pips per day would do for me. If I start with a 1000$ a/c at 1$ per pip, I'd be happy with an average return of 400$ per month ( which is probably more than most would achieve).
To accomplish this, I've been testing a box based on 0600 to 0629 london time. The box is normally therefore smaller in range. I use not 3 trades but just the one, to keep martingale values low in case of loss. I use a tp of 1.5, which also enables me to keep the martingale low, yet return decent profit.
The thinking behind this is that you start getting some volatility with Frankfurt and London open. If the box range is say 10 or 15 pips, you should hit tp pretty soon since the daily range of GU say is over 100 pips.
I am only interested in 1 win, at a pip box size of say 15, that would give me 22 pips profit. I've found that in my testing you can be finished before 11. Whatever price does after that, whether it ranges or whatever, I have already taken my profit and will wait for next days trade. Squalou has very kindly agreed to add a condition in the EA similar to the Max Loss Trades, which would be Max Profit Trades. We can then specify whether we are happy with just the one winning trade for the day or more than one.
If you do hit a loss, the box size being smaller means that your losses and hence drawdown is much smaller as well.
In reality, I would probably be trading more than one box. Another box I'm looking at is between 2300 and 2359 - same principle, Tokyo opens then and should provide the one winning trade pretty soon. Small box size = smaller losses and drawdowns, even if you have 3-4 consecutive losers.

So essentially, have more than 1 box ( currently putting EA on more than one chart), go for the 1 tp on just 1 single trade.
Actually, this resonates in principle with the points Johnny has made about shifting boxes on moving pivots, if I have understood his points well.

Will be glad to hear peoples views.
Pardy
  • #545
  • Aug 27, 2010 7:31am Aug 27, 2010 7:31am
Hi

Thanks for sharing the EA.

Ive had it attached to some charts but it wont open any trades. It just keeps saying its failed in an alert box.

Any ideas please.

many thanks


ab1
  • #546
  • Aug 27, 2010 8:51am Aug 27, 2010 8:51am
Quoting Pardy
To accomplish this, I've been testing a box based on 0600 to 0629 london time. The box is normally therefore smaller in range. I use not 3 trades but just the one, to keep martingale values low in case of loss. I use a tp of 1.5, which also enables me to keep the martingale low, yet return decent profit.
Will be glad to hear peoples views.
Pardy
Interesting idea Pardy,

However , when looking at charts with your settings there are still days when market jumps from entry to SL several times before hitting TP ( especially when box size is small ) . We need new version of EA with possibility of one trade and MaxWinTRades option to make more backtests.
Squalou's hard work is very appreciated.

Regards,
RL
  • #547
  • Aug 27, 2010 9:37am Aug 27, 2010 9:37am
Squalou, please review the following EA behavior, that occured today: Sell-trigger occurred in the middle of the profit zone ? whereas everything was fine first.

Attached Image


The unexpected behavior is reproducible in backtest (I just did it). I don't think it's a matter of spread. I suspect the problem came from the fact that during the SAME candle, I closed profit for first 3 sell orders, then it directly re-open 3 sell-orders (no apparent reason) ? ... so the only unusual thing is that it happened within the same candle.

And yes, another great day .... 2 false signals (that I actually cleared with my set-up which I will present in the next post) and then 3 orders profits + another 3 orders profits ;-)

PM me if you need further info for checking what I believe is a bug.
  • #548
  • Aug 27, 2010 9:54am Aug 27, 2010 9:54am
Here are the results for Thursday. Again, sorry for getting these to you guys so late.

Eur/Usd

Breakout

 T2 & 3 closed from Wednesday with a multiplier of 13.

T2= +507 (+39 x 13)
T3= +923 (+71 x 13)

Running Total= +1430 pips

Re-enter

T1= -56
T2= -56
T3= -56

Running Total= +1262 pips

Re-entry

T1= -112 (-56 x 2)
T2= -112 (-56 x 2)
T3= -112 (-56 x 2)

Final Total= +926 pips

New BO trades will be placed with a multiplier of 5.

Counter Trend

No CT trades were placed

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: 80 KB
  • #549
  • Aug 27, 2010 10:05am Aug 27, 2010 10:05am
Mer, I would appreciate you tell me what you think of the following.

Your LBO (london break-out) is excellent. As it is, I have a complete 2004 to 2010 profitable backtest starting with a fresh deposit of 2500$ every year .... and at least 30% / year. That is, no curve fitting, simply finding good parameters for handling different market conditions and understanding what's underneath a break-out strategy. This is a conservative setting for my trading feel. (I mixed this with gambling with half the house profits ... and .. well it's gambling some years I reached 500% profits, some years I crash, and some year I crash after making up to 300% my gamble .... I believe there is a clean line here.... I believe in this strategy and there are lots of ways to be happy with it) .. personal note: Gambling is not Trading.

Now to my point, we will bear the cost of false signals due to box-ranging .... you cannot avoid this, that is the core of any B-O anyways and, considering what I said earlier, that can be handle very well.

I dug into some of the most popular B-O strategies in FF, TSD, and some russian forums (thank you Chrome for auto translating websites), and I now use the following:

to trigger a signal XpMA and PSAR have to agree with the LBO signal. Add a little Support/Resistance as I personally think any system shall consider these. This results in the following set-up:
Attached Image (click to enlarge)
Click to Enlarge Name: LBO_TradingSet-up.jpg Size: 75 KB


That is today.
I got burn at the first sell trigger. I didn't take the second buy-signal because XpMA and PSAR didn't agree. I took the third sell-signal .... Well, the EA randomly open the 4th-sell signals .... I manually moved TP2 to the Support Line ... I do not believe in moving/altering TP1 (from my experience so far and the backtesting I did) .....

All this dramatically increases the profits for the day, while being coherent with your methodology, and market price/action behavior. That's perfect to my standards.

To all, this is my current set-up, and this is what I'm trying to code in the EA. I usually wouldn't share up to this point on a public forum but Mer and Squalou did so much that I felt I had to.

Let me know what you think about it Mer.
Squalou, like I did before, as soon as this is implemented in my Modded version, I will lend you the code.

HTH
XmPh.
  • #550
  • Aug 27, 2010 10:09am Aug 27, 2010 10:09am
Gbp/Usd

Breakout

 T3 closed from Wednesday with a multiplier of 2.

T3= +268 (+134 x 2)

Running Total= +268 pips

T1= -46
T2= -46
T3= -46

Running Total= +130 pips

Re-entry

T1= -92 (-46 x 2)
T2= -92 (-46 x 2)
T3= -92 (-46 x 2)

Final Total= -146 pips

New BO trades will be placed with a multiplier of 5.

T3 is still active from Tuesday with a multiplier of 2- Target 1 locked in.

Counter Trend

 No CT trades were placed

New CT trades will be placed with a multiplier of 5.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: gbpusd.jpg Size: 109 KB
Click to Enlarge Name: gbpusd2.jpg Size: 83 KB
  • #551
  • Aug 27, 2010 10:23am Aug 27, 2010 10:23am
Usd/Cad

Breakout

 Open trades still active, so we placed new trade at the same multiplier of 2.

T1= -50 (-25 x 2)
T2= -50 (-25 x 2)
T3= -50 (-25 x 2)

Running Total= -150 pips

T2 & 3 trade closed from Tuesday with a multiplier of 2.

T2= +90 (+45 x 2)
T3= +48 (+24 x 2)

Running Total= -12 pips

Re-entry

T1= -125 (-25 x 5)
T2= -125 (-25 x 5)
T3= -125 (-25 x 5)

Running Total= -387 pips

Re-entry

T1= +325 (+25 x 13)
T2= +13 (+1 x 13)
T3= +13 (+1 x 13)

Running Total= -36 pips

Loss not recouped, re-enter at the same multiplier of 13.

T1= -325 (-25 x 13)
T2= -325 (-25 x 13)
T3= -325 (-25 x 13)

Final Total= -1011 pips

New BO trades will be placed with a multiplier of 34.

Counter Trend

 Trades are still open from Wednesday so we open new CT trades with the same multiplier of 13.

T1= +325 (+25 x 13)
T2= +650 (+50 x 13)
T3= active

Running Total= +975 pips

T3 is closed from Wednesday with a multiplier of 13.

T3= +975 (+75 x 13)

Final Total= +1950 pips

T3 is still active with a multiplier of 13. Target 1 is locked in.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: usdcad.jpg Size: 99 KB
Click to Enlarge Name: usdcad2.jpg Size: 93 KB
  • #552
  • Aug 27, 2010 10:37am Aug 27, 2010 10:37am
Eur/Jpy

Breakout

 Open trades still active, so we placed new trade at the same multiplier of 5.

T1= -180 (-36 x 5)
T2= -180 (-36 x 5)
T3= -180 (-36 x 5)

Running Total= -540 pips

T2 & 3 trade closed from Tuesday with a multiplier of 5.

T2= +490 (+98 x 5)
T3= +270 (+54 x 5)

Running Total= +220 pips

Re-entry

T1= +36
T2= +1
T3= +1

Running Total= +258 pips

Re-entry

T1= -36
T2= -36
T3= -36

Running Total= +150 pips

Re-entry

T1= -72 (-36 x 2)
T2= -72 (-36 x 2)
T3= -72 (-36 x 2)

Running Total= -66 pips

Re-entry

T1= +180 (+36 x 5)
T2= +5 (+1 x 5)
T3= +5 (+1 x 5)

Running Total= +124 pips

Loss not recouped from previous trade, re-enter at the same multiplier of 5.

T1= +180 (+36 x 5)
T2= +5 (+1 x 5)
T3= +5 (+1 x 5)

Final Total= +314 pips

New BO trades will be placed with no multiplier.

Counter Trend

T1= +36
T2= +72
T3= +36

Running Total= +144 pips

Re-entry

T1= +36
T2= +1
T3= +1

Running Total= +182 pips

Re-entry

T1= +36
T2= active
T3= active

Final Total= +218 pips

T2 & 3 trades are still active with no multiplier.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: eurjpy.jpg Size: 104 KB
Click to Enlarge Name: eurjpy2.jpg Size: 95 KB
  • #553
  • Aug 27, 2010 10:42am Aug 27, 2010 10:42am
Quoting xmph
Squalou, please review the following EA behavior, that occured today: Sell-trigger occurred in the middle of the profit zone ? whereas everything was fine first.

The unexpected behavior is reproducible in backtest (I just did it). I don't think it's a matter of spread. I suspect the problem came from the fact that during the SAME candle, I closed profit for first 3 sell orders, then it directly re-open 3 sell-orders (no apparent reason) ? ... so the only unusual thing is that it happened within the same candle.
Why did the first trades series close before TP1 ?
Did you close them manually ?

The EA will look for opening opportunities when "today" trades are closed.
It opens a new series if the previous M15 bar closed inside the box (as per Mer rules), and price has breached the box edge.
That's your case, so it immediately opened new trades.

Note that I added a safety check in the EA to allow opening trades only if price is within the first half of the Entry<>TP1 zone, to prevent opening trades too far away from the normal Entry lines.
This is not in Mer's rules, but that was just my own common sense.
The reason is to prevent the EA from doing silly things you are starting the EA in the middle of the session, and price is has just rocketted off the Entry and TP zone.
Like during news release for instance....

SQ
  • #554
  • Aug 27, 2010 10:46am Aug 27, 2010 10:46am
Quoting ab1
Hi

Thanks for sharing the EA.

Ive had it attached to some charts but it wont open any trades. It just keeps saying its failed in an alert box.

Any ideas please.

many thanks


ab1
ECN brokker perhaps ?...
Try to set "BrokerIsECN" true;
If it deosn't solve it, then give more details -- go to the Journal tab and copy/paste what is in there.
Error 130 is because of ECN.

SQ
  • #555
  • Aug 27, 2010 10:48am Aug 27, 2010 10:48am
Gbp/Jpy

Breakout

 Open trades still active, so we placed new trade at the same multiplier of 5.

T1= +155 (+31 x 5)
T2= +280 (+56 x 5)
T3= +155 (+31 x 5)

Running Total= +590 pips

T3 is closed from Wednesday with a multiplier of 5.

T3= +610 (+122 x 5)

Running Total= +1200 pips

Re-entry

T1= +31
T2= +56
T3= +56

Running Total= +1343 pips

New BO trades will be placed with no multiplier.

Counter Trend

 New CT trades will be placed with a multiplier of 13 from Wednesday.

T1= -403 (-31 x 13)
T2= -403 (-31 x 13)
T3= -403 (-31 x 13)

Running Total= -1209 pips

Re-entry

T1= -1054 (-31 x 34)
T2= -1054 (-31 x 34)
T3= -1054 (-31 x 34)

Running Total= -4371 pips

Re-entry

T1= +2759 (+31 x 89)
T2= +89 (+1 x 89)
T3= +89 (+1 x 89)

Running Total= -1434 pips

 Loss not recouped from previous trade, re-enter at the same multiplier of 89.

T1= -2759 (-31 x 89)
T2= -2759 (-31 x 89)
T3= -2759 (-31 x 89)

Final Total= -9711 pips

New CT trades will be placed with a multiplier of 233.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: gbpjpy.jpg Size: 100 KB
Click to Enlarge Name: gbpjpy2.jpg Size: 95 KB
  • #556
  • Aug 27, 2010 11:21am Aug 27, 2010 11:21am
Did anyone get up to the mart sequence 1597 today for the eurusd? I had a $10,000 demo that did not place the 1597 trades because of [not enough money], but I would have made my money back at 15.97 a lot TP1 was just hit!

Thanks
  • #557
  • Edited 4:54pm Aug 27, 2010 3:11pm | Edited 4:54pm
Quoting squalou
Why did the first trades series close before TP1 ?
Did you...
Squalou,

First trade was closed at TP1, and order 2 and 3 were stopped after moving SL to BE+7 (in my case).

I have no clue why the other set of 3orders open ... that is actually what concerned me in the first place. I will re-start a backtest and provide the log file ..... well that's gonna have to wait until sunday night cause testing this with a 8-fixed spread will not really help.

First set of 3 sell orders behaved as expected ... .I di not know why the second set actually even open.
  • #558
  • Aug 27, 2010 4:44pm Aug 27, 2010 4:44pm
GAMBLING:

2010 to now
Attached Image (click to enlarge)
Click to Enlarge Name: 2010-now.gif Size: 11 KB


2009-2010: would be profitable if you stop gambling at 100% profit.
Attached Image (click to enlarge)
Click to Enlarge Name: 2009-2010.gif Size: 11 KB


2008-2009
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Click to Enlarge Name: 2008-2009.gif Size: 12 KB


2007-2008
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2006-2007
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2005-2006
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2004-2005
Attached Image (click to enlarge)
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  • #559
  • Aug 27, 2010 4:50pm Aug 27, 2010 4:50pm
it sucks I didn't had the time to do this earlier ... now market is closed and my broker blocked a 8 pip spread which screw bakctesting but anyways .. for illustration purposes:

MAX DD = about 30% as a worst scenario .. not bad for martingaling with a 2500$ deposit, for a overall minimum yearly return on deposit of 40%.

My intention is solely to demonstrate there is high potential in this methodology, and improving it shall only improve the results ;-)

CONSERVATIVE

2010-now : 8 PIP SPREAD
Attached Image (click to enlarge)
Click to Enlarge Name: 2010-now.gif Size: 11 KB


2009-2010: 8 PIP SPREAD
Attached Image (click to enlarge)
Click to Enlarge Name: 2009-2010.gif Size: 11 KB


2008-2009: 8 PIP SPREAD
Attached Image (click to enlarge)
Click to Enlarge Name: 2008-2009.gif Size: 12 KB
  • #560
  • Aug 27, 2010 5:00pm Aug 27, 2010 5:00pm
Quote
Did anyone get up to the mart sequence 1597 today for the eurusd? I had a $10,000 demo that did not place the 1597 trades because of [not enough money], but I would have made my money back at 15.97 a lothttp://cdn.forexfactory.com/images/s.../yim/happy.gif TP1 was just hit!


I don't know what settings you're using, but using the new adjustments, I never made it over a multiplier of 13 all week (including starting at 2 on Monday).

Quote
Let me know what you think about it Mer.
Squalou, like I did before, as soon as this is implemented in my Modded version, I will lend you the code.

HTH

Dude, you should know me by now, I am all for someone who takes the basics and makes it their own (I feel like American Idol). And I'm sure sqaulou appreciates all your input and suggestions with the code, as do I.

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