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Attachments: NY 5pm Fibs
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NY 5pm Fibs

  • #101
  • Oct 18, 2010 9:59am Oct 18, 2010 9:59am
Quoting CanuckCT
Breakout across 9 pairs....

Attachment

whao! this is marvelous!..i only traded about two pairs..could have made more!
9 pairs!
The World As It Is Can Do With Your Positive Disposition
  • #102
  • Oct 18, 2010 10:29am Oct 18, 2010 10:29am
Quoting CanuckCT
Breakout across 9 pairs....

Attachment

i just noticed my entry ponts and exits on these pairs would have bn different from what is displayed here...for instance, my GU entry was @ 1.6032 while yours was 1.6016...on my own, 0.50% was used as entry is this different from yours?
The World As It Is Can Do With Your Positive Disposition
  • #103
  • Oct 18, 2010 10:34am Oct 18, 2010 10:34am
Quoting liberty71
i just noticed my entry ponts and exits on these pairs would have bn different from what is displayed here...for instance, my GU entry was @ 1.6032 while yours was 1.6016...on my own, 0.50% was used as entry is this different from yours?
Indicator using Daily ATR(22) / 2 rounded down, fibs using Daily ATR(22) / 2 rounded up .... could that be the different?
  • #104
  • Oct 18, 2010 11:04am Oct 18, 2010 11:04am
Could also be a broker thing....if your broker has Sunday data...that will count as a day and mess up the ATR calc.
Cheers
CanuckCT
  • #105
  • Edited 11:39am Oct 18, 2010 11:27am | Edited 11:39am
Barney....something I'm looking at that is totally related to your breakout system. Fib Zone Pivots are based on a fib zone that is 100% of the daily range and the pivot is the (high, low and close)/3.

For me it makes total sense to apply that same fib zone logic to your breakout setup. So the logic is this...

If price breaks to the downside...past your TP, what is the likely extension. Typically it can go to 61.8 of the daily range and reverse....but if it goes past that level, it has a better chance to going to full distance of 100% of the ATR.

Here is my chart from today.
Attached Image (click to enlarge)
Click to Enlarge Name: 2010-10-18_1319.png Size: 36 KB

The first dotted line is 61.8 of ATR. The second is 100% of ATR.

I think this is the point liberty was making.....after TP hit, then what.

I'll post the additional pivot indicator later today once I figure out how to avoid a conflict in the labels.

I think it's just a different way of looking at what you are already doing with your fibs.

Cheers
CanuckCT
  • #106
  • Oct 18, 2010 11:37am Oct 18, 2010 11:37am
Here is the indicator to add those zones....as a potential utimate daily target when breakout runs...and a reversal point.

Cheers
CanuckCT
Attached File(s)
File Type: ex4 FZP - From Daily Open.ex4   12 KB | 387 downloads
  • #107
  • Oct 18, 2010 12:06pm Oct 18, 2010 12:06pm
Quoting CanuckCT
Here is the indicator to add those zones....as a potential utimate daily target when breakout runs...and a reversal point.

Cheers
CanuckCT

What a Great indy CCT.... Thanks a lot...


Cheers !
  • #108
  • Oct 18, 2010 12:36pm Oct 18, 2010 12:36pm
Quoting CanuckCT
Could also be a broker thing....if your broker has Sunday data...that will count as a day and mess up the ATR calc.
Cheers
CanuckCT

no i don't think it's broker issue...i use it on fxpro and they dont hav sunday data.

do i have to insert ATR separately?
The World As It Is Can Do With Your Positive Disposition
  • #109
  • Oct 18, 2010 12:37pm Oct 18, 2010 12:37pm
post your template...that is easiet way to check
  • #110
  • Oct 18, 2010 12:38pm Oct 18, 2010 12:38pm
Hi guys,

Great work your doing here,

One concern is using the range of ATR/2 on days when it is ranging there will be quite a few SL hit e.g if you look at some days at the end of Sept, do we just accept that these losses will occur.

I guess if we had an EA it would provide better backtest results.

Regards

Rump.
  • #111
  • Edited 10:56pm Oct 18, 2010 10:37pm | Edited 10:56pm
Quoting rumpfunk
Hi guys,

Great work your doing here,

One concern is using the range of ATR/2 on days when it is ranging there will be quite a few SL hit e.g if you look at some days at the end of Sept, do we just accept that these losses will occur.

I guess if we had an EA it would provide better backtest results.

Regards

Rump.
Rump,

What do u suggest?

CCT suggested a progressive buy or sell with a trailing stop based on fibs.

BD
  • #112
  • Edited 11:07pm Oct 18, 2010 10:50pm | Edited 11:07pm
Btp=100 be=50 bsl=0
stp=100 se=50 ssl=0

1st Attachement = Blue and Red Fibs
2nd Attachment = Indicator
3rd Attachment = Indicator + CCTs Fib Zones
Attached Image(s) (click to enlarge)
Click to Enlarge Name: ny close 1.gif Size: 29 KB
Click to Enlarge Name: ny close 2.gif Size: 25 KB
Click to Enlarge Name: ny close 3.gif Size: 27 KB
  • #113
  • Oct 18, 2010 10:55pm Oct 18, 2010 10:55pm
Quoting CanuckCT
Barney....something I'm looking at that is totally related to your breakout system. Fib Zone Pivots are based on a fib zone that is 100% of the daily range and the pivot is the (high, low and close)/3.

For me it makes total sense to apply that same fib zone logic to your breakout setup. So the logic is this...

If price breaks to the downside...past your TP, what is the likely extension. Typically it can go to 61.8 of the daily range and reverse....but if it goes past that level, it has a better chance to going to full distance of 100% of the...
CanuckCT,

Go for it, just remember Experiment 1, which was enter at 76.4 and tp at 150.0 .... hasn't done well.

I was hoping you were going to work on the progressive trailing stop based on fib %'s. I think that has more potential, as you've posted, then anything to date.

BD
  • #114
  • Oct 19, 2010 12:27am Oct 19, 2010 12:27am
Quoting BarneyDog
Rump,

What do u suggest?

CCT suggested a progressive buy or sell with a trailing stop based on fibs.

BD
Yes somehow the R:R needs to be increased which by moving the SL as CanuckCT should cover this.
  • #115
  • Oct 19, 2010 5:46am Oct 19, 2010 5:46am
Also as CCT mentioned maybe we could use the daily Pivot (H+L+C/3) as our baseline this would avoid those days when the markets isnt moving too much as it is tied tightly around the daily Pivot.

Regards

Rump.
  • #116
  • Oct 19, 2010 7:44am Oct 19, 2010 7:44am
Quoting rumpfunk
Also as CCT mentioned maybe we could use the daily Pivot (H+L+C/3) as our baseline this would avoid those days when the markets isnt moving too much as it is tied tightly around the daily Pivot.

Regards

Rump.
CanuckCT,

Well C, there you have it. Let's do both. I'll keep posting all three.

BD
  • #117
  • Oct 19, 2010 7:47am Oct 19, 2010 7:47am
Experiment 2 results using Blue and Red Fibs and Indicator.
3rd attachment is showing additional fibs per CCT comments above.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: ny close 1.gif Size: 32 KB
Click to Enlarge Name: ny close 2.gif Size: 29 KB
Click to Enlarge Name: ny close 3.gif Size: 24 KB
  • #118
  • Oct 19, 2010 8:51am Oct 19, 2010 8:51am
Hi Barney,

I like anchoring price at the close....the very nature of breakout trading is that they do not work all the time...especially if you try automating it. You will be forever tweeking to see....how can I filter out those losing trades. Range too small, time of day, RSI, etc. All of those techniques will filter out some of the losing trades....but also some of the winners.

Before any EA development can begin, the exact strategy needs to be defined. There is a lot in the London Breakout EA that could form a base for this. I do believe automation will help assess the win/loss ratio for each pair....and help with different ways of moving the stops.

Below is the snapshot for the current day...nine pairs. I missed marking one trade.

Entry is 50 fib, TP at 100.

Green is winning trades, red is losing and blue is the breakout of the FZP. What I am suggesting is to tie in that king of logic to the existing setup...not changing the pivot calculation. I guess both can be assessed.

For those wondering about FZP...they can read the article attached.

The other thing people should consider is watching several pairs....and that will help you determine what is moving. Sometimes is a USD move, like today.

Watching several EU, GU, AU, USDCHF and USDCAD will tell you that.

Sometimes it's just an EUR or GBP move...watching EURGBP will help you with that.

Sometimes it's a JPY move...and watching EJ, GJ and UJ will tell you that.

Cheers
CanuckCT

Attached Image (click to enlarge)
Click to Enlarge Name: 2010-10-19_1008.jpg Size: 251 KB
Attached File(s)
File Type: pdf FTJ14.pdf   524 KB | 351 downloads
  • #119
  • Oct 19, 2010 9:08am Oct 19, 2010 9:08am
Quoting CanuckCT
Hi Barney,

I like anchoring price at the close....the very nature of breakout trading is that they do not work all the time...especially if you try automating it. You will be forever tweeking to see....how can I filter out those losing trades. Range too small, time of day, RSI, etc. All of those techniques will filter out some of the losing trades....but also some of the winners.

Before any EA development can begin, the exact strategy needs to be defined. There is a lot in the London Breakout EA that could form a base for this. I do believe...
Yes your right about adjusting things slightly may just move the goal posts so to speak where 1 trade may become a loser that was before a winner.

But if the R:R could be increased slightly like you mentioned by trailing the SL then I think it would have a big affect overall however I guess this is something that is to be considered when the EA is developed.

Regards.

p.s out of curiosity how many pips did you total over the 9 pairs?
  • #120
  • Oct 19, 2010 9:34am Oct 19, 2010 9:34am
Quoting rumpfunk

p.s out of curiosity how many pips did you total over the 9 pairs?
What is most interesting to me is this....over the nine pairs...

Breakout at 50 fib, TP at 100 fib, +92 and two open trades
Breakout at FZP 61.8 and TP as FZP 1.0, from open price, +241 and one open - the blue boxes on my chart.

Other days...the FZP break does not work as well.

Cheers
CanuckCT
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