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Dreamliners’ MPAS (Mechanical Price Action Strategy) System

  • #161
  • Dec 26, 2010 3:35am Dec 26, 2010 3:35am
My contribution to this thread.

On attached xls file, the results of my Manual BackTesting on December 1st-3rd.

GBPUSD
Range Bar: 50 Pips
SL: 20 Pips
TP: Close Range Bar
Trigger Pending Order: Open Price + - 20 Pips.

Summary:

Range Bar Analized: 22
No Trades: 10
Quantity of Trades: 12
Winning Trades / Pips: 8 / 152 Pips
Losing Trades / Pips: 4 / -80
Pip Benefit: + 72 Pips

No spread considered.

Greetings.


JdD
Attached File(s)
File Type: xls MPAS Forex Test-50 Pips Range Bar (1-3 Dic-10).xls   172 KB | 486 downloads
  • #162
  • Dec 26, 2010 4:49am Dec 26, 2010 4:49am
I started to work on the back test-- result is amazing 5 for 5 so far
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PROFITABLE TRADERS ARE NOT LUCKY BUT ARE WELL PREPARED
  • #163
  • Dec 26, 2010 4:50am Dec 26, 2010 4:50am
5/5
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PROFITABLE TRADERS ARE NOT LUCKY BUT ARE WELL PREPARED
  • #164
  • Dec 26, 2010 7:26am Dec 26, 2010 7:26am
Thank you guys for all your hard work in backtesting. So far what it has proven is that the results are quite different. I only trade live, too (with very small unit sizes) and will post my results as well.

Thank you all again.

Quoting zamanib
5/5
  • #165
  • Dec 26, 2010 7:37am Dec 26, 2010 7:37am
Quoting dreamliner
thank you guys for all your hard work in backtesting. So far what it has proven is that the results are quite different. I only trade live, too (with very small unit sizes) and will post my results as well.

Thank you all again.
dont give up on this system-- i know the only way to back test it . It is the way i am doing and the way you are foward testing it i am also doing that-- i see great result-- no one want to do hard work- manually-- i will continue to do back test prove the other result wrong-
PROFITABLE TRADERS ARE NOT LUCKY BUT ARE WELL PREPARED
  • #166
  • Dec 26, 2010 7:44am Dec 26, 2010 7:44am
Yes, I'm not giving up at all; I am vowing to do 20 live trades with this system (that is what I do with all systems). I know that 20 is not a lot, but you can get a good feel for it then.

Please let us know the results of your backtesting when you can. I would help you if I could only get the time of the bar figured out.

Quoting zamanib
dont give up on this system-- i know the only way to back test it . It is the way i am doing and the way you are foward testing it i am also doing that-- i see great result-- no one want to do hard work- manually-- i will continue to do back test prove the other result wrong-
  • #167
  • Dec 26, 2010 7:48am Dec 26, 2010 7:48am
Quoting dreamliner
yes, i'm not giving up at all; i am vowing to do 20 live trades with this system (that is what i do with all systems). I know that 20 is not a lot, but you can get a good feel for it then.

Please let us know the results of your backtesting when you can. I would help you if i could only get the time of the bar figured out.
6 for 6 -- we need to hook up online -- skpye to yahoo you have my id -- i will be online 3hrs

the time is opening and not close -- i check it -- if this it is the end time -- then try and you will see
Attached Image(s) (click to enlarge)
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PROFITABLE TRADERS ARE NOT LUCKY BUT ARE WELL PREPARED
  • #168
  • Dec 26, 2010 7:58am Dec 26, 2010 7:58am
I think I have to fly from New York to Dehli today so won't be able to hook up online. But I will backtest assuming the time listed on the range bar is the opening and not the close.

Quoting zamanib
6 for 6 -- we need to hook up online -- skpye to yahoo you have my id -- i will be online 3hrs

the time is opening and not close -- i check it -- if this it is the end time -- then try and you will see
  • #169
  • Dec 26, 2010 8:01am Dec 26, 2010 8:01am
By the way, I won't be trading until at least Wednesday this coming week, if then, because the first 2 days of the week are bank holidays for GBP, CAD, NZD, AUD and a few others. I may wait until a week from Monday.
  • #170
  • Dec 26, 2010 8:02am Dec 26, 2010 8:02am
1ST LOSS
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PROFITABLE TRADERS ARE NOT LUCKY BUT ARE WELL PREPARED
  • #171
  • Dec 26, 2010 9:50am Dec 26, 2010 9:50am
I've read through this thread and it's evolving very fast, can't afford to miss a day with this action.

Anyway, I have these thoughts:

1) How was the first open price chosen, since this first one is determining the outlook and look of the range bars and especially the open price of all subsequent bars?

2) In the first post it says that this system is a price action system. But you guys aren't looking at the price action, just some numbers +- around some golden price derived somehow. It feels more like magic than price action trading too me. Draw an arbitrary line (which will be your open price) on a 1 minute chart, if price goes between 20 and 25 pips above or below and then returns to the arbitrary line enter a trade and the takeprofit will be (50 - whatever price traveled to trigger the trade) pips. See the picture below. This is similar to the rules, so could we trade this way as well?

I just want to write this as a caution ahead. Please disregard my comments if they are out of line. I see some merit to this system, but I have another take on it, but won't clutter this thread with those thoughts or somewhere else as it may take too much time and I don't have that time at the moment. Hopefully you guys find something that will work for you.
Attached Image (click to enlarge)
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  • #172
  • Dec 26, 2010 10:08am Dec 26, 2010 10:08am
Can this system be traded on Crude Oil futures?
  • #173
  • Dec 26, 2010 10:12am Dec 26, 2010 10:12am
I AM ON fxdd and the time on the bar is that of the close (I checked it with the price on the 5 min bar at the indicated time). The bar starts at the time of the previous bar close.

As with back checking, and indeed forward checking, no two traders are going to obtain the same results as the trigger, entry and tp/stoploss levels are dependent on the price at the opening of the first bar on each individual platform. This price will be different, so on one trader's screen the new range bar will at, say, 1.5032 but the next trader's new bar might not start until 1,5040 (purely depending on the price level the currency is at when the Range Bar indicator is initially activated on the chart). This problem arose in the good old C4/Renko threads and was solved by anchoring the Renko bars at a specified level (05, 10, 15 etc. ) but the range bar indicator does not seem capable of being anchored.

This is going to result in a few disagreements as someone who checks one weeks trading, and who's first range bar opens xx35 is going to give a completely different set of results from someone who's first range bar opens at xx45. It probably works out even in the long run, but just be aware that if I check the period 1 - 3rd Dec I am going to come up with a cpmpletely different result from JdD as my first bar opening is at a different time and price from his.

JdD's backtesting indicate that using the end of the bar as the T/P results in less than a 1:1 t/p ratio (4 losses totaling 80 pips as opposed to 8 wins totaling 152 pips). I will carry out a similar backtest over a different period and use the same criteria as JdD (i will also calculate the difference if we leave the t/p at 30 pips rather than the end of the bar). As this method is still in it's infancy we might as well think outside the box.
  • #174
  • Dec 26, 2010 1:00pm Dec 26, 2010 1:00pm
Guys,

I think the formula we can adhere to when reporting results can be as follows:

num of wins/num of losses x TP/SL = Profit Factor (x)

a PF of over about 1.1 should take into accounts spread and anything below that would be a strategy providing negative expectancy during your testing period.

We should focus on x and optimize that variable. The greater it is the higher expectancy we have of any system.

One thing you can try is to find SL you can set SL to 0 and see what the highest drawdown was (similar to was Mt4 backtester does to calculate PF). This will allow us to see what SL would get us a higher win/loss ratio. You can then set that drawdown as your SL say 5% equity and see if your PF is over 1.1 so you can trade...

example: month of july you have no SL and figure out the highest drawdown was 100 pips and you won 10 trades. That means you won every trade 100% win/loss but your TP/SL is something like 10/100.. so thats a PF of 1 (10/1 x 0.1).. You would need atleast 11 wins to have positive expectancy to trade in August with those odds.

If in August you sustain a DD of 100 pips you should see it return back to TP and then you can recalculate your PF to see if its worth trading anymore. You can set a hard SL at 200 pips since double your max drawdown really shouldn't happen unless your strategy really doesn't work for the period you tested.

I hope you guys follow.

I would like to see a report of PF rather then hey I won 6 in a row (but with what R:R?) This will give us a better report.

Jag
  • #175
  • Dec 26, 2010 1:37pm Dec 26, 2010 1:37pm
Quoting brijon
good insight its simular to season adjusting one site comercial uses this strategy for backtesting even to the days on probabilty to reduce the probability and future trend direction posabilitys even getting down via stats to the actual pips day range of a currency
you can even breakit down further into 1 minute frame
ect but of course thats rediculous

these stats are of historical interest only

but why are you guys frighten of live trading actual testing lets be honest
.01 live test with stopl loss take profit is peanuts

any...
Yes but you can apply the same rules to get your PF from live trading... if your live trading and backtest results match.. then you have a good indication of where you stand.
  • #176
  • Dec 26, 2010 1:50pm Dec 26, 2010 1:50pm
Jag, much wisdom here. Thank you. As I've mentioned, this is exactly what I will be testing. I use "Trading Journal Spreadsheets" which provide exactly this information, and I always and only trade live (small lots).

So I will be providing the results of my testing to all. I've promised my wife I would try 20 trades and then give the results .

Quoting sidhujag
Guys,

I think the formula we can adhere to when reporting results can be as follows:

num of wins/num of losses x TP/SL = Profit Factor (x)

a PF of over about 1.1 should take into accounts spread and anything below that would be a strategy providing negative expectancy during your testing period.

We should focus on x and optimize that variable. The greater it is the higher expectancy we have of any system.

One thing you can try is to find SL you can set SL to...
  • #177
  • Dec 26, 2010 1:53pm Dec 26, 2010 1:53pm
NowAndLater, you're exactly right on what you've written here; the first price is simply random, like drawing a horizontal line on the chart (I do know one person who trades with exactly this--a horizontal line on the chart). And yes, as said on the first page, we will all get different results based on prices of range bars differing, broker quotes, etc. All this was said on the first page.

All I've done is noted something on the chart, call it a method of trading a horizontal line if you like, and am setting out to prove that it is either profitable or not profitable. Thought I'd invite you guys to come along and see with me .

Quoting NowAndLater
I've read through this thread and it's evolving very fast, can't afford to miss a day with this action.

Anyway, I have these thoughts:

1) How was the first open price chosen, since this first one is determining the outlook and look of the range bars and especially the open price of all subsequent bars?

2) In the first post it says that this system is a price action system. But you guys aren't looking at the price action, just some numbers +- around some golden price derived somehow. It feels more like magic than price action trading too me. Draw...
  • #178
  • Dec 26, 2010 2:09pm Dec 26, 2010 2:09pm
Quoting Dreamliner
..., and I always and only trade live (small lots).


Quoting Dreamliner
So I will be providing the results of my testing to all. ...I would try 20 trades and then give the results .
20 trades aren't statistically significant, you know?

Well designed!

Keep it up!

FXcube
  • #179
  • Dec 26, 2010 2:20pm Dec 26, 2010 2:20pm
Yes, I do know that 20 trades are not statistically significant, however, they are indeed constitutionally significant. In other words, my constitution (my makeup) cannot take losing any more than a certain amount .

Quoting Forexcube




20 trades aren't statistically significant, you know?

Well designed!

Keep it up!

FXcube
  • #180
  • Dec 26, 2010 2:38pm Dec 26, 2010 2:38pm
On attached xls file, the updated results of my Manual BackTesting on December 1st-10th.

GBPUSD
Range Bar: 50 Pips
SL: 20 Pips
TP: Close Range Bar
Trigger Pending Order: Open Price + - 20 Pips.

Summary:

Range Bar Analized: 54
No Trades: 28
Quantity of Trades: 26
Winning Trades / Pips: 14 / 288 Pips
Losing Trades / Pips: 12 / -240
Pips Benefit: + 48 Pips

By now, the results are worse than I expected.

No spread considered.

Greetings.


JdD
Attached File(s)
File Type: xls MPAS Forex Test-50 Pips Range Bar (1-10 Dic-10).xls   172 KB | 354 downloads
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