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Nb 1.0 trend trade system

  • #781
  • Jan 24, 2011 9:53am Jan 24, 2011 9:53am
Quoting censura
Does your dashboard reflect this stategy
No not yet but should be very easy to modify. Will look at it this week.
  • #782
  • Jan 24, 2011 2:24pm Jan 24, 2011 2:24pm
Quoting ericjschroed
I'd like to share my test results from just this month. I know that's not a good comprehensive sampling but I'm tired of looking at the charts just now. I went through all 27 or 28 currencies that I have in my list and applied these rules gathered from Duffy and Bob:

In an uptrend with 8MA above 60MA, wait for price to break below the 8MA and then Buy on a cross above, sometimes on the same bar. I do not wait for a close. However, I did filter out trades where the 8MA was too steep an angle counter to the trend. Right now that's a visual thing...
How do you enter when the set-up and the entry are on the same bar? Let's take a long as an example. Price moves below the 8 during the bar, and then crosses back up. Do you wait for it to go up above the 8 a certain number of pips? Do you go in at the slightest re-cross?
  • #783
  • Jan 24, 2011 8:02pm Jan 24, 2011 8:02pm
Quoting duffypratt
How do you enter when the set-up and the entry are on the same bar? Let's take a long as an example. Price moves below the 8 during the bar, and then crosses back up. Do you wait for it to go up above the 8 a certain number of pips? Do you go in at the slightest re-cross?
Yes, that's a bit trickier. In my visual test I just looked at it and said, "it went down this far, set the SL below it, enter at 8MA." In reality, I'm trying to determine a trigger, like 5 or 10 or 20 pips below the 8MA first, THEN set the Buy EA to enter on an 8MA cross. Or you could just wait until the next bar open to place a market order, if it's above the 8MA. I just saw a number of trades that only dipped below for one bar and then took off.

In my test the profitable 4H bars (GMT) were trades opened:
1200 - 660 pips (when I'm asleep! Need to code my EA)
0800 - 499
1600 - 470
0400 - 181
2000 - 103
0000 - (81) loss

which is probably no surprise to anyone here.
  • #784
  • Jan 24, 2011 9:52pm Jan 24, 2011 9:52pm
This is basically the same test as before, with one slightly new wrinkle.

Stop: below last swing high/low.
BE + 10 set when Gain = Stop size.
TP close of first bar to cross back over the 8.

I kept track of three kinds of trades: 1) With trend with strong slope on 8. 2) With trend but 8 is flat. and 3) Against the trend but with strong counter slope to 8 (strongly converging).

One problem in live trading, which we are already discussing, is figuring out how to enter when price pierce the 8, and then heads back in the other direction strongly in the same bar. These are often the best trades, but you would have to be watching constantly to catch them all.

Results:

275 Trades
82 Wins 30%
112 Break Even (+10) - 40%
81 Losses 30%

Expectancy -- .94
Pips/trade --24.5
Average Stop Loss -35

Assuming 3.9 spread (which is about what I get on my broker), and 2%/ trade, 10,000 grows to $495K. Deepest Drawdown -- 11% (from 400K to 357K)

With 1%/trade - 10K grows to 78K. Deepest Drawdown - 9.4% $69.2K to $65.4K.

Of the three types of trades, the with the trend trades with strong slope also with the trend did the best, with an expectancy of 1.56 over 85 trades. The flat sloping trades did the worst, with an expectancy of .67 over 182 trades. Countertrend trades with a stong slope away from the trend did very well, but there were only a few of them. Expectancy of 1.25 over only 28 trades.
  • #785
  • Jan 24, 2011 9:59pm Jan 24, 2011 9:59pm
Quoting ericjschroed
Yes, that's a bit trickier. In my visual test I just looked at it and said, "it went down this far, set the SL below it, enter at 8MA." In reality, I'm trying to determine a trigger, like 5 or 10 or 20 pips below the 8MA first, THEN set the Buy EA to enter on an 8MA cross. Or you could just wait until the next bar open to place a market order, if it's above the 8MA. I just saw a number of trades that only dipped below for one bar and then took off.

In my test the profitable 4H bars (GMT) were trades opened:
1200 - 660 pips (when I'm asleep!...
I'm assuming that these are the start times for the periods involved. So that 0000 is 0000 to 0400. Is that correct?

How many of the 660 pips would you catch if you used Bob's 8cross EA before you went to bed? The question applies more generally. Many set-ups take several bars before the entry occurs. You would get in on any set-up that takes more than 2 bars.
  • #786
  • Jan 24, 2011 10:13pm Jan 24, 2011 10:13pm
Quoting ericjschroed
Yes, that's a bit trickier. In my visual test I just looked at it and said, "it went down this far, set the SL below it, enter at 8MA." In reality, I'm trying to determine a trigger, like 5 or 10 or 20 pips below the 8MA first, THEN set the Buy EA to enter on an 8MA cross. Or you could just wait until the next bar open to place a market order, if it's above the 8MA. I just saw a number of trades that only dipped below for one bar and then took off.

In my test the profitable 4H bars (GMT) were trades opened:
1200 - 660 pips (when I'm asleep!...
These are not pips this is 5 digit broker. You should post these as 66.0 49.9 47.0 etc. The definition of a pip does not change when you add a digit.
  • #787
  • Jan 24, 2011 11:35pm Jan 24, 2011 11:35pm
Quoting nanningbob
These are not pips this is 5 digit broker. You should post these as 66.0 49.9 47.0 etc. The definition of a pip does not change when you add a digit.
Actually, Bob, my broker is a 4 digit broker, Forex.com. And the 660 pips mentioned is the total pips, not the average, from my visual backtest for all trades that opened during that particular 4H bar during the quoted period (i.e. all trades entered on ANY pair during the 1200-1600 bar (yes Duffy) from Jan 6 to Jan 21), based on 1 minimum lot, in my case 0.01, being 1 pip. See the spreadsheet. Although as I mentioned, the new margin requirements prohibit me from risking a full 1% so will have to go 1/2% or less.

P.S. Bob, can you tell me how to turn off the alerts? I keep getting the TMA popup alerts even though I've selected False to all options.

And Yes, Duffy, I am still trying figure out how to capitalize on the trades that set up while I'm asleep, unless I set my alarm for midnight and 4:00am every weekday. Like I said, maybe I have to lose some sleep until I don't have a job and sleep is not a problem . So I may have to code my EA to set the trigger after a specific move below/above, and the enter the trade and set the (hidden) SL and TS.
  • #788
  • Jan 25, 2011 2:52am Jan 25, 2011 2:52am
Quoting ericjschroed
Actually, Bob, my broker is a 4 digit broker, Forex.com. And the 660 pips mentioned is the total pips, not the average, from my visual backtest for all trades that opened during that particular 4H bar during the quoted period (i.e. all trades entered on ANY pair during the 1200-1600 bar (yes Duffy) from Jan 6 to Jan 21), based on 1 minimum lot, in my case 0.01, being 1 pip. See the spreadsheet. Although as I mentioned, the new margin requirements prohibit me from risking a full 1% so will have to go 1/2% or less.

P.S. Bob, can you tell me how...
Oooops sorry about the 5 digit thing.

In the code it looks like this:

message = StringConcatenate(Symbol()," at ",TimeToStr(TimeLocal(),TIME_SECONDS)," "+timeFrameToString(timeFrame)+" TMA bands price penetrated ",doWhat," band");
if (alertsMessage) Alert(message);
if (alertsEmail) SendMail(StringConcatenate(Symbol(),"TMA bands "),message);
if (alertsSound) PlaySound("alert2.wav");

If you put the double slash before the 'if' statements // like this:
// if (alertsSound) PlaySound("alert2.wav");

you can eliminate whatever part of the alert program from working. After you put the slashes in front hit compile and check for any error message at the bottom of the page that should do it. The lines you put the double slash will change to a lighter gray color to let you know the code will not operate while the program is running.
  • #789
  • Jan 25, 2011 6:21pm Jan 25, 2011 6:21pm
Quoting nanningbob
These are not pips this is 5 digit broker. You should post these as 66.0 49.9 47.0 etc. The definition of a pip does not change when you add a digit.
[quote=ericjschroed;4340652]Actually, Bob, my broker is a 4 digit broker, Forex.com. quote]

You may both be right. I have account with Forex.com
My live accounts quote 5Digits. Demo account default setup is four digit but you can select 5 digit demos.
  • #790
  • Jan 26, 2011 10:12am Jan 26, 2011 10:12am
Quoting nanningbob
If you put the double slash before the 'if' statements // the code will not operate while the program is running.
Not sure what code you mean, Bob. I don't have any EAs running and I even deleted the TMA indicator but I'm still getting the alerts. Can you tell me where to look? tx
  • #791
  • Jan 26, 2011 6:01pm Jan 26, 2011 6:01pm
Quoting ericjschroed
Not sure what code you mean, Bob. I don't have any EAs running and I even deleted the TMA indicator but I'm still getting the alerts. Can you tell me where to look? tx
There are only two things that give alerts from my system the TMA
and the warning system posted on pg 1 post 1. For them not to work you have to have them off all your charts. Make sure you dont have one chart with them still on. I am leaving for HK in about 6 hours and wont check online until I get to San Fran tomorrow. So if that is not the problem someone else will have to help you. Sorry.
  • #792
  • Jan 26, 2011 6:15pm Jan 26, 2011 6:15pm
Hi guys,

I am looking at both this and the 5.0 system. Not sure which one to start off with.

Anyways, I read the manual and applied the templete. Problem is I am not sure how to trade this system. reason being. Price is no where near the red or green bands when the trend is up or down. So does this mean there is no trades now? I am compare the setups from the manual to what is happening real time. For example, Eur/USd. I dont think there is any way to trade that as of now with this system.

I am just a newb (going on 7 years of struggle and blown demo accounts--way too chicken to try a live account if demos keep failing) trying to learn. Also, does the other 5.0 system still work. If so I might try that. After reading this nice thread. There is alot of good input going on so I might hold off a bit.

Hope I did not come off as an asshole. I am terrible with words...lol

-Negima
  • #793
  • Jan 26, 2011 6:17pm Jan 26, 2011 6:17pm
Sorry about this

But what is this 6.00 system people speak of. I only see a 5.XX?

thanks!

negima
  • #794
  • Jan 26, 2011 6:28pm Jan 26, 2011 6:28pm
Quoting stevegee58
Thanks for the feedback. Funny you mentioned the "m" since I just fixed that too. Version 1.2 is attached. I *think* it will work with other brokers now.

Who created this? I would like to find them and see if they could create one for another strategy.

Thanks
  • #795
  • Edited 8:17pm Jan 26, 2011 7:20pm | Edited 8:17pm
Quoting duffypratt
I'm assuming that these are the start times for the periods involved. So that 0000 is 0000 to 0400. Is that correct?

How many of the 660 pips would you catch if you used Bob's 8cross EA before you went to bed? The question applies more generally. Many set-ups take several bars before the entry occurs. You would get in on any set-up that takes more than 2 bars.
Hey, Duffy (and others),

I have been trying to quantify the "too steep" idea for the 8MA and after lots of tedious data entry in Excel, here is what I'm considering. This can be coded into an EA, in fact Steve's does most of this but I don't know if I can do it. Most of the parameters could be external variables that could be changed by the trader. The numbers below are my first thought for the EURUSD; other currencies would probably be different.

If UT (8MA above 60) and price closes below 8MA and then price crosses 8MA AND the difference between current 8MA and 8MA 5 bars ago is greater than -35 (no more than small downward slope) then enter the trade. SL I'm placing at 20 below recent swing low. If price goes nowhere within 2 bars (less than 20-30 or a loss) close trade. If price stays positive but stagnates (20-40?) move SL to BE. If price moves equal to SL, move SL to BE+10.

For TP:
I first tried trailing the stop 10 pips below the lowest low of the last 2 bars, once profit exceeded 100 and got 427 pips profit from 1 Jan 2010 to 5 Mar 2010 (still not a comprehensive sample but got tired of all the data entry since I can't seem to export the numbers into Excel). However, if I simply took a 100 pip TP the total increased to 546 due to having more trades hit 100 and then reverse and only a few that kept going. Nearly all the profit came from trades opened during the 3 bars starting 0400, 0800 and 1200 GMT and you could increase the profit another 100 pips by not opening trades the other 12 hours.

About the "steep"ness: In my first sampling I never had any 8MA more than the -35 pips from current to 5 bars ago, so basically all trades went through. Update: the one thing I haven't included yet is, is the 8MA too close to the 60MA.

Since some pairs including a number of JPY pairs, rarely move more than 75 pips or so, the numbers would need to be different. It would be nice to determine a good measure such as ATR or something, to base the TP and BE numbers on.

Oh, well, lots more testing to do. Now I'm trying this on the Forex Tester software I blew $150 on to see if the results are the same.
  • #796
  • Jan 26, 2011 7:58pm Jan 26, 2011 7:58pm
Quoting negima
Sorry about this

But what is this 6.00 system people speak of. I only see a 5.XX?

thanks!

negima
They were working on some updates in the 4hr thread that were called 6 and Bob mentioned at one stage that he might combine the NB 4 hr v5.3 and the NB Trend v1.0 into a 6.0.

edit: added additional info
  • #797
  • Jan 26, 2011 9:14pm Jan 26, 2011 9:14pm
Hello
I have finaly read through this thread and am current would like to say their is alot of great help here and seems to be a very good group I noticed that the tma angle indicator seems to work with the tma true indicator and is off when you use the tma current not to question how we use them this is just an observation i noticed thanks
also can someone tell me the easiest way to post a chart in here thanks again
  • #798
  • Jan 26, 2011 9:19pm Jan 26, 2011 9:19pm
Quoting negima
Hi guys,

I am looking at both this and the 5.0 system. Not sure which one to start off with.

Anyways, I read the manual and applied the templete. Problem is I am not sure how to trade this system. reason being. Price is no where near the red or green bands when the trend is up or down. So does this mean there is no trades now? I am compare the setups from the manual to what is happening real time. For example, Eur/USd. I dont think there is any way to trade that as of now with this system.

I am just a newb (going on 7 years of struggle...
I just looked at EU and there is no trade now. My testing shows that each pair gives about 2 setups per week. The last one on EU was 1/25 at somewhere around 4am New York time.

From what I have read, there are still people who are successfully using the 5.0 system. Bob started looking for a new system for a few reasons.

First, the 5.0 system allows a trade to go very deep into drawdown, and actually increases lots at specified points to get out of the drawdown. This recovery system requires either a very large account, or teeny-tiny lots, or lots of leverage. When the US changed its regulations to make 50:1 the maximum leverage here, it put terrible strain on the recovery system.

Second, the no hedging rules in the U.S. put trades in the 5.0 system at fairly high risk around big news time. There are probably workarounds for this, but most people saw this as another problem exacerbating drawdown.

Third, Bob had really bad experiences with his foreign broker. They changed the rules about carry, and the carry charges were cutting deeply into his profits. I think he decided at around that time that it was preferable to stick with US brokers, even with the new US regs.

And, it appears that markets are changing. For years, it seemed like volatility and trending were decreasing. This was one of the big things that went on during the mid 00s. In that environment, a system that takes advantage of ranging markets and mean reversion does very well. That changed with the bursting of the real estate bubble, and with the troubles with the PIGS in Europe. It looks like we are now in for a period with more trending. And for this environment, it may make sense to use a trend following system. The best way to see whether either system works is to test it for yourself.

I hope this helps.
  • #799
  • Jan 26, 2011 9:55pm Jan 26, 2011 9:55pm
Quoting ericjschroed
Hey, Duffy (and others),

I have been trying to quantify the "too steep" idea for the 8MA and after lots of tedious data entry in Excel, here is what I'm considering. This can be coded into an EA, in fact Steve's does most of this but I don't know if I can do it. Most of the parameters could be external variables that could be changed by the trader. The numbers below are my first thought for the EURUSD; other currencies would probably be different.

If UT (8MA above 60) and price closes below 8MA and then price crosses 8MA AND the difference...
A few observations:

1) It looks to me like the steepness that matters most is the steepness of the 8 just before it drops below the 8. Lets say its a strong uptrend. Price has been moving up for a while, and the 8 has a nice slope to it. Price then comes back through the 8, dips for a couple of bars, and then comes back up. What matters to me is the steepness of the slope before price crosses below the 8. The dip back below the 8 might flatten out the slope by the time price crosses back above. But I would still want that trade in a big way.

I think the best thing I could do on this is maybe put up some picture examples of what I mean.

2) Slope is notoriously difficult to deal with in an EA. Even visually, it can be a real pain. The slope of an MA depends on the scale of the chart. You can make the same MA look steep or flat just by messing with the horizontal and vertical dimensions of the chart. Also, with automatic chart scaling, the slopes will change as the range of price varies on a chart. My visual testing did not take this into account, and I really don't know what effect it would have to use some constant measure, as opposed to my eyeball judgment.

3) The change in slope over one or two bars would almost never have an impact on my decision to take a trade. My tests only filtered out strong countertrend slopes. Those would have to be reasonably steep (>20 degrees) over several bars (at least 4-5 bars, and that is where the drop is really steep, longer where the drop is less steep). Based on this, I don't think an EA would necessarily have to take the slope into account, at least it would not have to if you were able to check on the charts every 8 hours or so. Then you could decide where to turn off the EA when the slope turned bad. And you might miss a few trades. But I don't think you want to have an EA that runs itself. At least, that's not what I'm looking for. Instead, once I've decided that I would like to take the next set-up, I want an EA that will enter the trade, set my stop, and determine the lot size according to my parameters. Maybe also set up some basic Take Profit and break even rules that would stay in effect until I could override them.

4) Take profit is a bitch. 100 seems really arbitrary to me. I'd be more comfortable with a TP that was based on something other than just a number picked out of the air. Maybe your new testing software will help on that. But I will suggest that my testing over a longer time showed an average pips/trade on USDCAD of 24 pips/trade after spread, and on NZDUSD of 21 pips/trade. Your tests after 97 trades, shows 18.8 pips/trade. All of these are good results, but I doubt your statement that cutting profit off at 100 pips gives better results than letting winners run. Instead, I wonder if you would consider moving break even up very slowly, and having some other parameter to close out really long runs.
  • #800
  • Jan 26, 2011 10:17pm Jan 26, 2011 10:17pm
So I think we are getting the best of both worlds with nanningbob's tireless, rewarding efforts. Sounds good to me. We basically pick the better of the two systems, if I am not mistaken.

Quoting duffypratt
I just looked at EU and there is no trade now....
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