M15 and EURUSD only. Do not trade this with other pairs, as the settings reflect the nature of EURUSD price movements.
The idea is that if price breaks out from and later returns into the session range below the breakout candle's low, price will fall further about as much as the size of the breakout candle, if certain conditions are met. In case of certain candles it falls even more.
There are 4 sessions to watch [GMT+1, DST: GMT+2 (spring and summer in Europe)], template is attached:
- Asian full from 1am-8am,
- Asian late 5am-8am,
- EU 8am-14pm,
- Big dog 14pm-16pm
Simplified trade example [assuming it is a qualified bull candle, see picture]:
Entry: I enter the trade 2.5 pips below the breakout candle's low [with a pending order]. (updated to 1 pip based on backtest results)
TP: measure candle size and deduct this value from candle low [in bid price]
SL: add 2.5 pips to candle high [in bid price] (updated to 1 pip based on backtest results)
Candle types: I trade either a single candle [the first candle that breaks off the session range by min. 2.5 pips (original value, now it is 1 pip)], or the two candles that follow the single breakout candle [I do this if the first candle does not qualify for trading].
Candle qualification: a candle or the following two candle must be qualified prior to trading it/them. How I qualify candles? I entered session [high/low] and candle data [ohlc] manually on an Excel sheet [one year's data is available]. I registered if candles or candle combinations [the 2nd and 3rd candles] hit TP level or not before hitting the SL level [so I knew which candles were winners, which ones were losers]. Also, I registered how far price moved in my favour so that I could play with moving TP levels further in order to increase profit.
In addition to simple candle data, I have created several variables describing candles and variables that describe the relationship between candles and session range [examples: how much space there is for a candle to reverse into, what portion of a candle is outside of the session, what the directions of combined candle's [2nd and 3rd] are [reverse, continuation, mixed], etc].
Finally, I checked the relationships in between winning/losing trades and the values of all the created variables [which values of variables describe winning and which ones describes losing candles]. I used Excel's filter function to differentiate winning and losing candles. It has become very complex due to incorporating many variables into the trading decisions.
After processing data of 10 months, I could optimize the strategy no further by any kind of selection.
There was no arbitrary selection of values of variables. I only filtered variable values in a consequent manner [for example, if % values of a variable was investigated I only disqualify candles with 0-30%, no such thing that I disqualify 0-30% and 50-60%]
Using the Excel trade advisor:
1. Register date and session data [column A to E] wait until session close, enter session high and low values [column F,G] and wait for a candle to break it.
TRADE ONLY AFTER CANDLES CLOSE!
Then enter the ohcl data of the first candle that breaks out of the session at least 2.5 pips [column J,K,L,M]. You will get a "T" (Trade) or "NT" (No Trade) [<2.5 pips] response in the candle advise column [column AH].
Or, if the first candle does not qualify, you will get a "2+C" advise, in that case enter the next 2 candles' ohcl data [column AU,AV,AW,AX and BF,BG,BH,BI] and check the candle advise [column CG, you will trade those 2 candles combined]. If there is "T", then place the order advised in the file.
The 2nd and 3rd candles' position relative to the session range or the breakout candle is indifferent.
If a candle spikes through 2 sessions [asian late and full, that are overlapping each other], trade each session independently [trade twice if advised].
2. Read and enter order parameters. The first or the 2nd-3rd candles' order details are in the same column [column CS,CT,CU,CV,CW]. You can see the risk reward ratio in the Excel file as well.
Trade orders should expire when the next session starts except the EU and BD session orders that should expire 2 hours after the close of BD session.
All other columns are for the purpose of development and background variables to help on trading decisions.
3. TP levels can be adjusted by sizes of candles on a separated sheet [1=candle size, 1.5= 150% of candle size]. There are two tables, one for single candles, one for combined candles.
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That's all. If you are in doubt, enter past data. Do not enter the past one year, it is profitable. It makes about 2200 pips a year and I never experienced more than 4 losers in a row (based on tests this can be 7 to 9 depending on settings). There are months when the strategy just does not work (I still have not figured the factors behind), but DD is generally little (with 1% risk it is about 12%) and later on it will catch up to turn into profit.
If in doubt, pm me. I will answer on the forum after receiving several questions.
I do not Expect many comments on this strategy as its logic is hard to approach due to the nature of how it was created. My target is to create an EA based on specs and share it with anyone interested in this strategy.
June 26, 2011: updated programmer's specs
January 27, 2012: shared the new template and equity curve, see post #40, page 3.
March 1, 2012: uploaded a calculator only file and corrected column references in the text above.
April 6, 2012: candle multiplier values have been changed in SBOR calculator only file to increase profit.
April 7, 2012: EU session can be traded for 4 hours, all pending orders should be closed after 2 hours after the BD session.
ATTENTION!
April 29, 2012: I do not have time to update this thread for the time being. If you want to trade this strategy please note the following issues:
- EXCEL rounding error for candle sizes should be fixed (use simple ROUND function in Excel), columns BQ & V
- best settings for candle multipliers (Top-down): Single candles: 3.5, 3.4, 3.3, 2.2, 2.1, 2.1, 2.1, 1, 1, 1, 1
Combined candles: 2.5, 2.3, 2.3, 2.2, 2.2, 1.5, 1, 1, 1, 1, 1
- best settings for order entry and SL: 1 pip. 2.5 is still ok but less profitable.
- the excel works with 1.5 pips spread, consider this when trading. Also consider that the Excel is based on the original strategy with 2.5 pips values.
All the best with this strategy,
Rewand
