The Confession & The Secret

Dear Line,
thank you so much for so an inspiring and deep thread. I'm so sorry to be late here. My time available for trading and studying is so reduced that I really didn't manage to digest a bit of your teachings before.
And very openly: I think I have digested just a small fraction of the whole. The big picture, anyway, is pretty clear and attractive for me, now.

What I am commenting now is just the still smaller fraction which was clear enough for me to have it coded and backtested. I have made a little script which implements the T-trigger at GMT-1 00:00 and 12:00 and then goes on swapping at close the way you have shown in the most recent series of examples. Profits are taken by initiating a quite tight trailing as soon as (but not before) price has reached 50 pips (or more) from entry point. The whole using the M15 time frame. Note that, for this testing purpose, no particular money management nor compounding is applied. Trades are initiated with 0.1 lots, period.

Well: I made an interesting observation.

I started backtesting data from Oct 7th to date, i.e. one month in the past. This is the picture:

http://www.forexfactory.com/attachme...1&d=1320510922

Well: this looks actually very very promising for a "fast-and-dirty" testing script, actually, and the system, when visually backtested seems waterproof in its simplicity.

Then, unfortunately, the hopes get a bit cooled down if you try to repeat the experiment let's say from Jan to Jun this year, just to chose a longer period a bit back in the past:

http://www.forexfactory.com/attachme...1&d=1320511167

Mmm... Many possible explanations:
1. Me dumb , I made some stupid mistake. Very possible. I share this (otherwise useless) script for you to test [take care: timing is hard coded, and adjusted to my FXDD testing broker GMT+2, so you must adjust it to your broker's Time Zone. Code is super-easy, commented and should be self-explanatory. If not just ask!]

2. Among the weakest features of metatrader, there is surely the management of historic database. So: it might well be that these dismal results are due to wrong historic data. It doesn't look like, for what you can control in a rapid double-check (history center, visual inspection, quality of modelled data in backtesting).

3. Otherwise: this is one result of a syndrome I am seriously affected by (or at least... was!), which is called visual overfitting. While developing systems, making a manual backtest of several thousand bars (like the M15 of Oct-Nov) is a huge, serious worthful job. Unfortunately it happens (at least to me) that, looking and re-looking back to (so many) bars we find sometimes repetitive patterns. As we have looked so many bars, then we get convinced that these patterns are "common" and "general" and "valid" for the market as a whole. This is where computers come into help, because they can test it not for thousands, but for 10.000 - 100.000 - 1 mio bars, and... eventually find out that these wonderful patterns are not so "general" and "carved in stone" on the market in its complex.

So, dear Line, I had the impression that, after having claimed in the initial post that you had found "the general rule" (let's not call it the Holy Grail), a fact that I still can believe in the general terms of "trading the line", "keeping the hand in the fire box", i.e. accepting a very high R/R in spite of a low "accuracy" (%win/%loss)...
... in spite of all these good ideas, I had the impression you were/are still "tweaking" quite a lot your system, and this T-trigger line could be no "general solution".

I would like to ask you, if you still have the patience and the goodwill of sharing a bit of your vast experience, how long are you already succesfully trading the line, the way you have shown here.

And, since "where to place the line" is what you wish we learn to do, if possible I will be so thankful if you can give some more insight into how to design the V-trigger, and how long you've already used it successfully.

I hope you'll not take my experiment as a criticism, but, as it is, as a sign of deep appreciation and interest in your exceptional skills.

Bye

BL

I pretty much do this all the time:

http://www.freeimagehosting.net/t/be578.jpg

Today's EURUSD market (11/15/11) between 1300 GMT until now), was deemed by many traders to be impossible to trade, given the "volatility." Check the boards - many were frustrated today. You will see phrases like:

No traction today
Directionless market today
Can't get a good grip on direction today
Wild and unpredictable market today
I wish the politicians would get their act together in Europe

All of these comments and many more like them were uttered today by many retail traders trying to make sense out of the EURUSD. To that I say, stop trying to make sense out of the EURUSD.

0000 GMT and 1300 GMT are T-Triggers, not V-Triggers. The first graph is indicative of what eventually happens when the T-Trigger is used at 0000 GMT. The 1300 GMT T-Trigger is less optimal, because it comes after most of the European volatility has peaked and after the Sydney/Asian market as closed, but just before the U.S. market opens. So, it will typically normalize as being less than optimal.

Optimal T-Trigger Swap Cycle should be 0700 GMT through 1530 GMT - essentially, the full span of the London session. Re-run your test for that period and see what you get.

The other issue is Swap Method/Technique. I use a mixture of methods 1-3 which you would also have to code into an EA. However, that's where MT4 breaks down, because it is not OOP and not good for near AI like programming and that's what variable swap methods will require. So, trader's discernment during the swap execution is essential to reducing swap costs. So, if your OOP coding skills are up for the challenge, and you have the API, then you can attempt to create an AI Swap Module, or said a better way, a Smart Swap Module. (yet, another project that I might get around to in the future)

Lastly, where the line is draw plus whether or not the market contains enough magnitude/momentum (volatility) will determine the outcome (99% of the time) for how profitable you will be and how low your final swap costs will be.

Since I was here last, I have modified the time-frame that I trade and the swap cycle time-frame that I use. I have also added a new line that uses an EMA8/EMA21. If you recall, I said that there are many different ways to obtain the location of the line, but that regardless of which method is selected, the line must contain both Swing and Magnitude probability. Absent those two requirements, the swap cost will be too high per swap cycle. Sol, revisit the importance of knowing where the market it is at all time, relative to the Daily and Weekly Range.

Above, I traded a very difficult market today and came out with a profit. Most retail traders lost money net/net in this market today, under the times that I listed above and many of them simply gave up because of the whipping action apparent in the price action today. It took me a while to figure out what I needed to do today, but I ultimately found a new Swap Line (EMA8/EMA21) which I foresee becoming the primary Swap Line, after I conduct more testing on it.

Optimal triggers will always be well established V-Triggers. T-Triggers can be used to get up to speed on how to become a good Swap Cycle Trader. If you want to trade the EUR and you don't live in London, then in order to get optimal results using a T-Trigger, you will have to stay awake and trade the London session - whatever those GMT times are on your platform.

Else, you can switch to a pair with a different base and counter currency: USDJPY, NZDUSD, etc. Look for big movers - pairs with large scale, prime-time Daily Range. Those will always work the best.

There is no easier way to trade the currency markets. Should be illegal. In fact, this is WHY many "brokers" don't like so-called "high frequency retail traders." They don't like you bouncing in and out of positions and when you put on larger positions, you notice delays in fills, slippage, etc.

If you locate the correct line, how is it possible to ever not make a profit, when by definition, you must swap into the eventual momentum of the market? It is just not possible. Failures comes when people remove their hand from the Pain Box and they stop the swap sequence, just before the profitable trade comes.

Check those things and then let me know. I won't be checking this forum everyday, but I'll drop back by every now and then.

Good Trading to you.

Dear LiS,

thank you so much for having had the patience and the nice attitude to reply to my notes above.
Yes, I too am not a so frequent writer of these forums, but I keep a close eye on them.

Your answer, as all the other contributions of yours here at FF are very dense and impressive. I see all your points, and I'm very aware of all the limitations of my understanding and my experiment, there above. I also know the limitations of MT4 in terms of OOP and AI capabilities (though it's not really "impossible").

I find very interesting, in your last, the 8+21 EMA concept, which I will explore, and then try hard again to better understand the "Swing and Magnitude probability".

Another interesting issue is the switch between different swap methods. On one side, it is not yet completely clear to me the RPO and Ask/Bid cross mechanism. The test I made above was thanks to the fact that you have made several concrete examples of the swap on close method, and so I could "trace it" very clearly.

But the other very intriguing fact is that you say you're switching between these methods in a way that would require, for a computer, an AI algorithm to be implemented. So my question could be: does this means that you have some "very well educated discretionary method" for choosing anytime when it is worth using RPO/Ask-Bid/close, or rather there is some "defined" criteria you look at for deciding which one of the three is more suited?

Sincerely

BL

NICE WITH THE TREN LINES ,, IS EXPENSIVE...

Check your PM. You've got mail.

Careful with using conventional trend lines and this method. Because the trend line is directional, price can coil around the trend line while still remaining directional - causing your swap cost to increase dramatically.

This is definitely NOT for use with conventional trend lines. If you have a non-conventional trend line, then you will have to test that to locate optimal swap methods.

Yes pal, just seen it. Check yours!

Bye

BL

you could effectively capture the ATR market capacity by attempting to capture the daily candle

drawing your line on the open price.

buy above and swap to capture the level. sell below open and capture the level

combine the ATR with pivots to guide you on expected exhaustion points,

and use Bollinger Bands for calculation of standard deviations to guide you on when volatility contracts, expands, and normal price variance turns to shift in direction.

just a suggestion

no. then you get the often occuring range day where price goes nowhere and you end up churning so many entries for zero price movement, hence the 'triggers' that are an expectation of price moving away from some point and not returning.

you still need some edge and can't just trade away from the open. that's actually an old strategy discussed years ago by TheRealThing (if i remember correctly). too many people can't tell a range day from a trend day until after the fact when it's too late... so, yeah, it'd do them well to work-out a way to quantify such outcomes before the fact and then have some strategy in mind that fits the situation.

the open is the easiest line in the sand to use.

most times prices close above or below open

this month price has had displacement (net change open-close) from
13 pips to 313 pips either above or below open

an average of 117 pips displacement.

almost never does the close= open

according to ATR assess whether the move has some fuel or if reaching average capacity you could start taking profits off the table, as far as direction, momentum, and oscillation of price movement along with price levels and pivot points can give you a good indication, most pivot points correlate with capacity, figure our how to combine ATR, pivots, S/D, S/R, coupled with price behavior viz a viz wave oscillations. and momentum due to electronic order matching.

use Bollinger Bands to find the actual future volatiliy and normal standard deviations, as to ascertain if the move is in accordance to normal price variations, or if it is a change in direction. Knowing how to read bollinger bands to know if current price is above or below market value is also helpful.

but like most things, require experience, and price is unpredictable. so there is no perfect system. and no perfect trader, discretionary traders fall victim to optical illusions and inability to accept mistakes, marrying their bias and so forth

but if you are willing to accept small losses to turn in the right daily direction, from the Open price.

the OP strategy seems to have a lot of merit.

Nubcake,
appreciated several times your contributions, as a lurker.
Now, I don't want to enter into the little discussion with redlion. I'm just here to say: did you investigate a bit about TheRealThing...?
Well: if we all manage to achieve what he achieves... I think we all could be very very happy!

Just my two cents.

BL

redlion : i see now your original post mentioned bollingers and volatility contractions and whatnot. somehow i managed to completely overlook this hence my completely moot post regarding shitty range days that chew your account for no price movement. that's what i get for skimming. you'd already covered it, so kudos.

you'd be the only one

i'm not sure what you are implying here regarding the 'investigate' part. this could refer to any number of things. i suspect you are generically referring to his self-reported profitability, but if you mean something else that perhaps requires some google ninja skills or something then please elaborate further so that i'm on the same page and up to speed.

Concerning the first: don't be too humble! LOL!

Concerning the second: Joel Rensink, aka TheRealThing, is surely "self-reporting", but with such a precision that you can really follow and check. Well, the surprising thing there, in my view, it is that he shows that no "rocket science" is needed, but a good discipline, systematic acting and reporting, and an iron risk management. This post on this same thread points to an interesting stream, without the need of becoming "google ninjas" .

The kind of patterns he uses are perhaps "rudimentary", but they look like as the precursors of "statistical arbitrage", a thing I am becoming quite attracted to (although not yet versed in... ). But I'm working in this direction.

Bye

BL

redlion : off-topic... i warned you some time ago about certain 'buddies' of yours who would turn on you in an instant if you brought science into their world of faith, so to speak. it seems i was right. i would have liked to have been wrong in this case, tbh. perhaps if you had never mentioned the dreaded 'noobcake' you would still be in their good books.

betterlife : statistical arbitrage. that be some sexy words, and probably a nice way of summarizing the theme behind this thread. i clicked the link and frankly i didn't realize it was a different thread to here until a minute or so of skimming through. i knew there was a reason this thread felt so familiar.

i got excommunicated for mentioning the devil himself the NUBCAKE

i say it here to your face.

i might not agree with how you proceed
sometimes you are an asshole
some time you act as a troll
and you argue for the sake of argument, i believe you get your kicks by pissing people off.

HOWEVER, i do respect your input, and intellect, you are very logical, and you have incredible knowledge, i give you, your due credit

you nailed each point perfectly, though, that's not to say this is the complete picture of who nubcake is and what nubcake represents... but it's a good starting point nonetheless.

true nature has revealed itself to you (as i predicted elsewhere on ff months ago) and you have learned some lessons these past 24hrs. the self-appointed god and his minions have cast you out of their faith for your self-education is heresy and betrays their needs for ambiguity and control through ignorance and obscurity. if you manage to shrug off some of the 'wisdom' that surely has held you back then you'll probably make a killing some day in this forex adventure and put shame on all of those clowns. i hope you do, truly. spite tastes so good sometimes.

anyways.... seems jettrader, errr, line_ rather, has gone quiet for now. ima shuddup and let the thread get back OT.

Indeed.

Insipired by this post (Many many thanks to Line in Sand), I am experimenting on something like this:

1)First entry: Sell on EU from GMT 6 to GMT 12, time frame:15 Min
2)SL 10 pips, TP 20 pips.
3)Second entry: Buy right after the first sell entry closed. SL and TP as 2).
4)After second entry of Buy been closed, fire another Sell, then Buy and so on so forth.
5) Stop trades if net pips is 20-40 pips (historically based); or
Stop trades after GMT 12, with what ever loss or profit in hand; or
Stop trade with certain loss pip (havent encounter loss yet so far in historically analysis)

In progress: making strategy tester to test on historical data. With historical data analysis, net loss and profit where trades must stop can be refined. SL/TP ratio and pips for SL and TP itself also can be updated as per historical analysis. Entry pattern also can be refined, such as Buy-Sell-Buy-Sell...or Sell-Buy-Buy-Sell-Sell....and so on. Also refined time frame of trade. With this method, time frame should not matter if entry is not trigger by visual judgement, but strictly follow the rules or by autotrader, as entry-exit and next trade is determined by SL/TP.

Imporatnt point, since market is a like band, go up then go down, and direction is simply not predicatable, but one thing can which is go up and down, therefore.....buy or sell is not important anymore. just trigger a pattern of buy and sell. any comments?

Dear people,
sorry if I have so few time to follow up with more precision and timeliness.

But, for the sake of correctedness, and giving again a lot of tributes to the ideas of this thread and his author, I finally found the time of repeating the backtesting of the script I presented here sometimes ago the "proper way". You all might be aware of the intricacies of MT4 backtesting...

And so, with the Dukascopy data, 99% accuracy (floating spread) [BTW: the ONLY correct way of making backtests with MT4, probably... all the others are less or more guessing into the fog...], with parameters set to 3, 50, 10 (look at the script), results for the "disappointing" Jan to Jun period are:

http://www.forexfactory.com/attachme...1&d=1322478895.

So, even in that "difficult period" the system was at least going BE. Please compare with the "bad backtesting" figure in the previous post. Kudos to LiS. I think this confirms how much potential the ideas written here can have.

Mine was just a "fast and dirty" coding exercise. With the "due diligence" who knows where the whole can go!

Bye

BL