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  • #5,601
  • Dec 5, 2011 5:06pm Dec 5, 2011 5:06pm
Quoting dddd
90% of ADR target hit at 1.03012. Since entry is at 1.0224 = +77 pips. risk= -5 pips. r/r = 1:15 roughly. this happened,tristemente.

CHART update attached with annotations:

P.S. since this violated the tony112 trade...not sure i should be posting stuff like this here. Anyways, you can check the rules for the trade.

Anyways, this happened subsequently:
After reaching the 92% of ADR....price collapsed in the AUD/USD.

ORIGINAL CHART.

chart attached.
Attached Image (click to enlarge)
Click to Enlarge Name: 2011-12-05_18-04_OANDA.jpg Size: 83 KB
  • #5,602
  • Dec 6, 2011 1:23am Dec 6, 2011 1:23am
unless it is something different, 5sec after the 2:00am EST open would have yielded this: bullish candle(marked on the chart). going long would have resulted in instant loss.
(of course, i didnt trade it...i only trade the modified tony112.)
Attached Image (click to enlarge)
Click to Enlarge Name: 2011-12-06_02-20_fxTrade.jpg Size: 102 KB
  • #5,603
  • Dec 6, 2011 1:25am Dec 6, 2011 1:25am
I dont see anything on my modified tony112 right now...i will have to wait till 3am EST to see if anything pops up...then...8am EST....see you all then.
  • #5,604
  • Dec 6, 2011 2:12am Dec 6, 2011 2:12am
well, the 3am 5sec candle seems to be working soo far....up +10 pips by the count of it...that is according to classic tony112.
Attached Image (click to enlarge)
Click to Enlarge Name: 2011-12-06_03-10_fxTrade.jpg Size: 118 KB
  • #5,605
  • Dec 6, 2011 2:19am Dec 6, 2011 2:19am
Quoting dddd
well, the 3am 5sec candle seems to be working soo far....up +10 pips by the count of it...that is according to classic tony112.

Price reversed back to entry point. i guess breakeven results.
  • #5,606
  • Dec 6, 2011 2:23am Dec 6, 2011 2:23am
My assumption was that we enter immediately at the 3am candle. I entered at about 30 seconds in and price reversed.
  • #5,607
  • Dec 6, 2011 2:27am Dec 6, 2011 2:27am
Are you referring to the L method when you say classic tony112?
  • #5,608
  • Dec 6, 2011 2:29am Dec 6, 2011 2:29am
Quoting Fedmayne
I have read this thread from the beginning and it appears many have left to seek other systems without giving this one the time it deserves. Lets get this thread fired up again here in London open.

i dont blame them. I think over 5,600 posts devoted to this method is a lot of attention. The potential r/r(or, greed, if you will, draws in attention)....but the fustration with the roulette-feel of the system is a problem:it is like a roll of the dice approach. How do we fine tune the entry? How do we fine tune the exit? How about intra-trade management?

alienfrog, smargxl, jrdotaus, etc, and of course, myself; we all want statistical data. I mean, it will help if TONY himself could help us with that.(afterall, he has been trading this system for over 200 years now.). His input and contribution in analyzing and breaking down this system to better perfect it would have been immense. We are all trying to make more money, here. But he is nowhere to be found while we try to re-invent the wheel.

To be honest, i am getting tired of contributing here too. Why am i expending energy working on this when i already have my own modified version? Maybe trying to expand my r/r beyond 10R is just greed on my part. I should just leave things at 10R and be happy. Even the founder of the system doesnt seems to contribute much besides introduce varying rules every now and then; or to randomnly show up and post a picture of "epic win". Sure, that is helpful! Maybe i am just frustrated. But, i think i am pretty much done.

Au revoir. See you lads around the globe. Best of luck in your trading endeavours.
  • #5,609
  • Dec 6, 2011 6:07am Dec 6, 2011 6:07am
Hi, guys. Still working on the statistics. Got NinjaTrader yesterday and started to try to figure it out. What an ordeal!! It looks very powerful but every step is an ordeal to figure out how to even open a chart with data!

Have to convert data into the correct format, them import it, then make sure it displays correctly. I finally found some help files. I think Ninja will do what I want but it's going to be a battle every step of the way.

It will take time but I will get this analyzed sooner or later!

Mega pips to all!
AF
Luck occurs when preparation meets with opportunity.
  • #5,610
  • Dec 6, 2011 7:03am Dec 6, 2011 7:03am
so what everyone did in this NY open ?
-----------------
  • #5,611
  • Dec 6, 2011 7:11am Dec 6, 2011 7:11am
I went long, but there was not 8 to 10 pip candle on the open however it did move up on the open.
  • #5,612
  • Dec 6, 2011 7:13am Dec 6, 2011 7:13am
Quoting dddd
i dont blame them. I think over 5,600 posts devoted to this method is a lot of attention. The potential r/r(or, greed, if you will, draws in attention)....but the fustration with the roulette-feel of the system is a problem:it is like a roll of the dice approach. How do we fine tune the entry? How do we fine tune the exit? How about intra-trade management?

alienfrog, smargxl, jrdotaus, etc, and of course, myself; we all want statistical data. I mean, it will help if TONY himself could help us with that.(afterall, he has been trading this system...
Hi DDDD,

Maybe a new thread, which expands in your variation, would be good? That way we can do like an ingoing test of your system?
  • #5,613
  • Dec 6, 2011 7:14am Dec 6, 2011 7:14am
Quoting ibpo
so what everyone did in this NY open ?
B/E on the LO
B/E on the NYO
  • #5,614
  • Dec 6, 2011 7:14am Dec 6, 2011 7:14am
Quoting AlienFrog
Hi, guys. Still working on the statistics. Got NinjaTrader yesterday and started to try to figure it out. What an ordeal!! It looks very powerful but every step is an ordeal to figure out how to even open a chart with data!

Have to convert data into the correct format, them import it, then make sure it displays correctly. I finally found some help files. I think Ninja will do what I want but it's going to be a battle every step of the way.

It will take time but I will get this analyzed sooner or later!

Mega pips to all!
AF
Thanks for all your hard work Alien!
  • #5,615
  • Dec 6, 2011 9:38am Dec 6, 2011 9:38am
Both yesterday and today NY opens were BEs.
r u ready?
  • #5,616
  • Edited 10:44am Dec 6, 2011 10:31am | Edited 10:44am
Quoting AlienFrog
Josh, is the EA supposed to work in the history tester? I tried it but it give no results.
No, it can't work in the MT4 strategy tester. One of the essentials of Tony's method is to refund weekly losses. AFAIK, this cannot be simulated in strategy tester. To paraphrase Tony in post #5430, refunding losses is crucial to making an eventual profit on the account: if you reduce your account to $100 even an 8888 pip run would not refund all losses, let alone make a profit. In other words, by the time you get your first win in the MT4 tester, your account balance will have already been so reduced by all the losses, that the win (bcs it is determined by the size of your account * risk) will be too small to bring your balance back into profit.

But the winnings on a properly maintained account balance should more than cover all the losses that you manually refunded.

To avoid having to simulate an account balance, my custom Dukascopy tick simulator only deals in pips, and the strategy report only refers to pips. Nonetheless, the EA results in my tester are not looking very good Will try to fiddle with it some. Either I made a mistake in my programming (which does happen), or Tony's method is not quite as mechanical as it appears.

~Josh
Those who can kneel before God, can stand before anyone.
  • #5,617
  • Dec 6, 2011 12:05pm Dec 6, 2011 12:05pm
Quoting jrodatus
Either I made a mistake in my programming (which does happen), or Tony's method is not quite as mechanical as it appears.
I'm very confident my programming is not the problem. The entire project was carefully architected in UML and unit tested before deployment. But there is a 3rd possibility that came to my attention while watching the tick feed of the simulator. First I noticed that the historical ticks I have from Duka provide only 4 digits of precision, not 5. That is, the smallest price increment is +/- 1 PIP. And it looks to me like they are chopping the 5th digit, not rounding. Whenever price is not making a significant move, it oscillates by +/- one or two pips. Now for testing purposes I fixed the spread to 0.9 pips. This means that virtually EVERY trade (in the simulator) will hit -1.9 pips almost immediately.

If they are indeed chopping (as I suspect), then a movement of 1.2 pips can actually show up as a movement of 2 pips in the tick data, triggering our trade's early death!

Market moves from 1.30009 + 0.00012 = 1.30021
Tick data shows the move as from 1.3000 to 1.3002
SL hit by a move of only 1.2 pips...

EDIT: Chopping can also cause a movement of only 0.1 pips to trigger our trade to open in that direction:
Market moves from 1.30009 + 0.00001 = 1.30010
Tick data shows the move as from 1.3000 to 1.3001
Trade opened in direction based on a 0.1 pip movement.... NO MOMENTUM!!

Our half-pip trailing stop only makes matters worse. Does anyone know if Dukascopy (or anyone else) publishes any 5-digit tick data?

~Josh
Those who can kneel before God, can stand before anyone.
  • #5,618
  • Dec 6, 2011 12:31pm Dec 6, 2011 12:31pm
Quoting jrodatus
I'm very confident my programming is not the problem. The entire project was carefully architected in UML and unit tested before deployment. But there is a 3rd possibility that came to my attention while watching the tick feed of the simulator. First I noticed that the historical ticks I have from Duka provide only 4 digits of precision, not 5. That is, the smallest price increment is +/- 1 PIP. And it looks to me like they are chopping the 5th digit, not rounding. Whenever price is not making a significant move, it oscillates by +/- one...
Well, I know Tony's system relies on a tiny stop loss, but is it possible to just set the SL to -5? (since 5:140 is still a really good ratio) That way the fractional pipette wont matter to the results?
  • #5,619
  • Edited 4:19pm Dec 6, 2011 12:42pm | Edited 4:19pm
Quoting SmartGXL
Well, I know Tony's system relies on a tiny stop loss, but is it possible to just set the SL to -5? (since 5:140 is still a really good ratio) That way the fractional pipette wont matter to the results?
Brilliant. Good news here

To compensate for the 4-digit chopping error, I set the movement threshold to 2 pips (instead of 1). Then I thought, why not set the trailing SL to 3 pips instead of 2 ? Couldn't hurt to try!

Here were the tester results for the entire year of 2010. Remember that all monetary values are expressed in pips. Bracketed expressions have the form {min | avg | max} (#values). For example, out of 488 loss trades, the minimum loss was 0 pips, the maximum loss was 3 pips, and the average loss was 1.46 pips. This tells you that effectively about half of the losses broke even. The max number of consecutive losses was 121, but the average number was about 38.

Results for 2010: takeProfit=140, stopLoss=3
----------------------------
totalTrades = 500
grossProfit = 1680.0, grossLoss = 712.0, netProfit = 968.0
expectedPayoff = 1.936
drawdown: {0.00 | 2.06 | 3.00} (500)
shorts: won 7 out of 235.
longs: won 5 out of 265.
profitTrades: {140.00 | 140.00 | 140.00} (12)
lossTrades: {0.00 | 1.46 | 3.00} (488)
consecutiveWins: {1.00 | 1.00 | 1.00} (12)
consecutiveLosses: {7.00 | 38.58 | 121.00} (12)

EDIT: The gross profit for 2010 is pretty close to Rac's manual backtest for that year. Gross loss is more because of larger SL used to compensate for Duka's digit chopping.

~Josh
Those who can kneel before God, can stand before anyone.
  • #5,620
  • Edited 4:19pm Dec 6, 2011 12:49pm | Edited 4:19pm
Unfortunately it didn't do so well for 2009. But first remember I set the SL to 3 (instead of 2) to compensate for Duka's digit chopping. And second realize that that doesn't correct the effect of the chopping on the trailing stop: undoubtedly some trades that should've profited didn't.

Summary: it would probably do better if I had 5-digit data to test on. If anyone knows where to find some, let me know!

Results for 2009: takeProfit=140, stopLoss=3
----------------------------
totalTrades = 488
grossProfit = 700.0, grossLoss = 700.0, netProfit = 0.0
expectedPayoff = 0.000
drawdown: {0.00 | 2.14 | 3.00} (488)
shorts: won 3 out of 250.
longs: won 2 out of 238.
profitTrades: {140.00 | 140.00 | 140.00} (5)
lossTrades: {0.00 | 1.45 | 3.00} (483)
consecutiveWins: {1.00 | 1.00 | 1.00} (5)
consecutiveLosses: {8.00 | 92.60 | 234.00} (5)

~Josh
Those who can kneel before God, can stand before anyone.
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