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Nb 10.0 trend trading system

  • #2,801
  • Jun 5, 2012 3:04am Jun 5, 2012 3:04am
Rules of the backtest is explained here.
http://www.forexfactory.com/showthre...92#post5723692

This time its EURGBP another group 1 pair. Boy am I surprised by the results. I expected the results to be like AUDUSD.

Anyway I am impressed by the results because it coped so well during the ranging period earlier this year. A lot of trend following systems that I have seen in the past would have been whipsawed pretty badly by this pair.(for those that think this result is mediocre)

This time holding on to your trades beats taking profits fast by twice the amount! This is a group 1 pair so I don't know what to conclude now. My previous conclusions are thrown out the window....
Attached Image (click to enlarge)
Click to Enlarge Name: 7157599 Interbank FX Trader 4 - Demo Account - [AUDUSD,H4]_2012-06-04_23-51-52.jpg Size: 93 KB
Riding the order flow
  • #2,802
  • Jun 5, 2012 3:39am Jun 5, 2012 3:39am
Spain is crying for help and I see the euro diving below the pivot line again. So Gonna follow the action. eur/aud, eur/jpy, eur/usd, eur/nzd, broke the weekly pivot and eur/cad is doing quite a dive. So back into the deep end of the euro pool I go.
  • #2,803
  • Edited 11:17am Jun 5, 2012 10:59am | Edited 11:17am
Rules of backtest is here, http://www.forexfactory.com/showthre...92#post5723692 Oo, surprised me again....

There seem to be certain kind of trends this system is good at picking up and certain kind that it's not so good. This system made it big when the market was trending fast but breakeven when the market was trending slowly and noisily. I notice very similar characteristics with other trend following system. (Most of the once I know will be in heavy drawdown in a noisy slow trend) When I have backtest enough pairs I will show the integrated equity curve as if many pairs were traded concurrently within the test period.

I am still looking for that market where NNbob 10.2 will crash and burn(any ideas which one?).
Attached Image (click to enlarge)
Click to Enlarge Name: USDJPY.jpg Size: 128 KB
Riding the order flow
  • #2,804
  • Jun 5, 2012 1:43pm Jun 5, 2012 1:43pm
Nice work Binyamin. You are doing what I was looking for. Are you separately evaluating the expectancy of the ranging system as well?
  • #2,805
  • Jun 5, 2012 5:43pm Jun 5, 2012 5:43pm
Thought I was going to have a big day but everything retraced back to the pivot. I guess we could say the market is like kissing your sister. usd/jpy got some pips but that is about all. Market is flat so sit on my hands and wait to see what happens next.
  • #2,806
  • Jun 5, 2012 9:13pm Jun 5, 2012 9:13pm
Quoting nanningbob
Thought I was going to have a big day but everything retraced back to the pivot. I guess we could say the market is like kissing your sister. usd/jpy got some pips but that is about all. Market is flat so sit on my hands and wait to see what happens next.
Bob what do we on days like today. Now EJ, AJ, AU are all at big losses for me

Do you close trades when price closes above pivot again or wait for SRF and accept DD till then?

Pls advice.
Thanks
  • #2,807
  • Jun 5, 2012 9:45pm Jun 5, 2012 9:45pm
Quoting forexripper
Bob what do we on days like today. Now EJ, AJ, AU are all at big losses for me

Do you close trades when price closes above pivot again or wait for SRF and accept DD till then?

Pls advice.
Thanks
Personally I would take the loss and reassess. The prolonged downmove in risk related currencies needed some momo to change direction. IMO such a surprise to the upside of AUS GDP may be the catalyst to start a meaningful retrace. I think the long term trend is lower for these currencies but a meaningful retrace is needed.
  • #2,808
  • Edited 10:31pm Jun 5, 2012 10:15pm | Edited 10:31pm
Quoting nonlinear
Nice work Binyamin. You are doing what I was looking for. Are you separately evaluating the expectancy of the ranging system as well?
I am only testing trend trading with this system at this point so during sideways market this system will keep me out automatically in the test. I am yet to test NNbob's range trading. Frankly I am still not sure how range trading is supposed to be done.

I think to test for range trading, I will need 3 screens open, D1, H4 and H1.....
Riding the order flow
  • #2,809
  • Jun 5, 2012 11:20pm Jun 5, 2012 11:20pm
Quoting panamamike
Personally I would take the loss and reassess.
If forexripper isn't using tight stops he should be able to handle his drawdown with small lot size and his stops should be outside of the WS1/WR1. My advice would be to wait to see how all his open pairs react around WS1/WR1 as they may bounce and we could see the pairs continue on their daily trend.
  • #2,810
  • Jun 6, 2012 12:44am Jun 6, 2012 12:44am
Quoting forexripper
Bob what do we on days like today. Now EJ, AJ, AU are all at big losses for me

Do you close trades when price closes above pivot again or wait for SRF and accept DD till then?

Pls advice.
Thanks
Depends what you mean by big losses. I am down in some but no big losses. I trade small lots so I dont get into trouble. Aud long term I expect DT but short term ?? Since most currencies are ranging right now I am not too concerned. I can easily handle these happy news stories comfortably.
  • #2,811
  • Edited 1:38am Jun 6, 2012 1:24am | Edited 1:38am
According to http://www.forexticket.us/en/tools/01-01-correlation

EURJPY and USDJPY have very high correlation. But the equity curve for NNbob for both pairs don't look the same. That is because during the recent run the EURJPY DT was steep compare to the noisy DT trending USDJPY.

I am going to guess that the equity curve of the daily NNBOB 10.2 will still produce profits with slow trending and noisy markets compare to H4.(Might be enough reason for me to trade both TF concurrently, see how the backtest goes)
Attached Image (click to enlarge)
Click to Enlarge Name: EURJPY.jpg Size: 138 KB
Riding the order flow
  • #2,812
  • Jun 6, 2012 3:12am Jun 6, 2012 3:12am
Rules of the backtest is explained here.
http://www.forexfactory.com/showthre...92#post5723692

NZDCHF have been pretty rangy with a range of just 630 pips this year so far. So far I still haven't found a pair that will crash and burn NNbob 10.2. it still hold without any major drawdown despite going through rangy markets.. Once I am satisfied with testing manually I will write an EA to do more testing. I have tested 6 pairs and for the last 6 months assuming a risk of 1% pertrade the Max DD have not exceeded 3% assuming the pairs were traded individually.
Attached Image (click to enlarge)
Click to Enlarge Name: NZDCHF.jpg Size: 133 KB
Riding the order flow
  • #2,813
  • Jun 6, 2012 6:34am Jun 6, 2012 6:34am
Interesting to see how this strategy evolves. I have been an SR trader for a long time but lacked the tools to see the big picture and trends (my weekly and monthly pivots were not as telling as NB10's ones). I have incorporated the NB10.2 template into my own template and I just want to post the following picture to draw attention to how good THV's pivots are on micro levels (I am not an advocate of the THV system, just took the pivot indi from it and it is great). Price knows how to behave when hitting these lines (if settings of the indi are right). This is just for those who consider scalping on lower TFs using the information from higher TF charts and do not have the right tools or feel that the bands are just not sufficient to tell where to enter the trade. No reply please, I am just a reader here, no time to get involved in conversations much. I hope this complementer indi on lower TFs helps. See how price bounces off of those lines (FPV, R1) and it corresponds well with the TMA bands.
Attached Image (click to enlarge)
Click to Enlarge Name: srtrader.PNG Size: 69 KB
functionaltrader.com
  • #2,814
  • Jun 6, 2012 7:05am Jun 6, 2012 7:05am
on tma slope only we have 2 pairs for H4 and D1

pair trade H4 D1
euraud sell 0.51 0.42
gbpaud sell 0.69 0.63
  • #2,815
  • Jun 6, 2012 8:22am Jun 6, 2012 8:22am
jucaorma good idea
  • #2,816
  • Jun 6, 2012 9:16am Jun 6, 2012 9:16am
At last I found a pair that will give a negative return during the test period. But the drawdown is still less than -3%..... NNbob 10.2 Achilles heels for now is noisy and slow trending pairs like this one.(Hmm is there a way to quantify noise in a trend???)
Attached Image (click to enlarge)
Click to Enlarge Name: AUDCHF.jpg Size: 107 KB
Riding the order flow
  • #2,817
  • Jun 6, 2012 10:37am Jun 6, 2012 10:37am
Binyamin, You could use or modify Hopwood's EA to run a forward test (see post 1). The EA has enough flexibility to do what you want. I am curious if the stops you are using in the test are too large and are thus depressing the returns.
  • #2,818
  • Edited 11:12am Jun 6, 2012 10:58am | Edited 11:12am
Quoting nonlinear
Binyamin, You could use or modify Hopwood's EA to run a forward test (see post 1). The EA has enough flexibility to do what you want. I am curious if the stops you are using in the test are too large and are thus depressing the returns.
Yeah before I write the test EA I will for sure check out Steve's EA to save time =) Since I am not a seasoned MQL coder.(But will like to get into the groove when I can find the time)

Perhaps the stops are too large because I place the stops at the nearest pivot point. If I don't use the pivot points I may not have a good objective place to put my stops.(So any ideas?) If I am going to backtest using my discretion then the results won't be reproducible.

I agree with you that trading with big stops will depress profits but I think big stop loss can make the system more robust and give smoother equity curve. Big stop loss gives you a higher chance of being right when you are trading with the trend even when the trend is noisy. Small stop loss requires you to be more skilled in picking your entry. Scalpers knows this very well. I am all for smaller stop loss but not so if it will compromise the robustness of the system.
Riding the order flow
  • #2,819
  • Jun 6, 2012 11:14am Jun 6, 2012 11:14am
binyamin, how about posting your source?
  • #2,820
  • Jun 6, 2012 11:17am Jun 6, 2012 11:17am
Quoting Binyamin
Yeah before I write the test EA I will for sure check out Steve's EA to save time =) Since I am not a seasoned MQL coder.(But will like to get into the groove when I can find the time)

Perhaps the stops are too large because I place the stops at the nearest pivot point. If I don't use the pivot points I may not have a good objective place to put my stops.(So any ideas?) If I am going to backtest using my discretion then the results won't be reproducible.

I agree with you that trading with big stops will depress profits but I think big stop...

I was thinking that the stop should be the lesser of 3 times the ATR or the pivot. That will avoid market noise and give the trade room to breath.
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