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Mkcky's GBP System.

  • #21
  • Oct 14, 2004 11:23pm Oct 14, 2004 11:23pm
Quoting mariovides
Sorry the copy and paste from excel was very bad, i will send you soon my results in readable format.

mariovides

Hi,

Dont copy paste. Attach the excel file. To do it click on Manage Attachment and then select the path of the file. if you have problems just email the excel sheet to [email protected] and I will post it here.

Thanks for backtesting


Mkcky
Lets Make Money!!!
  • #22
  • Oct 14, 2004 11:36pm Oct 14, 2004 11:36pm
Quoting Mkcky
Hi,

Dont copy paste. Attach the excel file. To do it click on Manage Attachment and then select the path of the file. if you have problems just email the excel sheet to [email protected] and I will post it here.

Thanks for backtesting


Mkcky
I sent the summary of my manual backtest to your yahoo address, please check it and post in the forum.

mariovides
  • #23
  • Oct 15, 2004 1:03am Oct 15, 2004 1:03am
Hello Everyone,

Here is backtesting results sent my mariovides its zipped excel file.


Here is brief summary

Year 2002 Total profit 1091 Pips
Year 2003 Total profit 5259 Pips
Year 2004 (uptill Sept) Total profit 9936 Pips

Year 2004 results are fantastic because ATR was very high in begining of Year. There is no loosing month in 2003 and 2004 . In year 2002 ATR was below 100 system had negative performance for four months. So I would suggest not to trade if ATR falls below 100.

Thanks mariovides for the Backtesting.

Mkcky
Attached File(s)
File Type: zip backtesting.zip   2 KB | 1,121 downloads
Lets Make Money!!!
  • #24
  • Oct 15, 2004 3:21am Oct 15, 2004 3:21am
Hello Everyone,

My first post on this forum.

Can someone please tell me how to calculate the ATR.

Thanks
  • #25
  • Oct 15, 2004 7:04am Oct 15, 2004 7:04am

Quoting LeoSA
Hello Everyone,

My first post on this forum.

Can someone please tell me how to calculate the ATR.

Thanks
Hi and welcome.

The True Range indicator is the greatest of the following:

The distance from today's high to today's low.

The distance from yesterday's close to today's high.

The distance from yesterday's close to today's low.
The Average True Range is a moving average (typically 14-days) of the True Ranges.

You can see the whole story at http://www.equis.com/Education/TAAZ/?page=35

  • #26
  • Oct 15, 2004 8:07am Oct 15, 2004 8:07am
Quoting LeoSA
Hello Everyone,

My first post on this forum.

Can someone please tell me how to calculate the ATR.

Thanks
ATR is calculated free in some (i say "some" because i don't know now all) free forex charting services that brokers offer, netdania.com is charting service free for everyone and in "studies" you can find ATR for the charting period you want, most backtesters in this forum recommend to check the daily ATR, some of them call it ADR but is the daily ATR.
Regards.

mariovides
  • #27
  • Oct 15, 2004 9:59am Oct 15, 2004 9:59am
Thank you Mariovides and Mcky for the backtesting and system proposition. Can you check this system out on EURUSD and USDJPY pairs please?

I have read, maybe in this forum, that the breakouts of cable is better as its range during the asian session is very small, effectively acting as the after hours trading in the futures market. However, when the European session starts, there is a range breakout in cable, and hence these breakouts work there very well. However, euro and yen are more liquid, and hence I would like to see if this breakout works there. Maybe the stops have to be slightly adjusted for the yen. Another suggestion would be to make the stops a multiple of the range, maybe say 0.33 times ATR(10). This is not an optimized number, but saying that 1/3 of the average range is the stop. I guess it is evident, but just wanted to give the reasoning for my assumption.

Thanks again.
  • #28
  • Oct 15, 2004 1:47pm Oct 15, 2004 1:47pm
Quoting CrazyAboutForex
Thank you Mariovides and Mcky for the backtesting and system proposition. Can you check this system out on EURUSD and USDJPY pairs please?

I have read, maybe in this forum, that the breakouts of cable is better as its range during the asian session is very small, effectively acting as the after hours trading in the futures market. However, when the European session starts, there is a range breakout in cable, and hence these breakouts w... ork there very well. However, euro and yen are more liquid, and hence I would like to see if this breakout w... orks there. Maybe the stops have to be slightly adjusted for the yen. Another suggestion would be to make the stops a multiple of the range, maybe say 0.33 times ATR(10). This is not an optimized number, but saying that 1/3 of the average range is the stop. I guess it is evident, but just wanted to give the reasoning for my assumption.

Thanks again.
Hi, the backtest of Mcky system was done manually because the system is very simple, i can make other manual backtest on EUR/USD just to verify if the results but with Mcky system, other variations as you suggest should be done with other backtest techniques that i don't know how to use, wait for the results of EUR/USD i will send you next week.
  • #29
  • Oct 15, 2004 2:17pm Oct 15, 2004 2:17pm
I assume you use the 14 day.

Lou
  • #30
  • Oct 15, 2004 2:25pm Oct 15, 2004 2:25pm
Quoting Lou
I assume you use the 14 day.

Lou
For the manual backtest yes i used the 14 ATR using 1 day bars or candlesticks of netdania.com charts.
  • #31
  • Oct 15, 2004 5:46pm Oct 15, 2004 5:46pm
Hi, i have been testing this strategy and i got +221 in September 2004, but in the Excel backtested says than September 2004 was about +665... im using FXCM MarketScope Charts... and also, i backtested January 2003 and i got +120 pips, but in the Excel backtested says +341, i did again the backtest of september 2004 and also january 2003, each one 2 times... and i´m still getting the same results: +221 and +120..

How did you do the backtest? i did it using 30 min charts, i will dom the backtest of all 2003 and also all 2004, i will post it here later...ok

Thanks

Hermann
  • #32
  • Oct 15, 2004 7:20pm Oct 15, 2004 7:20pm
Anyone have a .mql (Metatrader) Expert written to test this using ATR(14) < 100 as a filter they could share so I could backtest as well. Thanks.
  • #33
  • Oct 15, 2004 8:59pm Oct 15, 2004 8:59pm
Quoting arrieta
Hi, i have been testing this strategy and i got +221 in September 2004, but in the Excel backtested says than September 2004 was about +665... im using FXCM MarketScope Charts... and also, i backtested January 2003 and i got +120 pips, but in the Excel backtested says +341, i did again the backtest of september 2004 and also january 2003, each one 2 times... and i´m still getting the same results: +221 and +120..

How did you do the backtest? i did it using 30 min charts, i will dom the backtest of all 2003 and also all 2004, i will post it here later...ok

Thanks

Hermann
Hi, Hermann first of all a found the following thread in the Trade2Win Boards forum:

FXCM - MarketScope Charts - DO NOT USE
Just a heads-up for anyone who hasn't been picking this up on other threads.

FXCM recommend you DO NOT USE the Marketscope Charting product.

Neither data nor indicator values are reliable.


Then Please check your backtest using other charting service.
English is not my mother language but i will try to explain you how i realized my manual backtest:

1- I used daily charts with OHLC (open high low close) bars.
2- If there is a descending bar (close minor than open) i realized the following operation: (close price - open price - 30) if the bar have not 30 pips up the open price or (close price - open price - 60) if the bar does have 30 pips up the open price.
3-If there is an ascending bar (close price more than open price) i realized the following operation (open price - close price - 30) if the bar have not 30 pips down the open price or (open price - close price - 60) if the bar does have 30 pips down the open price.

As i say in my first message about my manual backtest there is a margin for human error but seeing that in Trade2Win boards forum is posted a thread about not to use Marketscope charting i really ask you to make your backtest using other charting service.

GOD BLESS.
mariovides
  • #34
  • Oct 15, 2004 9:02pm Oct 15, 2004 9:02pm
If i used the open and close price for daily charts this mean that the hour used for open and close the MCKY system was 12:00 A.M. EST.
Regards.
Mario Vides.
  • #35
  • Oct 15, 2004 9:06pm Oct 15, 2004 9:06pm
I forget to mention that when i found doji bars (spinning top bars) and if the bar have 30 pips up and down the open and close prices I automatically take it as a -60 pips day this was very simple because the system is so simple.

mariovides.
  • #36
  • Oct 15, 2004 9:32pm Oct 15, 2004 9:32pm
Sorry I forgot to mention about the operation i realized in ascending or descending daily bars with 30 pips above or below the open price and 30 pips above or below the close price:
(open price - close price - 60) in the case of descending bars
(close price - open price - 60) in the case of ascending bars.

mariovides
  • #37
  • Oct 15, 2004 9:39pm Oct 15, 2004 9:39pm
Sorry for this excesive posts, i promise this is my last one this night:

Even i used a pesimist scenario where all kinds of bars as the last described in my last post was placed in my excel file as -60 pips as prevention of i am using daily charts and probably both 30 pips stops was touched, then the +665 pips in September is in a pesimist scenario.

Sweet dreams.

mariovides
  • #38
  • Oct 15, 2004 9:55pm Oct 15, 2004 9:55pm
Sorry again, please take note for the right calculations below in bold for my manual backsystem, i writed wrong in an above post but this is the right way:

1- I used daily charts with OHLC (open high low close) bars.
2- If there is a descending bar (close minor than open) i realized the following operation: (open price - close price - 30) if the bar have not 30 pips up the open price or (open price - close price - 60) if the bar does have 30 pips up the open price.
3-If there is an ascending bar (close price more than open price) i realized the following operation (close price - open price - 30) if the bar have not 30 pips down the open price or (close price - open price - 60) if the bar does have 30 pips down the open price.

Sweet dreams
  • #39
  • Oct 15, 2004 11:14pm Oct 15, 2004 11:14pm
Quoting mariovides
Sorry again, please take note for the right calculations below in bold for my manual backsystem, i writed wrong in an above post but this is the right way:

1- I used daily charts with OHLC (open high low close) bars.
2- If there is a descending bar (close minor than open) i realized the following operation: (open price - close price - 30) if the bar have not 30 pips up the open price or (open price - close price - 60) if the bar does have 30 pips up the open price.
3-If there is an ascending bar (close price more than open price) i realized the following operation (close price - open price - 30) if the bar have not 30 pips down the open price or (close price - open price - 60) if the bar does have 30 pips down the open price.

Sweet dreams
Hai Mario,

First I like to thank you for you backtesting, such a promising system. I just like to add some condition to the backtest. This condition apply on descending / ascending bar with 30 pips above and below the opening price.

What happend if price move forth and back the opening price and hit both entry but also hit both SL ?

Example : Opening price 1.8000, price go to 1.8050 hit first entry. Then go down to 1.7950 hit first SL and second entry. Then it goes up again to 1.8000 where it hits second SL. After that all the way down to close at 1.7900. Vice versa for ascending bar.

This example will give -60 pips rather than 1.8000 - 1.7900 - .0060 = 40 pips profit.

So for this kind of strategy, we can't use only daily chart, but also need a hourly chart at least.

IMHO
  • #40
  • Oct 16, 2004 7:38am Oct 16, 2004 7:38am
Quoting firedave
Hai Mario,

First I like to thank you for you backtesting, such a promising system. I just like to add some condition to the backtest. This condition apply on descending / ascending bar with 30 pips above and below the opening price.

What happend if price move forth and back the opening price and hit both entry but also hit both SL ?

Example : Opening price 1.8000, price go to 1.8050 hit first entry. Then go down to 1.7950 hit first SL and second entry. Then it goes up again to 1.8000 where it hits second SL. After that all the way down to close at 1.7900. Vice versa for ascending bar.

This example will give -60 pips rather than 1.8000 - 1.7900 - .0060 = 40 pips profit.

So for this kind of strategy, we can't use only daily chart, but also need a hourly chart at least.

IMHO
Hi FireDave,
Thanks for your observation, what i did in my manual backtest was being as pesimist as possible and many bars that after the calculations gives me between -45 to +25 and i saw that the probability of the 2 stops being touched was high, I placed in my excel file as -60.
But we can obtain real information with a backtest using hourly or 30 min. charts, i excite somo of you to do it and inform us with your results, just verify that your charts information is reliable.
My really interest is to have to most real evaluation for this system because as you say is very promissing.

mariovides.
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