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Daily Break Strategy

  • #321
  • Jul 11, 2012 3:21am Jul 11, 2012 3:21am
Quoting ezcurrency
I would like to do a rigorous analysis and find the best settings for a breakout strategy, and just set and forget each day ... I'll add this to the other system's I'm trading.

I just think more analysis should be done, rather than just arbitrarily setting TP at 50% fib extensions of previous day's range ... I like to see stats to back things up. :-)[/b]


Thanks for the comments ... answers in bold above.

EZ
Whoa, you sound exactly like me lol.

I've been working to write a backtest in C for the last week using tick data from Oanda going back to 2004. Sadly, it's still a work in progress. You're obviously moving much faster than I am.

Please share your findings when you get them. I'm always interested in figures.
  • #322
  • Jul 11, 2012 3:30am Jul 11, 2012 3:30am
Quoting ezcurrency
stupid pet peeve, so bear with me....your figures are in actual probability rather than percentage chance.

Yes ... you are correct. % chance would be those #'s multiplied by 100. My bad ... ;-)

Could you do me a favour and get your code to calculate the EV per trade instead of probability of hitting TP?

That would be a more valuable figure to have, I think.

Good idea ... yes, that would be more useful. I'll post it tomorrow ... midnight now so off to bed.


Also, I just want to clarify, so we're on the same page regarding...
I am not sure how you use pivot for stop and take profit.Then how you use pivot for type II entries stop and take profit?Sometime S1 or R1 comes very close to last day candle high or low.In that case what you will do?
  • #323
  • Jul 11, 2012 3:58am Jul 11, 2012 3:58am
Quoting ezcurrency
I did do some SL analysis though, just based off of previous S1, S2, etc. For example, for an up day, the probability of the low being lower than the S1 is 0.236.

So if you used only the stats, and put a buy stop at the previous day high (or above by a few pips) with a SL at the S1 (0.236 probability of being hit if breakout), and TP at the R1 (0.782 probability), chances are it will be hitting the TP and not the SL. You can put a sell stop and SL and TP at the low also.

As I type this, I guess I should also calculate probabilities of...

I tried twice to calculate the EV from your figures, but came up with gapping holes in information needed both times=(

Mostly, I think to use those figures, at the very least, we will need to know how often neither TP nor SL gets hit on the following day. That's not even counting trades that require moving into the third day.
  • #324
  • Jul 11, 2012 9:38am Jul 11, 2012 9:38am
Quoting deathbait
I have no idea, really. I've reread the code countless times when similar problems cropped up for some of these guys, and couldn't figure out what's happening.

It works perfectly fine for various brokers' demos I have running. Not sure how many people here have their EAs running perfectly, but are keeping silent, but it's comforting to know that basber's one seems to be doing fine too.
Hi Deathbait

I attach various print screens of my Alpari Demo a/c since 3rd july. I am more than happy with the ea - running perfectly! Trust this helps.

Cheers
Attached Image(s) (click to enlarge)
Click to Enlarge Name: DetailedStatement.gif Size: 6 KB
Click to Enlarge Name: dailybreakout.gif Size: 23 KB
  • #325
  • Jul 11, 2012 11:36am Jul 11, 2012 11:36am
Thanks Dave. Good to know
  • #326
  • Jul 11, 2012 2:06pm Jul 11, 2012 2:06pm
Quoting iomdave
Hi Deathbait

I attach various print screens of my Alpari Demo a/c since 3rd july. I am more than happy with the ea - running perfectly! Trust this helps.

Cheers
my trade picture :

Attached Image (click to enlarge)
Click to Enlarge Name: 1-10jul edame .gif Size: 40 KB
  • #327
  • Jul 11, 2012 4:01pm Jul 11, 2012 4:01pm
I had some unintended fortune after I posted earlier. I changed timeframes on my chart and the ea lost all data and pending orders and is obviously waiting for the next trading cycle. As it turned out - a result! Both SL's would have been hit! I would have accepted the loss anyway and moved on to the next day.

Deathbait, maybe you could look at what happened to me and see if there is a fix so that we can change timeframes without the ea dropping everything.
  • #328
  • Jul 11, 2012 7:15pm Jul 11, 2012 7:15pm
Quoting iomdave
Hi Deathbait

I attach various print screens of my Alpari Demo a/c since 3rd july. I am more than happy with the ea - running perfectly! Trust this helps.

Cheers

Going to try the Alpari demo. What EA settings are you using?
  • #329
  • Jul 12, 2012 2:30am Jul 12, 2012 2:30am
Quoting iomdave
I had some unintended fortune after I posted earlier. I changed timeframes on my chart and the ea lost all data and pending orders and is obviously waiting for the next trading cycle. As it turned out - a result! Both SL's would have been hit! I would have accepted the loss anyway and moved on to the next day.

Deathbait, maybe you could look at what happened to me and see if there is a fix so that we can change timeframes without the ea dropping everything.
the EA is set to remove all pending orders when it is removed from the chart. Kind of a protective measure. When you change timezones, the EA is removed, and than applied again. That's why your pending orders got deleted.

If you wish to disable this "feature", open the code in the editor, and change the following function from :

int deinit()
{
//----
ObjectsDeleteAll();
clear_orders();
//----
return(0);
}

to

int deinit()
{
//----
ObjectsDeleteAll();
//----
return(0);
}
  • #330
  • Jul 12, 2012 2:39am Jul 12, 2012 2:39am
Quoting prof8t
Going to try the Alpari demo. What EA settings are you using?
daystart set to: 3 to match Alpari and risk multiplier to: 5% (My choice). All other settings ootb. Trust that you find it of help
  • #331
  • Jul 12, 2012 3:26am Jul 12, 2012 3:26am
Many thanks Deathbait. Will apply changes. Small request - any chance you can make the colour of the box a user variable?
  • #332
  • Jul 12, 2012 4:25am Jul 12, 2012 4:25am
just right click on chart, select objects list, and change the colour property of the rectangle.
  • #333
  • Jul 12, 2012 4:43am Jul 12, 2012 4:43am
Yes, already done that but when I reload it defaults to the blue again. I cannot find the colour in the programme to change. No probs, just a small pain.
  • #334
  • Jul 12, 2012 7:12am Jul 12, 2012 7:12am
Quoting iomdave
daystart set to: 3 to match Alpari and risk multiplier to: 5% (My choice). All other settings ootb. Trust that you find it of help

Thanks
  • #335
  • Jul 12, 2012 8:30am Jul 12, 2012 8:30am
Good day for the system...

2 TP's hit.

Regards,
Nando.
Attached Image (click to enlarge)
Click to Enlarge Name: 12-07_bo.gif Size: 25 KB
"Being picky only cost your time - not MONEY"...Hans
  • #336
  • Jul 12, 2012 8:53am Jul 12, 2012 8:53am
Yes, same here - TP2 hit. After my earlier problem I entered the trades manually - +42 pips!
  • #337
  • Jul 12, 2012 9:02am Jul 12, 2012 9:02am
I forgot to mention that for the trades on 6th July I altered the MaxRange on the ea from 1700 (170 pips) to 1800 (180 pips) to allow trading after the 175 pip range on the 5th July. Worth 124 pips!
  • #338
  • Jul 12, 2012 10:21am Jul 12, 2012 10:21am
hi
please send me last version of EA

thanks alot
best regards
  • #339
  • Jul 12, 2012 10:33am Jul 12, 2012 10:33am
Hi fellow "David". You can download the ea v0.19 I am using from Page 18 #261. I don't see the need for v0.20. My settings are in #330 and I applied deathait's suggested changes in #320.
  • #340
  • Jul 12, 2012 10:34am Jul 12, 2012 10:34am
Sorry, last post should read #329 not #320
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