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Open/Close Crossover Method

  • #41
  • Jun 5, 2006 5:03pm Jun 5, 2006 5:03pm
Rich

I've been following this thread with interest. While I agree that using a Triangular MA (TMA) helps solve the chop problem - but it introduces too much of a DELAY for my liking.

I prefer the EMA (either 34/33 or 55/56) ... which cross faster. I avoid the chop problem by using a 150EMA to indicate the TREND either UP or DOWN and don't trade against it. This helps get rid of the chop problem and still retains the speed of entry of the EMA's.

Comments?

BAKROB
  • #42
  • Jun 5, 2006 5:20pm Jun 5, 2006 5:20pm
You may have a point. I set GBP 10min to 55 EMA with a width of 6 (61 EMA open), choppy trades disappeared, and it is more profitable. It may not work next week but looks good now with a 350 profit on the display. I am always open to suggestions.

Thanks.
  • #43
  • Jun 5, 2006 6:04pm Jun 5, 2006 6:04pm
Quoting richx7
You may have a point. I set GBP 10min to 55 EMA with a width of 6 (61 EMA open), choppy trades disappeared, and it is more profitable. It may not work next week but looks good now with a 350 profit on the display. I am always open to suggestions.

Thanks.
Do you do that by changing the periods to 55 and MA widener to 6 in OC Cross_TS_2 ? Just trying to follow how what you are saying translates to VT system. thanks.
  • #44
  • Jun 5, 2006 6:47pm Jun 5, 2006 6:47pm
Hi bakRob,

You are doing what I thought about.. here's my math for it.

If I'm using the 33/34 or 34/35 EMA's. on the 4H chart..

4Hour chart -> 1 Day.
1 Day = 24 hours / 4 hours = 6x factor.

34 * 6 = 204
55 * 6 = 330

So if I'm looking at the 34EMA's on the 4H chart, I'll put in a 204EMA to see where the daily is at this point in time. Not that accurate, but one of those slighly "cheater" ways to import what the daily is doing onto the 4H chart.
google:
  • #45
  • Jun 5, 2006 6:57pm Jun 5, 2006 6:57pm
Quote
Do you do that by changing the periods to 55 and MA widener to 6 in OC Cross_TS_2 ?
Yes.
  • #46
  • Jun 5, 2006 8:05pm Jun 5, 2006 8:05pm
Version 2.0 attached.

55_EMA_Close as the vodka,
56_EMA_Open as the chaser.

Open in 4H charts.

Works well with Cable, Euro, Yen, and CHF. Take a look, feedback welcome.
Attached File(s)
File Type: zip OpenCloseCrossv20.zip   3 KB | 923 downloads
google:
  • #47
  • Jun 5, 2006 8:12pm Jun 5, 2006 8:12pm
http://taylortree.com/2006/01/innovating-exits.html

Here's a screen shot of it in action.

This screen shot is based on:

ATR_Period : 13
ATR_Close_Period: 21
Multiplier: 3 (ATR's)

As you can see, the trailing stop has all the characteristics of a good trailing stop. It "freezes" and only moves up when the price is in the correct direction, locking in profits.


~~~~~~~~~~~~~~~~~~~~~~~~~~
What you are seeing:

The pink dotted line is the trailing stop on the price chart. The 2nd frame is the profit (in black) and the trailing stop (in green). This allows you to see the "huggies" action of the Trailing stop.
Attached Image
google:
  • #48
  • Jun 5, 2006 8:22pm Jun 5, 2006 8:22pm
Quoting twoblink
Version 2.0 attached.

55_EMA_Close as the vodka,
56_EMA_Open as the chaser.

Open in 4H charts.

Works well with Cable, Euro, Yen, and CHF. Take a look, feedback welcome.
Great to see this progressing. Can you put autotrading into this new version ? This is just an indicator as it is, correct ? Thanks.
  • #49
  • Edited 9:24pm Jun 5, 2006 9:13pm | Edited 9:24pm
Hi twoblink. I hate to ask what seems like a dumb question but when I apply this new system to the same chart you have above (JPY 4H) I get what appears to be totally different results. Notice how many entry/exits it has compared to your pic. What did I do wrong ? thx
Attached Image
  • #50
  • Jun 5, 2006 10:56pm Jun 5, 2006 10:56pm
Hi jhathawa,

Not a dumb question at all..

I took a slightly cropped shot, because FF only allows a 600x600 pixel pic to be attached. What you are seeing is correct. I'm showing the "zoomed in" version, as I wanted to highlight the trailing stop method, not the trading method in the pic above.

Profitability chart in frame 2, shows most signals are profitable. I can program in auto-trading, but I have not made up my mind yet that this is the "final version".

But it looks very promising. Almost all trades are profitable, if the hard stop is 55 pips below the entry line as signaled; here's the math of it...

Enter at the entry point, 55 pips hard stop, or according to the trailing ATR stop, whichever saves more money. Assuming however, a 55 pip hardstop, and entry of 3 lots, and take profit points of 55, and 89; I haven't worked out the details (yet) but it should go something like, after you take profit at 55 pips, move the stop to +1 pip, so you don't allow a winning trade to become a losing one. After the take profit of +89 pips, then move the final stop to +55 pip line. And keep moving it up, according to the ATR Trailing stop.

The math then says, if you've hit the 89 pip profit level you should have done:

Lot #1) +55
Lot #2) +89
Lot #3) +55 (As your stop was moved here)
Total +199 Pips

If you've only hit the +55 pip stop level and then it reversed;

Lot #1) +55
Lot #2) +1
Lot #3) +1
Total +57

If you entered, and you got all 3 stopped out, then:

Lot #1) -55
Lot #2) -55
Lot #3) -55
Total -165 pips

Math says, if for every all stopped out you have (-165pips) you have ones that at least hit +89 pips (+199pips) you are in the +34 pips for every exchange. Not as good however, if you've only hit the +55 pip levels only.

The kicker here though is, if you took profits on the first 2 lots, and let the 3rd one ride out, for example like April~May, you would have banked +1100 pips or so in GBP or EUR. So one of those, makes up for 5 losses..

So the ratios are excellent, and while I need to do more forward testing, at least the "math" part of it works...
google:
  • #51
  • Jun 6, 2006 1:08am Jun 6, 2006 1:08am
Hey guys, how are you all? I have been watching this thread with great interest, and have the system manually set up on my charts.

I have set it up on 15 minute charts though, and I see that most of you are using 4hour charts.

Anyway, what I'm wondering is does anyone have an indicator for this for MT4? And do you wait until the EMA's are a certain distance appart before entering the trade?

My appologies if this is a silly question!! But I have noticed that even though the EMA's have crossed, if they haven't spread out somewhat, the price just seems to be going sideways.

This sytems is looking very good. I will be testing it on my demo to see what happens.

Thanks everyone.
Katie
  • #52
  • Jun 6, 2006 1:24am Jun 6, 2006 1:24am
Hey Katie,

I just got the MT4 Manual, so this weekend, I might be picking up another programming language (MT4) and seeing if I can replicate it in MT4.

As far as Timeframe goes:

I'm focusing on the 4H exclusively, because that's what fits into my schedule, so I will be tweaking the system tailer-made for that timeframe. Rich is working the 5min,10min,15min, so his will be tailered for that timeframe. So careful with the timeframes, as Rich and I, are running optimizations based on our own specific timeframes..

That said..

I've moved my hard stop to -21 pips, and from backtesting, it doesn't look like there's any adverse effects, i.e. if it got stopped out at -21 pips vs -55 pips, there were (historically) trades that would have turned around and become successful because of the lower stop loss line, vs. the higher one.

That's HUGE IMHO..

That means, the risk is mitigated at 3x-21 = -63 pips solid.

Brings the ratio up quite a bit, +199 vs - 63.

That also means, if you had a runaway winner, that closed out the 3rd lot at something like +200 pips or so, then you'd be looking at over 5:1 ratio of wins vs absolute losses. Also, I didn't see too many absolute losses (hitting all stops in place) historically.. So the system is getting improved!

The % winners, or more importantly, the % non-losers (loser as defined by the trade hitting the position entry absolute hard stops) is incredible..
google:
  • #53
  • Jun 6, 2006 2:38am Jun 6, 2006 2:38am
Hey TB,

Thanks for your answer. Since my last post, I have managed to find a simple MA crossover indicator, and I think (it looks like it works!) I have modified it to fit the 55C/56O EMA cross for all time frames. I am sure this is a simple thing to do for those who know what they are doing! But I am way new to all of this!!

The indicator is just to put a little arrow on the chart to show a buy or sell signal based on the cross of the EMA's. I have no idea how to back test, and I have heard that MT4 is not reliable for back testing anyway, but it makes it easier with the arrows for me to go back and see the signals.

That's fantastic news about being able to move your stop to -21. I have been reading your thread with great interest, I love a simple system that works!

Looking forward to your next posts guys.
Katie
  • #54
  • Jun 6, 2006 2:53am Jun 6, 2006 2:53am
Hey Goldengirl,

I'll dig through the manual, to see if I can find a crossover function, and program that into MT4.

I hear MT4's backtesting is not so reliable either; but visual backtesting is probably the way to go.

In VT, I have it charted with a profit indicator on the bottom, as well as a trailing stop.

I will probably "try" to formalize the system this week, as I will probably start to monopoly money trade it starting next week.

I like simple systems, I'm a fan of Occam's Razor.
google:
  • #55
  • Jun 6, 2006 3:11am Jun 6, 2006 3:11am
Here is the Simple MA Crossover Indicator I found and modified a little. I changed it to indicate the crossover of the 55C and 56O EMA's.

Maybe you can modify it to your specs, save you starting from scratch, I don't know. I have attached it to my charts and it looks ok at first glance. I think it may also give an audible alert when the cross occurs.

I hope it can be of some use to you. I have taken so much from this forum, it's fantastic, and would like to think I contributed something here!!!

Thanks again TB.
Katie
Attached File(s)
File Type: mq4 Simple OCC.mq4   4 KB | 703 downloads
  • #56
  • Jun 6, 2006 3:59am Jun 6, 2006 3:59am
Thanks Goldengirl!

I'll take a look at it tonight..

I would like to program in the trailing stop, that's very useful.
google:
  • #57
  • Jun 6, 2006 4:16am Jun 6, 2006 4:16am
Quoting twoblink
Hi jhathawa,

Not a dumb question at all..

I took a slightly cropped shot, because FF only allows a 600x600 pixel pic to be attached. What you are seeing is correct. I'm showing the "zoomed in" version, as I wanted to highlight the trailing stop method, not the trading method in the pic above.

Profitability chart in frame 2, shows most signals are profitable. I can program in auto-trading, but I have not made up my mind yet that this is the "final version".

But it looks very promising. Almost all trades are profitable, if the hard stop is 55 pips below the entry line as signaled; here's the math of it...

Enter at the entry point, 55 pips hard stop, or according to the trailing ATR stop, whichever saves more money. Assuming however, a 55 pip hardstop, and entry of 3 lots, and take profit points of 55, and 89; I haven't worked out the details (yet) but it should go something like, after you take profit at 55 pips, move the stop to +1 pip, so you don't allow a winning trade to become a losing one. After the take profit of +89 pips, then move the final stop to +55 pip line. And keep moving it up, according to the ATR Trailing stop.

The math then says, if you've hit the 89 pip profit level you should have done:

Lot #1) +55
Lot #2) +89
Lot #3) +55 (As your stop was moved here)
Total +199 Pips

If you've only hit the +55 pip stop level and then it reversed;

Lot #1) +55
Lot #2) +1
Lot #3) +1
Total +57

If you entered, and you got all 3 stopped out, then:

Lot #1) -55
Lot #2) -55
Lot #3) -55
Total -165 pips

Math says, if for every all stopped out you have (-165pips) you have ones that at least hit +89 pips (+199pips) you are in the +34 pips for every exchange. Not as good however, if you've only hit the +55 pip levels only.

The kicker here though is, if you took profits on the first 2 lots, and let the 3rd one ride out, for example like April~May, you would have banked +1100 pips or so in GBP or EUR. So one of those, makes up for 5 losses..

So the ratios are excellent, and while I need to do more forward testing, at least the "math" part of it works...
Great explanation. Thanks for doing this. Sounds like a solid plan and as long as auto-trading is built-in to the final version thats perfect. I think I fit into your situation too as I have a job and lots of other stuff like most people and 4H charts allows us to trade and still have time for other stuff. Plus auto-trading has got to be the way to go when you have a full-time job since you cannot sit and watch the charts all day. Thanks for all your efforts !

justin
  • #58
  • Jun 6, 2006 5:13am Jun 6, 2006 5:13am
Hi

I applyed this new improved version of the system,and runed it automaticly but for some reason(that i don't know), the position was not opened when the signal accured(it was comfirmed with an open of new candle).

So,am i doing something wrong here?

Thank you,

Sebastian
  • #59
  • Jun 6, 2006 6:04am Jun 6, 2006 6:04am
Twoblink's system is an indicator for live trading manually, and mine is a auto trader that will make trades for you.
  • #60
  • Jun 6, 2006 6:27am Jun 6, 2006 6:27am
Here is Long MA Crossover EA with trailing stop that could be used as a start in building a good OCC. It has limited options but may work with Golden Girl's to give a workable starting EA.
Attached File(s)
File Type: mq4 Long MA Cross.mq4   6 KB | 640 downloads
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