Open/Close Crossover Method

Rich,
Are you going to put your LWMA into action on a real account at VT ? If so, please keep us posted of P/L and pitfalls of CMS auto-trade on LIVE account. Also, I noticed in this system that signals last quite awhile. Have you gone backwards in time with this to see if it reacts the same? I would love to implement this system but I'm very wary of CMS and thought maybe it could be done manually at like FX Sol since the indicators last for awhile even on the 10M charts. You could manually put in a stop at breakeven when you sleep or are away for an extended period. FXSol seems to have good rep on here + trailing stops and a good rep for getting stops filled. thanks.

Rich and I have splintered a little bit, so I'll recap the changes made to the system and what I've done to it.

But as far as summary, here goes:

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Open/Close CrossOver v2.0

~Target TimeFrame: 4H
~Max Risk per Trading Set: 63 Pips
~Max Profit per Trading Set: Unlimited
~Primary Indicators:
1) 55EMA_Close
2) 56EMA_Open

The Theory: Because the EMA is comparing a close vs. an open, the theory then goes; If we are in an uptrend, then it would stand to reason, that for most bars, the close value would be higher than the open value. If there was a downtrend, then it would stand to reason, that on average, the close value for most of the bars would close lower than the open value. If 50% were bullish, and 50% were bearish, then the OpenEMA and CloseEMA would be the same. If the market was bullish, then the CloseEMA would be higher. If the market were bearish, then the CloseEMA would be lower. The point of crossover, would tell when a bear market has become a bull market, and visa versa.

~Interesting Characteristics: Like Parabolic SARS, with the OCC, you are always in the market; so you are either bullish or bearish. But the "exit" signal for one, is actually a SARS (Stop and Reverse Signal). This means if you were long 1 lot, upon a signal, you'd go 2 lots short, leaving you with 1 short position.

~Entry Signal: The Crossover point, becomes the entry signal, as well as the exit signal, if you had a position in the opposite direction.
~Initial Sizing: 3 units
~Initial Stop: -21 pips (for a total of -21 x3 = -63 pips)
~Initial Trailing stop: Using the modified ATR Trailing Stop as described here http://taylortree.com/2006/01/innovating-exits.html
~Which stop to use: The absolute hard stop, is -21 pips from the crossover point. The Trailing stop is as determined by the equation, using: (13 Periods, 21 Close Periods, and 3 as the ATR multiplier). Which every makes you lose less money. As profits increase, and the price moves in your favor, the ATR Trailing stop will automagically follow. It will increase when the price moves in your favor, and it will not increase but will not decrease either, if the trade is moving in the wrong direction.

~Profit Taking 1: The Crossover point, is the point of entry with 3 units. Upon reaching the +55 pips mark, you would close 1 unit, and move
your stops to +1 pip.
~Profit Taking 2: At the +89 pip mark, take off unit 2, and move the remaing unit's stop level to the +55 level, OR as suggested by the trailing ATR, which ever is more profitable. Let the last unit ride out until a exit occurs.
~Exits: Only 2 methods of exits:
1) When the SARS (Stop and Reverse Signal) is shown. Then, close out all the remaining open positions, and enter in the opposite direction with 3 units.
2) It hits your stop. At this point, you just sit back, until the next signal appears.

~Money Management: $5000 in the bank per 0.3 Units. (That means 3 of 0.1 Lots) The reason is:
0.3 Lots x -21 Pips = $63.
$63/$5000 = 1.26% Risk per trade set. Within the 2% recommendation.

So now, the OCC trading model should have pretty much everything:

Well defined entry point
Well defined exit point
Some sort of absolute hard stop loss
Some sort of trailing stop loss to lock in profits
Some sort of profit taking, so you don't let a winning trade become a losing one.
Good profit/loss ratio
Good rationale and theory behind it
Simply to impliment in any environment with only the most basic (EMA)
And some sort of Intelligent Money Management Ruleset.

;-)

Hi twoblink,
I follow you on everything but the trailing stop and I hope I'm not the only one Can you give a detailed explanation on how you would do this in VT if at CMS ? Or alot of brokers offer just a regular trailing stop.....or is this different than what you describe above. If a regular trailing stops works how many pips would you set it at ? thanks again.

Hello jhathawa,

Have you read the page on Taylortree??

Basically, I'd manually move the stop on VT. There's no easy way to program it in VT.

So let me try to explain more about the stops. There are two stops going, one is the absolute stop of -21 pips, used pretty much only at the beginning, and the other is the ATR Trailing Stop. When you first enter the position, the ATR Trailing Stop is calculated, and it could be as much as say, -120 pips. Absolutely no need to risk so much, when you enter the position. So when you enter, intially, I just put the stop at a hard stop of -21 pips.

If you put in my OCCv2.0, you'll see.

Let me see if I can explain it in semi-nerd terms;

If your pips is in negative territory, then -21 is the lowest you are allowed to go.
Else, use the ATR Trailing Stop as the stop loss.

Did that clarify?? I hope so!

Starting next Monday, I will probably start a Journal Thread and track how trading every possible currency pair available in VT with the OCC system in near automation goes..

It will actually be quite difficult to do; because VT doesn't really allow for buying 3 lots, and then entering different stop points for each..

So I have a decision to make; I either enter 3 lots, and put counter limit exits at specific pricepoints, or enter 3 purchase orders seperately.

I prefer the first option; but there's some danger; if you have the limit in place, and positions are closed out but you forget to take them off, in theory, the system will fill your order if the price level is reached, so you could be on the wrong side.

I'll have to admit I still don't really understand the ATR calculation but after reading your post again I'm more clear on where to move the stops at the different levels , not using the ATR trailing stops which is what I guess I'll do. thx.

On a seperate note, you recommend GBP if choosing just one pair, correct ? I'm gonna try to duplicate this on FXSOL demo and see what happens.

Trading has been very choppy today, and most systems would have lost money or broke even if lucky. VT lost connection AGAIN today which leaves any trades open until you relog in and manually close or restart them. Much needs to be done on connection problems before VT can be recommended in auto trading. MT4 will reconnect without problems. Here is a VT screen of the common error you see often. I prefer a timer that will trade when started and exit at the end time, and I like a trailing stop that follows an MA line. I am working to use these in my TSs eventually.

One of the biggest problems with OCC is the rapid buys sells at times using exponential MA and makes it difficult to auto trade. Using Triangular MA helps but introduces delay. They show up on twoblink's charts also.

Here is a link that describes ATR trailing stops very good and has a link to other bulletins with exits and strategies:
http://www.traderclub.com/discus/mes...ber319991048pm

Here is a manual trading system for MT4 that works very well most of the time. It uses:

triggerlines
Trend manager
SHI channel
silver trend
awesome
juice
simple OCC (from post #55) for long trading
LWMA (for trend viewing)

This is shown in a 15min GBP US chart and follows most of the trades except 1 min reversals like FOMC news.

For those that like low risk high gain trading that has a profit on days like today here is the Mesa Adaptive MA TS that I've set for 10 min trading to catch the fast moves today. It is set to trade 3am - 11am and makes 1 or 2 trades a day - mostly profitable with no negative profits. It has a timer and ,limit, and trailing stop that works well. It's off topic but interesting. When the MAMA crosses under the FAMA it should generate a Sell Signal and when the MAMA crosses over the FAMA it should generate a Buy Signal.

Hey Rich Why don't you open up a new thread on this one and we can knock it around a bit. It is drawing some intrest at least from me.

Rich, I like what you've done with the place ;-)

I will go get some breakfast, finish a proposal, and the work on OCC some more. I will post screenshots of 2 versions, so it all makes sense about the stops..

Hi twoblink,
I hate to ask for another feature....but ;-) can you program in some sort of audible notification into the VT crossover when a cross is made. I remember you said you had that I think on something you did. Any sound will do for now and users can customize to there own sound. Thanks for your efforts.

First image, the ATR Trailing stop only. It works well, but trailing stop established at initial entry IMHO is too expensive.

Note on that big section, the initial trailing stop would have been -102 pips.

-102 pips x 3 lots = -306 pips too much risk.

http://www.forexfactory.com/forexfor...achmentid=6111

So I watermarked in software, the -21 pip line, so no matter what the ATR says, if the ATR Trailing stop is below -21, then set it to -21.

I don't know why this is confusing most of you. It just says, the ATR works well, but I don't want to risk more than -21 pips. That's all.

http://www.forexfactory.com/forexfor...achmentid=6112

Hope the graph helps.

On a side note, this is a screenshot from April 11th entry signal, and it would have gotten stopped out at +1179 pips profit on the 3rd unit on May 22nd. So if OCC was followed for this time period, 1179 + 55 + 89 = +1323 pips for about 41 days trading only the GBP/USD. Note however, how choppy things were before this period and after this period. But, also note, if per trade your max risk is -63 pips; and you came out with one trade that was +1323 pips, then the risk vs reward ratio is incredible IMHO.

jhathawa,

Don't need me to do it, you can do it yourself. Take my TS, open it up.

Right click on it:
"Edit Trading System"
"Output" tab
Click on "crossup" -> Edit
Check the "Alerts Enabled" box
go to the "Alerts Enabled" tab
pick the sound file you want.

Repeat but this time, for the "crossdown" variable instead of crossup.

Just FYI, I usually record myself saying "Uptrend signal" or "Downtrend signal has occurred" or something like that. A generic "ping" doesn't do as good of a job. When I'm in the kitchen, I will know when a signal is hit, and what direction.

Thanks two blink....that was too easy ;-) Now I just need to figure out what WAV to use.

I didn't realize it until last night, but trying to track 19 different currency pairs is not an easy task. :-(

So I made a special spreadsheet for this very task.. The Spreadsheet looks somewhat complex, but is actually to simplify tracking the OCC.

So let me explain the spreadsheet..for tracking 19 different pairs; this is meant to be printed out and tracked by hand on paper + pencil.

The alternating highlights are just for ease of viewing. The only really changable item is the first date (highlighted in yellow) whatever date you change it to, the other dates will chance automagically.

The first column is the currency pairs.

The second column is the date.

The 3rd column is confusing at first, but it's simple. The 4H chart has 6 bars per day, and since we are going by days, that means we only deal with 6 bars. As OCC means you are either bull or bear (no getting out of the market) as each 4H bar shows up, you just mark off if it was a Buy or Sell. So for example, if I'm buying on the 1st 4H bar, then I just tick off "B1" for that currency pair, and I'm done. Similarly, I just tick off "S2" if I had a stop and reverse signal. (Technically, this is not all true, you can get stopped out, and then you would be out of the market, waiting for the next entry signal, then the bars would go unmarked)


The 4th ~ 9th column (columns D to I); since OCC depends on working 3 units at entry time, you only have a few possibilities:
1) The first profit taking point is reached, if so, you'd mark "1"
2) The second profit taking point is reached, if so, you'd mark "2"
3) Since you let the 3rd unit go free Willy, it then gets taken out by only 1 of 2 conditions: A) You hit a stop (in which case, you'd mark "S") or B) You hit a Reversal signal, (in which case, you'd mark the "R")

Column 10: Profit/Loss in terms of pips.

Spreadsheet attached.

If the spreadsheet makes no sense at all, chances are, you haven't actually used OCC, otherwise it would.

As the sheet is made to track 19 pairs, only 2 days worth of data fit on a page..

Hi twoblink,
Just to verify your settings for the system. Are you using them as below ? I think so which differs from your latest system download defaults. I picked up on this from your graph stating (55,E,3) which wasn't what mine had. But something might be off because on my chart that April 11 trade is reversed on May 19, not May 22nd on GBP.

You may also find similar MACO(=moving average close open)-System back to feb 23, 2004 with your Open/Close CrossOver Method version 1.0 from below thread.
Happy trading
http://strategybuilderfx.com/showthr...age+close+open