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  • #61
  • Mar 8, 2013 1:07pm Mar 8, 2013 1:07pm
Quoting BroncoCap
Ha! Yeah, I was in that trade, full loss as the 78.6% stop and rev got me. Full synopsis of the week coming up. Lots to show, lots to learn, markets change, being able to see, adjust, and overcome is key. Even still, I had a win rate of only 30.8%. One trade, a short, had the bid go to target, but the ask did not and the fill did not occur, became a full loss. Stuff happens!

Hope to get the summary up today, it was chaos week, to say the least!
ahahaha idem for me, one trade on Monday didn't reach te 0AB for 1 Pip, I think it's the same!
  • #62
  • Mar 8, 2013 4:03pm Mar 8, 2013 4:03pm
Okay, big update time--

First a couple of thoughts:

(1) MARKETS CHANGE--that is why we track trades, build statistics,
never stop learning. This week was notably different than prior ones.
I am looking at how, why, and if adjustments are needed.

(2) THIS IS MY SYSTEM--you may use it, you may make money,
you may lose money, but there are no guarantees. Make any
system your own. You will be ready to handle change, deal with
losing streaks, etc. so you won't just bail on it when it gets rocky.

(3) THE MARKET IS A MIND-SCREW--it will make you question
your sanity. It will take you within a pipette of your target and
reverse to your stop. It will stop you out then go to target. You
will get crappy fills, news will turn the best trade to crap. RIDE IT
OUT. If you own your system, allow for change, and track your
progress, you can psychologically deal with it.

(4) MONEY MANAGEMENT IS KEY--if and when things get rocky,
sensible money management will allow you to ride it out. Also, if
the system ever fails, proper management will keep you from losing
it all before you accept the system's demise.

Enough of that, here is my ledger--
http://farm9.staticflickr.com/8089/8...21c9cfb4_b.jpg

As you can see, a lot of red. I added columns for demo profit and loss,
both using the 78.6% stop and reverse trade and just using a simple
stop at 78.6%. This week, StopNRev kicked me in the nuts. Of 9 trades
that hit 78.6%, 4 fully reversed back to 0%. That is 44.4%. In February,
that rate was 13.9%. Was this week a fluke, was February a fluke, I
do not know, but I probably will not implement that trade until I have
another 100 trades or until I can find an objective filter.

On the other hand, 4 of 13 trades hit my target for 30.8% win rate.
In February, it was 29.4%, so that pattern matched expectations.

Also, I have to mention the Aqua15 trade. If you see the chart below,
it hit 78.6% and flipped short. Near rollover, the bid actually went past
the short target, but the ask did not. The demo fill algorithm did not fill.
The market then reversed fully giving me a full loss. 1) It happens and
will happen again--deal with it. 2) Demo is just that, demonstration,
only by trading live can one really know what to expect. Go live, go small
to start.

So, with the StopNRev in play, I netted approximately -1.77R. Now, had I
just exited at 78.6%, I would have netted +2.53R. Obviously, not having
StopNRev would have been better this week. Next week???

Here are all the charts, 13 in total (some repeated from earlier posts).

Salmon EURUSD 1min 20130305--
http://farm9.staticflickr.com/8230/8...e0c30bff_b.jpg

Gold5 EURUSD 5min 20130306--
http://farm9.staticflickr.com/8096/8...397ea457_b.jpg

White15 EURUSD 15min 20130307--
http://farm9.staticflickr.com/8515/8...d8b1f379_b.jpg

Aqua15 EURUSD 15min 20130307--
http://farm9.staticflickr.com/8520/8...5c0a2373_b.jpg
  • #63
  • Mar 8, 2013 4:04pm Mar 8, 2013 4:04pm
Continued...

Pink15 EURUSD 15min 20130307--
http://farm9.staticflickr.com/8227/8...b024feb0_b.jpg

Gray EURUSD 1min 20130307--
http://farm9.staticflickr.com/8090/8...24865c81_b.jpg

Green EURUSD 1min 20130307--
http://farm9.staticflickr.com/8241/8...8a13b717_b.jpg

Plum30 EURUSD 30min 20130308 (Dibo, this is the trade you posted)--
http://farm9.staticflickr.com/8377/8...28e06e7a_b.jpg

White EURUSD 1min 20130305--
http://farm9.staticflickr.com/8388/8...63b6d643_b.jpg
  • #64
  • Mar 8, 2013 4:13pm Mar 8, 2013 4:13pm
Continued...

Yellow EURUSD 1min 20130305--
http://farm9.staticflickr.com/8242/8...a1019cc3_b.jpg

Green EURUSD 1min 20130305--
http://farm9.staticflickr.com/8101/8...9bfb41d5_b.jpg

Silver EURUSD 1min 20130304--
http://farm9.staticflickr.com/8249/8...acc46dc5_b.jpg

White EURUSD 1min 20130304--
http://farm9.staticflickr.com/8507/8...b06310c2_b.jpg

So, that is all for my exhausting, chaotic week. I will continue to trade next
week, with less outside influences. I am also thinking of revamping my tracking
to include information like long/short, AB swing (pips), general market direction,
so that future selection of trades may have quantitative filters based on this
information.

Have a good weekend all!
  • #65
  • Mar 11, 2013 5:53pm Mar 11, 2013 5:53pm
No real good waves today. 1 trade that stopped out the 61.8 and
hit target on the StopNRev for +$1.08 or +0.1R. Nothing to get
too excited, but stayed out of trouble too.

Lots of programming to do.

Green5 EURUSD 5min--
http://farm9.staticflickr.com/8522/8...9a48faf8_b.jpg
  • #66
  • Mar 12, 2013 4:25pm Mar 12, 2013 4:25pm
Well eff me sideways, I cannot buy a 61.8% winner, and when one shows
up, I do not even have the order waiting. Joy! The way it goes, and one reason
I was not keen on jumping live quite yet. Equities markets did it to me today as
well. One limit hit but not filled, another limit missed by a penny. Awesome!

Just goes to show there are no guarantees and that the markets are dynamic.
What worked yesterday or last month may not work tomorrow, or next week.
Keep trading, keep learning.

Ledger--
http://farm9.staticflickr.com/8233/8...2553364f_b.jpg

Yellow15 (Missed trade even with ABCD drawn. Just a miss, plain and simple)--
http://farm9.staticflickr.com/8366/8...b68cfdc3_b.jpg

Pink5 EURUSD 5min--
http://farm9.staticflickr.com/8370/8...3cb9386a_b.jpg

Orange EURUSD 1min (little f'er went to 100AB, but did not fill, it happens)--
http://farm9.staticflickr.com/8513/8...1dfbf795_b.jpg

Salmon EURUSD 1min--
http://farm9.staticflickr.com/8112/8...fc16f387_b.jpg
  • #67
  • Mar 12, 2013 4:25pm Mar 12, 2013 4:25pm
Continued...

Aqua5 EURUSD 5min--
http://farm9.staticflickr.com/8088/8...0a7b34f8_b.jpg

Gray, Plum5, and Silver are in play to various degrees. Could be awesome,
could be carnage.

I was testing ideas on where to put waves. Salmon, gray, and Plum5 are
all longs based on the most recent swing. Salmon was super aggressive,
gray was a poor low to chose, and Plum5 is the most obvious low. Let
us see which works (Salmon did not).

As for the StopNRev trade. In January, I was using 78.6% as an add-on level,
February suggested it to be a stop. March is 50/50 I would suspect. Net-net,
I think the StopNRev is a dominantly psychological trade as it turns the failed
61.8% into breakeven+. More testing needed, but it is hurting me right now.

Cheers!
  • #68
  • Mar 14, 2013 4:31pm Mar 14, 2013 4:31pm
No update yesterday as college hoops took priority!

Still working with the EURUSD's bipolar tendicies. A few
solid winners, a few nice StopNRev opportunities, but still
too many retracements hitting 78.6% then going to target at
0%. By the end of March I will know if I should can the
StopNRev trade.

I still need to get a few more 61.8% winners per series of
trades. 1 in 4 is about as low as I can accept. 1 in 3 would
be very nice, 1 in 2 would be epic. The next step is to
start identifying key characteristics of winners and losers.

But for now, I press on.

Ledger (by the way, apparently I cannot read a calendar)--
http://farm9.staticflickr.com/8233/8...7ee5a3f9_b.jpg

Gray5 EURUSD 5min--
http://farm9.staticflickr.com/8369/8...55ee4081_b.jpg

Gold5 EURUSD 5min--
http://farm9.staticflickr.com/8101/8...cd0e5ba6_b.jpg

Pink5 EURUSD 5min--
http://farm9.staticflickr.com/8088/8...13d460ae_b.jpg

Silver5 EURUSD 5min--
http://farm9.staticflickr.com/8389/8...54cf465d_b.jpg
  • #69
  • Mar 14, 2013 4:31pm Mar 14, 2013 4:31pm
Continued...

Plum5 EURUSD 5min--
http://farm9.staticflickr.com/8112/8...b08bda23_b.jpg

Silver30 EURUSD 30min--
http://farm9.staticflickr.com/8226/8...e655bc75_b.jpg

Magenta5 EURUSD 5min--
http://farm9.staticflickr.com/8102/8...ffe6e98b_b.jpg

There has been much chatter about EURUSD price action in
March. It is notably different than February, that is for sure,
but I do not know which is the 'normal' month and which
is the 'psycho' month. If the end of March reverts to February-
like PA, then we will know, otherwise it may be a while.

Press on, do not give up!
  • #70
  • Mar 15, 2013 4:32pm Mar 15, 2013 4:32pm
I keep pushing, the market keeps moving, but what a
mind-f'. Nothing much to report today. I have one trade
that initially worked very well but closed poorly. Within
a few pips of target. Had three other trades where the
StopNRev worked as planned. So a positive day. Also
a beautiful trade that just missed entry order. It happens.

Have a good weekend!

Ledger--
http://farm9.staticflickr.com/8089/8...12e4c795_b.jpg

Silver30 EURUSD 30min--
http://farm9.staticflickr.com/8097/8...a2882b8b_b.jpg

Green EURUSD 1min--
http://farm9.staticflickr.com/8111/8...0099500a_b.jpg

Plum EURUSD 1min--
http://farm9.staticflickr.com/8252/8...1f28a57c_b.jpg

Darn close fill that would've been awesome--
http://farm9.staticflickr.com/8108/8...a8454f59_b.jpg

That's the way it goes, another week down, another
mess of a market. Let us see if it continues or if the
EURUSD behaves.
  • #71
  • Mar 16, 2013 2:55pm Mar 16, 2013 2:55pm
Hey Bronco, here I am,

I have finished the 100 trades yesterday and it's time to make some considerations. First, the last trade is still opened, since didn't reach 0AB for 3 pips
(TP=38 pips) for 2 times, but for this reason I consider this trade as a lost trade for now. This week was a bad week, compared to the previous weeks, but still in profit, and that is the most important thing. Particularly, my last 8 trades (in total 15 this week) reached the SL: however this was my fault, because I took only short trades, and the market gave many opportunities to enter at 0.618 on the long side.

100 trades, 56 hit SL (1-2 pip above 786) and 44 hit TP, give a 44% Win Rate, not bad at all, but it would be awesome to improve it to a 50 % Win Rate.

Then, I'm thinking about not considering the smallest swings ( for instance these trades with a 4 pip SL, and 12 TP). Normally r/r should be near 3.6 (for me near 3 due to the wider SL), but with small swings the r/r is something like 1.5-2 due to the spread/commission. What do you think about this?

Another question about Money Management: what is your preferred strategy of MM?

Finally I attach the excel file. The first week was in Backtest, the others in real. SL stands for "hit stop loss", Hit and Run means that Price touches 786, but didn't reach the SL.

Cheers
Attached File(s)
File Type: xlsx Trading Journal.xlsx   13 KB | 264 downloads
  • #72
  • Mar 16, 2013 6:58pm Mar 16, 2013 6:58pm
Quoting dibo90
Hey Bronco, here I am,

I have finished the 100 trades yesterday and it's time to make some considerations. First, the last trade is still opened, since didn't reach 0AB for 3 pips
(TP=38 pips) for 2 times, but for this reason I consider this trade as a lost trade for now. This week was a bad week, compared to the previous weeks, but still in profit, and that is the most important thing. Particularly, my last 8 trades (in total 15 this week) reached the SL: however this was my fault, because I took only short trades, and the market gave many...
Awesome work, this is how systems are rigorously tested. Grind it out, study the data, tweak, then start all over. I will keep looking over the data, but when I apply my strategy to your results I get the following.

Using 99 trades (I think we are both in the same trade from Friday that got stuck at 1.3050 and our target was a few pips below that!).

38 trades did not hit 78.6AB leaving 61 that did gives a win % of 38.38%

Of the 61 that hit 78.6AB, 48 continued to 100AB and 13 fully retraced back to target at 0AB. That is 78.7% hit 100AB. This would be my StopNRev trade.

So, the aggressive C entries are nicely profitable with expectancy of .79 (incredible) and the StopNRev are not profitable with expectancy of 0.00.

These results mirror my results, roughly, so I am tempted to remove the StopNRev. I will wait for March to close before deciding to do so, but it appears to be the likely result.

I also note that you use a few much smaller waves than I have in March (I did have smaller ones in Feb.). This is one variable I am going to start tracking. I currently limit my AB wave to >20 pips that way there is room between the 61.8% entry and the 78.6% stop.

A bunch of random thoughts and observations. I will continue analyzing your data, but great work. Keep it up!

Cheers!
  • #73
  • Mar 17, 2013 9:54am Mar 17, 2013 9:54am
Quoting BroncoCap
Awesome work, this is how systems are rigorously tested. Grind it out, study the data, tweak, then start all over. I will keep looking over the data, but when I apply my strategy to your results I get the following.

Using 99 trades (I think we are both in the same trade from Friday that got stuck at 1.3050 and our target was a few pips below that!).

38 trades did not hit 78.6AB leaving 61 that did gives a win % of 38.38%

Of the 61 that hit 78.6AB, 48 continued to 100AB and 13 fully retraced back to target at 0AB. That is 78.7% hit 100AB....
For the next 100 trades, I'm also going to start tracking different TP, like 1.27AB,1.38AB and 1.61AB. I remember that Mr. Pip said in one vid that when price hit 0AB, it has also a high probability to reach 1.27/1.38. So let's see if these new variables will improve the system!

Personally I don't feel comfortable with the StopNRev trade, due to the very wide SL. Maybe you can try to see if it works better with different TP/SL
  • #74
  • Mar 17, 2013 5:15pm Mar 17, 2013 5:15pm
Wow, look at that gap! So our last trade is in profit, awesome profit! That is for Cyprus for sure. Despite this, I think it would be very dangerous to leave some trades opened during the weekend, due to these gaps.
So in the end 45% win rate for me.

Cheers!
  • #75
  • Mar 18, 2013 9:00am Mar 18, 2013 9:00am
Quoting 4xf
With such a W/L ratio, why not take the opposite position?
Sorry, I don't understand. What do you mean by taking the opposite position? Do you think 45% is bad?
  • #76
  • Mar 18, 2013 9:44am Mar 18, 2013 9:44am
Quoting 4xf
I think that it could be a better way to take a Long at 618 in order to be right 55% of the time ?...
Uhm.. Not exactly! The % of Win Rate is not the only thing important to see.. The Risk/Reward (r/r) is as important as the Win Rate %. For example you would be right to prefer a 55% Win Rate if your r/r is equal to 1: this means that you risk 1$ in order to win 1$, so with a 55% win rate you're in profit, on the contrary with a 45% WinRate you're in loss.
However, you can see all the thread, we are testing this system, where we have an exact entry (618), an exact StopLoss (786) and an exact Take Profit (0). Therefore you can see that our r/r = 3.6. This means that with also a 30% Win Rate, we are still in profit.

Bronco is also testing the StopNRev trades: he enter at 786 and his TP = 1, SL=0. This method gives an approximately a 80-85% of Win Rate, but the r/r = 0,27 only and this means that with a 70% Win Rate he would be in loss.

For this type of system a 50% Win Rate would be perfect.

I suggest you to read a good book of Money Management, it is essential in trading!

Cheers!
  • #77
  • Mar 18, 2013 10:13am Mar 18, 2013 10:13am
Quoting 4xf
Thank you for your explanation, I appreciate!

Of course with an entry price @618, I mean that the Stop Loss could be @382 (or maybe @500) and the first Take Profit @127, so the r:r will be correct (almost 3)...

On my side, I am very attentive to the R:R to the point of including this criterion in my decision-making tool...
Yes, it could be an idea, test it. But in this case there is no more 55% of Win Rate, because my 55% is reffering to trades that hit 786, after reaching 618 of course. Then the % of reaching 1 is about 80-85%, and for 1.27 is still less.

Define your strategy, then make 100 trades for first impressions and %. Then adjust and go ahead with another 100 and so on.
  • #78
  • Mar 18, 2013 10:19am Mar 18, 2013 10:19am
Quoting dibo90
Uhm.. Not exactly! The % of Win Rate is not the only thing important to see.. The Risk/Reward (r/r) is as important as the Win Rate %. For example you would be right to prefer a 55% Win Rate if your r/r is equal to 1: this means that you risk 1$ in order to win 1$, so with a 55% win rate you're in profit, on the contrary with a 45% WinRate you're in loss.
However, you can see all the thread, we are testing this system, where we have an exact entry (618), an exact StopLoss (786) and an exact Take Profit (0). Therefore you can see that our r/r =...
Hi guys,
Yes, Dibo is 100% correct here. It is funny how people focus only on win% or only on Reward:Risk. These two variables work in tandem. Add to that fact, knowing your personal psychology. As Dibo mentioned, we only need ~25% win rate to be profitable with the 78.6 stop and 0.0 target. Question is, can you handle only having 25% wins? As humans, we are taught/expected/ingrained to be right. I know people who lose money but have 80% win rate. They are focused only on winning %. Heck, I think my StopNRev trade is more about 'winning' than making money since it effectively makes me breakeven if 61.8 trade fails. Yet, it is showing to be a losing strategy. Given the numbers, I am going to likely quit trading the StopNRev. I let the statistics guide me.

Anyways, I am deciding how to proceed. I am going to continue trading demo and collect data. But given the stark difference between Feb. and March results (so far), I also want to see how variable my statistics are. I think I am going to replay historical tick data in NinjaTrader to get additional data. I won't have as much detail as the tracking of levels during a trade is handled by a MetaTrader EA, but at least I can track the basic strategy of 61.8 entry, 78.6 stop, and 0.0 target. I need to get to at least 33% win rate before going live.

I ramble on, nice work dibo and good thinking 4xf. No offense 4xt, but I think you make things a bit too complicated some times. I used to do this (and still do with the StopNRev trade), but it seems the easiest and simplest ideas are sometimes the best!

Cheers guys!
  • #79
  • Mar 18, 2013 11:37am Mar 18, 2013 11:37am
Quoting 4xf
In fact, the whole question is whether or not the percentage of movement 618 -> 127 is higher or lower than movements 618 -> 0AB..??...
Of course, it is always about %'s and R:R. There is an intimate relationship. Based on years and years (and years) of testing, I find most strategies equilibrate at ~breakeven. Which makes sense. Highly profitable would be awesome, but edge may erode with time or longer testing periods. Highly negative would require just doing the opposite to make it profitable. It too would erode with time or longer testing periods.

No matter what we find, we need to be sure the % and R:R works longer term, hence my desire to test using historical ticks replayed in NinjaTrader. Data is king!
  • #80
  • Mar 18, 2013 12:54pm Mar 18, 2013 12:54pm
Quoting 4xf
Note:

No system remains effective for long periods (5, 10 or 15 years ...)

It is therefore not necessary to test this type of time

The fractal nature of the markets shows that a test must be performed on a number of bars and not over a period

For the record, test strategy on 14,400 bars indicate:

in Daily, 55 years of history!
in H1, 600 days of history, more than 2 years!
in 1 minute, just 10 days!
But in all cases, the strategy has always worked on 14,400 bars

(I personally use MultiCharts with ticks data from iQfeed in...
It's not a problem . When market will change, we will do it too, based on the new data.

The movement 618 -> 127 is a countertrend of the last swing, so if you prefer countertrend trades, there are many others preferable ways, like ABCD and in general all the Harmonic Patterns. Therefore the 618 level is also the most important support/resistance of the swing. I think that statistically is preferable to use 618 level as a support/resistance, but is up to you. The important thing is: take a journal of your strategy and make trades. Only time will prove your ideas
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