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15M Envelope Strategy

  • #21
  • Jan 12, 2014 9:38pm Jan 12, 2014 9:38pm
Ok, here are my test results.

trades 100
wins 57
losses 35
be 8

I don't see more than 2 losses in a row.
  • #22
  • Jan 13, 2014 4:00am Jan 13, 2014 4:00am
Quoting jmag
Ok, here are my test results. trades 100 wins 57 losses 35 be 8 I don't see more than 2 losses in a row.
Thanks for your input, jmag. I only use this strategy on the EUR/USD because I am more familiar with it's personality. I haven't used this particular strategy on other pairs but I have done a variation of it using 1H bars, no indicators, exit first profitable close on the EUR/USD and the GBP/JPY.
  • #23
  • Jan 13, 2014 6:26am Jan 13, 2014 6:26am
I realized I wasn't looking for naked close bars while testing. I tend to forget about those. It seems a good majority of them should be smash bars as well, so maybe I didn't miss a lot. But I think I will work on another test.
  • #24
  • Jan 13, 2014 6:35am Jan 13, 2014 6:35am
Quoting jmag
I realized I wasn't looking for naked close bars while testing. I tend to forget about those. It seems a good majority of them should be smash bars as well, so maybe I didn't miss a lot. But I think I will work on another test.
Yes, a lot of naked closes are also smash bars but not all. It's frustrating to run a backtest and discover after you're done that you forgot a variable. Can't tell you how many times I've done that!
  • #25
  • Jan 15, 2014 7:10am Jan 15, 2014 7:10am
Are we allowed to hedge in the US? We can't on Oanda. I'm not sure if it was part of that reform law.
  • #26
  • Jan 15, 2014 8:12am Jan 15, 2014 8:12am
Quoting jmag
Are we allowed to hedge in the US? We can't on Oanda. I'm not sure if it was part of that reform law.
Unfortunately you can't hedge if you use a US broker but you can with most other brokers.
  • #27
  • Jan 16, 2014 9:23am Jan 16, 2014 9:23am
Willing To try the strategy.Hope for the best.
  • #28
  • Jan 18, 2014 10:24am Jan 18, 2014 10:24am
133, how do you scale the envelope bands for larger time frames? I am looking at daily. Also do you change them for 5m? Thanks
  • #29
  • Jan 18, 2014 8:33pm Jan 18, 2014 8:33pm
Quoting jmag
133, how do you scale the envelope bands for larger time frames? I am looking at daily. Also do you change them for 5m? Thanks
jmag, I haven't adjusted the envelopes for higher timeframes yet so I'm not sure what would be the best settings. If you come up with something I'm sure we would all be interested to know. Just a quick idea though, try it without any envelopes and see if that produces anything interesting.
  • #30
  • Jan 18, 2014 9:45pm Jan 18, 2014 9:45pm
Quoting jmag
Are we allowed to hedge in the US? We can't on Oanda. I'm not sure if it was part of that reform law.
You can hedge with FXDD in the U.S.
  • #31
  • Jan 19, 2014 6:50am Jan 19, 2014 6:50am
-High of setup bar must be below upper 0.05 band

I see this rule violated all the time in your chart examples.
Is it an error?
  • #32
  • Jan 19, 2014 8:17am Jan 19, 2014 8:17am
Quoting billbss
-High of setup bar must be below upper 0.05 band I see this rule violated all the time in your chart examples. Is it an error?
That is correct, the high of a long setup bar must be below the upper 0.05 band and above the lower 0.05 band for a short setup. If possible could you post an example of what you are looking at? It's possible I might have incorrectly labeled a setup on a chart example. In the chart I posted below, one of the setups is very close to the upper 0.05 band but hasn't exceeded it.
Attached Image (click to enlarge)
Click to Enlarge Name: 02 jan 2013.png Size: 41 KB
  • #33
  • Jan 28, 2014 2:41pm Jan 28, 2014 2:41pm
Hi 133,

I'm just wondering if you can give details on your performance with this system. I'm not asking for any proof, just want to get an idea of what your current / backtest stats are like. I'm not here to criticize your system.
  • #34
  • Jan 29, 2014 10:39am Jan 29, 2014 10:39am
From my experience, what's intriguing about these setups is that the win to loss ratio from testing tends to hover around the golden mean. This is from over 250 trades in the first three hours of US session. A little over half of them are 5m and the rest 15m. I went to 5m because my time is limited, and although the win ratio still appears to hold around that result, the chop and false signals as we know at this small of a time frame can be trying. I am still forward testing this at 15m. The phi result is amazing.
  • #35
  • Jan 29, 2014 10:56am Jan 29, 2014 10:56am
Quoting irampagemc
Hi 133, I'm just wondering if you can give details on your performance with this system. I'm not asking for any proof, just want to get an idea of what your current / backtest stats are like. I'm not here to criticize your system.
irampagemc,
Unfortunately I don't have any hard numbers to give you. Part of what I find profitable about this system is the money management I use when trading this way. I shoot for 1.5 net wins per day using 1:1 risk/reward per trade. When I hit that number I walk away. If I hit -3 net, I also call it a day. I'll watch the market from London open to close. I'll be the first to admit that this system isn't perfect but it is profitable. Hope that answers your question.
  • #36
  • Jan 29, 2014 10:59am Jan 29, 2014 10:59am
Quoting jmag
From my experience, what's intriguing about these setups is that the win to loss ratio from testing tends to hover around the golden mean. This is from over 250 trades in the first three hours of US session. A little over half of them are 5m and the rest 15m. I went to 5m because my time is limited, and although the win ratio still appears to hold around that result, the chop and false signals as we know at this small of a time frame can be trying. I am still forward testing this at 15m. The phi result is amazing.
jmag,
Try looking at the higher timeframes such as the 1H and 4H and drop the envelopes altogether. See what kind of results you get that way. Tends to be less choppy and might fit your time schedule better.
  • #37
  • Jan 29, 2014 11:26am Jan 29, 2014 11:26am
Interesting method, i will try it on February. Thank you!!
  • #38
  • Jan 29, 2014 3:04pm Jan 29, 2014 3:04pm
I think i may try my hand at writing an indicator that will quickly identify the different type of bars based on your rules. I'm not the best at always identifying bars so this may help me stick to the core rules. I'm not a master MT4 coder, but let's see what i can do! I'll post it here when done and you guys can take a look to identify if the rules are correct.
  • #39
  • May 21, 2014 4:02pm May 21, 2014 4:02pm
what happened to this thread, seemed quite interesting.
  • #40
  • May 23, 2014 8:32pm May 23, 2014 8:32pm
I didn't have to time to trade this intraday anymore and tested some on daily. Still got similar positive win/loss rate. For a strictly mechanical method this seems pretty steady. I never saw any intolerable draw down. I'm trading a little differently now still using pin bars and other formations with s/r.
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