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Open Range Break - 100% Mechanical

  • #21
  • Edited May 5, 2014 4:17am May 4, 2014 12:55pm | Edited May 5, 2014 4:17am
If you open youtube or google, instead of FF, you can find examples of how to implement strategies very similar to yours. Keywords are London Close, London Close Strategy, New York Open, New York Open Strategy, Peter Bain.
You cannot be extraordinary by being normal
  • #22
  • May 4, 2014 1:11pm May 4, 2014 1:11pm
Quoting dkrock
if you cannot stick to the subject matter, perhaps you shouldn't post????
Interesting advice -

As to your comments to me, I did look up briefly the strategy you mentioned. I came across a thread here and a couple other google search results mentioning scam. I decided I didn't care much to pursue that any further as I am busy with more worthwhile endeavors. As to other time settings, I indeed mentioned that in my first post. However, I didn't mention using a bar around the London closing, but perhaps that would yield interesting results; thank you for the suggestion. Again, an automation of the idea would greatly accelerate testing. It really does not matter much to me if you think I should look at other strategies you mention in my thread concerning a strategy. I offered a strategy for people to adopt, test, alter, and make their own.

As for your comments to Mario; I started trading forex, then switched to futures because the intraday volatility is greater, and now trade both. Markets are markets with traders making trades: strategies that have merit typically apply to all markets.

It does appear there may be some EAs already coded with similar ideas - perhaps I can hack away at some code and get an EA working. Thanks again for the suggestion -
Small disciplines repeated with consistency lead to great achievements.
  • #23
  • May 4, 2014 1:41pm May 4, 2014 1:41pm
Quoting dkrock
{quote} I understand you are hesitant to make the leap to benchmarking. Everyone thinks they are unique. You should have seen me when I created the TDI from scratch only to find out a few months later someone already had a name for it. Markets are not markets. Perhaps that is your first fundamental mistake. Forex is not nearly as reactive to fundamentals as stocks or commodities. Additionally the volume is tremendously higher. It's cute that you think you can tick trade Forex Good Luck dude. I led you to the water, but I certainly can't make you...
What water did you lead me to? Someone else's strategy that is reportedly a scam? You have not provided any insight or help whatsoever. You put a moving average on an RSI and thought it was revolutionary? I'm not sure why you even both with oscillators, but I won't attempt to tell you not to use them if it works for you, nor will I come to your thread and tell you to do things other than what you have proposed, and then call you ignorant for not listening to me.

I trade profitably - I don't know if you do, nor does it matter to me. This side project was merely just that - a side project. EAs are always alluring and, in my experience, have always failed. But I was interested in trying and had some free time.
Small disciplines repeated with consistency lead to great achievements.
  • #24
  • Edited 9:12pm May 4, 2014 6:56pm | Edited 9:12pm
I'm going to try my hand at coding it. It will be my fist attempt at coding, so it may take me a while
  • #25
  • May 5, 2014 7:17am May 5, 2014 7:17am
What do you assume as your initial risk? Is it, OR + Spread + 0.5?
  • #26
  • May 5, 2014 7:48am May 5, 2014 7:48am
Quoting VVizlan
What do you assume as your initial risk? Is it, OR + Spread + 0.5?
As I tested it, initial risk was infinite, as the "stop loss" was done as a market order when price closed on the opposite side of the OR. For the sake of practicality, I'd say put an initial stop of 20 pips, but make it so the EA closes the trade once price closed on the opposite side of the OR (i.e. if you're long, and it closes on the under side of the OR, exit the long, and put a pending sell limit order at the bottom of the OR).

Man, I'm a complete hack at MT4 programming, and tried to build an EA, but it just started opening random trades. Thanks for giving it a shot -
Small disciplines repeated with consistency lead to great achievements.
  • #27
  • May 5, 2014 8:00am May 5, 2014 8:00am
lol, hopefully mine works better. Well, what I meant was... how do you determine TP profit levels? You are going for 2x, 3x, 4x, 5x, or 10x of what?

I'll add an optional stop-loss that we can play around with.
  • #28
  • May 5, 2014 8:24am May 5, 2014 8:24am
Quoting VVizlan
lol, hopefully mine works better. Well, what I meant was... how do you determine TP profit levels? You are going for 2x, 3x, 4x, 5x, or 10x of what? I'll add an optional stop-loss that we can play around with.
Profit level is determined as a multiple of the open range. For example, this morning's open range, on my demo broker at least, is 2.2 pips. So we want to tell the EA to aim for a multiple of that open range. In my test, I found 5x that multiple to be the best - so in this case, 11 pips.

Also, we want to base the position size on that open range. So you would tell the EA a % of account to risk, and then it would use the open range size as the "theoretical stop" to solve for what the trade size should be. Does that make sense? So for today, it would take (Account Value * Risk Percent / 2.2 pips / 10) = Trade Size.
Small disciplines repeated with consistency lead to great achievements.
  • #29
  • May 5, 2014 8:43am May 5, 2014 8:43am
yep, I got it.
Out of curiosity what spread did you use to test this?
  • #30
  • May 5, 2014 8:46am May 5, 2014 8:46am
How do you deal with the spread values (as money)? I mean yeah , true 5 x 2.2 = 11.
But ... 2.2 is really : 2.2+spread wich is more like 4.2. (I have a 2 pips spread on EU)
And then to get to 5X , that would be 4.2 x 5 = 21 (because your REAL RISK is now 4.2 pips)
Wich is also (in real trading more like 21+spread = 23 pips) (Because to make 21 pips the market has to move 23 to cover the spread)

What do you think?
THANKS

p.s. love the idea,love the simplicity and I'd love to have the ability to trade short term
"Always be yourself " Batman
  • #31
  • May 5, 2014 9:17am May 5, 2014 9:17am
Quoting rdsl
How do you deal with the spread values (as money)? I mean yeah , true 5 x 2.2 = 11. But ... 2.2 is really : 2.2+spread wich is more like 4.2. (I have a 2 pips spread on EU) And then to get to 5X , that would be 4.2 x 5 = 21 (because your REAL RISK is now 4.2 pips) Wich is also (in real trading more like 21+spread = 23 pips) (Because to make 21 pips the market has to move 23 to cover the spread) What do you think? THANKS p.s. love the idea,love the simplicity and I'd love to have the ability to trade short term
These are good questions. My first suggestion, honestly, is to get a better broker. I have 0.0-0.5 spread on EU, and I'm in the US, granted not in MT4. I could get that spread for Ninjatrader, but currently I just trade through my broker's platform. There are a number of MT4 brokers with much better spread available to non-US residents.

However, looking at your example, we aren't aiming necessarily for 5x risk, its just 5x the opening range. This gets you close to 5x R:R, but of course using a close beyond the OR as your exit will increase your risk beyond just the OR size. But perhaps we could just have the robot base position sizing and target on the OR+spread value.
Small disciplines repeated with consistency lead to great achievements.
  • #32
  • May 6, 2014 11:24am May 6, 2014 11:24am
Give this a try and see of it conforms to the rules of post #1.

NOTE: it will only run on a demo account for now!

Version 1

Inputs:

 

  1. GMT_Offset=5 // GMT Offset based on broker mine is GMT+2
  2. StartHourToCheckForTrades=8 // Time to start looking for trades (uses GMT_Offset)
  3. EndHourToCheckForTrades=11 // Time to stop looking for trades (uses GMT_Offset)
  4. CloseTradesEndOfDay=1 // Set to 1 to close trades at 23:55 (uses GMT_Offset)
  5. StopLoss=20 // StopLoss added to OR, set to 0 for no sl
  6. RR_Target=5 // Ratio of OR for tp
  7. CandleBuffer=0.5 //buffer value on to OR in pips
  8. MaxTradesPerDay=5 // Max trades per day
  9. OneTpPerDay=0 // Set to 1 to allow one tp hit per day
  10. MagicNumber=0 // Magic Number
  11. Lots=0.01 // Lot size
  12. RiskPercent=2 // Set to 0 to use Lots
  13. BoxColor=DodgerBlue // Box colour
  14. Debug=false // Gives extra output to Journal/Expert Tab


No source code for now so don't ask. Don't fill the thread with questions on how to add or use the EA, use Google/Bing/Yahoo to find the answer!

Thanks jmflukeii for developing the idea hopefully this might have legs.

Regards

Mike

Attached File(s)
File Type: ex4 jmflukeiii.ex4   10 KB | 857 downloads
  • #33
  • May 6, 2014 11:44am May 6, 2014 11:44am
Beat me to it I see, lol. Thanks for coding this.

One thing I thought about adding was number of bars to consider as part of the OR. Everything else seems to be exactly what I had envisioned.
  • #34
  • Edited 3:35pm May 6, 2014 3:20pm | Edited 3:35pm
Very cool man, thanks a lot. Like you said, maybe it has legs, or maybe it doesn't.

Mike, if you set SL to 0, your note says "no stop loss". Does that mean that it will close the trade if it closes on the other side of the OR, or it will just never close the trade?

Thanks -

On another note, dKrock is now ignoring me and for some reason deleted one of his posts from this thread which included several insults to me. Be careful of this guy- he's going to start trying to sell you all something soon enough - his magic mix of CCI's and their averages trapped in a bollinger band that he's leading everyone on with in his thread.

If this idea is a total flop, I'll try to talk about some of the more useful things I actually trade with. The allure of a purely mechanical robot has never left me though, but am a bit skeptical we'll get something that has a long term positive expectancy.
Small disciplines repeated with consistency lead to great achievements.
  • #35
  • May 6, 2014 3:44pm May 6, 2014 3:44pm
Mike -

This image is confusing to me - I'm doing the visual backtester, but not sure what is going on. I'm testing this on Excel, which I'm not sure what time zone it is in, but I know the US market opens at 15:00. As you see in this image, it entered a trade as price pulled back down to some level prior to the market open (the gray box shows when the market would open.

Attached Image (click to enlarge)
Click to Enlarge Name: Capture.PNG Size: 34 KB


Here is what happened once it got to the actual open:

Attached Image (click to enlarge)
Click to Enlarge Name: Capture2.PNG Size: 36 KB


Any idea what's going on here?

Here's the rest of that session: it looks like it took a short in the middle of the OR, and then exited again or reversed in the middle of it. Sorry, not trying to be critical - maybe I'm messing something up - thanks again

Attached Image (click to enlarge)
Click to Enlarge Name: eurusd.m5.png Size: 35 KB
Small disciplines repeated with consistency lead to great achievements.
  • #36
  • May 6, 2014 3:45pm May 6, 2014 3:45pm
Quoting jmflukeiii
Very cool man, thanks a lot. Like you said, maybe it has legs, or maybe it doesn't. Mike, if you set SL to 0, your note says "no stop loss". Does that mean that it will close the trade if it closes on the other side of the OR, or it will just never close the trade? Thanks - On another note, dKrock is now ignoring me and for some reason deleted one of his posts from this thread which included several insults to me. Be careful of this guy- he's going to start trying to sell you all something soon enough - his magic mix of CCI's and their averages...
You were ignored by a Holy Grail newbie. Wear it like a badge of honor

Btw, I like your strategy.
"To hold, you must first open your hand. Let go." - Lao Tzu
  • #37
  • May 6, 2014 3:50pm May 6, 2014 3:50pm
Dude, nevermind, I'm an idiot. Had the time wrong - getting my brokers confused and apparently I need glasses.

Attached Image (click to enlarge)
Click to Enlarge Name: eurusd.m5 2.png Size: 35 KB
Small disciplines repeated with consistency lead to great achievements.
  • #38
  • May 6, 2014 3:52pm May 6, 2014 3:52pm
Quoting vox dei
{quote} You were ignored by a Holy Grail newbie. Wear it like a badge of honor Btw, I like your strategy.
Lol - thanks man -
Small disciplines repeated with consistency lead to great achievements.
  • #39
  • Edited 4:24pm May 6, 2014 3:59pm | Edited 4:24pm
Alright, awesome start, it enters at the right locations, unlike my version which I made which was randomly entering.

I've attached a chart with notes. It would be great if we could do the following:

  1. Make the trade close at market when it closes on the wrong side of the OR from the trade. - I think this is pretty important to get right.
  2. Cancel any pending orders that are not filled once the clock strikes 11 EST (or whatever time).
  3. Once a trade completes to its target, it should not fill again on the same side of the OR (see second picture - the trade successfully hit the target to the downside, but then immediately placed a new limit order for short).
  4. It seems that the GMT offset is making it so trades exit at GMT midnight. I did the original analysis on EST midnight. Perhaps you could just put the option to input an exit time and avoid having to move everything to GMT?

Are these even possible requests?



Attached Image (click to enlarge)
Click to Enlarge Name: notes.png Size: 39 KB


Attached Image (click to enlarge)
Click to Enlarge Name: notes 2.png Size: 43 KB
Small disciplines repeated with consistency lead to great achievements.
  • #40
  • May 6, 2014 5:41pm May 6, 2014 5:41pm
JM may i know what broker are you using? Thanks!
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