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  • #121
  • Sep 10, 2014 6:18am Sep 10, 2014 6:18am
Quoting oldflatop
{quote} Just to make it clear how much is the 5th entry? 8 or 16? I got hit today on the 3rd (I cannot go any higher) and it was mostly form the spread pips. But I'm testing the system.
5th entry would have been 16.

As today's price movements show: prolonged ranging even after "London open" happens more often than a "black swan".
  • #122
  • Sep 10, 2014 6:30am Sep 10, 2014 6:30am
Quoting jackenorme
{quote} so basing the first entry from last 5m candle is better than the original idea of aamad, maybe faster in achieving the TP. what do you think guys, the better idea is better for everyone. 5th entry is too risky.
Yes, correct: the 5th entry would have been too risky, as requiring 31 straight TP just to break even.

So far using the last 5M candle's direction has been safer (as it has not required exceeding 4th level entries), but there is no enough data to support that it was safe enough even with this entry method.

"Safe" meaning: no more than one 4th level SL per month. Two 4th level SL per month - based on long term statistics - would mean no "edge". Three or more stop losses per month would mean that probably the strategy would work better in "reverse" mode.
  • #123
  • Edited 6:50am Sep 10, 2014 6:38am | Edited 6:50am
Hi all!

Assuming we win the spread of our trades, if we calculate the payment for broker commissions, things would be this way.

0.1 lot ..... $0.60 commission .... +$9.40 net gain
0.2 lot ..... $1.20 commission .... +$8.20 net gain
0.4 lot ..... $2.40 commission .... +$5.80 net gain
0.8 lot ..... $4.80 commission .... +$1.00 net gain
0.16 lot ... $9.60 commission .... -$8.60 net gain

So you should keep this in mind when making your calculations. One option would also try to recover commissions on trades.
  • #124
  • Sep 10, 2014 7:15am Sep 10, 2014 7:15am
Quoting Kfx
Hi all! Assuming we win the spread of our trades, if we calculate the payment for broker commissions, things would be this way. 0.1 lot ..... $0.60 commission .... +$9.40 net gain 0.2 lot ..... $1.20 commission .... +$8.20 net gain 0.4 lot ..... $2.40 commission .... +$5.80 net gain 0.8 lot ..... $4.80 commission .... +$1.00 net gain 0.16 lot ... $9.60 commission .... -$8.60 net gain So you should keep this in mind when making your calculations. One option would also try to recover commissions on trades.
Absolutely correct. Using an ECN brokers commission should added to TP and deducted from SL.

So with $0.60 commission: TP should be 10.6 pips while SL 9.4 pips.
  • #125
  • Sep 10, 2014 7:32am Sep 10, 2014 7:32am
Quoting Paracelsus
{quote} Absolutely correct. Using an ECN brokers commission should added to TP and deducted from SL. So with $0.60 commission: TP should be 10.6 pips while SL 9.4 pips.
About slippage in pending orders, can you tell some words about your experience in the brokers you used?. Have you found large differences in execution between them? ... What has been the maximum negative deviation you've suffered? ... And positive?

Thanks.

Edit. I want to say that I'm talking about Real accounts.
  • #126
  • Sep 10, 2014 7:43am Sep 10, 2014 7:43am
NYO hit the +10pips straight away (+12pips in my case).
Still a "black swan" day for me though.
  • #127
  • Sep 10, 2014 7:58am Sep 10, 2014 7:58am
Quoting Paracelsus
{quote} Yes, correct: the 5th entry would have been too risky, as requiring 31 straight TP just to break even. So far using the last 5M candle's direction has been safer (as it has not required exceeding 4th level entries), but there is no enough data to support that it was safe enough even with this entry method. "Safe" meaning: no more than one 4th level SL per month. Two 4th level SL per month - based on long term statistics - would mean no "edge". Three or more stop losses per month would mean that probably the strategy would work better in...
my friend i think go with the flow has the higher probability to not exceed 4th entry. look at the NYO, hit the TP right on 1st entry.
  • #128
  • Sep 10, 2014 7:59am Sep 10, 2014 7:59am
Quoting Kfx
{quote} About slippage in pending orders, can you tell some words about your experience in the brokers you used?. Have you found large differences in execution between them? ... What has been the maximum negative deviation you've suffered? ... And positive? Thanks. Edit. I want to say that I'm talking about Real accounts.
"Non-news" related max. slippage I have ever seen with ECN brokers (even trading large volumes, i.e. >100 lots) was max. 3 pips on EURUSD. During quiet hours even 300+ lots went through with < 0.3 pips slippage.

I think that with a grid strategy slippage should not have a major impact on the results, as occasionally positive slippage happens (as mentioned above by "OLdfatop".
  • #129
  • Edited 8:45am Sep 10, 2014 8:05am | Edited 8:45am
Quoting jackenorme
{quote} my friend i think go with the flow has the higher probability to not exceed 4th entry. look at the NYO, hit the TP right on 1st entry.
Agree, especially after today's events, i.e. seeing a 5th entry being triggered with LO (going with an opposite direction initial entry).

LO: +10 pips (opposite direction initial entry would have triggered a 5th entry before TP)
NYO: +10 pips (opposite direction initial entry would have triggered a 2nd entry before TP)
  • #130
  • Sep 10, 2014 8:15am Sep 10, 2014 8:15am
Quoting Paracelsus
{quote} Agree, especially after today's events, i.e. seeing a 5th entry being triggered with LO (with "buy only" initial entry). LO: +10 pips (with 1st entry using last M5 direction and 5th entry using "buy only") NYO: +10 pips (with 1st entry using last M5 direction and 2nd entry using "buy only")
Hi Paracelsus

I have made modification about first entry on first page 4 days ago so your last "M5 direction" is according to that entry or you are using some other?
Love for all; Hatred for none.
  • #131
  • Sep 10, 2014 8:21am Sep 10, 2014 8:21am
Quoting aahmad29
{quote} Hi Paracelsus I have made modification about first entry on first page 4 days ago so your last "M5 direction" is according to that entry or you are using some other?
Sorry, missed that. I have edited my "daily report" for today.
  • #132
  • Sep 10, 2014 8:24am Sep 10, 2014 8:24am
Quoting Paracelsus
{quote} Sorry, missed that. I will edit the "daily report" for today.
Thanks for your efforts. I am not saying that my probability game is fool proof, i wanted that interested traders participate and bring even more ideas to increase the performance of this probability strategy and this is happening.

Wish you all green pips
Love for all; Hatred for none.
  • #133
  • Sep 10, 2014 8:33am Sep 10, 2014 8:33am
Quoting Paracelsus
{quote} "Non-news" related max. slippage I have ever seen with ECN brokers (even trading large volumes, i.e. >100 lots) was max. 3 pips on EURUSD. During quiet hours even 300+ lots went through with < 0.3 pips slippage. I think that with a grid strategy slippage should not have a major impact on the results, as occasionally positive slippage happens (as mentioned above by "OLdfatop".
Great, thanks for the info.
  • #134
  • Sep 10, 2014 8:39am Sep 10, 2014 8:39am
Quoting aahmad29
{quote} Thanks for your efforts. I am not saying that my probability game is fool proof, i wanted that interested traders participate and bring even more ideas to increase the performance of this probability strategy and this is happening. Wish you all green pips
Nobody has expected the "Holy Grail". If you had that, probably this thread would not have been started...

Thanks for sharing your idea. Maybe we can find and eliminate the "black swan" from it...
  • #135
  • Sep 10, 2014 9:21am Sep 10, 2014 9:21am
Quoting Paracelsus
{quote} Agree, especially after today's events, i.e. seeing a 5th entry being triggered with LO (going with an opposite direction initial entry). LO: +10 pips (opposite direction initial entry would have triggered a 5th entry before TP) NYO: +10 pips (opposite direction initial entry would have triggered a 2nd entry before TP)
Paracelsus, i think there was confusion about first entry because after modification if i look for todays LO and NYO entry then both hit TP at first entry. hope below given information will clarify the first entry

So rule is for NY and LO M5 candle:

If open price is greater than closing price it is sell = SELL candle means sell order

If open price is smaller than closing price it is buy = BUY candle means BUY order

If open price is equal to closing price it is buy
Love for all; Hatred for none.
  • #136
  • Sep 10, 2014 9:28am Sep 10, 2014 9:28am
Quoting aahmad29
{quote} Paracelsus, i think there was confusion about first entry because after modification if i look for todays LO and NYO entry then both hit TP at first entry. hope below given information will clarify the first entry So rule is for NY and LO M5 candle: If open price is greater than closing price it is sell = SELL candle means sell order If open price is smaller than closing price it is buy = BUY candle means BUY order If open price is equal to closing price it is buy
Yes, modified rules are clear.

I just thought that it would be interesting to mention that "opposite direction" initial entry might have reached Level5. "Opposite", i.e. against the rules.
  • #137
  • Sep 10, 2014 10:02am Sep 10, 2014 10:02am
Quoting Paracelsus
{quote} Yes, modified rules are clear. I just thought that it would be interesting to mention that "opposite direction" initial entry might have reached Level5. "Opposite", i.e. against the rules.
I am new to using backtesting software so if anyone else on here is proficient in it..
What if we simultaneously opened a buy and sell order for the initial order at the open ? One would fairly quickly hit the initial 10 TP and if the other hit within 3 or 4 levels both would be positive.
  • #138
  • Sep 10, 2014 10:18am Sep 10, 2014 10:18am
Quoting freundr
{quote} I am new to using backtesting software so if anyone else on here is proficient in it.. What if we simultaneously opened a buy and sell order for the initial order at the open ? One would fairly quickly hit the initial 10 TP and if the other hit within 3 or 4 levels both would be positive.
I also thought about. Until today.

Lets see what happened today at LO: Going by the Rules, the first entry hit TP. If going also "reverse", we could have got another +10 pips, but only after the 5th entry. Stopping after 4th entry would have resulted in a 14 units net loss (+1 and -15).

As discussed above, a 5th entry is better to be avoided at all costs as the recovery time is very long after a SL (31 TP exactly).
  • #139
  • Sep 10, 2014 10:23am Sep 10, 2014 10:23am
Quoting Paracelsus
{quote} Yes, modified rules are clear. I just thought that it would be interesting to mention that "opposite direction" initial entry might have reached Level5. "Opposite", i.e. against the rules.
Love for all; Hatred for none.
  • #140
  • Sep 10, 2014 10:26am Sep 10, 2014 10:26am
Quoting freundr
{quote} I am new to using backtesting software so if anyone else on here is proficient in it.. What if we simultaneously opened a buy and sell order for the initial order at the open ? One would fairly quickly hit the initial 10 TP and if the other hit within 3 or 4 levels both would be positive.
As i mentioned that this game is risky so we are trying to avoid risk so don't put your self in more risk. Don't be greedy for pips
Love for all; Hatred for none.
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