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Reverse Engineering a Profitable System (REPS)

  • #121
  • Aug 14, 2015 6:26am Aug 14, 2015 6:26am
Quoting PipMeUp
{quote} If you trail the SL above the BE and get stopped out you need keeping track of all the losses you took and take them into account for the next entry lot size. That makes things quite complicated, just my opinion. That's why I prefer jumping at BE in one step. Also if we trail too early we offer our SL to the market. Another option is to open two positions. When DC-H1 cleared the entry both SL are set at BE. One of the SL is trailed with DC-H4. Again the final profit is limited in the perfect scenario. But this may increase a bit the capital...
Pip,

Let me clarify. When I mentioned trailing the H4 I only meant until the trade was at BE. The overall D1 trail would stay in effect.
But you're right, it would complicate the MM on a partial loss, but at least it wouldn't set to zero.
  • #122
  • Aug 14, 2015 6:30am Aug 14, 2015 6:30am
Quoting spyderman
{quote} Pip, Let me clarify. When I mentioned trailing the H4 I only meant until the trade was at BE. The overall D1 trail would stay in effect. But you're right, it would complicate the MM on a partial loss, but at least it wouldn't set to zero.

If you can clarify the final thoughts up to now, I can put together a simple ea to test the idea and share it here. If you like....
  • #123
  • Aug 14, 2015 6:40am Aug 14, 2015 6:40am
Quoting Copernicus
{quote} This may be unnecessarily complicating things......
Yeah, I don't want to overcomplicate.
Thus far we are wanting to trail at the D1 DC. That way all entries are exiting at the series "end". Rinse and repeat in at the next Weekly DC break.
That's still the goal as I see it.
I think moving addons to BE (even if that's inside the D1 DC) when the H1 DC clears entry is solid. Even if we hit the BE without a series end retracement, we haven't damaged our MM progression, just lost an entry (as we did in the E/U example)
So the only real question is, to trail the addon entry s/l until it hits BE, or wait till it clears the H1 and move it all at once.

If we trail at the H4 at it reverses to a partial close...
Let's say we had a $100 initial risk as in the E/U template. At some point in the trend we have $1,000 floating. We lock in 500 and want to risk 500.
Place our position accordingly and then trail the s/l with the H4. We trail 1/2 way from starting s/l to BE and then price retraces to take the position out, so we loose $250. But the series doesn't close.
So we have $500 locked at the D1 DC and $250 left of our previous partial loss.
Do we then look to re-enter using the $250 or go back to the original $100. We for sure don't want to put any of the $500 lock at risk.

Takes more math, but we're trading on higher TF's so shouldn't be as much of an time issue.
  • #124
  • Aug 14, 2015 6:44am Aug 14, 2015 6:44am
Quoting GoldTheHun
{quote} If you can clarify the final thoughts up to now, I can put together a simple ea to test the idea and share it here. If you like....

Hey GTH,

Thanks for the offer. Do you mean the trade management part?
If so all we would be talking about is a Donchian Channel trail. User should be able to select DC period and which timeframe he wants. Also would need an option to stop the trail at BE or better yet BE +(n) pips. Would need a "ticket number" selection so it only trails that specific trade
I don't think we'd have to complicate it more than that for now.
  • #125
  • Aug 14, 2015 6:51am Aug 14, 2015 6:51am
Quoting spyderman
{quote} Hey GTH, Thanks for the offer. Do you mean the trade management part? If so all we would be talking about is a Donchian Channel trail. User should be able to select DC period and which timeframe he wants. Also would need an option to stop the trail at BE or better yet BE +(n) pips. Would need a "ticket number" selection so it only trails that specific trade I don't think we'd have to complicate it more than that for now.

The ticket number option is a little hard for me at the moment. I use StrategyQuant's EA Wizard, so that option is not possible with this software at the moment. Sorry for that....
  • #126
  • Aug 14, 2015 6:54am Aug 14, 2015 6:54am
Quoting GoldTheHun
{quote} The ticket number option is a little hard for me at the moment. I use StrategyQuant's EA Wizard, so that option is not possible with this software at the moment. Sorry for that....

No apologies needed. Appreciate the offer.
Without the ticket number it would move all entries on the pair with the H4 (or whatever tf) channel. That would take our s/l's inside the D1 DC, which we don't want.
  • #127
  • Aug 14, 2015 6:55am Aug 14, 2015 6:55am
Quoting spyderman
{quote} No apologies needed. Appreciate the offer. Without the ticket number it would move all entries on the pair with the H4 (or whatever tf) channel. That would take our s/l's inside the D1 DC, which we don't want.

Sure, I get you point.
  • #128
  • Aug 14, 2015 7:08am Aug 14, 2015 7:08am
Here's an example on the E/N trade.

We're obviously running at a loss at this point.
S/L was set at the H4 DC at time of entry but volatility has slowed down and the H4 channel has moved up. We're talking of a 180 pip difference.
To trail or not to trail...that literally is the question

Attached Image (click to enlarge)
Click to Enlarge Name: EURNZDiH4.png Size: 71 KB
  • #129
  • Aug 14, 2015 7:11am Aug 14, 2015 7:11am
Quote
So we have $500 locked at the D1 DC and $250 left of our previous partial loss. Do we then look to re-enter using the $250 or go back to the original $100. We for sure don't want to put any of the $500 lock at risk.
The budget to add was $500. We lost $250 of them. So we should reenter with the $250 remaining. We trail the DC-H4 only up to BE(+fees) and only when DC-H1 is fully below the entry. i.e. we can stop trailing temporarily if price retraces a bit. This way we reduce the risk without suffocating the trade.
No greed. No fear. Just maths.
  • #130
  • Aug 14, 2015 7:19am Aug 14, 2015 7:19am
Quoting PipMeUp
{quote} The budget to add was $500. We lost $250 of them. So we should reenter with the $250 remaining. We trail the DC-H4 only up to BE(+fees) and only when DC-H1 is fully below the entry. i.e. we can stop trailing temporarily if price retraces a bit. This way we reduce the risk without suffocating the trade.

Hey Pip,

You lost me a bit there...I thought before we had decided before to move the stop en masse when the H1 DC cleared the entry
So are you saying not to do that and just trail using the H4, but only start the trail once the H1 has cleared. That would seem to be even more conservative than even the straight H1 clearing move. Maybe I'm misunderstanding.
  • #131
  • Aug 14, 2015 7:22am Aug 14, 2015 7:22am
Quoting spyderman
So here's another wrinkle to work out. What do you do about entering (or not) a trend once it's been on it's way for awhile. For example here on the Gbp/Nzd, it might look like the trend should be exhausted. {image} Not so much when you zoom out though {image} I'm thinking perhaps we should start a new "leg" when the weekly DC gets hit again. Obviously if we had been closed out of a series on the daily that would mean that price has come down/up off the Weekly extreme, thus perhaps setting up another trade series. Any thoughts?
We didn't discuss this point. BTW I notice MT4 doesn't draw the DC properly. The channel is to be drawn using the last known candle not the next (future!) one.

Correctly drawing the channel shows that you would have started trading on the 18th of May and you would have ridden the move. The first entry was on the Thu, 28th 12:00 UTC (my candles are UTC) with a 230 pip SL. 2550 pips floating today. You would still be in the trade since DC-D1 was never touched.
=> It is a missed opportunity. Too late.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: GBPNZD-W1.png Size: 16 KB
Click to Enlarge Name: GBPNZD-H4.png Size: 15 KB
No greed. No fear. Just maths.
  • #132
  • Aug 14, 2015 7:26am Aug 14, 2015 7:26am
Quoting spyderman
{quote} Hey Pip, You lost me a bit there...I thought before we had decided before to move the stop en masse when the H1 DC cleared the entry So are you saying not to do that and just trail using the H4, but only start the trail once the H1 has cleared. That would seem to be even more conservative than even the straight H1 clearing move. Maybe I'm misunderstanding.
Hmm you're right...
No greed. No fear. Just maths.
  • #133
  • Aug 14, 2015 7:37am Aug 14, 2015 7:37am
Quoting PipMeUp
{quote} We didn't discuss this point. BTW I notice MT4 doesn't draw the DC properly. The channel is to be drawn using the last known candle not the next (future!) one. Correctly drawing the channel shows that you would have started trading on the 18th of May and you would have ridden the move. The first entry was on the Thu, 28th 12:00 UTC (my candles are UTC) with a 230 pip SL. 2550 pips floating today. You would still be in the trade since DC-D1 was never touched. => It is a missed opportunity. Too late. {image} {image}

I'm showing the Weekly DC set here off the 2/1/15 weekly candle at 2.09344. Breached on the 21st of May.

Are you using the close/open or the high/low for your channel?

Attached Image (click to enlarge)
Click to Enlarge Name: GBPNZDiWeekly.png Size: 54 KB

Attached Image (click to enlarge)
Click to Enlarge Name: GBPNZDiDaily.png Size: 67 KB
  • #134
  • Aug 14, 2015 7:38am Aug 14, 2015 7:38am
Off to work...
  • #135
  • Aug 14, 2015 7:47am Aug 14, 2015 7:47am
Quote
I'm showing the Weekly DC set here off the 2/1/15 weekly candle at 2.09344. Breached on the 21st of May.
Yes it is.

Quote
Are you using the close/open or the high/low for your channel?
The current values are the highest of the highs and lowest of the lows of all the 20 previous (and closed) candles.

-------
Regarding the trail at BE. Here is an example of the 3 options:
(orange=D1, green=H4, black=H1)
Attached Image (click to enlarge)
Click to Enlarge Name: EURUSD-H1.png Size: 42 KB


EDIT: not trailling at all is a winner
No greed. No fear. Just maths.
  • #136
  • Aug 14, 2015 2:10pm Aug 14, 2015 2:10pm
Quoting PipMeUp
{quote} Yes it is. {quote} The current values are the highest of the highs and lowest of the lows of all the 20 previous (and closed) candles. ------- Regarding the trail at BE. Here is an example of the 3 options: (orange=D1, green=H4, black=H1) {image} EDIT: not trailling at all is a winner
Well to me BE is almost a winner. It gives another soldier (as Graeme would say) to fight the battle. In this case the H1 clearance would have been taken out at BE while the other 2 would take a partial loss. I don't know. I think I favor the H1 clearance at this s point. I'll mull it over this weekend

Don't really think no trail is an option for me
  • #137
  • Aug 15, 2015 3:42am Aug 15, 2015 3:42am
When the entry is stopped at BE not only we don't lose money but it gives an opportunity the re-enter the same amount of risk either at a better price or with a smaller SL (because DC-H4 has time to catch up). It is perhaps a good thing actually to be stopped at BE: this prunes the tree to get bigger fruits.
No greed. No fear. Just maths.
  • #138
  • Aug 15, 2015 9:32am Aug 15, 2015 9:32am
looking briefly at our E/U template, trailing the H4 would have taken out the last entry in the trend is a very small loss versus at breakeven. So in this case a quicker move to break even would have saved a few pips. I'm not at my desk top right now, but when I get back I'll figure how many dollars lost for that, and the percentage of the trade
  • #139
  • Aug 15, 2015 3:20pm Aug 15, 2015 3:20pm
Quoting spyderman
looking briefly at our E/U template, trailing the H4 would have taken out the last entry in the trend is a very small loss versus at breakeven. So in this case a quicker move to break even would have saved a few pips. I'm not at my desk top right now, but when I get back I'll figure how many dollars lost for that, and the percentage of the trade
Well I take that back. Seems it would have hit BE after all. Also checked the H1 clearance BE move on our E/U template. Due to the stop moving rather quickly it seems one of our earlier entries that otherwise survived till the series end, would have been taken out early. This would of course have diluted our MM progression and cut into our final profits quite a bit...although not greatly.
So at the moment it seems the most robust method, at least in terms of our E/U template, is trailing the H4 to BE. So that's what I shall do on my live trades and we can monitor the performance live.
  • #140
  • Aug 17, 2015 9:14pm Aug 17, 2015 9:14pm
E/N stopped out this evening.
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