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Reverse Engineering a Profitable System (REPS)

  • #201
  • Aug 24, 2015 6:20pm Aug 24, 2015 6:20pm
Quoting spyderman
{quote} Looking into the Ichimoku cloud in respects to possible series exit points... Referring to our E/U master template if we would have employed an entrance to the cloud as an series exit as opposed to the Daily DC, we would have garnered an additional $15K. About a 35% increase in profits. Looking at the 2 side by side we see that at times the Daily DC is on the trade side of the Cloud and sometimes the opposite. Both would have traded that trend template very well. Perhaps a "whichever" is tighter" approach would be reasonable. Any thoughts?...
I don't have any experience of the Ichimoku cloud so I can't add anything of value there. The only thought i did have was that before you decide to even tighten up the series stop-loss you need to have a consistent trigger to analysis its effectiveness. Its the old conundrum, we don't know when the trend will bend Maybe a trigger to alert us to harvesting profits could be after so many addons or a weekly/monthly ATR or a when price moves in an extraordinary spike or similar so that the distance from price to the far side of the series/Daily DC stop-loss is n% of your unrealized profits. Others I'm sure will have better ideas than my random brain storming.

As for the actual series stop-loss maybe use a 8hr or 12hr DC instead of the Daily DC. This would keep everything uniformed within the DC theme. Well nothing new in my musing but maybe it will stimulate some better ideas.

Cheering you on from the stands here spyderman, hope you get a few addons with the trades that are running now so we can sit back in awe of the maths of compounding.
  • #202
  • Aug 24, 2015 6:30pm Aug 24, 2015 6:30pm
Quoting silverpuma
{quote} I don't have any experience of the Ichimoku cloud so I can't add anything of value there. The only thought i did have was that before you decide to even tighten up the series stop-loss you need to have a consistent trigger to analysis its effectiveness. Its the old conundrum, we don't know when the trend will bend Maybe a trigger to alert us to harvesting profits could be after so many addons or a weekly/monthly ATR or a when price moves in an extraordinary spike or similar so that the distance from price to the far side of the...
The one thing I want to keep consistent on is the use of the E/U as a template. That was the intent from the start. Using an 8 or 12 hr DC would have taken us out of the trend about 1/2 way up, so that's out. I wouldn't be looking to "tighten" the s/l as we get deeper if we can arrive on an acceptable series exit from the get go. That's why I mentioned the Ichimoku. It would have kept us in all the way, like the daily DC, but got us out a little earlier at the bottom.

As far as the addon trades, yeah, I'd normally have started adding by now, but since the markets have been so crazy they've shot pretty far in 1 direction. So my trails on the H4 DC haven't caught up to BE yet so can't add yet. Even though I've got a couple with over 1,000 pips profit.

Here in the next couple of days though we should see some addon opportunities...unless we get some big retracements.
  • #203
  • Aug 24, 2015 6:56pm Aug 24, 2015 6:56pm
Quote
I wouldn't be looking to "tighten" the s/l as we get deeper if we can arrive on an acceptable series exit from the get go.

Good point and probably a better robust approach, as it gets the decisions firmed up from the beginning. Especially if you catch a monster trend it would be very easy to start tinkering with flexible exits as the trend progressed with significant unrealized profits.
  • #204
  • Aug 25, 2015 8:29am Aug 25, 2015 8:29am
Finally got E/C and E/A to BE
  • #205
  • Aug 25, 2015 9:17am Aug 25, 2015 9:17am
Quoting spyderman
Finally got E/C and E/A to BE
Hi

I see that you still have a stop order to go long on USD/JPY on the basis of an addon trade; but it seems as if the weekly DC has been broken and it qualifies as a series initial short entry, am I right or have I got it wrong?
Regards
  • #206
  • Aug 25, 2015 9:36am Aug 25, 2015 9:36am
You're correct howard. If U/J closes below the DC Friday a bearish series can be started.
No greed. No fear. Just maths.
  • #207
  • Aug 25, 2015 9:59am Aug 25, 2015 9:59am
Quoting PipMeUp
You're correct howard. If U/J closes below the DC Friday a bearish series can be started.
Ah, is it on closing basis or just break?
Regards
  • #208
  • Aug 25, 2015 10:18am Aug 25, 2015 10:18am
Quoting howard
{quote} Ah, is it on closing basis or just break?
Good point. Rules say break of the weekly channel, not close.
No greed. No fear. Just maths.
  • #209
  • Aug 25, 2015 10:26am Aug 25, 2015 10:26am
Quoting howard
{quote} Hi I see that you still have a stop order to go long on USD/JPY on the basis of an addon trade; but it seems as if the weekly DC has been broken and it qualifies as a series initial short entry, am I right or have I got it wrong?

You're correct Howard...U/J, and some of the other Yen crosses, had been setting up for a top end break. I had actually placed that pending order on the 13th.
With the hugh move down the last couple of days it broke through the lower Weekly DC, which I missed. I'll be looking to either short on the break of the current daily DC low or go long on the upper Weekly DC break.

Nice catch.
  • #210
  • Aug 25, 2015 10:26am Aug 25, 2015 10:26am
Quoting PipMeUp
{quote} Good point. Rules say break of the weekly channel, not close.

Yeah, it's the break. We're looking for momentum.
  • #211
  • Aug 25, 2015 10:29am Aug 25, 2015 10:29am
Quoting spyderman
{quote} You're correct Howard...U/J, and some of the other Yen crosses, had been setting up for a top end break. I had actually placed that pending order on the 13th. With the hugh move down the last couple of days it broke through the lower Weekly DC, which I missed. I'll be looking to either short on the break of the current daily DC low or go long on the upper Weekly DC break. Nice catch.
We had a similar occurrence on the A/C
  • #212
  • Aug 25, 2015 11:09am Aug 25, 2015 11:09am
Quoting spyderman
{quote} We had a similar occurrence on the A/C
yes, thanks for clarification
Regards
  • #213
  • Aug 25, 2015 1:35pm Aug 25, 2015 1:35pm
Congratulations on your system and your new equity high. I hate to sound negative, but in my testing of trend systems, this kind of large equity gain in such a short time tends to reflect very aggressive position sizing. If I may suggest, consider including a rule to limit the number of simultaneous positions or a method for selecting markets to play in case of correlated signals.
  • #214
  • Aug 25, 2015 6:47pm Aug 25, 2015 6:47pm
Quoting Atokys
Congratulations on your system and your new equity high. I hate to sound negative, but in my testing of trend systems, this kind of large equity gain in such a short time tends to reflect very aggressive position sizing. If I may suggest, consider including a rule to limit the number of simultaneous positions or a method for selecting markets to play in case of correlated signals.

Atokys,

Thanks for the suggestions. Normally, I would agree with you. Much of the equity gain were seeing here is due to some extreme movement in response to the worldwide equities volatility we're experiencing. E/A has shot up over 1,000 pips in 4 days. E/C, G/A & E/N 6-800, etc. etc.
My lot sizes were kept about as low as possible with a $1K account, in most cases 3 to 4% risk.
I will gradually be lowering that risk % as my balance allows.

If you read through the thread I think you'll see we do have MM rules in place to reduce the risk while hopefully building larger positions.
  • #215
  • Aug 26, 2015 6:21am Aug 26, 2015 6:21am
Cad/Jpy moved to BE
  • #216
  • Edited 6:11pm Aug 26, 2015 5:18pm | Edited 6:11pm
hello spyderman,

nice thread you got here.
your chances of success are huge, seeing that you cut your losses and hold/add to winners.

my only concern is the level of the stop orders: they are just a few pips above or below the high/low.
we have a lot of fake breakouts and those levels are ideal stop hunting ground.
would you consider having a 30-50 pips distance from the highs/lows?

wish you all the best.
  • #217
  • Aug 26, 2015 9:33pm Aug 26, 2015 9:33pm
E/N, G/A and A/U moved to BE
  • #218
  • Aug 26, 2015 9:35pm Aug 26, 2015 9:35pm
Quoting yonnie
hello spyderman, nice thread you got here. your chances of success are huge, seeing that you cut your losses and hold/add to winners. my only concern is the level of the stop orders: they are just a few pips above or below the high/low. we have a lot of fake breakouts and those levels are ideal stop hunting ground. would you consider having a 30-50 pips distance from the highs/lows? wish you all the best.

Yes, I've thought about given a few pips cushion. Not for stophunts perse, but more due to limit orders at previous support resistance. But you're also going to hit a lot of closing stops there to which will help propel. So all in all I don't think it will make that much difference.
  • #219
  • Aug 27, 2015 7:18am Aug 27, 2015 7:18am
A/J & N/J moved to BE.

E/U got closed at a partial loss and my 2nd G/C position was closed for a small loss.

I don't like taking a loss on positions that were hundreds of pips in the green but didn't get moved to BE because the H4 trail hadn't caught up yet. We'll have to examine that going forward.
  • #220
  • Aug 27, 2015 8:14am Aug 27, 2015 8:14am
Quoting spyderman
A/J & N/J moved to BE. E/U got closed at a partial loss and my 2nd G/C position was closed for a small loss. I don't like taking a loss on positions that were hundreds of pips in the green but didn't get moved to BE because the H4 trail hadn't caught up yet. We'll have to examine that going forward.
I share your frustration spyderman, though things are still looking very good. I'm still on my quest to somehow not give back large chunks of unrealised profits but not stifle the longer based trend compounding ability. Not an easy one.

Let me throw out a very sketchy, unclear jumble of thoughts I'm having so others can pull apart and see if there is anything of worth. You you mentioned those 100's of pips in the green that turned red, what about banking (with some yet to be decided trigger) those 100's of pips so they cease being unrealised but real. Then do the same as we are doing at present keep 50% and grow our capital but use the other 50% for a further addon so you are not robbing the overall trend you are just harvesting a swing and then reinvesting 50% of that swing again in the trend.

Maybe this makes no difference to what we are doing already? I just am not that comfortable with the overall idea of "unrealised" profits and allowing perhaps at the end of a successful trend giving back many $1000's. In my mind if from your SL you have $1000's of profits not locked in the term "unrealised profits" is more like "profits at risk". I guess I'm trying to arrive at a comfortable blend (compromise) of banking profits more aggressively especially with larger spikes or runway trends but then adding 50% of this banked profit back in the trend.

But......even as I type I am seeing some problems with this. Mmmmh
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