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Reverse Engineering a Profitable System (REPS)

  • #261
  • Sep 14, 2015 7:11am Sep 14, 2015 7:11am
Quoting Copernicus
{quote} Valid points kprsa but I think timeframe does matter in relation to the use of simple breakout techniques such as the Donchian. What I have gleaned from trend following or indeed any simpler momentum strategy is that the edge associated with the technique lies in the ability to have a sustained price movement with general market consensus. Given the plethora of different market participants and styles of trading/investing, the only time we get a consistent consensus in price movement inevitably relates to when we have market divergence....
Nice summation Copernicus
  • #262
  • Sep 14, 2015 7:13am Sep 14, 2015 7:13am
Quoting szpowerx
Thanks Spyderman! " So it's possible that every 4 hrs ( as the channel updates) you will move your s/l closer to your entry " Let me try to understand it this way Suppose an entry is of short entry, with initial entry at 100.0 Initial SL at 150.0 After 4 hrs, DC-4-HR moved to 130, adjust SL to 130.0 The following 4HR, 130.0 got catched up, the initial entry stopped out with (130.0-100.0) loss. Right? Thanks!
  • #263
  • Sep 14, 2015 7:17am Sep 14, 2015 7:17am
Quoting szpowerx
Hi Spyderman, Disturbing again, i have another questions Considering the money managemnt, assume three entries would be considered, (No.1, No.2, No.3) 1) THe time No.2 opened, now - No.1 trade would be with 200 bucks in profit, then we locked in 100 bucks - No.2 trade would be at risk of 100 bucks (Same as No 1's locked in) 2) The time No.3 kicked in, we would have - Given No.2 trade would be with 100 bucks in profit - Given No.1 trade would be with 300 bucks in profit We would set No.2 and No.1 locked in - No.1 locked in 150 bucks - No.2 locked...
  • #264
  • Sep 14, 2015 10:52am Sep 14, 2015 10:52am
Does anyone have a good version of the MTF Donchian Channels? Please.
  • #265
  • Sep 14, 2015 11:39am Sep 14, 2015 11:39am
Quoting Gdi
Does anyone have a good version of the MTF Donchian Channels? Please.
Attached File(s)
File Type: ex4 ay-donchian-channel.ex4   8 KB | 583 downloads

Attached File(s)
File Type: mq4 ay-donchian-channel.mq4   3 KB | 715 downloads
  • #266
  • Sep 14, 2015 11:55am Sep 14, 2015 11:55am
Quoting spyderman
{quote} {file} {file}
Thank you kind sir.
  • #267
  • Sep 14, 2015 5:35pm Sep 14, 2015 5:35pm
Quoting kprsa
{quote} My current line of thought is to try to approach the market in a fractal manner. Sustained movements - trends occur at all timeframes, and I am trying to devise a system to follow trends at every timeframe -> basically caching momentum, and being direction-independent as much as possible. The Donchian by itself is not fit for this purpose, but I do have a couple of tricks of my own that could provide an edge at lower TFs. Cheers, k

Nice kprsa. I like the sound of your multi-timeframe approach in that it gives no room to hide for any price movement that ultimately manifests as a trend of consequence. I do a similar thing which I refer to as 'ring-fencing' price action on mutiple timeframes. It is akin to setting a trap and waiting for extreme events where I can catch those fleeing......and eat them.
  • #268
  • Sep 14, 2015 5:45pm Sep 14, 2015 5:45pm
Quoting spyderman
{quote} Nice summation Copernicus
Thanks spyderman. Great to see you are bearing fruits from your powerful pyramiding approach
  • #269
  • Sep 17, 2015 5:19pm Sep 17, 2015 5:19pm
Addon trade entered on E/N.

Attached Image (click to enlarge)
Click to Enlarge Name: EURNZDiH4.png Size: 77 KB
  • #270
  • Sep 17, 2015 7:09pm Sep 17, 2015 7:09pm
Hi Spyderman
I have been following your thread with a lot of interest and really appreciate what you doing here. I do have some queries that I hope you will be able to clarify for me. I have set up my profiles on MT4 and have been going through your list of pending and open trades to make sure my understanding of the process is correct.

1. There are two pending orders for EURGBP. One long at .7484 and the other short at .6936. Both are set to the Wkly DC. I can understand the long setup but why is the short not set for an aggressive entry on the H4 DC as the weekly DC is still indicating that the trend is downwards?

2. Also to do with the EURGBP setup. The weekly DC is clearly indicating the trend is downward but the daily DC is ranging, possibly with a bias to the short side. In this case what are your rules for defining the trend direction and which type of DC entry to use?

3. If the series is taken out but the price continues trending in the same direction as the series that was taken out, do you wait for a new weekly DC entry or are either the H4 DC aggressive setup or the daily DC setup acceptable? A current example of this is the GBPCAD where you have a long pending order on the weekly DC, but could a long pending order be set on the H4 DC?

4. What is the reason for setting the NZDCAD short pending order at .8020? On my chart it does not seem to relate to any DC levels.

5. On your trade explorer there is a Non-Cume Return chart that shows 35 trades. Are these individual trades or are they the series trades? If they are individual trades is there another way to see how the series trades are performing?


And Spyderman's reply follows:

1. You are correct, the trend is still down on the weekly. The daily was violated to the upside on August 24th so that invalidates the H4 aggressive. H4 aggressive is only used when in a current series, or trying to enter a series that is in progress. Any violation of the daily DC ends a series and requires a new start, at the daily DC if same direction as previous, or at the weekly DC if the opposite direction.

That being said, my short entry is wrong. At the time I set it the bottom daily and weekly DC were at the same point. I've been moving my stop but overlooked moving the entry. Thanks for the spot, I'll correct it.

2. I think that's answered now in 1.

3. Again the daily DC was violated on the 31st, thus "ending" the series. So we'll need to wait for a break of the daily DC (which at the time is even with the weekly) before entering long.

The idea here is that the trend has lost momentum and we want a clear sign before entering again.

4. My daily DC is at .8020. Big news spike that day. Imagine there would be some variance broker to broker due to spreads widening.

5. No idea how that part of the TE works. My master shows the same thing, no detail.
  • #271
  • Sep 21, 2015 2:45pm Sep 21, 2015 2:45pm
New 2nd position addon trade entered on Nzd/Jpy at 75.936. S/L is at 77.52 and 1st entry position has 385 pips locked
in at that point as well. Risk is 50% of locked in profit less small amount lost on 1st "2nd position" attempt.

Attached Image (click to enlarge)
Click to Enlarge Name: NZDJPYiH4.png Size: 73 KB
  • #272
  • Sep 24, 2015 4:54pm Sep 24, 2015 4:54pm
Quoting spyderman
New 2nd position addon trade entered on Nzd/Jpy at 75.936. S/L is at 77.52 and 1st entry position has 385 pips locked in at that point as well. Risk is 50% of locked in profit less small amount lost on 1st "2nd position" attempt. {image}

New 2nd position N/J closed at partial loss. Original entry still open.
  • #273
  • Sep 25, 2015 3:47am Sep 25, 2015 3:47am
Hi Spyderman, very impressed by your discipline, just waiting for a nice long trend with a few addons and all those small loses will be wiped away and more. Getting through the chop until the payday trend comes takes the patience you are showing. Well done!
  • #274
  • Sep 26, 2015 1:02pm Sep 26, 2015 1:02pm
Quoting silverpuma
Hi Spyderman, very impressed by your discipline, just waiting for a nice long trend with a few addons and all those small loses will be wiped away and more. Getting through the chop until the payday trend comes takes the patience you are showing. Well done!
Definitely takes patience. Markets have stayed pretty choppy this past month. Hopefully we'll see things moving directionally in the coming months
  • #275
  • Sep 26, 2015 4:45pm Sep 26, 2015 4:45pm
So I'm in to REPS about 7 weeks now. Might be a good time to look and some of the good and bad so far.

The markets have been pretty flat over all...not atypical for this time of year. Even so, my starting equity is down only about 10%. That's pretty good.
My balance however is down about 23%, so not as good.

Couple of negative are leading to the drawdown that I'd like to address at some point without changing the strategy too much.
Firstly with these choppy markets I'm getting a lot of entries that go positive a couple hundred pips and then turn around and stop out for a loss. The market just isn't moving far enough for long enough to get to BE with the trailing H4 method.
Secondly, using the aggressive H4 entry in the choppy markets is leading to a lot of whipsaw stop outs.

Both of these problems will lessen as/when markets start trending, so we'll see if they take care of themselves.
I may look seriously at changing the BE if trades get up by a couple hundred pips.

On the good side I do like the way the addon trades are playing out. For example on the N/J, even though the addons haven't taken off, they have received enough movement so that when they have come back and stopped out, it was for a partial loss so I have been able to keep the series going while accommodating the partial loss.

We'll press forward and see where the autumn markets take us.
  • #276
  • Sep 29, 2015 10:43am Sep 29, 2015 10:43am
N/J series closed at break of ichimoku cloud.

Attached Image (click to enlarge)
Click to Enlarge Name: NZDJPYiH4.png Size: 73 KB


2nd entry addon entry on Aud/Jpy opened.

Attached Image (click to enlarge)
Click to Enlarge Name: AUDJPYiH4.png Size: 75 KB
  • #277
  • Sep 29, 2015 11:06am Sep 29, 2015 11:06am
Hi Spyderman,

Why not cut some of the currency pairs and add some commodities to further diversify your portfolio?

Regarding pyramiding; one should think of it as building up to an optimal position size. If you feel that undertaking your max pyramid size from trade inception is too risky perhaps you should reduce the size or remove the pyramiding component altogether.
  • #278
  • Sep 29, 2015 4:17pm Sep 29, 2015 4:17pm
Quoting Atokys
Hi Spyderman, Why not cut some of the currency pairs and add some commodities to further diversify your portfolio? Regarding pyramiding; one should think of it as building up to an optimal position size. If you feel that undertaking your max pyramid size from trade inception is too risky perhaps you should reduce the size or remove the pyramiding component altogether.

Atokys

Thanks for your thoughts. I'm fine with the pyramiding aspect. Everything added on is risk free at that point (in relation to my account balance) so no sweat there.
I may add commodities and indices at some point but don't really have much selection on my MT4 broker
  • #279
  • Sep 30, 2015 9:20am Sep 30, 2015 9:20am
Quoting spyderman
Everything added on is risk free at that point (in relation to my account balance) so no sweat there.
The point im trying to make is that it is not risk free even though it seems to be. On the surface it looks that way but on the portfolio level you are undertaking more potential volatility. Personally, the test that I would use would be to assume entering the initial trade at the max pyramid size. If this size is too risky for you then you should not consider pyramiding to this size. Of course, this is just a respectful suggestion. If you understand the implications and you are OK then more power to you.
  • #280
  • Sep 30, 2015 12:04pm Sep 30, 2015 12:04pm
Atokys

Would appreciate if you could explain in more detail:

"The point im trying to make is that it is not risk free even though it seems to be. On the surface it looks that way but on the portfolio level you are undertaking more potential volatility.""
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