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Honing a strategy

  • #61
  • Oct 8, 2015 9:16pm Oct 8, 2015 9:16pm
You didn't mention it but if you have something mechanical/automated I'd be concerned about someone reverse engineering/front running it as if they get greedy it could run into capacity issues. Using one broker to buy another to sell might obfuscate things a bit but I think it also introduces some risks. I heard someone mention they had different results depending not only on broker but account! Sounds a bit unbelievable but when some brokers may be running different books etc, it comes easier to believe.
  • #62
  • Edited 12:27am Oct 9, 2015 12:15am | Edited 12:27am
Quoting BigOldFella
{quote} The Ash indicator has a number of settings. The one that's used in Udines thread (on M30) uses a smoothed MA(5) and a signal MA(3). When the signal is above the smooth it's green else it's red. The shift is where the actual value of the moving average is shown (or shifted ahead). I use a shifted moving average and a non shifted moving average to tell if a market is ranging or not. If it's crossed more than once in the last 4 bars then the market is ranging.
Ok. How about your stoploss / trailing stop?

Have you considered scaling up the strategy to use daily bars to reduce friction and transaction costs?
  • #63
  • Oct 9, 2015 2:51am Oct 9, 2015 2:51am
Quoting Atokys
{quote} Ok. How about your stoploss / trailing stop? Have you considered scaling up the strategy to use daily bars to reduce friction and transaction costs?
TP/SL is now fixed @ 20 pips. I was using a trailing stop but as I've mentioned above, my initial tests seem to bare out what a lot of people say - they don't work.

I like your of the use of the word "friction". I'm not 100% sure what you mean but I think I get the gist.

Yes, the longer time frame would be interesting. It's on my very long list of things to do.
  • #64
  • Oct 9, 2015 3:01am Oct 9, 2015 3:01am
Quoting BigOldFella
I like your of the use of the word "friction". I'm not 100% sure what you mean but I think I get the gist.
It refers to being more sensitive to spread widening and slippage.
  • #65
  • Oct 9, 2015 3:11am Oct 9, 2015 3:11am
Quoting Atokys
{quote} It refers to being more sensitive to spread widening and slippage.
I'm using a spread betting account in the UK so slippage isn't really an issue.

But for the same reason, spreads are quite large, so moving up to a larger time frame would definitely reduce the costs.
  • #66
  • Last Post: Jun 3, 2016 8:03am Jun 3, 2016 8:03am
Quoting BigOldFella
{quote} I guess this is where forward testing takes over from the back testing.
Hi mate,
A long pause in your thread.
Are you continuing with this strategy? What results showed forward testing? I'm also experimenting with similar strategy but not yet foung holy grail. )
BR, alex
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