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Fibonacci Expansion Trading System

  • #41
  • Jun 14, 2016 10:27am Jun 14, 2016 10:27am
EU one year H4 default
Attached Image (click to enlarge)
Click to Enlarge Name: StrategyTester.gif Size: 10 KB
  • #42
  • Jun 14, 2016 10:39am Jun 14, 2016 10:39am
GU one year H4 default
Attached Image (click to enlarge)
Click to Enlarge Name: StrategyTester3.gif Size: 10 KB
  • #43
  • Jun 14, 2016 10:43am Jun 14, 2016 10:43am
Attached Image (click to enlarge)
Click to Enlarge Name: Fets-GBPUSD.png Size: 50 KB
Attached Image (click to enlarge)
Click to Enlarge Name: Fets-EURAUD.png Size: 51 KB
Everything will be okay in the end. If it's not okay, it's not the end.
  • #44
  • Jun 14, 2016 10:54am Jun 14, 2016 10:54am
​This is trend trading strategy so I don't believe it can be tested by EA. If for example price trades inside a range or congestion area, you shouldn't apply it until you have confirmed breakout. EA doesn't know that so it will open trades regardless.
  • #45
  • Jun 14, 2016 11:21am Jun 14, 2016 11:21am
Quoting Tom81
​This is trend trading strategy so I don't believe it can be tested by EA. If for example price trades inside a range or congestion area, you shouldn't apply it until you have confirmed breakout. EA doesn't know that so it will open trades regardless.
Agreed Tom81. I usually only use EAs as a guide to help in backtesting. Manual trading should help filter out some of the bad trades.
Everything will be okay in the end. If it's not okay, it's not the end.
  • #46
  • Jun 14, 2016 11:24am Jun 14, 2016 11:24am
Quoting Tom81
{quote} ​Great tool, thanks. Would it be possible to add 200 SMA as an option? To say open longs only above 200 and shorts beneath it?
Yes. I like to test the raw idea first. If it has potential, filters, MM, portfolio , MTF ... Can be added later.
No guts, no glory
  • #47
  • Jun 14, 2016 11:36am Jun 14, 2016 11:36am
IMHO only experienced traders with deep FA can beat an EA using the same mechanical system.
No guts, no glory
  • #48
  • Jun 14, 2016 12:02pm Jun 14, 2016 12:02pm
Need to look at this further, but the weekly direction might help (only take trades in the direction of the current weekly candle). That is, only take sell signals if the entry price is below the weekly open, and only take buy signals if the entry price is above the weekly open.
  • #49
  • Jun 14, 2016 1:54pm Jun 14, 2016 1:54pm
Quoting abokwaik
IMHO only experienced traders with deep FA can beat an EA using the same mechanical system.
This trading method close to the PBA
PBA will filter it much better
Senior Trader Multi-Account Manager
  • #50
  • Jun 14, 2016 2:12pm Jun 14, 2016 2:12pm
Quoting lorix
{quote} This trading method close to the PBA PBA will filter it much better
Ramadan Kareem .Indeed. Don't worry Issam, PBA is on the way. I liked tokyo's system for its simplicity.
No guts, no glory
  • #51
  • Edited 11:41pm Jun 14, 2016 10:44pm | Edited 11:41pm
Just now i have applied abokwaik's EA to major markets.
The result is as below (mdd means maximal drawdown)

xauusd 158 trades pf 1.20 profit 5402.02 loss 4507.47 mdd 09.26%
eurusd 164 trades pf 0.89 profit 4380.46 loss 4930.95 mdd 11.71%
usdjpy 162 trades pf 1.50 profit 6310.61 loss 4205.17 mdd 06.81%
gbpusd 172 trades pf 1.19 profit 5661.82 loss 4756.04 mdd 12.52%
audusd 164 trades pf 1.13 profit 5149.38 loss 4569.80 mdd 19.66%
usdchf 102 trades pf 1.96 profit 5073.92 loss 2589.93 mdd 10.93%
eurjpy 148 trades pf 1.25 profit 5267.65 loss 4214.77 mdd 08.97%
gbpjpy 106 trades pf 1.39 profit 4153.12 loss 2992.59 mdd 10.81%
euraud 094 trades pf 1.18 profit 3093.18 loss 2612.37 mdd 07.44%
audjpy 148 trades pf 0.72 profit 3499.56 loss 4834.25 mdd 17.89%
gbpaud 116 trades pf 1.48 profit 4661.14 loss 3155.31 mdd 10.01%
chfjpy 116 trades pf 2.51 profit 6807.08 loss 2414.11 mdd 07.68%
gbpchf 146 trades pf 0.66 profit 2827.67 loss 4256.49 mdd 21.97%
audchf 112 trades pf 1.26 profit 3870.81 loss 3067.19 mdd 07.42%
wtiusd 124 trades pf 1.37 profit 5227.60 loss 3814.72 mdd 07.91%

TOTAL
2032 trades
pf 1.25
profit 71386.02
loss 56921.16

I have checked and examined many trading ideas for years.
Based on such my experience, i think that a reliable system's PF hovers around 1.25-1.75, trading numbers are at least 2000 or more.
A system with over-high PF (2.00 or more) is probably affected by curve fitting or the like.
Anyway, in conclusion, FETS needs a few improvements or filters, I think.
  • #52
  • Jun 14, 2016 10:57pm Jun 14, 2016 10:57pm
Oh, I left out important details.
The result above is by 4H chart.
The duration is from Jan 2004 to Dec 2015 (2 years).
  • #53
  • Edited 5:50am Jun 15, 2016 4:56am | Edited 5:50am
This trading system is basically ascending and inverted scallops chart pattern trading according to Thomas Bulkowski.

It's overall statistical performance rank in stock markets is one of the best out there (1. is best): 3. out of 23. Granted stock markets are not forex, so performance may be worse, but I find identical chart patterns in forex market as in stocks (I think it has to do with trader's psychology and how big boys are getting their big orders filled).

Under is live example of almost perfect technical setup for trading scallop (price finds support at up sloping TL and 200 SMA, forms double bottom and shoots upward). Fundamentally this setup is a bit risky given Federal Funds Rate decision - FOMC Press Conference ahead of us. It also has strong supply zone at point B so I'd be very careful (EUR/USD had very similar characteristics and is hardy hanging at 78,6 % retracement now as general market risk sentiment worsened).

Given the news events, maybe it's more prudent to use FETS rules of engagement:
Attached Image(s) (click to enlarge)
Click to Enlarge Name: audusd-h4-oanda-division4.png Size: 82 KB
Click to Enlarge Name: audusd-h4-oanda-division4-2.png Size: 82 KB
  • #54
  • Jun 15, 2016 7:36am Jun 15, 2016 7:36am
Quoting tokyo.reed
Just now i have applied abokwaik's EA to major markets. The result is as below (mdd means maximal drawdown) xauusd 158 trades pf 1.20 profit 5402.02 loss 4507.47 mdd 09.26% eurusd 164 trades pf 0.89 profit 4380.46 loss 4930.95 mdd 11.71% usdjpy 162 trades pf 1.50 profit 6310.61 loss 4205.17 mdd 06.81% gbpusd 172 trades pf 1.19 profit 5661.82 loss 4756.04 mdd 12.52% audusd 164 trades pf 1.13 profit 5149.38 loss 4569.80 mdd 19.66% usdchf 102 trades pf 1.96 profit 5073.92 loss 2589.93 mdd 10.93% eurjpy 148 trades pf 1.25 profit 5267.65 loss 4214.77...
I agree.

Anyway, here is version 2 with MA filter. You can test different MA Periods/Methods in normal or reversed mode.

MA period can be set to:

  1. positive value (e.g. 55, 100, 200 ... etc), in this case EA will take buy signals above MA, and sell signals below MA (normal mode)
  2. negative value (e.g. -69, -150, -288 ... etc), in this case EA will take buy signals below MA, and sell signals above MA (reverse mode)
  3. 0 value, to disable MA filtering (so it will run as in version 1).

Attached File(s)
File Type: ex4 FETS_02.ex4   18 KB | 834 downloads
No guts, no glory
  • #55
  • Jun 15, 2016 8:19am Jun 15, 2016 8:19am
Thanks abokwaik. After some quick testing, the MA filter appears to improve results on the daily tf, but need to load more history to see, not a ton of trades on the daily.
  • #56
  • Jun 15, 2016 9:25am Jun 15, 2016 9:25am
Here is a sample EU daily 2012 - today using 100 ema
Attached Image (click to enlarge)
Click to Enlarge Name: StrategyTester5.gif Size: 9 KB
  • #57
  • Jun 15, 2016 9:44am Jun 15, 2016 9:44am
Quoting Tom81
This trading system is basically
Quoting Tom81
ascending and inverted scallops chart pattern trading according to Thomas Bulkowski. It's overall statistical performance rank in stock markets is one of the best out there (1. is best): 3. out of 23. Granted stock markets are not forex, so performance may be worse, but I find identical chart patterns in forex market as in stocks (I think it has to do with trader's psychology and how big boys are getting their big orders filled). Under is...
[/font]

thanks, tom,
very interesting information.
  • #58
  • Jun 15, 2016 9:49am Jun 15, 2016 9:49am
Quoting abokwaik
{quote} I agree. Anyway, here is version 2 with MA filter. You can test different MA Periods/Methods in normal or reversed mode. MA period can be set to: positive value (e.g. 55, 100, 200 ... etc), in this case EA will take buy signals above MA, and sell signals below MA (normal mode) negative value (e.g. -69, -150, -288 ... etc), in this case EA will take buy signals below MA, and sell signals above MA (reverse mode) 0 value, to disable MA filtering (so it will run as in version 1). {file}
nice work, abokwaik,
just now, i have done quick tests by the EMA 200 filter you offer.
as a result, we can get some better profit factor.

[4h, 2014-2015]
gold 1.07
wti 1.57
eu 1.41
uj 1.18
ej 1.80
gu 0.79
gj 1.77
au 1.39
ea 2.12
aj 0.65
ga 1.32
uc 1.40
cj 2.34
gc 0.63
ac 0.77

ave 1.35
  • #59
  • Jun 15, 2016 10:03am Jun 15, 2016 10:03am
At least we see system won't kill our accounts in a long run. I don't believe you can back test every single aspect of a system. There are so many factors to consider, S/R levels, TL, price patterns, daily market sentiment, news events etc. all of which can not be calculated in. But as a general guide, these are not bad results.
  • #60
  • Jun 15, 2016 11:13am Jun 15, 2016 11:13am
Results also vary based on the on the broker's time zone, although if one trades it on enough pairs, then the results likely average out as TokyoReed noted. Curious if the weekly direction filter would give better results than the EMA filter, just eyeballing it, tough to say.
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