Big Ben on the FTSE100

Day 1.

From my rolling daily SB tick chart -
0800-1000 Range = 5225.3 - 5185.0
Range = 40.3pts (0.8% of L)
SB spread = 1.0

Orders set -
Buy at 5225.3 + 4.0 = 5229.3
Stop at 5229.3 - 40.3 = 5189.0, Target 5229.3 + 40.3 = 5269.6
Sell at 5185.0 - 4.0 = 5181.0
Stop at 5181.0 + 40.3 = 5221.3, Target 5181.0 - 40.3 = 5140.7

Stops and Targets make 1:1 r:r but now allowing for spreads. This is very unambitious and my next objective will be to inprove this ratio.

Reoprting back later.

tomorton

Tom - are these OCO day orders?

Mr.G - yes. If, say, the long is filled, the short will be cancelled and my stop-loss on the long kicks in, though this is above both the range and the short order level.

Vice versa for shorting.

Long entry triggered at 10:50.

just logging on to thread,good luck

Cheers, chaps.

My key questions so far concerning Big Ben are to do with exits - the relationship of the size of the range to stops and targets, whether a trailing stop would be better, whether to close half position early and ride the remainder to b/e or beyond initial target etc.

Backtesting with simple parameters is easy - if it goes up Xpts I'm out for a gain, if it's down Xpts I'm out for a loss. But I find it very hard to realistically backtest complex parameter sets. So I'm doing my own research in the field. Hopefully it will pay for itself.

Position closed at 14:50 for 40pts gain. That's 1/1 (100%!).
Incidentally, price has so frar only made 0.2pts above target.

tomorton said:

Position closed at 14:50 for 40pts gain. That's 1/1 (100%!).
Incidentally, price has so frar only made 0.2pts above target.

Click to expand...

Nice one :clap::clap:

i played with a system like this a few years ago and did well. can't remember now why i stopped. as always with trading i think it's easy to give up on something that works well at the first signs of trouble.

well done for today. all the negativity that was around plus my own bearishness stopped me buying the rally even though if i had started the day less biased it was a good day to make money in what is normally a tough month.

in my experience, from when i was trading like this the complex entry and exit criteria people come up with is far less important than the money management. ie if you tossed a coin to enter long or short with a rrr of maybe 2-1 you'd like to think you could keep your head above water by luck.

i guess most traders have too much of their own ego invested in picking entries and exits and being right to hand over to luck. i include myself in that slating.

good luck, i'll be watching with interest but as i said, i think over time i think with a 1:1 rrr you will struggle. you might find you entry and exit is less important than you think.

stephen

tomorton said:

Day 1.

From my rolling daily SB tick chart -
0800-1000 Range = 5225.3 - 5185.0
Range = 40.3pts (0.8% of L)
SB spread = 1.0

Orders set -
Buy at 5225.3 + 4.0 = 5229.3
Stop at 5229.3 - 40.3 = 5189.0, Target 5229.3 + 40.3 = 5269.6
Sell at 5185.0 - 4.0 = 5181.0
Stop at 5181.0 + 40.3 = 5221.3, Target 5181.0 - 40.3 = 5140.7

Stops and Targets make 1:1 r:r but now allowing for spreads. This is very unambitious and my next objective will be to inprove this ratio.

Reoprting back later.

tomorton

Click to expand...

Hi tomorton,

any reason in particular for adding 4 (rather than 2 or 3) on to your orders?

Hi stephen - Absolutely right - controlling losses is the foundation of trading success, and it's the exits that make the money, not the entries.

Rugby Trader said:

Hi tomorton,

any reason in particular for adding 4 (rather than 2 or 3) on to your orders?

Click to expand...

No reason. I am sure 3 would be equally good (or bad), as 4 or maybe 2. I feel 5 or 6 would be too many on an instrument with points value in the 5,000's, where I'm only looking for 40 points or so.

There's a balance to be struck. The bigger the confirmation you look for, the less likely you will get the green light, but I have no mathematical studies for this pattern / market to back up my choice.

Hi, apologies if my question ends up being stupid ( I really should go and find the system and have a read) but here goes:

If you are placing orders based on 8-10 range.. Is there not a danger you could have a big move... say straight up from 8-10 of 60 points for instance and then get triggered long when the momentum/move may be running out of steam? Or that the market may be choppy (after say a big move the day before) and that it may have made a 20 point move and just so happen to be at one extreme of that range at 10 (therefore making it more likely for you to be triggered in that direction but then the chop to continue?)

I have tried similar on a shorter time frame, i.e. capturing the momentum off the open with some degree of success. Today I managed to get out of a short before the rally and then get back in a the top (which was quite nice) I don't usually do longer term moves but feels like momentum is fizzling and it may drift to the downside rolleyes: OK, just told myself off I shouldn't try to 'guess' what it is going to do.. it could charge higher and higher tomorrow).

Sorry if this has ended up being a silly post, maybe I should go and find the Big Ben system, just getting my coat, off to look now.

bangkoker said:

Hi, apologies if my question ends up being stupid ( I really should go and find the system and have a read) but here goes:

If you are placing orders based on 8-10 range.. Is there not a danger you could have a big move... say straight up from 8-10 of 60 points for instance and then get triggered long when the momentum/move may be running out of steam? Or that the market may be choppy (after say a big move the day before) and that it may have made a 20 point move and just so happen to be at one extreme of that range at 10 (therefore making it more likely for you to be triggered in that direction but then the chop to continue?)

I have tried similar on a shorter time frame, i.e. capturing the momentum off the open with some degree of success. Today I managed to get out of a short before the rally and then get back in a the top (which was quite nice) I don't usually do longer term moves but feels like momentum is fizzling and it may drift to the downside rolleyes: OK, just told myself off I shouldn't try to 'guess' what it is going to do.. it could charge higher and higher tomorrow).

Sorry if this has ended up being a silly post, maybe I should go and find the Big Ben system, just getting my coat, off to look now.

Click to expand...

Good post, thank you.
Yes, there is likely to be a range of market conditions that will demand a range of appopriate responses. The entry is simple - follow the break-out established after 10:00. I was thinking I also need to prioritise establishing rules for optimal exits. However, your point is good - it would be even more urgent to find rules for conditions that would negate the entry conditions - it's important to know when not to trade as well as when to trade.

Hi Tomorton.
Would you apply conventional target? - If there is a range of 30 points if you would go for 30 points target.

bedsit said:

Hi Tomorton.
Would you apply conventional target? - If there is a range of 30 points if you would go for 30 points target.

Click to expand...

Has to be a major consideration. That is the thing dependant on the range so far in the day. Just stealing information from other trading ideas:

Phil Newton's breakout on fx, aim for an average days range and only trades if the overnight range is say less than a 1/3rd of days range and focused on the high/low end. (Overnight being the equivalent to the 8am - 10am on this system)

Others seem to either trail once a little is taken off the table.

Or you go for a set amount. I would personally be very excited about 20 points a day average but the big question is hit rate and stop levels.

I think what Tom' said earlier to,is when to look at it and decide 'No, it's too directionless','Has already moved too big a proportion of a days move','etc'. Some forward testing...

Sorry a bit rambley, kind of thinking out loud

bangkoker said:

Has to be a major consideration. That is the thing dependant on the range so far in the day. Just stealing information from other trading ideas:

Phil Newton's breakout on fx, aim for an average days range and only trades if the overnight range is say less than a 1/3rd of days range and focused on the high/low end.

Others seem to either trail once a little is taken off the table.

Or you go for a set amount. I would personally be very excited about 20 points a day average but the big question is hit rate and stop levels.

I think what Tom' said earlier to, it when to look at it and decide 'No, it's too directionless','Has already moved too big a proportion of a days move','etc'

Sorry a bit rambley, kind of thinking out loud

Click to expand...

I've had a quick look at the FTSE100 chart. I was checking 2 hourly and 8 o'clock candles. It is a bit of hit and miss. IMO the system may need some sort of filter or maybe a better risk reward from what I could see (I haven't done extensive back test)

bedsit said:

I've had a quick look at the FTSE100 chart. I was checking 2 hourly and 8 o'clock candles. It is a bit of hit and miss. IMO the system may need some sort of filter or maybe a better risk reward from what I could see (I haven't done extensive back test)

Click to expand...

It 'feels' like it need some kind of filter to avoid super chop, or an over sized move already. Erm, if nothing else, this thread is helping me think through some ideas. Some kind of filter to get into a trend. without pure discretionary trading

bedsit said:

Hi Tomorton.
Would you apply conventional target? - If there is a range of 30 points if you would go for 30 points target.

Click to expand...

Yes, that is my thinking at present as a basis, and today's limited range of 40pts played along well with that idea. 40pts is well within the FTSE's usual daily range (and would be a happy daily reward for me personally).

However, other possibilites will certainly arise, as has been suggested -

1) Very wide early range, e.g. 90pts. Surely it's expecting too much that price should break out of there and travel another 20, 30, 40, let alone another 90? And if the stop is set at the further extreme of the early range that could lead to a 90pt loss. I suspect it could be more prudent not to take such a trade at all.

2) Very narrow early range, e.g. 10pts. It still seems reasonable to take the further extreme of the early range as support/resistance and to use it as the basis of a stop. But surely there is the opportunity to set a target much further out, at say 40pts from entry, thereby improving the r:r? On the other hand, the stop is that much closer to entry and more easily hit by volatility in a false move.

Maybe the decision to trade might be based on the ratio of the early range to the ATR? e.g. if more than 0.8, or less than 0.2, ignore the trade. Does this sound rational?

in my experience trying to second guess conditions is a hiding to nothing. as traders we are all not as well off as we want to be because we over estimate our powers of prediction. we can't back test our predictive powers because we never tracked all our predictions. they are probably no better than our long suffering wives, or a chimp, or a coin toss.

if a system is to work it needs to by pass all trader input once the parameters are set.

this is for two reasons.

1. we over estimate our powers of predictions. quiet markets can lead to relentless drip drip rallies and falls that make 100 point moves before we know it.

2. much more importantly. trader anger, frustration or whatever is what leads to blow-up eventually. relying on yourself to make a call and then kicking yourself for making the wrong call is what helps you down that road unless you are very good at handling it, most of us are not.

if you want to make a system to handle different kinds of markets program it in to the system and then leave it alone would be my advice.

i'll give you an example.

i have a ftse based system, it works well. i often over ride it. when i override it i wish i hadn't. this isn't because i am a rubbish trader it's because by nature the explosive moves are the ones that most people didn't see coming.

a system will get you in these trades that make the big money but often your instincts won't want to take. the system overrides your predictive powers with empirical facts.

my last point. the ftse has risen on around 52% of days since 1984. i can't find a moving average to use as a filter that changed that by a meaningful amount. that is counter intuitive. it is easy to think a market trading above it's 10 day ma is more likely to close higher than the previous day but evidence doesn't back this up.

to understand that we aren't as good as we think and hand over our futures to money management and discipline is tough but once you do it the money will fall on your like rain.

and by the way i think 6.5 points or 8 points or something like that a day with a very strict system is a good return on the ftse over time. what's more is it is plenty to make a very good living.