Big Ben on the FTSE100

Some interesting statistics for the last 20 sessions, looking at Big Ben opportunities on the FTSE100 Rolling Daily -
Trades = 18/20 (2 trades not taken because Big Ben Range >80% of ATR14)
Full wins (trades that reached BBR points beyond entry) = 8/18
Low BBR wins (trades that reached 3xBBR points beyond entry) = 2/18
Stopped out = 2/18
Trades expiring at US close (because Target or Stop not hit) = 6/18
Trades expiring positive at US close = 4/6
Time of break-out from BBR:
1000-1200 = 13 (8 wins, 1 stopped out, 4 expired)
1200-1400 = 2 (1 win, 1 expired)
1400-1600 = 1 (win)
1600-1800 = 1 (expired)
1800-US Close = 1 (stopped out)
Time Target or Stop hit:
1000-1200 = 1 (win)
1200-1400 = 3 (2 wins, 1 stopped out)
1400-1600 = 7 (all wins)
1600-1800 = 0
1800-US Close = 1 (stopped out)
Looks as if a break-out after 4pm not worth waiting for.

Points from 10 full winners + 2 stopped out = +320pts (av +27pts)
Overall av result per trade / 18 = +18pts
Overall win rate = 14/18 (78%)

Happy with this. Increasing stake size again next week.
 
tomorton said:
Some interesting statistics for the last 20 sessions, looking at Big Ben opportunities on the FTSE100 Rolling Daily -
Trades = 18/20 (2 trades not taken because Big Ben Range >80% of ATR14)
Full wins (trades that reached BBR points beyond entry) = 8/18
Low BBR wins (trades that reached 3xBBR points beyond entry) = 2/18
Stopped out = 2/18
Trades expiring at US close (because Target or Stop not hit) = 6/18
Trades expiring positive at US close = 4/6
Time of break-out from BBR:
1000-1200 = 13 (8 wins, 1 stopped out, 4 expired)
1200-1400 = 2 (1 win, 1 expired)
1400-1600 = 1 (win)
1600-1800 = 1 (expired)
1800-US Close = 1 (stopped out)
Time Target or Stop hit:
1000-1200 = 1 (win)
1200-1400 = 3 (2 wins, 1 stopped out)
1400-1600 = 7 (all wins)
1600-1800 = 0
1800-US Close = 1 (stopped out)
Looks as if a break-out after 4pm not worth waiting for.

Points from 10 full winners + 2 stopped out = +320pts (av +27pts)
Overall av result per trade / 18 = +18pts
Overall win rate = 14/18 (78%)

Happy with this. Increasing stake size again next week.
Click to expand...

Congratulations and thanks for the information. I am sure that you are right in going for targets instead of continuing beyond the close.
 
How far is it possible to run a Big Ben winner?

The target level I have used is the Big Ben Range added onto (for a long) or subtracted from (for a short) the entry. This has produced 8/18 winners. Where the BBR is unusually small, less than 25% of current ATR, I have moved the target to 3 x the BBR: this produced 2/2 winners.

I have noted the best prices achieved from such trades after the target was hit, to gauge how profitable it would be to risk running the trade by a certain percentage past target. The results are, in terms of % of target additional profit left on the table after closing a winner -
0-25% = 2
26-50% = 2
51-75% = 3
76-100% =
>100% = 3 (incl. both low BBR winners)

Of the 8 winners that used entry +/- 1 x BBR to set target, 7/8 left up to 75% additional profit on the table (the outlier left 120%!). The average wasted profit for the 7 was 38%.

This suggests using 1 x BBR as target underperforms by about one-third. Room for improvement here.
 
StephenMcCreedy said:
yes. the way i view it is that by 4pm uk time in the us the rush to buy and sell has abated. for the market to break out of that range an underlying tone must be there. that must apply for any exchange traded market. no matter how much the us futs trade out of hours the heavy buying and selling of stocks that move the averages is done in the normal session. the same will hold for stocks. the trouble i have at the minute is an excel one that if i can crack would give the chance to test the idea on a lot of instruments very quickly. i'm going to hassle my excel geek again for some help.
Click to expand...

Hi all - I'm new on these forums (1st post), but have read this thread with great interest.

Stephen, if you send me an example of what you're trying to do in Excel, I'll have a crack at it. I'm not really an excel geek, but I am probably a geek :cool:
 
tomorton said:
A quite amazing chart. I don't see it as appealing to me personally compared to Big Ben - trying to ride break-out momentum sits easier with me than trying to pick a top or bottom, on principle - but it seems to underline the significance of the Big Ben range boundaries - that they really are important pivotal levels. Are you trading on this plan?
Click to expand...

pretty amazing because i think it's flawed! need more time to look in to it but sent it to a mate to double check and think there could be a built in problem. going to work on it over the weekend and report back.
 
Looked back over the last 11 or 12 trading days, very good results for Big Ben.:clap:

I traded it last week and really enjoyed it, as didn't need to make any difficult decisions.

I was a bit concerned with the size of the stop, as could have been up to circa 40 points at points.. this felt quite large. Only because I had to limit my position somewhat to fit with in good money management.

This is a back of a fag packet calculation, only as a matter of interest (more for myself).

I pondered 20 point stop. As then I could have a larger position size:

This worked out 78% as effective. i.e netted 78% of points due to being stopped out when wouldn't have with full stop. However, if I had been using double the position throughout I would have earned 56% more. :cry: (ignoring the fact that not always half the size of stop, would enable me to be at a constant position sizing)

25 point stop, would have been 90% as effective but gained me 35% :rolleyes: if I had used a position of 50% more.

With a 30 point stop, the results were the same and would probably not have enabled me much more freedom on position size.

This was only for my interest and not suggesting anyone change anything. I would also like to look at taking (partial)profits at target and then doing a trailing stop.. I will have a look at this also on forward testing.

Anyone got any views on whether I am barking mad here? Obviously making something 78% as effective can't be good but would enable me to have a happier stop, also it would need to be looked at over a much longer period. It also changes the dynamics of the risk/reward.. where as often shooting for 40ish/20 as opposed to 40/40.

Just sharing and not trying to hijack thread, please carry on.:whistling
 
Interesting stuff bangkoker. I think there's a TA rationale to use the opposite boundary of the Big Ben Range as a stop. But that's not to say that a 20pt stop, plucked out of the air, wouldn't be more profitable, it might. But it really is plucked out of the air isn't it, so I hesitate to use it. I also have an issue in that I can't get back to the platform continually after setting orders at 10:00, so can't realistically use trailing stops.

On the positive side, the fact that the Big Ben strategy allows for variations like this tends to make me think all the more that it is based on underlying fundamental market mechanical characteristics.

Keep on with this mate.

This week I will post Big Ben outcomes from the FTSE Rolling Daily chart that I can access, not my own personal scores - you don't need to see them. Anyway, as per bangkoker's and others' posts, there are various ways to legimately take advantage of the early morning FTSE range for intra-day trading. Good luck all.
 
tomorton said:
Interesting stuff bangkoker. I think there's a TA rationale to use the opposite boundary of the Big Ben Range as a stop. But that's not to say that a 20pt stop, plucked out of the air, wouldn't be more profitable, it might. But it really is plucked out of the air isn't it, so I hesitate to use it.

Yes completely plucked out of the air :LOL:(only as I have used a 15pt to similar effect in the past with good results on FTSE) anyway onwards and upwards and lot to look into.
Click to expand...
 
ATR today 74 (from FTSE100). If Big Ben Range on FTSE100 Rolling Daily 60 or more I will pass on today's trade.
 
Long from appr. 5553 at 10:00. Straight through the trigger into small profit, but sideways since. If I get time to open the platform at 4-4:30 I'm going to close if the target hasn't been reached.
 
Bailed out for 7 points in the end. Was up about 15 when looking to close it but a non loss is all good
 
Out around 16:20 for +7. We live to fight another day.

Tomorrow could be a slight deviation from standard method for me. My boss has very inconsiderately called a meeting from 9 to 11. I am thinking I may have to get orders in using the 08:00 to 09:00 range (should we call it Little Ben?) but probably cut the position size to balance the lack of clear data.
 
Hi guys,

i've been following this thread with interest but i'm having trouble understanding the rules.

I've looked up the big ben strategy and it says that it should go 25 points in one direction and then 25 in the other, but today it swung a total of 24 points.

Are you just taking the high and low of that period and setting orders just above and below those points?

thanks

RT
 
Have to tell you this - today was my tenth straight win on FTSE100 Rolling Daily using this method. Glass of wine tonight!
 
oh, hold on.
i went back to the start of the thread and saw the first post.
i've looked up what you have done on a chart and think i understand now.

take the high and low of the range between 8 and 10 set buy and sell OCO orders just outside the range and let it run till the end of the day.
the stop is set at the width of the range.

have i got it right?
 
Not far off, profit target is also the range. So you have a limit in place to take profits. Also couple of caveats like not trading if the 8-10 range is too big and increasing target if very small range. Keep reading, all in the thread
 
Rugby Trader said:
Hi guys,

i've been following this thread with interest but i'm having trouble understanding the rules.

I've looked up the big ben strategy and it says that it should go 25 points in one direction and then 25 in the other, but today it swung a total of 24 points.

Are you just taking the high and low of that period and setting orders just above and below those points?

thanks

RT
Click to expand...


Hi RT -

The basic rules are not mine but they are simple - see the range between 0800 and 1000 and mark the high and low. After 1000, if price goes through the high, buy, if it goes through the low, sell. For the position selected, use the opposite boundary of the range as the stop.

Personally, if the high-low range is 30pts, I am looking for price to travel another 30pts beyond break-out, and I will be happy to get out there.

There are problems with this strategy - it's only a 1:1 risk:reward and the target is only hit about half the time. However, the net profitability is good and it's making me money. In the last 20 sessions before today, the system produced 10 winners, 2 losers, 6 where the trade expire at the US close (4 positive and 2 negative) and 2 days where the trade would have not been taken (range too big).
 
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