Big Ben on the FTSE100

I think that it is very good, especially as a strategy that can easily be left alone while us slaves work!

I was wondering whether you might be able to reduce the risk by getting out of the trade before it gets to the bottom of the range and then if it does, re-entering from there? Several years of trading, more or less, the same way have given me a dislike of stops too far away,

I don't have the data to go back further than a month, but I'll have a look at that this weekend.
 
ATR does appear to be significant. Of trades which closed during the session, hitting either target or stop, when ATR was 72 or more, 9 were winners and 1 a loser: when ATR was 71 or less, 3 were winners and 5 losers.

Tentatively, this suggests that if ATR is 72 or more, play the Big Ben break-out. If ATR is 71 or less, either avoid the trade or play the reverse.

The reverse would entail waiting for price to break out through a Big Ben range boundary and then setting an order to ride price as it re-enters into the range. I now think I was premature to suggest yesterday was a successful reverse BB: the lower BB boundary was never broken so the reverse BB long order could not have been set. Using the reverse BB tactic, yesterday would have been a loss.

However, the basic principle is there if people want to start using it. For the time being, I am continuing my forward testing using standard Big Ben trades only. 30 sessions is a nice sample but not enough yet. If someone wants to play, and report on, reverse BBs that would be fine and very interesting.

I think also I will use larger position sizes with higher ATR BB trades, but reduced stakes if playing a standard BB when ATR is low.
 
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I have no sooner started on what I said I would do when the difficulties appeared. I don't think that your idea should be tinkered with, as far as cutting the losses is concerned, because on 26th and 27th there are re-entry problems. On 26th it would not have mattered because it ended in a loss, anyway, but on 27th the was a re-entry that a cut off at a quarter, or half the range, would have made the day a loser because the whole idea is that the trade can be left alone. Re-entries while the trader is away at work cannot be considered.

I think that your profit ratio is difficult to beat.

Anyway Tom, I see that your system is gets a bit complicated if you leave the beaten track!
 
Yes, I'm wary of changing too many variables in a hurry. The basic BB strategy is sound and I'm not convinced the reverse BB is profitable enough to justify the trouble and risk. But surely position sizing could be a good way to improve return? - Use the standard BB strategy but over-weight the position when ATR is in favour and under-weight when it is adverse.

However, this is unfamiliar territory as I don't see other technical systems advising re position size except to restrict risk to account to the standard 2%. Surely it's worth the risk?
 
Position sizing is my sixth modifier to the standard BB trade. These now read -

1. Add 2pt buffer to BBR level when setting buy order, deduct 2pts from BBR level when setting sell order

2. If BBR>80% ATR14, ignore trade

3. If BBR<25% ATR14, increase target to 3xBBR from entry

4. Enter target price of BBR High + BBR for longs, BBR Low - BBR for shorts

5. Exit any trade still running at US close

6. Under-weight positions when ATR is 71 or less: over-weight positions when ATR is 72 or more
 
I haven't jon, but I suspect BB is as good a signal as any to enter a prevailing trend. The customary profit target of the Big Ben range itself would have to be extended, as no BB position I've looked at which has hit the profit target has yet run beyond 3:30pm. But I assume that would be the major advantage of an overnight position, to run the profitable trade.

For interest,
opening times of winners -
1000-1030 = 4
1030-1100 = 1
1100-1130 = 3
1130-1200 = 1
1200-1230 = 1
1300-1330 = 1
1400-1430 = 1
opening times for losers -
1000-1030 = 3
1330-1400 = 1
1430-1500 = 1
1800-1830 = 1
opening times for expired trades -
1000-1030 = 2
1030-1100 = 3
1100-1130 = 1
1330-1400 = 1
1600-1630 = 1
 
ATR this morning 67, so I am looking for only a tentative Big Ben position if we get a break-out. If BB range is 54 or above I will pass on the trade: if 17 or below i will take the trade but target will be 3 x BB range.

Other traders may see today as a possibility to play the reverse on retracement into the range.

Good luck to all of us.
 
No BB trade for me today. As ATR is still 67, the range this am is more than 80% of this, showing on my chart as 59.5! Too steep for me but some people may wish to take the reverse as price has already rallied back into this range. Good luck.
 
Hi Tomo,

Your ATR, are you calculating the last 14 days range or the last 14 day 8-10am range?

thanks

RT
 
No BB trade for me again today, 8-10 range on my tick chart shows as 83.2: my max today would have been 54.
 
I like the strategy of staying out when the move already appears to have happened. In fact most of the system I like, am enjoying following it. It seems to be a good friend in trending markets and tells you when to stay out in the chop.:clap:

I realise that a lot of systems like a trend but so do I.. anyway just to say still enjoying and no idea where the FTSE will go next, only amazed it is up at its current levels but given up trying to guess direction:)
 
Cheers bangkoker. I had not appreciated that the modification of passing on trades with an excessive Big Ben range would be applied during a ranging market such as we are now seeing.

Today saw no BB break-out but the reverse would have worked pretty well, as 3 30-minute price bars bounced off the lower BB boundary, and retraced 50% of the range. That would be 40pts if you played it: I'm not ready to trade the reverses yet but as has been noted here, they are worth looking at.
 
Yeah, will keep following with interest.. hoping for some 80+ pts average weeks again:D
 
This week's summary - Not bad. 2 sessions without BB trades, 1 winner for +30pts, 2 expired positive at US Close: no losses.

Since 16/08, we are now at 13 winners against 6 stopped out for net +289pts.
10 trades have expired at US Close (6 for gains, 4 for losses).
6 sessions have not generated trades.

No winning trade has been triggered later than 2:30pm. No winners have hit targets if held later than 3:30pm.

The last 14 sessions have traded at ATR 71 or less and generated just 3 targets hit against 4 stopped out. The previous 15 sessions traded at ATR 72 or better and generated 9 targets hit against just 1 stopped out.

Monday's ATR is 72, so I am hoping for a better win rate as long as this tendency towards higher ATRs continues.
 
Big Ben remains in the money since the real-time monitoring and trading commenced 16/08. Of those 7 weeks of trading, 5 have been net winners. However, 289pts over 7 weeks isn't going to get anyone mentioned in Forbes magazine.

The strategy first came to attention when applied to forex, specifically London-centric trading, and specifically GBP/USD. An obvious way to increase pips would be to diversify and to add GBP/USD. I have little experience in GBP/USD and BB rules may need modification - what do people think re the following parameters for GBP/USD Big Ben trades? -
1. Is 0800-1000 the most applicable early morning range?
2. What would a high ATR be for this pair?
3. Should open trades be closed at the London close, US close, midnight or run overnight?
4. Does GBP/USD really offer diversification from FTSE100 for these trades?
 
I would add that over the last 3 weeks' tick charts, this looks like 5 wins to 2 stopped out, better than the 3 wins to 4 stopped out the FTSE printed. The other trades I count as having expired without hitting target or stop, as I don't have ATr for the pair right now.
 
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