Big Ben on the FTSE100

[Mata Nui]

Just closed out all remaining orders at 7pm, pretty much nothing has gone anywhere over the last couple of hours so i guessed that would be it for today. I will post full results of the first day with the 7 fx pairs + ftse later, but it has been a good day.
I think 3 hit TP (including ftse)
1 hit SL
the remainder all expired positive at 7pm (Most very close to TP but not going any further)
In total 205 points net today.
With a guestimate risk of 2% per trade thats a net gain on the account of 16%. OK it must have been a bit more than 2% per trade. All i did was work out what 2% of the account was then divide by a MK1 eyeball average of the BB ranges and applied that figure per point. Funny thing is the only loser was the lowest bb range so the lowest risk. Thats why i think i get such a large account increase. It could have worked out the other way so perhaps i got away with it this time.

 

[tomorton]

Well done Mata Nui. Watching with interest.

 

[Baldeaglebloke]

Just closed out all remaining orders at 7pm, pretty much nothing has gone anywhere over the last couple of hours so i guessed that would be it for today. I will post full results of the first day with the 7 fx pairs + ftse later, but it has been a good day.
I think 3 hit TP (including ftse)
1 hit SL
the remainder all expired positive at 7pm (Most very close to TP but not going any further)
In total 205 points net today.
With a guestimate risk of 2% per trade thats a net gain on the account of 16%. OK it must have been a bit more than 2% per trade. All i did was work out what 2% of the account was then divide by a MK1 eyeball average of the BB ranges and applied that figure per point. Funny thing is the only loser was the lowest bb range so the lowest risk. Thats why i think i get such a large account increase. It could have worked out the other way so perhaps i got away with it this time.

Good result but scary in terms of how much you had at risk on trades starting at 10am. Will monitor these seperately but I would caution you on too much exposure to the market at any one time.

 

[Mata Nui]

Full Results for the day:
OK, its only the first day and before i do the results i will just explain my ideas behind using all the pairs and my risk.

From looking at the past performance it does seem that there are more wins/expire +ve than losses. Normally though there is a bit more of an even spread. seeing this i thought that sticking to a 2% risk per trade was a fair idea as with losses/wins (although more wins) it looked like i could realistically expect about a 4% return each day on average with very few -ve days. If you assume a hit rate of close to 60% and 8 instruments traded i think i am on the right side of the probabilities with this. Yes having 16% of my account tied up is a bit much but its not as simple as saying i hold a 16% risk on one trade. Anyway as i have said before i am running this on a demo acount before commiting any real funds to it but perhaps we can all learn a bit.

Results then:
FTSE - Hit TP for 22 points (only 30% atr and it did go to 75 points so TM has a good point with lower BB range)
GBP/USD - Expired +ve for 25 points (a long way off target)
EUR/USD - Hit TP for 57 points (they slipped me a point)
AUD/USD - Expired +ve for 46 points (has since gone on to hit TP though)
GBP/JPY - Expired +ve for 20 points
USD/CAD - Expired +ve for 11 points (The only short of the day)
USD/JPY - Hit SL for -16 points (Let me down)
EUR/JPY - Hit TP for 39 points (went on a lot from there. was the second soonest to hit TP)

Total 204 net i think.
We will see how it goes tomorrow.

 

[steve79]

Hi there,

very interested in this system, read the whole thread yesterday.

Have a few newbie questions,

1. Firstly, what figures are being used to calculate the ATR? Are most people using the underlying market data, from Yahoo Finance for instance, or looking back at charts from their SB provider?

2. Did a bit of searching yesterday, to find out how to calculate the ATR and found this (below), can somebody confirm that's correct, and if it's what they're/most are doing?

First work out the True Range for the last 14 days, the True Range is the greatest of the following -

- A - Most recent period's high less the most recent period's low
- B - Absolute value of the most recent period's high less the previous close
- C - Absolute value of the most recent period's low less the previous close

Then calculate the mean average for the ATR.

Or, are people just taking the high low range for the previous 14 days (A in this case) and averaging it out? When I did my calcualations, A was in all cases the greatest, so wondering if there is any point in worrying about B and C.

3. Never placed OCO orders before, they seem pretty straightforward, however, can't get my SB platform to accept them in the way I'm entering. I'm using Gekko (though will change soon), demo account, and get 'price is on the wrong side' errors etc.

Can you take a look at the attached order ticket and tell me what I'm doing wrong? It was based on a high (1.5861) and low (1.5807) giving a range of 0.0054, I'm trying to enter long with the left set of figures if the price goes up to the Limit Order, and go short if the price hits the right Limit Order.

Thanks,
Steve.

 

[tomorton]

Hi steve79 - For ATR, I'm using the average over the last 14 days of daily high - daily low range. This is the underlying market's rangem not the 24hr tick chart range and ignores overnight gaps. However, whether or not completely orthodox, it's acting as a useful guide to adjust profit target and control risk and that's the point really.

It looks to me like your ticket shows you want to sell at 1.5805 or buy at 1.5863.But the current price shown is 1.57726-1.57756. Therefore, though price could reach your sell limit order level and trigger it, it could never reach the buy order so this is not an OCO order. The OCO order needs to straddle the current price.

 

[tomorton]

Not a great day for me today so far - tried running 4 Big Bens for the first time and 2 have closed at stops. Ouch.

 

[steve79]

Hi steve79 - For ATR, I'm using the average over the last 14 days of daily high - daily low range. This is the underlying market's rangem not the 24hr tick chart range and ignores overnight gaps. However, whether or not completely orthodox, it's acting as a useful guide to adjust profit target and control risk and that's the point really.

It looks to me like your ticket shows you want to sell at 1.5805 or buy at 1.5863.But the current price shown is 1.57726-1.57756. Therefore, though price could reach your sell limit order level and trigger it, it could never reach the buy order so this is not an OCO order. The OCO order needs to straddle the current price.

Cheers Tomorton, thought that's what you were doing with the ATR. If it's working for you, no sense in over complicating it.

Regarding the ticket, I think when I initially went in they straddled the current price, but went out while I was fannying around with the ticket. Assuming I go in soon after the range has been calculated, would that ticket set out like it is have correctly placed the OCO?

Thanks again.

 

[Mata Nui]

FFS. yep not a good day today but i am not too upset about it.
I had a hospital appointment this morning with the little boy so just got back in the house at 10. Rushed the orders and now paying for it. so far today -
1 hit TP
6 hit SL
1 still running close to TP (given todays luck we will have to see if it gets there).

Thing is out of the ones that hit SL one (USD/CAD) was because of my rush i didnt input the high of the bb range correctly. Had i input the order correctly that would have now hit TP for a win instead of stopping me out by 1 point. (USD/JPY) i didnt enter the low of the range correctly and got stopped out. That one would still be running near TP.

For me today is a loss day (i will work out how many points once my GBP/JPY closes) but i think if i had not screwed up my orders this morning it would have been about BE. I will chack later.

 

[tomorton]

I'm all out, 2 targets hit, 2 stops hit, for small net loss. Wishing my tick charts had some grapic interaction features, like displaying order levels.

I think Steve your OCO orders ticket looked good otherwise and if you straddle price with your buy and sell levels it should work.

 

[pcrude]

Steve,

I use the same method you've described for calculating ATR. Google "Average True Range" and then look at the www.stockcharts.com website.

It looks like you've entered limit prices when the spot price is lower than the buy order and higher than the sell order. A limit price is a "not worse than" order. If you're trying to get long when spot goes up to 1.5863 or short when it goes down to 1.5805, you need to enter your orders as stop orders; stop orders are valid for both entering and exiting a trade.

Hope that helps. Forgive me if I'm teaching my grandmother to suck eggs!

pcrude

 

[Mata Nui]

The final result.
I stopped my last active trade for +19 although it will probably go on to TP today has been a bad day so i am out.

USD/CAD - Stopped out -20 (was in a rush and missed last decimal place when putting the high into the spreadsheet. This resulted in me getting entered long a bar before i otherwise should have. Had i entered at the correct place i would have missed the dip that stopped me out and Hit TP for +20)
USD/JPY - Stopped out -19 (another decimal point farce. resulted in my stop being 3 points too close. If entered acording to the system should have hit TP for +19)
EUR/JPY - Stopped out -22
AUD/USD - Stopped out -46 (ouch)
EUR/USD - Stopped out -50 (big Ouch)
FTSE - Stopped out -23
GBP/USD - Hit TP +48
GBP/JPY - Expired +19

Total: -113 so pretty bad although should have been -74.

I am finding it difficult entering 16 orders. The demo platform (SLM's MT4) is not very consistent with its pricing. eg some 4 decimal place pairs are quoted as 5 and some as 4, likewise some 2 decimal place pairs are quotes as 3 and some as 2 so it takes a bit more time to enter the values into the spreadsheet (I think they probably intend confusing people). Anyway today i was late and rushed so obvious mistakes.

One other observation. According to the system today would have been 4 wins and 4 losses with an overall -ve points outcome. In ALL 4 of the proper losses leaving the reverse order in would have gone to TP. I am not playing the reverse but its worth watching what the outcome would be (in this case turning a bad day to a good day).

 

[Baldeaglebloke]

Cheers Tomorton, thought that's what you were doing with the ATR. If it's working for you, no sense in over complicating it.

Regarding the ticket, I think when I initially went in they straddled the current price, but went out while I was fannying around with the ticket. Assuming I go in soon after the range has been calculated, would that ticket set out like it is have correctly placed the OCO?

Thanks again.

Cap Spreads has a decent OCO function

 

[Mata Nui]

Going to drop USD/JPY i think. Its not been a good performer over the past 2 1/2 weeks. I know its not long but since its only had 1 win in 12 days (and some expired wins) i think its better to just let it go. EUR/USD is a bit pants as well but just +ve enough to keep as is GBP/JPY so i will keep a close eye on them. Best performers look like USD/CAD and AUD/USD but things change.

 

[steve79]

Steve,

I use the same method you've described for calculating ATR. Google "Average True Range" and then look at the www.stockcharts.com website.

It looks like you've entered limit prices when the spot price is lower than the buy order and higher than the sell order. A limit price is a "not worse than" order. If you're trying to get long when spot goes up to 1.5863 or short when it goes down to 1.5805, you need to enter your orders as stop orders; stop orders are valid for both entering and exiting a trade.

Hope that helps. Forgive me if I'm teaching my grandmother to suck eggs!

pcrude

Cheers pcrude, have just played around with a test order on the demo account and it doesn't have any complaints with me using the stop orders as suggested.

 

[steve79]

Hi all,

I've come up with a very simple spreadsheet (dare I say evaluator for the DIT crowd) to do the basics of the FTSE Big Ben trade, work out whether to trade, entry, stop, limit and whether to triple the target profit range. I'm certainly no whizz, but it's a simple system, so I don't think it needs to be overcomplicated.

I'd like to share, one so the those who know the system inside out can check if I've done it correctly (thanks in advance), and two, any one who hasn't done their own yet can save some time.

Message me with your email address if you would like me to send it.

Steve.

 

[tomorton]

A quick look at tick charts over the last 36 hours suggests some currency pairs which are highly correlated and should not be traded together. For better diversification, trade either -
AUD/JPY or AUD/USD
EUR/JPY or EUR/USD
GBP/JPY or GBP/USD
EUR/AUD or EUR/CAD
USD/CAD or USD/AUD
EUR/GBP or GBP/EUR (obvious, since one is the inverse of the other)

 

[Mata Nui]

A quick look at tick charts over the last 36 hours suggests some currency pairs which are highly correlated and should not be traded together. For better diversification, trade either -
AUD/JPY or AUD/USD
EUR/JPY or EUR/USD
GBP/JPY or GBP/USD
EUR/AUD or EUR/CAD
USD/CAD or USD/AUD
EUR/GBP or GBP/EUR (obvious, since one is the inverse of the other)

Yes, i think i have some correlation in my portfolio which i will probably weed out over time. Thing is though even correlation gives no certain outcome. Today AUD/USD won for me but USD/CAD was a loser (only just though).

 

[Mata Nui]

All out. Only 7 instruments now (dropped USD/JPY). Looks like 6 winners hit TP and one loser hit SL. Another very good day for net 200+ points i think. Will publish full results later.

 

[tomorton]

I'm out too, 3 out of 3, +72 net. Wish I had had more time at 10 to put more orders in.