Big Ben on the FTSE100

I think this has been the first week I've ever finished positive! The only thing that worries me is as you say, the poor r:r. 1 loss needs 2 days to recover into profit but if the win rate truly carries on as above then all is more than good.
 
Yeah brew, I just trust the excessive win rate to dig me out of any losses every month.

Of course, I don't like this but there might be other things people can try. The obvious one is to try moving stop to break-even to make the trade risk-free after a certain number of positive points movement, and push the target out at the same time. I don't have opportunity to do this with any consistency as I have a full-time job (hence the obsessive interest in mechanical approaches like BB) but maybe one of you with screen time might try this. Or back-test this. It would be interesting to know how it might work out.
 
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Despite the promising 4-week performance of v3 rules, nobody can be overjoyed with a target and stop that are so unbalanced. How could we improve r:r?

1. Push the target further out - risks fewer target hit trades, more expired +ve, potentially more losing trades.

2. Pull the stop in - risks more stopped out trades.

3. Increase net return by taking larger positions on lower risk entries - I have no idea which BB set-ups are more likely to be winners.

4. Reduce net risk by taking smaller positions on higher risk entries - Can't see which these are either.

Best I can think of right now is to push the target out 1pt and pull the stop in 1pt. This takes the r:r from 15pts:10pts, or 1.5:1, to 13pts:11pts, or 1.2:1, an improvement of 20%, translating into at least a 20% increase in net gain.

But the risk is that improved r:r leads to a reduced win rate, leading back to square one. I'm sticking with v3, with 15:10pts net stop and target but keeping the 13:11pts option in mind when reviewing results.
 
Using 12pt target and stop, net points result this week +40pts -15pts = +25pts.

Using 13pt target and 11pt stop, trades still come out at 4 targets hit, 1 stopped out, but now net points result is +44pts -13pts = +31pts (improvement of 24%).
 
What this means is that if you use a fixed risk amount in £ per trade, so that a BB trade stopped out costs you, say, £100, a winning v3 trade with 12pt target/stop would bring you £66. With a 13pt target and 11pt stop, a winning trade would bring £84.

I may have to move to v4.
 
I am unable to utilise a trailing stop either due to work. I did suggest before that moving target by 1 point would not make a huge difference and I guess moving stop closer by 1 point wouldn't make a huge difference either. I actually did pick up 12 points on Monday and not 10. Seems if the trade has gone 14 points against you it's very likely to go the extra point and stop you out anyway and obviously the same the other way around for the target. I know that doesn't have a mathematical basis but seems a likely scenario. As you said earlier, there will be a limit to that and maybe it will be significant on the odd trade but 1 point isn't a lot of movement on the FTSE and the results stayed the same for last week.

The spreadsheet posted by jimmyc on page 94 allowed you to change the stop/target settings and get the results? I wasn't able to change it as I only have the trial of Microsoft Office and it only lets me view it.
 
Good point - outcome is results still look good, though I'm not entirely sure on how accurately the spreadsheet reflects intra-day price movement.

However, I have to seriously think that net profit of +10 and net loss of -15 using v3 rules means that if I have 3 winners and 2 losers in any 5 days, I am still not making any money! Must try harder.

(Do teachers still write 'Must try harder' on Reports these days? Perhaps they write something like 'Joined in the group achievement with a good effort and collaborative attitude'.
 
I had that same thought also. I listed the 6 possible scenarios for the end of week results and only 2 of them actually made a profit, with last week being the lowest possible profit in a week. With the new stop/target the potential scenarios are bigger wins with smaller losses (doesn't take into account days that expired i know):

12pt stop/target:

5 Wins = +50 Points
4 Wins/1 Loss = +25
3 Wins/2 Losses = 0
2 Wins/3 Losses = -25
1 Win/4 Losses = -50
5 Losses = -75

13Stop/11Target:

5 Wins = +55 Points
4 Wins/1 Loss = +31
3 Wins/2 Losses = +7
2 Wins/3 Losses = -19
1 Win/4 Losses = -41
5 Losses = -65

I'm sure you've already worked the same out but that's a pretty good improvement on weekly worst/best case scenarios, maybe even enough to cover a day that would have been a winner on v3 rules but a loser on these ones over the longer term. I'll have some time monday evening to back-test a few weeks if you haven't already done so.
 
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Good work brew. Interested in any backtesting on this strategy but I am going to guess that the days that do get to a 10pt target but don't get to an 11pt target will be few and far between. I am thinking I have to go to v4 with wider gap between target and stop ready for Monday.

As I usually say at these times, 'It looks great. What can go wrong?'
 
Sorry brew, I used a poor expression: the target is indeed further out (by 1pt), but the stop is further in by 1pt: the net result is a wider gap between entry and target and a narrower gap between entry and stop.

When I got away from the screen and jim's spreadsheet and my record sheets and had a long walk, I rationalised it like this.

Pushing the target 1 stop further out probably reduces hits over a year by a tiny amount. But on any given day, how probable is it that price will make 12pts above the BB High but fail to make 13pts? Less than 10% I would estimate. So pushing the target out 1pt is an acceptable risk while it increases gain from that tarde, if successful, by 10%.

And on the same day, how probable is it that price will go down and hit a stop at 11pts below the BB High but then reverse and not hit a price of 12pts below BB High? Again, there's less than a 10% chance I would suggest that the 1pt inward move of the stop was a mistake.

Adding the two together, I feel I have to go for v3 Long target +1 and v3 stop -1 (and obviously v3 Short target -1 and stop +1). The combined effect would be target hit winners bringing a gain of 11pts, and stopped out losers giving away 13pts. This means that a week with 3 full winners and 2 full losers would still bring a net gain of 7pts ( (3x11) - (2x13) ) = (33 - 26).
 
Ah I understand your original post now. I agree with your thinking, obviously the 1 point changes will have an effect at some point but I think the difference in points gained and points not lost as shown by the 2 scenarios I posted above should cover those extra losing trades if not increase overall gain over the v3 rules.

Also thinking about it, if you are risking a set amount per trade as you are then a loss of 13 instead of 15 allows a higher stake on top of the extra point target - same risk, more cash profit. But I'm sure you already took that into account as per your previous posts.
 
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Going for v4 rules from tomorrow's session, as discussed above -

BB time range 0800-0900, entry is BB range High +2 pts or BB range Low -2pts, 13pt target, 11pt stop, open trade expiry time 1600.
 
Have you thought of applying fib levels to the range to get your target and stop?
for example you could put your stop at 38% and target at 61%.
thus giving a positive risk reward ratio?
Of course I have no idea what the strike rate would be.
 
No RT, I have lost faith in lines that are overlaid on price charts rather than printed directly onto them by price - so I mean Fib levels, MAs, trend channels etc. I find they sometimes work, but only as usefully as a well-thrown dart.

If you can make them work reliably you should go ahead, especially as the BB range, then 12pts, now 13pts, target was chosen based purely on probability of achievement, no TA criteria anyway. Though bearing in mind we're only dealing with a small range of prices, a little slippage can make a big difference.
 
ok I have done some quick backtesting today using the v4 rules, I hope using the 1 hour timeframe is adequate enough to get data right?

Anyway the results I have are 13 wins, 6 stopped out and 1 no trade (2 Feb). This is a 68.42% win rate which gives a total of 65 points positive over the 20 trades.
 
Hi brew - good work, though the result isn't anything as good as I had hoped. Still, in for a penny, in for a pound. Good luck this week all.
 
I don't like the way FTSE has set up this morning - I logged on just after 9am and it had already broken through what would have been the "buy order" level 6101.8 and is bouncing around a range of 6100 and 6105. Think I'll have another look at the range at 10am, but might stay out today.

Update at 10:00. FTSE broke through the lower range and fell below what would have been my sell order level before I could place a 10am deal, so I think I will stay out of this today.
 
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brewski1984 said:
ok I have done some quick backtesting today using the v4 rules, I hope using the 1 hour timeframe is adequate enough to get data right?

Anyway the results I have are 13 wins, 6 stopped out and 1 no trade (2 Feb). This is a 68.42% win rate which gives a total of 65 points positive over the 20 trades.
Click to expand...

Hi Brewski, I may be confused but shouldn't it be more like:

13 wins = 13 * 13 (I haven't been trading it but thought 13 pt target) = 169 pts

6 losses = 6 * 11 (11pt stop?) = 66.

1 no trade = neutral

Therefore 169-66= 103 over 20 trades, circa 5 pts a day profit.. sounds a lot better.

I could be missing something as have not been trading it, just keeping an eye on thread.
 
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