Big Ben on the FTSE100

haha - which is what ideally refinements will do!

Thought I'd add my final Friday evening thought before I head off - I know its seperate from what tomorton is doing but i'm pretty sure I'm going to move my stops and limits to be 50% and 75% of BBR respectively. Tomorton be interested to hear your thoughts. From a very very cursory flick through the charts - the 50% doesn't seem to hinder winners, and naturally limits losses to small stakes. Anyone know where I can get my hands on some historical intraday pricing? I use AmiBroker to test my EOD strategies - but this feels like taking a stab in the dark! Fun though...
 
some good ideas going round here, I will have a go at back testing some over the weekend if time permits.
 
Charts this week show a performance of 4-1. I missed the trade Monday and sat out today, which was the loser in the pack, so a happy week for me, second week with 3 wins this year.

Over last 4 weeks, performance is 12-7, so a profit of at leat 1 trade per week. I have included the 3 UK Holidays which were not also US Holidays, as these should be traded (wish I had).

Overall, since w/e 20/08, performance is 72-40, a 64% win rate. Since changing rules to a fixed points value for target and stop, rather than using whatever the BB range happened to be, perfomance has been 29-22, win rate of 57%. With the highly unusual 'Arab Spring' situation affecting the market, I'm not ready to condemn the fixed points value approach - but as they say in old black-and-white movies, the jury's still out.
 
57% win rate is still good. What are the possibilities of improving the r:r? With the winners how far on average does the market keep going into profit? If you could keep as much of the 57% win rate as possible with a 1:1.5 or even 1:2 r:r would be a very nice increase in profits.
 
I think thats a pretty good win rate. My plan is to use a % of ATR to define stops/limits. I'll still place the order at BBh or BBl +/-3 but intend to use the position of the BB relative to a pivot point to determine just where those stops and limits are in relation to BBh/l +/-3. Unless the BB is pretty much sat on the pivot I'll only place one order. My thinking is that whatever side of the pivot the BB is is the direction the market is more likely to move in. The further to one side the of the pivot the BB is the further I'll move the stop toward and the limit away from the BBh/l +/-3.

I'm not looking to move things far, I don't want to use a large % of ATR, what I hope is to keep the same win rate but to improve risk return somewhat. Also as the stop gets nearer and the limit further from the BB h/l +/-3 then one can increase the amount risked per point without increasing overall risk on the trade. Provided the win rate doesn't drop this should make a big difference to profit.

Not sure if any of that makes sense - its hard to describe these things - my plan is to create a spreadsheet into which I can put the levels to create the pivot and ATR 1st thing and then enter h/l of the BB as soon as and have the spreadsheet tell me what trade I'm making with what stops etc.

And then I shall paper trade some.

BTW has the BB been tried on other markets/indices. It would certainly be easy to catch the 1st hour of the Dow and maybe a few other markets and so have a greater profit than 1 trade a week - maybe 2 or 3?

Ideas, ideas.
 
brewski1984 said:
57% win rate is still good. What are the possibilities of improving the r:r? With the winners how far on average does the market keep going into profit? If you could keep as much of the 57% win rate as possible with a 1:1.5 or even 1:2 r:r would be a very nice increase in profits.
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You'r dead right brew, it would be nice if we had a value for the average travel beyond the initial fixed point target so that we could fix a higher target. Not too high ofm course, as trades wouild tehnd then to expire rather than reach target, and potentially falling back towards or below entry. A trailing stop would be handy if your broker offers this, which my SB brokers do not (which fact suggests they are of the opinion that this would be a good tactic for the trader).
 
Good rational thinking I would say Bartlby, but only perhaps at far as ATR is concerned. Market behaviour does evolve and cycle over periods and ATR is a good way to relate BB systems to market 'mood'. It makes good sense to me if the market is consistently ranging 90pts in a session to set a more ambitious target than if it is typically ranging only 40pts.

Earlier BB trades did relate to ATR, but using it as a way to negate signals if the BB ranges was very large compared with recent ATR, i.e. no trade taken if BBR was >80% of ATR (14d). The debate was also going around whether if BBR was <say 20% of ATR, whether it was worth setting a much larger target. I am sure avoiding BBs when the BBR is excessive remains prudent, as per yesterday's experience. Since 14/02, the 0800-0900 BBR is average 28.4: over the last 10 sessions this has fallen to 21.9, though London was closed for 3 of those.

I confess I've never been sure about pivot points. usually, it's a purely calculated price level that the market totally ignored during actual trading yesterday. How can it be significant? I suppose it's a useful benchmark, like sea level on a map - doesn't measn you can't build on land below sea level, you just have to take due precatutions if you do.

On other markets - yes, BB actually developed on GBP/USD, the FTSE100 application is a derivation. There is no reason to think it would not work on the opening range of any market that either has zero overnight volume (due to closed session) or major increase in volume at a certain time, the same markey 'physics' should apply. In fact Mark Fisher in The Logical Trader applies the principles to S&P stocks, commodities etc.
 
tomorton said:
I confess I've never been sure about pivot points.
Click to expand...

Nevertheless, BB needs something that will notch up the win rate, and who am I to disagree with Mark Fisher? So please press on with pivot points and post up your observations please.
 
I think the thing with pivot points is, as you say, they provide some sort of reference point. One could as easily use the previous close. My thing with pivot points is that they're commonly used in this way and being calculated from the previous sessions figures one would hope they'd be most relevant early in a session. Yesterday the BBl was very close to the S2 level calculated from the pivot point and the day's low was just below that level. ONe swallow does not a summer make but to modify things the way I wish to I need a reference point. I'm very open to suggestions as to what may work best.

I had thought to add some rules about when not to take trades - BBR being too great/small a % of ATR would be one. The other I was thinking about was the distance between BBh/l and support/resistance levels (those pivot points again). What I don't like about all this is that it moves ever further from the attractive simplicity of the original BB rules and the greater level of complexity means testing the variables becomes much more difficult.
 
I forgot to say I actually encountered problems with getting the correct true range for ATR relationships last year - if the daily High or Low is also the Open, as sometimes coccurs, different data sources will give different results as there is no universal definition of the FTSE's Open value. Ludicrous but true, but on most days not an issue, there are no disputes as to intra-day High, intra-day Low and Close.
 
This seems to be the other problem - I'm spreadbetting on Capital Spreads so for simplicity I'm just pulling ochl off of 1 day bars on a chart of the FTSE. This puts some overnight figures into the calculation and as I understand it these relate to ftse futures rather than the actual index. Its a prolem with any calculation relating to markets - there's a variety of methods to calculat the figures and a range of figures one can enter into the calculations - but then if it was an exact science....
 
Relationship between performance and 10d Av BBR - 14/02 to 06/05 incl. - 59 sessions, in which the BBR was higher than 10d Av BBR on 23 occasions, lower on 36.

Low BBR - if BBR < 10dAvBBR, 21 winners, 14 losers, 1 no-trade: win rate = 21/35 (60%)
High BBR - if BBR > 10dAvBBR, 8 winners, 8 losers, 7 no-trades: win rate = 8/16 (50%)

Alright, it's a small sample but does suggest if BBR is high, BB orders might be not worth placing. The break-point appears, so far, to be if the BBR is up to 1.25 x 10dAvBBR, so a high range but not too high. Up to x 1.25, the win rate for high BBR trades is 3 out of 4, above x 1.25, it falls to 5 out of 12.

It's easier to be more cautious than to take more risk, so from Monday I will be ignoring BB signals where the BB range, 0800-0900 is more than 1.25 x the average BBR for the previous 10 days. For informaiton, 10dAvBBR is currently 21.9, so the limit for orders would be BBR of 27.4.
 
I liked the idea of this system because it was simple. The beauty of it was that it ignored pivot points and all the rest of it, the 8-9 range told you everything you needed to know, 1 minute to set up the trade and then leave it even though sometimes it led you blindly into a loss.
 
brewski1984 said:
I liked the idea of this system because it was simple. The beauty of it was that it ignored pivot points and all the rest of it, the 8-9 range told you everything you needed to know, 1 minute to set up the trade and then leave it even though sometimes it led you blindly into a loss.
Click to expand...
(y)
(y) yeah I like that element.. some way to slightly skew the p/r in our favour and i like it more.. I may try it again with smaller stop and bbr as target.. or with a fixed point stoploss.. I used to do this and just leave until near lunchtime.. if it was in profit then, I would lock in half profit and trail stop and try to lock more in.. maybe target of 50.. 25 point stop loss and then start trailing stop loss after 11.. will think it through.. this was just me thinking:rolleyes:
 
I agree - I was attracted by the simplicity - the trouble is as soon as one starts playing with it the complexity grows rapidly - add one thing and then a whole load of other things seem necessary as well. What I really want to change about the system is the risk reward ratio. ONe could simply change the position of stops and limits relative to the BB but it seems like one should have some sort of method by which that is done and that the distance between stops and limits should bear some relation to size of BB and to likely range etc and there we have it - wanting to make a simple change leads one into complication.
 
tomorton - so a new rule - no trades if BBR is > 1.25 AvgBBR(10). Interesting to see how that one develops. Bartlby - keep us posted on how you get on with the pivot points. I'm going to stick with my simple 50% stop 85% limit for the next few weeks - so hopefully we'll all make good progress!

Long drive to Manchester tomorrow so keep those fingers crossed for United.
 
ps - anyone know a SB provider that does trailing stops? None runnner with Capital and City Index
 
yes - good call. i took the trade but as soon as hit profit, put stop up to break even. Stopped out seconds later. Think im going to use your rules as well ;-)
 
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