ChowClown
Hey that's a good average, well done !
The problem with trying to backtest using close stops like 10 pips is that my 12 month spot data is hourly. Since a lot can happen in an hour, in the first hour, you can't be sure whether your stop would have been hit, and you have to make assumptions, which is why I have sometimes mentioned best/worst scenario.
I have given below some "best" scenario results using your criteria for EUR:$, from hourly data, and although they may be unrealistic, you are unlikely to have done better.
April = - 220
May = - 83
June = + 416
If I could lay my hands on some longer term 1/5/10 minute data then that would help. I have some futures data which I am still looking at, but I don't regard it as adequate for testing GBP, but maybe EUR. I find that the 2 hour restriction does help to take out quite a few losers.
rog1111
Hey that's a good average, well done !
The problem with trying to backtest using close stops like 10 pips is that my 12 month spot data is hourly. Since a lot can happen in an hour, in the first hour, you can't be sure whether your stop would have been hit, and you have to make assumptions, which is why I have sometimes mentioned best/worst scenario.
I have given below some "best" scenario results using your criteria for EUR:$, from hourly data, and although they may be unrealistic, you are unlikely to have done better.
April = - 220
May = - 83
June = + 416
If I could lay my hands on some longer term 1/5/10 minute data then that would help. I have some futures data which I am still looking at, but I don't regard it as adequate for testing GBP, but maybe EUR. I find that the 2 hour restriction does help to take out quite a few losers.
rog1111
ChowClown said:
I guess that the futures would be the tricky fill, and that you'd need some automated arb'ing software and super fast direct connection to even get close. It would be nice though, 40 pips is a LONG way out of line ! It makes you think, that suppose you had the clout to create such large temporary spreads (as the comms do), then you could also be ready and waiting with your arb trades
rog1111
rog1111
jimvt said:Wouldn't life be good if you could spread trade between the two at times like this, except you'd never get the fills you'd need.
Nice "holy grail" dream anyway.
Mind you, even poor fills would probably suffice to make a profit at such times. I have a little piece of software that monitors IB's currency spot vs futures spread at all times, but I've never run it for more than a few minutes. It'll be interesting to try it out and see how much deviation occurs, even on a "normal" day.
rog1111
rog1111
jimvt said:Wouldn't life be good if you could spread trade between the two at times like this, except you'd never get the fills you'd need.
Nice "holy grail" dream anyway.
rog1111 said:
rog1111 said:
Spikes that are out of line with the cash usually occur in a fraction of a second on economic releases. Enough traders in the futures click on the release that the price gets out of line with the cash and is brought back into line by arb computers within a small fraction of a second. Today there was a double whammy when the Philly Fed was release early and the first release was wrong. Whipsaw city.
Hi Chow,
I understand most of the strategy you have outlined but would appreciate clarification on the 2 hour entry. Does this mean that in order to take a trade a breakout of the 1-8 bar must occur by 10am.
Having looked at £/$ over the last week it seems news announcements (particularly around 1.30) have played havoc with B/O systems. Has anyone had any success with placing trades after these announcements have been made.
Cheers,
Mick
I understand most of the strategy you have outlined but would appreciate clarification on the 2 hour entry. Does this mean that in order to take a trade a breakout of the 1-8 bar must occur by 10am.
Having looked at £/$ over the last week it seems news announcements (particularly around 1.30) have played havoc with B/O systems. Has anyone had any success with placing trades after these announcements have been made.
Cheers,
Mick
Hi Jonny,
What is your approach to B/Os with reference to timescales? Do you have set times to allow the B/O to occur or would you wait for the range to break no matter what time it occured (even if it was only a few minutes befoe you would close out at the end of day)?
What times would you close your own trades?
Cheers,
Mick
What is your approach to B/Os with reference to timescales? Do you have set times to allow the B/O to occur or would you wait for the range to break no matter what time it occured (even if it was only a few minutes befoe you would close out at the end of day)?
What times would you close your own trades?
Cheers,
Mick
darrenf,
Haven't traded the 9pm exit so far. JT's EUROTrader appears to exit at 11pm, so there's probably some merit in later exits. 6pm suits my circumstances and in the backtest comparison rog1111 kindly posted for us all, the PLtoDD ratio was the best.
Cheers
Haven't traded the 9pm exit so far. JT's EUROTrader appears to exit at 11pm, so there's probably some merit in later exits. 6pm suits my circumstances and in the backtest comparison rog1111 kindly posted for us all, the PLtoDD ratio was the best.
Cheers
Hi JT,
I trade EUR/USD not cable. IMHO over time (many years rather than 1 or 2) profitability will converge across most BO systems.
From memory the original 7-10am system you kindly posted had an average of around 25-30 pips/day based on the small sample of data you backtested with. Subsequent backtesting over a few years, from another member, resulted in an average of around 8 pips/day.
It's swings and roundabouts to my mind, but I don't care, so long as the system I trade is profitable over the long term. Your ideas have provided a great deal of food for thought and I for one won't be contributing more to a PPP!
I trade EUR/USD not cable. IMHO over time (many years rather than 1 or 2) profitability will converge across most BO systems.
From memory the original 7-10am system you kindly posted had an average of around 25-30 pips/day based on the small sample of data you backtested with. Subsequent backtesting over a few years, from another member, resulted in an average of around 8 pips/day.
It's swings and roundabouts to my mind, but I don't care, so long as the system I trade is profitable over the long term. Your ideas have provided a great deal of food for thought and I for one won't be contributing more to a PPP!
JonnyT said:
