Hi,
Yes your data looks about right give or take a few pips.
I've been following it on a CS simulation account too, as well as on my spreadsheet to confirm since Feb 20th - am confident with my results as I'm usually within one or two pips of the actuals on CS on excel.
The data I got from JonnyT's other excel file (the 7-7:05am one) and then just rewrote the VBA to simulate this strategy.
Jan netted about 800 pips, Feb about 200, tried some other data from Dec, and it only made 140 pips. But I'm a little dubious about that data. I also tried it with data from earlier in the year and it lost, but again, I've not had time to really examine the data.
So far March 04 is about 400 (exc. Friday)
I've tweaked it a bit ... it seems there are a few where the trend hasn't really caught until a bit after 10am, and then you get a catastrophic loss as it turns the other way and stays that way all day.
However, lengthening the timeframe to even just 10:30 makes the overall profit much less, so better to leave it at 7-10.
2 alternatives then ... put a stop loss in or do a stop and reverse (SAR)
Tried the stoploss first - putting it at 85 pips seems optimal to stop the really big losers without preventing the natural big swings intraday, but I'm a bit suspicious about "over-optimising", especially on only 2 or 3 months data.
The alternative is the do a SAR, which is optimal at about 70 pips. I.e. once you've lost 80 pips in the day, exit and reverse and take what you can, given that the trend has really gone against you earlier in the day. I found that this elicited a few more pips overall with the data we have. In one trade it made it worse (i.e. took 70 loss, then another 60 odd loss I think as it swung round again), but in others it really helped (one took the full hit end almost completely cancelled it out by the end of the day).
Bottom line ... it seems to work at the moment - Jan was a fantastic month, Feb OK (but hey, isn't 50 pips a week OK?), Dec looks disappointing (but have to check data) and March is more promising again.
I've just started trading this live today on CS ... wouldn't you know it ... 30 pips down at the moment, but the key to this is just set and FORGET! Particularly with forex intraday swings ... it's a lively old place out there!
Questions for everyone:-
Has anyone got some data, maybe 5 min data that we could analyse that would be really useful ... My 1 min data is fine all well and good, but you only get about 3 months into 65000 excel rows!
Am I in danger of "over-optimising" with the SAR value or stop loss values? If so, how do you develop a strategy that needs a figure without using backtesting to calculate the optimum?
Has anyone else been following this one? If so, how are you doing?
Is anyone trading it live?
Has anyone else taken this any further with refinements?
Thanks again to JonnyT for this one. If this is one he throws out for general consumption that's doing so well, what must he be actually trading live with? ... now if we can just persuade him to post THAT system ...
![Laugh :LOL: :LOL:](data:image/gif;base64,R0lGODlhAQABAIAAAAAAAP///yH5BAEAAAAALAAAAAABAAEAAAIBRAA7)