Is this one Spot on?

[FetteredChinos]

Mr Chill et al,

Jonny has given you guys the excel minute by minute data,s o you should be able to calculate drawdown relatively easily yourselves..

all it needs is 30 mins in front of excel and jonny is your mothers brother.

he has given you the method, so the least you can do is try to optimise it yourselves. 3rddawn has at least tried to analyse it, which is to be highly commended :cheesy: , and his results look valid..

the point is that if you are going to trade a system then you need to know why it works etc, and the only way to do that is to seriously analyse it. Yourself.

good luck with backtesting etc

FC

 

[Red Eye]

Hello all

Was yesterday the fifth case of two losses in a row since sept and does that mean today should be a dead cert for a win? ......looks ok at the moment, but needs to break 170/160 for a decent profit!

Would like to get hold of some historical daily charts to look further. Does anyone know where?

 

[3rddawn]

I've been downloading from www.forexite.com/free_forex_quotes/forex_history_arhiv.html the daily files containing 1min data, extracting the EURUSD, converting the times etc.

As I mentioned in the other thread, I've done Dec twice now, and am still not sure about it!

Have a look and let's see what we can put together and share.

I know somewhere on eurostoxx50 there's a set of massive files someone's already prepared from Jan 01 to Sept 03 ... you can extract a goodly amount from that, but the last few months are missing.

Each day since Feb 20th I've downloaded, extracted and added to the spreadsheet, so I have the data from Jan5th to present day, so don't bother doing anything with that. I'll post it when I get time in the next day or two.

That's the data I've been running on Capitalspreads.com simulation account and getting very accurate correlation with pips won or lost, so I'm quite confident of it.

NOTE The data on forexite is 1 hour ahead of GMT, Jonny's spreadsheet uses US data 5 hours behind(?) GMT, so I make it that we have to subtract 6 hours from the forexite data to get the US times for the spreadsheet.

Does anyone have time to write a bit of VBA code to concatenate the 1min massive files into 5 minutes or something like that. Shouldn't be too hard - I just don't have time at the moment.

Probs best in Access, as you have virtually unlimited number of records, and the 2 1/2 year files have 750,000 records in them!

By the way ... don't count on today! I didn't trade today because I decided to start trading this LIVE on Monday and it's record so far this week has been ... well ... ! But just looking at the hourly data, it would've gone short some time between 2-3pm, and now look at it - would be 50 down (7:30pm).

So by 9pm, that might be another 3 in a row losses, a grand total of 220 down this week. Glad I didn't trade it today!

 

[3rddawn]

My slightly modified version (unlimited profit target, 85 stop loss, 3 pips spreadloss per trade) results:-
Jan +804
Feb +245
Mar (to date, roughly) +189

Biggest drawdown before this week was 4 in a row in Feb, -220
Now this week (if today stays about -50) -240, 3 in a row
Let's hope something nice happens tomorrow!
The trend is supposed to be our friend

 

[3rddawn]

Last week's summary

With 85 pip stop loss in place ...
Mon -85
Tues -85
Wed -34
Thurs -85
Fri +55

Biggest drawdown so far since Jan - 289 pips (Mon-Thurs this week)
Weekly total -234 pips
March to date +199 pips

Without stop loss
Mon -44
Tues -85
Wed -34
Thurs -129
Fri +55
Mon-Thurs loss = 292 pips
Weekly total -237 pips
March to date +177pips

Suspect the Spanish vs US war of words made markets unpredictable last week. :|

Or is it just showing signs of general weakness as a strategy?

 

[3rddawn]

Updated spreadsheet

Here's a spreadsheet with:-
1min data from Jan 5th to yesterday
Trading the 7-10am breakout strategy
You can define on the sheet itself (yellow boxes):-
start and end time of range to use for breakout (US time)
a profit target (put 200 in here and it'll close a trade at 200 pips profit)
stop loss limit (lose this amount and it stops the trade out)
spread loss per trade (for those of us using spreadbetting companies, estimate of what they might take per trade)
pips move past trigger (you may want to wait until it's moved outside the range by, say 50 pips to make sure we're really in a trend a la KimmRunner's 7am modded spreadsheet)
define the US hour to stop trading (16:00 hours at the moment)
Click the Run button to start playing.
Shows total won, amt per trade, avg win and loss, max drawdown, stuff like that, and a pretty chart as an added bonus :cheesy:

Think I have all the code right, though if anyone wants to go through it with a fine toothcomb, they're welcome. the basic results do correlate with JT's though (minus spreadbet losses)

It's a big one (sorry, all you dial uppers) - 8.5Mb
I've zipped it to squeeze it up onto the board. Only 2.2Mb to download
Enjoy
3rddawn
Any comments, improvements, etc. would be appreciated.

[Edit-I've removed the delay time element temporarily because the code was a bit cookey! In thinking about it, there are actually 2 ways of working this in ... 1 is to be able to just delay the start time at which it starts looking for the cross of the high or low of the day's chosen trading range, so if it's already crossed that point, it doesn't trade until it comes back down and up again for a long (really misses trending days), and a 2nd way is to go in immediately the time delay is passed if the actual has already crossed the range points. So I might work on either or both and add them at some point. As these are fine-tunes though, to an already fairly straightforward strategy, it won't be a priority.]

 

[3rddawn]

Edited above message.

 

[KIMMRUNNER]

Interesting

WIll look at over the w/e

 

[nefariousbaffler]

So how has this system been working out for people?

 

[JonnyT]

Bloody marvellous if you've traded it since I posted here...

JonnyT

 

[3rddawn]

... but only if you had a 35 pip stop loss which wasn't revealed until recently ...!

If you traded this since JT posted at start of Feb with no stop loss, you'd only have 818 pips

If you traded with the 35 pip stop loss, you'd have 1066 since then.

It netted 263 in March.

 

[PitBull]

could someone just clarify breakout of trading range???

does this mean bollinger bands?

Your assistance appreciated

 

[PitBull]

sorry guys, being thick, found the response on the other thread

 

[neil]

Getting the "hang" of it.....

Bloody marvellous if you've traded it since I posted here...

JonnyT

Did we have a short trade yesterday JT?

 

[FetteredChinos]

neil i think so.

i did and it was a bit of a crap one..

need to modify the exit strategy somewhat. may be an idea to look into previous support/resistance as an exit, as i gave back more than a few points, and this is the 3rd time this has happened recently..

the old 7pm reversal is becoming tedious now lol

FC

 

[JonnyT]

Yep,

If you followed the system then yesterday you lost 35 pips on the futures. i.e were stopped out.

This system is a basis for your own developement and should be treated as such.

For instance yesterday produced 85 pips profit for me.

Today I'm finished for -20 (first day in 7 I've made less than 70 pips!!!)

JonnyT

J

 

[Goober]

JT

As you are an advocate of black-box trading, have you developed an application to automatically trail stops or the like?

Using a hybrid of your system, I have made 159 pips on 10 trades (4 winners, 6 losers). However, I have noticed that, initially, the losers were well in the money before reversing and hitting my protective stops - very frustrating.

Today, I am manually trailing my stop on Cable, however, this defeats the purpose of detaching myself from the screen.

BTW, many thanks for the various systems you have posted for the benefit of T2W members.

 

[JonnyT]

Yes I auto trade. I still work for a living though of late I am making more from trading than through work!

I write my trading Apps in Java and utilise IBs API.

JonnyT

 

[neil]

If looking to trade today we seem to be in a channel created by the 1 hourly 7am to 10am set up?

 

[FetteredChinos]

yup neil. short trade was triggered a lot earlier today, and im still sitting on it at the moment (-20 and counting )

could well amble along until the afternoon session in the US...


FC