citroen999
Junior member
- Messages
- 43
- Likes
- 0
not nervous are you Mr Chill?? hope you have been behaving or you're nicked!!
waverider
Member
- Messages
- 91
- Likes
- 2
Spoton July results spreadbetting
As I am now using a variant of JT's spoton method I thought you might be interested in my results for July. I say variant because I also add a degree of subjectivity at certain times.
E.G. as it nears 9pm and it seems clear to me we're ranging, I'll often exit when I can get what I think is a reasonable price, whether in profit or losing, just to mininise losses/maximise gains. I also go out before (or stay out after) 9pm occasionally (I am human, after all), which means I can't always exit at 9pm exactly.
In addition, I got whipsawed when price got close to 1.200, so chose not to short the following day (until price was clearly through that level), which turned out to be a good decision saving me a whip. Unfortunately I should've done the same the following day too, which cost 64 pips by being whipped both ways (ouch! that hurt).
Going forward into Aug price continued to range, as we all know, spellbound by the impending NFPR and I chose not to trade the first four days, which has saved me 111 potentially lost pips.
And, as some of you who've seen my previous posts know, I add (or subtract) a 10pip buffer to the 7-10am breakout triggers to avoid false breakouts. In July, on balance, this saved me 22 pips.
I made 142 pips in July, using deal4free with a 3 pip spread and getting exact fills mostly. I realise this is moving some distance from JT's automated trading but I thought it would interest you all anyway.
July and August apparently are not 'typical' trading months due to the holiday season so I am looking forward to better results come September.
WR
As I am now using a variant of JT's spoton method I thought you might be interested in my results for July. I say variant because I also add a degree of subjectivity at certain times.
E.G. as it nears 9pm and it seems clear to me we're ranging, I'll often exit when I can get what I think is a reasonable price, whether in profit or losing, just to mininise losses/maximise gains. I also go out before (or stay out after) 9pm occasionally (I am human, after all), which means I can't always exit at 9pm exactly.
In addition, I got whipsawed when price got close to 1.200, so chose not to short the following day (until price was clearly through that level), which turned out to be a good decision saving me a whip. Unfortunately I should've done the same the following day too, which cost 64 pips by being whipped both ways (ouch! that hurt).
Going forward into Aug price continued to range, as we all know, spellbound by the impending NFPR and I chose not to trade the first four days, which has saved me 111 potentially lost pips.
And, as some of you who've seen my previous posts know, I add (or subtract) a 10pip buffer to the 7-10am breakout triggers to avoid false breakouts. In July, on balance, this saved me 22 pips.
I made 142 pips in July, using deal4free with a 3 pip spread and getting exact fills mostly. I realise this is moving some distance from JT's automated trading but I thought it would interest you all anyway.
July and August apparently are not 'typical' trading months due to the holiday season so I am looking forward to better results come September.
WR
Gbpusd
I backtested manually (with GBP) the strategy from JT for the period Jul 1 - Aug 13. The backtest without s/l (the original strategy as suggested) produced 20 wins/22 losses with a 124 pips gain.
Next I used the ATR (7-10 am) value as s/l which improved the pip gain for the same win/loss ratio as it came totally to 1006 pips. Placing a s/l was a great protection against several 200 pip reversals which would have eaten all the profit if the s/l wasn't placed.
Using values as 2*ATR and 3*ATR as a tp did not improve the profits.
In short: "Cut the losses and let the profits run".
Forgot to mention that the backtested strategy has one buy stop and one sell stop order and triggering one of the orders does not cancel the other. There were only 4 double losses for the mentioned period. In turn the system was able to catch reversals profitably on several occasions where the profits (often > 100 pips) covered substantially the ATR s/l (on average 25-30 pips).
All the credits go to JT for sharing this great strategy
Dimi
I backtested manually (with GBP) the strategy from JT for the period Jul 1 - Aug 13. The backtest without s/l (the original strategy as suggested) produced 20 wins/22 losses with a 124 pips gain.
Next I used the ATR (7-10 am) value as s/l which improved the pip gain for the same win/loss ratio as it came totally to 1006 pips. Placing a s/l was a great protection against several 200 pip reversals which would have eaten all the profit if the s/l wasn't placed.
Using values as 2*ATR and 3*ATR as a tp did not improve the profits.
In short: "Cut the losses and let the profits run".
Forgot to mention that the backtested strategy has one buy stop and one sell stop order and triggering one of the orders does not cancel the other. There were only 4 double losses for the mentioned period. In turn the system was able to catch reversals profitably on several occasions where the profits (often > 100 pips) covered substantially the ATR s/l (on average 25-30 pips).
All the credits go to JT for sharing this great strategy
Dimi
waverider
Member
- Messages
- 91
- Likes
- 2
Thanks Dimi, I've started paper-trading GBP$ recently and have noticed the moves are often bigger (see Friday's 250pips), so it's helpful to see your backtest results.
One thing though, I'm not sure what ATR stands for in your post, is it Average Trading Range?....which would be the distance between the long and short breakout levels between 7-10am, is that right? You would, in effect, stop and reverse if price retraces to trigger the trade in the opposite direction?
One thing though, I'm not sure what ATR stands for in your post, is it Average Trading Range?....which would be the distance between the long and short breakout levels between 7-10am, is that right? You would, in effect, stop and reverse if price retraces to trigger the trade in the opposite direction?
The ATR indicator is used to measure the price volatility. High ATR means high level of volatility and vice versa for low ATR.waverider said:
ATR = The Average True Range is a moving average (generally 14-days) of the True Ranges.
The True Ranges is the greatest of the following:
-current high less the current low.
-the absolute value of the current high less the previous close.
-the absolute value of the current low less the previous close
This indicator is supplied with some charting packages.
In my testing I use the ATR value to set a fixed stoploss. You idea to use the average range is also good and should be tested. I did not have the time to test the system using the SAR yet.
Regards,
Dimi
Hi all, my first post
Ive been a member quite a while but havn't really got involved, but here i am lol.
@cyberwhiz
ive just tried trading your refined version of JT's system on deal4free, so far this morning ive suffered a loss. Would this be correct? I havnt traded at exact prices i should have however, small difference as i was doing it manually.
Thanks, Paul
Ive been a member quite a while but havn't really got involved, but here i am lol.
@cyberwhiz
ive just tried trading your refined version of JT's system on deal4free, so far this morning ive suffered a loss. Would this be correct? I havnt traded at exact prices i should have however, small difference as i was doing it manually.
Thanks, Paul
Hi Paul,
Which pair did you trade? What was your entry order and s/l?
Please be aware that I am only testing the system shared by JT. I advise you not to trade your real account until you have tried the system on a demo and you have acquired sufficient confidence that it works for you.
I did a backtest which shows that the system is more profitable when a stoploss is used. It is still profitable even if you don't use a stoploss.
BTW I have entered a long GBP (on a demo) at the end of the 7-9am period and I'm currently still long. It looks like there will be more problems with the EUR if it starts trading in range.
Regards,
Dimi
Which pair did you trade? What was your entry order and s/l?
Please be aware that I am only testing the system shared by JT. I advise you not to trade your real account until you have tried the system on a demo and you have acquired sufficient confidence that it works for you.
I did a backtest which shows that the system is more profitable when a stoploss is used. It is still profitable even if you don't use a stoploss.
BTW I have entered a long GBP (on a demo) at the end of the 7-9am period and I'm currently still long. It looks like there will be more problems with the EUR if it starts trading in range.
Regards,
Dimi
Hi Dimi,
Traded the GBP/USD. Entered a long at 1.8459 (Bit late as my computer had just crashed). I took the high as 1.8447 and the low as 1.8380 between 7 -10am. I set a sell stop order at 1.8430. This was chosen as i had just seen how the price had shot up before the previous close and got a bit scared of a retracement downwards lol.
I think with hindsight i had let emotion get in the way of my trade and therefore the stop loss i had set was too tight. Im only intially trading at 1GBP per point so not much damage done. Do you have trade by trade results for last week please? This would help me alot if possible thanks.
Traded the GBP/USD. Entered a long at 1.8459 (Bit late as my computer had just crashed). I took the high as 1.8447 and the low as 1.8380 between 7 -10am. I set a sell stop order at 1.8430. This was chosen as i had just seen how the price had shot up before the previous close and got a bit scared of a retracement downwards lol.
I think with hindsight i had let emotion get in the way of my trade and therefore the stop loss i had set was too tight. Im only intially trading at 1GBP per point so not much damage done. Do you have trade by trade results for last week please? This would help me alot if possible thanks.
c6ackp
Well-known member
- Messages
- 441
- Likes
- 28
Like price action, I reckon volatility is trending/stalling/congesting in all time frames simultaneously. The most famous example is Long Term Capital Management who, despite having Schole (of Black-Schole option pricing fame) on their team, managed to win $4 billion then lose $6 billion in a few years.
They shorted volatility in all products in all markets across the globe because they figured that all markets were becoming more efficient and would therefore have less volatility.
The story is a superb read for all those interested in finance - it's called "When Genius Failed"
Happy Trading
Steve
They shorted volatility in all products in all markets across the globe because they figured that all markets were becoming more efficient and would therefore have less volatility.
The story is a superb read for all those interested in finance - it's called "When Genius Failed"
Happy Trading
Steve
waverider
Member
- Messages
- 91
- Likes
- 2
The ATR indicator is used to measure the price volatility. High ATR means high level of volatility and vice versa for low ATR.
ATR = The Average True Range is a moving average (generally 14-days) of the True Ranges.
The True Ranges is the greatest of the following:
-current high less the current low.
-the absolute value of the current high less the previous close.
-the absolute value of the current low less the previous close
This indicator is supplied with some charting packages.
In my testing I use the ATR value to set a fixed stoploss. You idea to use the average range is also good and should be tested. I did not have the time to test the system using the SAR yet.
Thanks for clarifying this Dimi. However, I'm still not clear on how exactly you come up with your stop loss figure. In your original post you say " Next I used the ATR (7-10 am) value as s/l...". Are you using the 14-ATR for a 60m bar timescale (as opposed to the 14-day you used in your example above)? and where exactly do you get your stoploss figure from the "ATR (7-10 am) value" ?
I get an ATR on my eSignal charts, I just need to know how you get a figure for a stoploss in a 60m timeframe.
Sorry if I'm being a bit thick - it could be Monday morning fug.
ATR = The Average True Range is a moving average (generally 14-days) of the True Ranges.
The True Ranges is the greatest of the following:
-current high less the current low.
-the absolute value of the current high less the previous close.
-the absolute value of the current low less the previous close
This indicator is supplied with some charting packages.
In my testing I use the ATR value to set a fixed stoploss. You idea to use the average range is also good and should be tested. I did not have the time to test the system using the SAR yet.
Thanks for clarifying this Dimi. However, I'm still not clear on how exactly you come up with your stop loss figure. In your original post you say " Next I used the ATR (7-10 am) value as s/l...". Are you using the 14-ATR for a 60m bar timescale (as opposed to the 14-day you used in your example above)? and where exactly do you get your stoploss figure from the "ATR (7-10 am) value" ?
I get an ATR on my eSignal charts, I just need to know how you get a figure for a stoploss in a 60m timeframe.
Sorry if I'm being a bit thick - it could be Monday morning fug.
Not at all :cheesy:waverider said:
I look at the ATR(14) value for the 3 hourly bars (7-9am). I normally take the average value of the three but normally the values are pretty close. You could as well place 30-35 pips fixed s/l as JT recommended in his other thread.
Regards,
Dimi
Hi Paul,Paulio17 said:
My long GBP was triggered a little bit earlier @ 1.8426. I trusted too much that the GBP will continue climbing against the USD
In anyway I didn't close the trade for the sake of the test but otherwise I had plenty of time to see the reversal and could have exited with 25 pips clean profit.
It's just one of those days after a big movement (Friday) and the market is resting so no wonder that we take losses with the Spoton strategy.
Regards,
Dimi
Dimi,
Which period have u had most success with? 7-10 or 7-9? Today would have been better with 7-9 as you could have exited in profit, however that wouldnt have been trading by the system!
Paul
P.S. Where would you have place your stop loss? I don't know where to find ATR charts/indicators.
Which period have u had most success with? 7-10 or 7-9? Today would have been better with 7-9 as you could have exited in profit, however that wouldnt have been trading by the system!
Paul
P.S. Where would you have place your stop loss? I don't know where to find ATR charts/indicators.
Paul,Paulio17 said:
Which charts do you use?
I suggest placing a 35 pip s/l until you become familiar with ATR. Also check the following link for more info - http://www.stockcharts.com/education/IndicatorAnalysis/indic_ATR.html
As I already mentioned I was using the 7,8 and 9 hourly bars as originally described by JT. I will post further results as soon as I have more backtests ready.
Regards,
Dimi
Hi Dimi,
Thanks for the info.
I just use marketmakers basic charts and indicators at present as i do not know which charting package is the best value for money, and also which would be best for backtesting my own systems. Im happy to learn java and Visual basic.
Currently i have to stop orders open, 1.8422/buy and 1.8358/sell on GBP$ based on 7-10am bars. Both have yet to be filled. ill be trading on a stop loss of 30 points.
Currently on marketmaker i am placing the two stop orders and then waiting until one is filled before placing another stop order to work as the stop loss. Does anyone know of a better way to do this? On the demo software there is the option of an if done order which i believe would be appropriate for my situation, however this type of order is not on the live version that i am trading on. Does anyone know if there is an updated version of MM5 ? I cannot find any info on the df4 site.
Thanks, Paul
Thanks for the info.
I just use marketmakers basic charts and indicators at present as i do not know which charting package is the best value for money, and also which would be best for backtesting my own systems. Im happy to learn java and Visual basic.
Currently i have to stop orders open, 1.8422/buy and 1.8358/sell on GBP$ based on 7-10am bars. Both have yet to be filled. ill be trading on a stop loss of 30 points.
Currently on marketmaker i am placing the two stop orders and then waiting until one is filled before placing another stop order to work as the stop loss. Does anyone know of a better way to do this? On the demo software there is the option of an if done order which i believe would be appropriate for my situation, however this type of order is not on the live version that i am trading on. Does anyone know if there is an updated version of MM5 ? I cannot find any info on the df4 site.
Thanks, Paul
waverider
Member
- Messages
- 91
- Likes
- 2
Paulio
I have been using d4f for several years now and asked one their dealers the same question a while ago. It seems there is a difference in the contractual relationship they have with clients who use spreadbetting, and with their other clients (for CFDs etc). If you have a CFD-type relationship you can place 'if done' orders, but not if you are spreadbetting.
He said something like if they allow 'if done' orders via spreadbetting they are acting as our agents (or broker?), which would prevent it from being betting, and so the tax advantages are lost. I may have this explanation completely wrong so if someone who can describe it better wants to, feel free. The upshot though is, no 'if dones' if your spreadbetting. It appears to apply to all the SBs I know of.
WR
I have been using d4f for several years now and asked one their dealers the same question a while ago. It seems there is a difference in the contractual relationship they have with clients who use spreadbetting, and with their other clients (for CFDs etc). If you have a CFD-type relationship you can place 'if done' orders, but not if you are spreadbetting.
He said something like if they allow 'if done' orders via spreadbetting they are acting as our agents (or broker?), which would prevent it from being betting, and so the tax advantages are lost. I may have this explanation completely wrong so if someone who can describe it better wants to, feel free. The upshot though is, no 'if dones' if your spreadbetting. It appears to apply to all the SBs I know of.
WR
hmm, sounds like one of them annoying legalities.
Surely however if they are allowed to accept stop and limit orders they should be able to accept 'if done' orders. confusing. Thanks for the explanation WR.
As for todays trades, 1.8358/sell got triggered and then stopped out for 30 point loss, and 1.8422/Buy would have got triggered for another 30 point loss. Good job i cancelled my 1.8422/Buy stop order after my intial loss! Perhaps i should review the situation before commiting any more funds. And Perhaps JT was right about stop losses hindering the system performance, however it may just be the markets this time of year. Although a few losses in a row is to be expected. Wish i had some decent software to backtest the system, it would probably be a worthwhile investment.
Surely however if they are allowed to accept stop and limit orders they should be able to accept 'if done' orders. confusing. Thanks for the explanation WR.
As for todays trades, 1.8358/sell got triggered and then stopped out for 30 point loss, and 1.8422/Buy would have got triggered for another 30 point loss. Good job i cancelled my 1.8422/Buy stop order after my intial loss! Perhaps i should review the situation before commiting any more funds. And Perhaps JT was right about stop losses hindering the system performance, however it may just be the markets this time of year. Although a few losses in a row is to be expected. Wish i had some decent software to backtest the system, it would probably be a worthwhile investment.