lifestatic
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Dear JonnyT,
Could you detail this strat?
I guess I missed something earlier.
Breakout of 7:00-10:00 AM UK time?
What T/P?
Any trailing stops?
Break/E at when if any?
Could you detail this strat?
I guess I missed something earlier.
Breakout of 7:00-10:00 AM UK time?
What T/P?
Any trailing stops?
Break/E at when if any?
FetteredChinos
Veteren member
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i'd be looking to short below 20,000
surprised the equity curve has tailed off so much though. at worst i thought it would be at least flat..
FC
surprised the equity curve has tailed off so much though. at worst i thought it would be at least flat..
FC
TWI
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It is because when there is no trend short term spikes do not follow through. As a result break-out systems will get in on a short term spike and then get caught. I think some small adjustment of the system entry rules could solve this but at the same time it will also substantially decrease the trending performance. Over time this system may well end up in net profit but whether anybody can follow it through this sort of pain is another question. I think the key is diversification of system and of product. Never put all eggs in one basket no matter how good it might look in the short term.
FetteredChinos
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i know why breakout systems dont work tw, but the ones i have tested in the past, when they go awry, the worst they seem to do is just level off.
what do you suggest to filter the entries?? establish a long/short bias? and trade say a 7-9 breakout to the biased side, or the 7-10 breakout to the short side?
havent looked at that in the past, and it only just hit me. might be worth a look.
fc
what do you suggest to filter the entries?? establish a long/short bias? and trade say a 7-9 breakout to the biased side, or the 7-10 breakout to the short side?
havent looked at that in the past, and it only just hit me. might be worth a look.
fc
TWI
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Yeah, sorry FC, I know you are well aware of all this stuff, It is just that this characteristic is very evident with this system when looking back over this year-to-date.
I tend to consider everything a range trade but look to daily and weekly levels rather than 60min ones to determine a break. I still use intraday data to generate signals. I have not solved the problem in any clever way but I do trade a portfolio of 4 currencies using a fairly simple system, less than 2 pages of code. This is EUR/GBP/CHF/JPY despite the fact that they are all traded against the USD the correlation between the markets is no more than 0.4 in worst case, this between EUR & CHF, for others it is far lower. I would find it hard to trade any individual pair but the combined result limits drawdowns to ~8.5% at worst. despite having >18% draw in one component (GBP). I certainly underpeformed the breakout system last year but I am also up 9% YTD. and not feeling so inferior anymore. I only started trading this last year however so there is of course every chance it could all go horribly wrong.
I tend to consider everything a range trade but look to daily and weekly levels rather than 60min ones to determine a break. I still use intraday data to generate signals. I have not solved the problem in any clever way but I do trade a portfolio of 4 currencies using a fairly simple system, less than 2 pages of code. This is EUR/GBP/CHF/JPY despite the fact that they are all traded against the USD the correlation between the markets is no more than 0.4 in worst case, this between EUR & CHF, for others it is far lower. I would find it hard to trade any individual pair but the combined result limits drawdowns to ~8.5% at worst. despite having >18% draw in one component (GBP). I certainly underpeformed the breakout system last year but I am also up 9% YTD. and not feeling so inferior anymore. I only started trading this last year however so there is of course every chance it could all go horribly wrong.
TWI
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Sounds fantastic. One day I hope to have it in me to make a move like that.
Apart from the sky being upside down it must mean you can make the most of the sunshine due to the timezone.
To save you time, if you are also investigating SIBKIS leave that alone for now too. Currently made nothing since August 04.
Ask yourself why does the code I have attached work on BP and EC during the same period?
Note this is TS8 code so will need to adjust for TS2000.
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RISK DISCLOSURE
Not for solicitation purposes. The risk of trading futures contracts can be substantial. You should therefore, carefully consider whether such trading is suitable for you in light of your circumstances and financial resources. The information contained herein contains statements that are the opinion of the author. Past performance is not necessarily indicative of future results.
Apart from the sky being upside down it must mean you can make the most of the sunshine due to the timezone.
To save you time, if you are also investigating SIBKIS leave that alone for now too. Currently made nothing since August 04.
Ask yourself why does the code I have attached work on BP and EC during the same period?
Note this is TS8 code so will need to adjust for TS2000.
----------------------------------------------------------------------------------------------------------------------------
RISK DISCLOSURE
Not for solicitation purposes. The risk of trading futures contracts can be substantial. You should therefore, carefully consider whether such trading is suitable for you in light of your circumstances and financial resources. The information contained herein contains statements that are the opinion of the author. Past performance is not necessarily indicative of future results.
alpha_monkey
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JonnyT said:
Have noted your posts with interest for a while.
Any recent insights you can share on making it verk?
AM