Trading Systems in 'New Concepts In Technical Trading Systems' by J. Welles Wilder

[dpaterso]

Right!!!

It's Sunday evening now and the 'start of a new dawn' as it were!!!

As I said: I will post weekly here (as long as I am able to and IF it's acceptable to all of you).

Trading Account Balance: $1 971.

Total Capital Required (Deposits): $89 590.

Total Guarantees Payable: $101 973.

Total Amount Payable: $191 563.

These figures have been adjusted slightly due to exchange rate fluctuations since taking the deposits (remember that I have to convert FIRST from USD, EUR, and GBP to ZAR and then BACK to USD once the amounts have been transferred to Delta so the amounts will probably differ on a DAILY basis hence the differences between THESE amounts and those quoted previously. I undertake to be responsible for all exchange rate fluctuations and bank charges so these will no longer need to be factored in to the amounts owing).

I'm not going to make 'big deals' out of these posts i.e. they affect only a select few.

I'd also appreciate SOME feedback as to what would be an acceptable way for the investors to be able to 'check on me' by logging into the trading account. I actually DID in the past (when all of this started actually) ask Delta if it would be at ALL possible to have one trading account with two users i.e. a 'trader' and a 'client' login the idea being that at any time a 'client' could log in to the trading account and 'see' what was going on (so that they did not simply have to take my word for it) but was unable to do anything else on the account. They told me that this was NOT allowed and was NOT possible so that PARTICULAR 'method' is not an option. Suggestions welcome.

Regards,

Dale. (forexbrokersonline.net).

[jcc1761]

J.

If you and Fabio are both getting similar results I must be doing something wrong. No sense going in with a false sense of security. I will look at it again.

Dale,

You've been a big help to me in understanding all this. Good luck and I hope you keep posting. Along those lines and If I may be so bold, I'd suggest you keep the investment stuff separate. You don't owe any of us an explanation that weren't involved. Thats all peripheral to this thread.


thanks,
jcc

[fsprea]

Friends, what a weekend!

I must say it is with quite an emotion I'm writing today.

First: Dale! It might sound "easy" what I'm going to tell, because I'm not one of your customers, so I have no direct financial interest in the matter. I hope things will get fixed soon also in this direction. For what it matters, anyway, your contribution to this and other threads has been for me one of the most relevant learning experiences in the field of trading that I ever did. Part of this experience was also constituted by your mistakes, your "experimental nature" and, last but NOT least, your tenacity in not giving up, going always on, improving and fighting. Thank you a lot for that! And, whatever happened, I think this is of so much value, for all of us (also as an example to follow), that, in the middle term, will probably make all of us quite happy and wealthy traders. So I hope with all my heart that nobody will kick you off here, rather encourages you to go on, as always. I sincerely hope to be able to give somehow a contribution, with all the excellent "brains" of this thread, to make not just my life, but also the one of the brave followers of this "adventure" easier and better.

Back to the task. I must really thank every single person "picking up" my trial on the TBPS! A lot of great inputs.
Rekaats & J: great! Yes, I cross-checked a part (LOL! It'll take A LOT of time for checking ALL) of your data with mine. They are not perfectly identical for the following reasons:

1. I'm backtesting on the FXDD platform. Although it should "close the bars" at the same time as Delta, probably there are some minutes difference, so sometimes the "close" does not perfectly correspond. Oddly enough some bars are also missing (01.01.2009, e.g.)

2. With the backtester, there, I get values in $$ and not in pips. Although I can set (in my script) the lot amount to be fixed (like = 1), this corresponds to pips just for ???/USD pairs. For GBPJPY I just manually calculated the data of the last month in pips, and, besides the missing days in FXDD, the results are identical to J's worksheet (which is identical to Rekaat's), but...

3. For coding reasons, making metatrader placing the order "at close" as per the old man, is quite painful, so I place orders "at open". Normally in the forex this means only a few (less than 10) pips difference, except over weekend. So my results are not 100% identical to yours also because of these few pips difference.

Anyway: for me all these backtesting's have the role of giving me an indication about the profitability of a system over long times. I am glad of the "convergence" of our results, because this means we are speaking of the same thing.

Then: on GBPJPY, the system as it is (Rekaatz: I already said I had NO FILTER at all: just like the book worksheet), looks already pretty good... unless some TERRIBLE drawdown.
Thank you very much for the SAR and the ADXR suggestion. I think I must now fix this terrible metatrader indicator. I found not less than 3 algorithms around, all quite far from Wilder's. I have already an idea on how to make it, but coding the indicators for metatrader is anyway quite painful (that's for you, jcc1761).

By the way, as I did not have time to go on with math. SO: the Wilder's smoothing. We already agreed here that the ADX smoothing can be accomplished by taking the exponential moving average with ((2*ADX periods)-1) periods. Let's assume a 14 days ADX. This can then be smoothened by using an EMA(27).

This is due to the fact that ADX(n) = 13/14*ADX(n-1)+1/14*DX(n);
Well: for the calculation of TR and DM's, the indicated procedure is quite different, because you take 13/14 of the previous "indicator" and add the ENTIRE value of today: TR14(today) = 13/14 TR14(yesterday) + TR1 (today).
Question for the "matthy'es": is also this second smoothing resolved by a EMA((2*periods)-1)?

Further subject: filters. Besides the ones suggested by Rekaats I want also to thank Dale for his tips. It boils down, again, to ADX (so, to my future work). Just a question: when you say that you must just take the trades in the "direction of the ADX", do you mean the direction indicated by the +DI/-DI? Because the "direction of the ADX" should always be upwards, isn't it? And again: here we are speaking about ADX. What about ADXR (LOL, my old friend: here we are always fighting, you and me, with or without this damned R ). Rekaatz was suggesting looking ad the "R": do you mean trading the TBPS only when ADXR is lower than 25?

Finally, dear jcc, I don't remember to have seen your name before in the long story here! Welcome!
You know: I'm NOT an MT4 "guru", nor a professional programmer. Actually I have a major in applied genetics!!! But I had the chance of working some years in a bioinformatics company, and I had to "absorbe" a bit of bits. Metatrader is for sure NOT the best platform: a lot of mistakes (also in the language: poorly object oriented!). But it is quite nice for "poor guys" that do not have the superb skills of somebody like J! Or the luck of so much time and perseverance of heroes like Dale able to backtesting visually (which is for sure better) for weeks.
How to learn it? I cannot help very much. If you have some experience in programming and especially a bit of knowledge of c (++, officially, but then is quite "poorly implemented) it will take very few time for being able to write your first scripts just by looking at the online "help" pages (the link is present in Metatrader help menu). For me this was the way: I'm far from being a "complete" MQL programmer, but, with the reference guide in front of me, I can manage to make almost all that I want. If you do not have ANY programming experience, well, then always on the same site you find a "BOOK". Please: follow it patiently and entirely, making all the example programs, otherwise you'll spend your hours for finding the period missing in your code (by the way: there is NO DEBUGGER ). Consider that it's difficult to become quite "fast" in the thing, if you have no previous programming & c experience, in less than two months. But patience then pays back! Feel free to ask more, if you want.

Sorry for the lenght! Good night (especially if you got asleep at the end of this novel)!!!!

Fabio

[dpaterso]

Hey Fabio,

Nice post. And THANK YOU!!!

What I was saying about using ADX as a filter:

YES: if +DI is below -DI only take SHORT TBPS trades and if +DI is above -DI then only take LONG TBPS trades. For ADDED 'security' you could ALSO ensure that ADX is RISING (my ADXAC 'thingy'). This, so far as I can tell, makes the TBPS work in BOTH type of markets i.e. trending AND ranging. I assume that you saw my post about the TBPS 'bias'??? For forex pairs I believe that this change is important. One COULD argue that if the ADX trend is DOWN then one could 'swap' the TBPS 'bias' to short and change it when the ADX trend is up. What I'm saying is that the 'standard' TBPS entries assume 'less resistance' to the upside and 'more resistance' to the downside. Making them 'equal' removes the 'bias' BUT offers far fewer trades of course. As with ANYTHING: it's a 'tradeoff'!!!

Have a WONDERFUL WEEK!!!

I've found NO trades tonight so I'm 'off to bed'!!!

Regards,

Dale. (forexbrokersonline.net).

Edit:

BY THE WAY Fabio I DO owe you an apology!!!

Once again 'the old man' was able to 'confuse'!!!

On Page 40 (last paragraph) he says to trade the top five or six ... highest on the ADX Scale!!! SEVEN pages later (Page 47) we're told to trade the top five or six ... highest on the ADXR Scale!!! I for one are now going with ADXR!!!

WAIT A MINUTE!!!

I've JUST NOW ONLY REALISED SOMETHING WHILE TYPING THE ABOVE:

You are SUPPOSED to trade the highest on the ADX Scale WITH ADXR above 25!!! In other words: he actually DOES NOT SAY to trade the top five or six ... highest on the ADXR Scale only that ADXR should be above 25!!!

IT NEVER STOPS!!!

Edit 2:

Hmmm. But THEN in the CSI Section we're BACK to checking for the highest on the ADXR Scale (I THOUGHT I'd not 'sucked this out of my thumb' while typing the above)!!!!

So??? Highest ADX or highest ADXR??? Or BOTH???

[Rekaatz]

hey fabio,
It seems as if were building up a tbps army! I've been spending most of my time automating (the best i can) an excel spreadsheet for tbps. I've got it to where i can do a year in about 15 minutes or so. I know this is far from automatic but if you would like i can send you the spreadsheet so you can compare it to your results with the ea. Are you currently trading the tbps? I started trading the tbps last week. I'm tracking 16 pairs a day, opening fairly small positions. So far its working out pretty well, not amazing but in the black. One thing i'm noticing is that you MUST use a data feed that combines the sun-mon bars. otherwise it is detrimental, the Sunday bars never have the same movement as the other days and gives a false signal. Also one other thing I'm looking at now is taking trades on Sunday. A potential flaw i am seeing is that you could be in a major uptrend 6 days in a row etc. Then the friday bar comes in and for whatever reason, market indecision, low volume etc the body isn't as big as the other bars. under normal conditions this indicates a short sell. And is surprisingly accurate. But I am finding that when these situations come on the close of a friday bar it is not always indicating a reversal but the market just slowing and then on sun-mon it will continue up... something to consider, i am going to do some more testing on it. I noticed this while placing trades today and started looking back at previous Fridays and am finding this to be true, so far.

Ryan

[dpaterso]

Good (Monday) morning all.

Ryan:

You've made a 'discovery' on your own about the Sunday/Monday bars that is quite correct. As a matter of fact (this should make YOU proud): this was one thing that I, on one of the VERY few occasions, actually asked 'the old man' HIMSELF and he told me JUST THAT i.e. the Sunday/Monday bars MUST be combined in order for the TBPS to work. He never had this problem because whatever he traded had opening and closing times i.e. not 24 hour trading.

Well done on you observation (I had to ASK)!!! LOL!!!

Regards,

Dale. (forexbrokersonline.net).

[fsprea]

Hi Dale, hi Ryan,
thanks a lot for the reply. Just briefly, 'cause "regular job" is calling...
Dale: I noticed the "long bias" story! Thanks. And LOL LOL LOL: we must fight still quite a lot with "our" R here... But we'll manage!

Ryan: thanks a lot for the offer! Anyway, as already said: my results really match your "unfiltered". At least: J's "analytical" results for GBPJPY for January 2009 perfectly fit with yours ("Synthetical"), and my results "perfectly fit" with J's, besides the small differences I explained. So, I think "we are on the same track".

You and Dale, now, make very important additions about the Friday/Sunday matter and both of you already indicated quite important and interesting filters that I absolutely want to implement. The nice thing about EA's is that you can introduce one of them, with all the tweaks that you want, and almost immediately see the effect on backtesting; then add another, and see the difference... and so on. This is why I like this tool.

But, as already said, I need to recode the ADX, before: so it'll take some time ('cause I do not have so much for programming and trading) before I come back testing the TBPS as a whole. (BTW: any hint about the two different smoothing procedures for ADX & DM's?).

When I'll be ready and back to this point, then, if I think I can need it, I will accept your offer, Ryan: thanks in advance!

Trading the TBPS: not yet. Maybe I'll start some demo. You know: this is another reason for me to have a good EA. I can leave it run while I'm in the office, and also let it place orders at 1:00 AM (I'm not a "strong man" like Dale: I NEED to sleep otherwise I get really problems). Of course, then, I must be sure it's making what I would make if I were in front of the screen. But, generally, I think that Wilder's systems should be suitable to such "automation". At least, this is how I understand with him calling them "technical" systems. At least some of them: but the TBPS almost for sure.

Have a wonderful week! And see you soon.

Fabio

[Rekaatz]

ok one more quick thing. I have been using the tbps like this since i started so i didn't even realize i was going contrary to the book. I do follow dales advise on getting rid of the long bias. For me to enter a long trade the balance point must be above yesterday and the day before yesterdays balance point. This may account for some small differences we have. Heck i haven't even tested to see what the results would have been had i not changed that. It probably would have been horrific on the gbpjpy in 08 with the major downtrend. Just thought i'd throw that out.

Ryan

[Bocajunior]

Evening all,

I've got a bad dose of "regular work syndrome" going on right now so haven't been able to focus on trading as much as I'd like to.

On the TBPS: This is not suited to me as to trade this system you really need to be around when the daily candle closes/opens at the broker you use. This really isn't possible in my time zone, but good luck to those who try it.

On the DMS: Right now I am still keeping an eye on ADX(13) trades but not taking signals blindly without thought. I am also exprimenting with using ADX on the weekly charts to filter signals for daily trades.

What's the story with Deltas new software? Is it available for download and installation yet? Sorry for the question as my internet time is limited.

Cheers
over and out for now.

[chdorry]

Originally Posted by Bocajunior

Evening all,

I've got a bad dose of "regular work syndrome" going on right now

Hey Boca - I hope that's not contagious, I don't know what this place would be like if we all worked :-) As for Delta's platform, they said it was going to be out this week (if I remember correctly). As of 2:40PMEST it isn't available on their website.