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

[kaalilaatikko]

What do you think about the following:

As TBPS bases stops and targets on the closing price, it is quite important that the trades are made at the time of closing. I find it a bit inconvenient to be awake at 1 AM every night. I think Dale commented in one of the posts in this thread that unfortunately this is unavoidable if you want to trade TBPS.

But what is a daily candle other than a sum of 24 hourly candles? It occurred to me to calculate new daily candles from the hourly candles so that the artificial daily candle would close e.g. at 6 AM, consisting of the data of the last 24 hourly candles. Then I could use these candles just like those that I can get ready from the broker.

The only problem that I see with this is how to handle the Sunday/early Monday hours and Friday as well. Based on some earlier discussions about the Sunday hours, I would think it might be good to calculate the first candle of the week up to Tuesday 6 AM. Trading on Friday's data might be a bit inconvenient, so I might skip that day altogether, but in principle I am not sure what would be the correct set of hourly candles to construct Friday's daily candle. Would there be any sense to use the candles between Friday 6 AM ... Monday 6 AM and check the Friday's trades then on Monday morning? In that case the first candle of the week would span only Monday 6 AM ... Tuesday 6 AM. Does this shifting of the daily candle make any sense?

I also got an idea to check what it would mean to update the stop and target for those TBPS trades that do not close on the first day and that do not get reversed. My bactesting data showed that roughly 10% of the trades fall in this category. Changing their targets is not a good idea, the result was worse for almost all of the pairs.

randont: Your first rule excludes TBPS, is this intentional?

J.

[randont]

I'm trading RTS almost exclusively. Working on VS, but don't have the same level of confidence/experience in the other systems as of yet. Slowly getting there.

[dpaterso]

Good (Sunday) morning folks!!!

Hope you've all had a great weekend so far.

I (as always) have been 'tinkering about' again this weekend (have not yet managed to 'Wilder smooth' the ADX so don't get TOO happy)!!! I've updated the Deltastock indicators as requested by Nick i.e. there are now two additional indicators i.e. one displays ONLY the +DI and -DI and the other displays ONLY the ADX and ADXR. I'd NOT suggest that you use EITHER one without also having the 'proper' ADX indicator being displayed as well for obvious reasons i.e. you won't be able to see the relationship between +DI/-DI/ADX/ADX which we know to be important.

I've also noted some renewed and keen interest in the TBPS. Remember that with the TBPS it's actually based on momentum or should I say that momentum in the correct direction is needed in order for it to be successful. When I DID try the TBPS on occasion I DID have a momentum indicator on the charts as well and the idea was that as long as momentum was positive i.e. as long as the value of the momentum indicator was a positive value AND the MF was giving me a signal to go long then I'd take the trade (and of course the opposite for a short trade). This had mixed results at best. And then this weekend: YET ANOTHER 'light bulb moment'!!! Possibly the BEST indicator(s) around to indicate momentum and acceleration and the direction thereof??? Bill Williams' AO and AC!!! REAL simple and HIGHLY reliable!!! So: I've added some 'variations' of Bill Williams' AO and AC to Deltastock's indicators i.e. instead of just having the AO and AC based on 'high + low' as per Williams I've added a number of variations that use different prices as a base e.g. 'only the close' or 'high + low + close / 3' etc. etc. etc. with some very interesting results (and the possibilities are endless e.g. I could add some that incorporate a 'weighted close' for instance). Those of you that can i.e. have my Deltastock indicators (my 'clients') take a look and see what you think. It would seem that in most cases I've been able to get the AO and AC to react far quicker or earlier to changes in direction and momentum and acceleration. And the best part: couple this with the TBPS MF and see what you get??? I get a HIGHLY reliable TBPS system!!!

I'm still very concerned about the 'Wilder smoothing' though. Now while I've not yet given up I'm starting to wonder if it is going to indeed be possible to add this to Deltastock's indicators the reason being that the limited functionality of the scripting language is preventing me from storing the previous (running total) value of the variables which I need to be able to do in order to perform the 'Wilder smoothing'. There is ONE GLIMMER of hope on the horizon i.e. I've found out that it is possible to 'code' indicators for Delta's platform in 'native' C# for example. Problem: I've never coded anything in C# before so I'm a bit 'stumped'. If there are any C# capable programmers monitoring this thread then please do get in touch with me if you're intersted in taking on this task!!!

[kaalilaatikko]

I've continued searching appropriate parameters for TBPS, with results showing that this system is not a holy grail, but one for patient and not too greedy traders. Some remarks:

Stops seem to get hit in about 20-30% of the trades, quite as promised by Wilder. If you are using bad parameters, the ratio can be much worse.

You need to count for a loss of 100-300 pips for the common pairs. I had been hoping that it would have been a fraction of this, so that I could be investing a bigger sum in each trade.

The number of trades seem to vary quite a lot between the pairs, but a big number of trades makes the spread important. This brought some of the pairs always to a loss, e.g. all ZAR pairs. I used Delta's fixed spread, but apparently L2 might give slightly better results.

I couldn't resist coding AC filtering into my program on top of ADX filtering. It ate away more good trades than bad trades, and the result was not a usable one any more. I also tried it without ADX, but with no better luck. Hopefully live trading would yield better results, but I intend to start without AC.

J.

[chirules54]

Hey Dale, I was wondering what you were going to do about a few VSTOP trades... according to my charts, USD/RON and USD/BGN both closed below the sar on friday and I set stop sell orders for both of them 2.5x the spread below friday's low. I know you said you were also long these pairs, so I wanted to see what your opinion is of these trades.. let them go past the sar so they hopefully rebound soon, or strictly follow the rules and go ahead and set for the reverse.

[dpaterso]

Good (Monday / Month End) Morning All!!!

Nick:

Of those two trades I'm only long USD/BGN (and most of the other USD/??? pairs) BUT as per the RTS NOT the VSTOPS. Looking at those trades though I personally will be holding on to them until they turn i.e. I perceive support below for all of them (strong support I might add). I'd cancel whatever short orders you have on them as well i.e. the last thing you want to do is get stopped and reversed as per the VSTOPS at this stage and then have to stop and reverse AGAIN at a loss which I believe is what is going to happen if you stop and reverse short now. Even if the price continues to go on down for a little while there is not enough room for the trade to generate a profit and only then stop and reverse.

[chdorry]

Just started reading last night and all I can say is "WOW". I read the entire book in 1 sitting from cover to cover. Now I'm going to go back and study the systems one at a time to incorporate into my trading. My Delta account should be open and funded by next week and I'm planning to start "live" trading the week of July 14th.

At this point I'm planning to start with the SIS, and then start branching out to other systems from there. I'm planning to put together my "standard operating procedures" for the SIS system, that way I can make the trading as mechanical and non-emotional as possible. If anyone is interested in comparing notes on that, please drop me a pm or email to <my babypips username> at yahoo dot com.

Look forward to joining more in the discussions as I now have the secret decoder ring (book) to understand some of the "code" language being used on here :-)

Thanks Dale for all the work you've put in to getting this thread off the ground, and I'll be in touch once I get my Delta account set up and funded to get a copy of your indicators.

[dpaterso]

Good (1 July 2008) Evening All!!!

Well: the months results are 'official'.

They're not nearly as good as I was expecting or trading for this month I'm afraid i.e. my % gain on client capital for the month of June 2008 is only 11% nett i.e. after commissions being deducted (actual trading gains were 16% on the managed accounts).

Not all is lost though i.e. in spite of the above my 'oldest' managed account (opened on 15 April 2008) is still 'up' by 69%!!!

There is a good lesson here though. It just goes to show how 'hanging on' to a large losing position can affect your results negatively i.e. AUD/NZD. It's kept me out of some 'stellar' trades this month and the reason that I'm sure that it's ONLY this that has affected the results is because (for example) on my 'IB commission account' (which never has too much in it but I try to trade the commission 'up' until I have to withdraw) shows a % gain on capital of 58% for the same period not to mention the fact that % gains made by my 'self trade' clients ('self trade' meaning where I either send trade signals based on these systems to them OR I attempt to 'mentor' them using YM OR I place trades on their accounts myself OR ALL THREE scenarios combined) start at around 40% depending on when the account was opened and in one case is as high as 60% (for an account opened on 21 April 2008). It just goes to show. (The good news for me is that it looks like I'm getting close to break even or better on AUD/NZD now so this should improve things for the month ahead somewhat)!!!

Anyway: have a GREAT month everyone!!! Me: I'm shooting HIGH this month!!!

[sirkeen]

Great Job Dale, and here's to July = %%%%%%

Just wanted to drop a line to all those Canadians out there: Happy Canada Day!

M.

[kaalilaatikko]

I've been implementing the idea to shift the start of the daily candles by some hours, so that I would not need to be awake in the middle of the night. I like the idea, but just run across a problem that Delta seems to give you hourly candles from less than two months. And that's not enough to calculate ADXR for a single day . The next idea: maybe I just borrow the standard candles for the earlier dates.

- Great figures, Dale. If a bad month is about 10%, then a good one is ... ? I would have been quite satisfied to hit 10% every month of the year, but maybe I need to raise my standards. June was my first and last full demo month with Wilder's systems, as getting my live account open should take place quite soon. I did a loss of -2%, but that was with only a few VS and DMS trades, as I have spent a lot of time studying the systems first and I haven't rushed to use the other systems. It seems that my money management starts to be in place, as the max dip in balance was 5%. Now the open trades have started recovering, just like to confirm that you just have to be patient and the systems will work for you. I haven't been calmer than this after the small panic in the beginning of this month. Very interesting to see how this feels with real money. Just for reference: during my first 2½ demo trading months I ruined 40% of my account.

J.