well, I just got out with a BE. Still, this strategy gained me 70pips this week. Mo30, Tue60, We-50, Thu30 and today nothing.
Have a nice weekend all.
Been thinking the same thing. Hopefully that netted you some good pips.
Excellent work Oskar. Had you entered today you would have also made your 30.
I have been testing a few other combinations and overall this week was better than last week. Hopefully the trend will continue for next week.
Everyone have a great long weekend:).
So Oskar are you staying firm with your 30/50 TP/SL ratio? That really isn’t far off from what I’ve been trading most nights, 24/48.
I guess the only question I might have for you is whether you are still setting your entry points just 9 points above and 3 points below the range. I’ve reread all your most recent posts going back some ways and didn’t catch what your strategy is for entry points, if it is different from the rest of us.
Firstfx iam testing out a strategy on demo by breaking up my entrys into two 30/70 .Waiting for second entry 30 to 40 points below trigger to try and counter act stop hunting or support and resistence that seems to be happening the last few weeks on this method so far so good.
Recap of the week. I thought to make this only at the end of the month, but maybe it does not do any harm to start a bit early.
Firstly, somebody noted earlier that this system does not have a name. Well, here’s my suggestion, as it’s difficult to talk about something that does not have a name. We have been talking about London breakouts for a long time. So this would be then the London Breakout System, or more conveniently LBS. Now there are a number of variations out there, mainly around the placement of SLs and TPs. They could be appended to the end like LBS/10-50, the stop being mentioned first. Now I’m basing my trades on the overnight box range, so let that be then LBS/B.
So, five trading days, each one defining two potential trades, ten trades total. Some of them you take, some you don’t. Some of them are successfull, some are not. This is how it looked with me:
- 3 trades taken, all profitable.
- 2 trading days ignored, which both would have turned to crap.
- 3 second trades of the day ignored. One of them would have been profitable, two would not have fired anyway.
- 2 trades ended prematurely by manual intervention.
So the results and could-have-been results look like the following:
- All 10 trades attempted --> total loss 20 pips. (Not a good system.)
- Only the first trade attempted every day --> total profit 40 pips. (By robot trading.)
- Realised: +90 pips. (I’m happy about this.)
- The 3 profitable trades played to the book and the two others ignored --> total profit 150 pips. (Could have been possible.)
- Absolute maximum profit with my reasoning (i.e. the one profitable trade taken as well) = 190 pips. (Luck needed, which is not a good thing in trading.)
The pip calculations do not tell the whole truth, because the position sizes vary. But what is more important: the sample size of one week of real trades is very small to make too big conclusions. Nevertheless, I dare to conclude the following:
- Better use common sense on selecting the trading days.
- Better let the trade run by itself, i.e. not to move the SL e.g. to BE.
- The second trade: not sure, but I still prefer ignoring it in any case. I don’t see this as an important contributor to the profits anyway. And the second trade may totally fall out of the London breakout time anyway, like today.
(I apologize if this post is an overkill for such a small numberof trades!)
Hey guys, sorry for quoting such an old post. I noted this down a while ago as it looked kinda handy but now that I come to use it it doesn’t make sense to me.
Say you risk 4 to gain 1 (or risk 1 for 0.25 gain) which is a 4:1 RR.
And you lose 80 trades and win 20. Plumb those numbers into the formula and you get:
4/1 * 80/20 = 16
16 is greater than 1 but such results certainly wouldn’t be profitable?
Hi merchant,
As you mentioned, “most nights”. I did the same on the beginning, changing my SL’s and gave up very quick on it. I lost a couple trades by just 1~3 pips with SL40 and 1 with SL35. As you know even with 50 you can loose but right now, SL50 is my top loss I am willing to loose. something like an emergency brake.
Original on page 2, 6pips above highest candle on the long and 6pips on the short.
That’s Trevpick very original one. Just in case some people forgott.
I add 3pips for the spread this is only a guess since Oanda widens the spread early morning. One time it was 11, yes, [B]eleven[/B] pips.
So far SL50 worked out.
Yes, I stick with it.
Have all a nice weekend
When the box is more than say 40 or 50 pips, what do you do? A few weeks back is was pretty common for the overnight range to be 80-100pips or so.
LBS/20-50/1 for me (1 trade per day only)
SanMiguel,
I haven’t done thorough backtesting for this, but by looking at the charts it seems to me that the overnight volatility is pretty indicative for the volatility in the coming day. And I look forward that the price is able to climb or sink the same distance as it has ranged in the box. But it also seemed to me that if the overnight volatility is too strong, it could have bad impact for coming trending.
I initially thought that 40-60 pips would be some sort of limit for this, but now I’m ready to consider ranges even up to 100 pips. If it goes over that, I’m out of the market for sure. In any case, if the chart pattern looks suspective for some reason, I’m not going to trade either.
The SL positioning is easier, it’s the opposite entry price. When placing the TP, the distance will not be more than the overnight range, but if there is some S/R level nearby or if the range is big, I will consider targetting at a bit lower. E.g. if the range was 90 pips, I might be targeting at 70-80 pips.
It may take a bit longer to meet these targets than with the usual LB times, but it’s ok for me.
LBS/B/1 for me.
San Miguel
What is beging of non trading period for mondays on your back test? Friday 19 or just start of the week?
Since the summer period is not idea for this system and there have been a few false breakouts recently, why not slightly adjust the method for summer as follows:
Add a further 10 pip buffer to the buy/sell and take this off your TP. Eg, if normal TP is 20, increase buy price by 10 pips and have a TP of 10. If normal TP is 24 increase buy price by 10 pips and have a 14 TP.
Obviously this will lower the R-multiple of the method but might increase win-ratio and decrease pips lost (will result in being closer to the original method from post 1). I have not back-tested this over summer months, just something to think about.
Happy trading
stevefromnaki.
What do you define as the summer period? If you include June and July, you would have missed out on a lot because they were very profitable months - it’s really only the last 2 weeks or so. Difficult one because we can’t test this and it’s not much data to go on. I agree, there’s seem to have been a lot of trades triggered, stopped out, then price goes on further. Is this stop hunting, I don’t know, I more inclined to believe that the mass of traders (wherever and whoever they are) that were pushing price at that time were not about and price was just ranging up and down. Stop hunting is usually a bit spiky as you see it hit a region and price jumps because a load of buys/sells just got triggered.
[B]Matt,[/B]
I noticed that you have asked questions about the relationship between the win/loss ratio and the risk/reward ratio,
first on this thread, and then today on another thread.
Maybe this will help.
Regarding Tymen’s formula, which you questioned, Tymen got his inequality backward. His formula should be:
[B]risk/reward * loss/win < 1[/B]. More on that in a minute.
Let’s start over. We can define three conditions — losing strategies, break-even strategies, and winning strategies — in terms of the two ratios in question here (the win/loss ratio and the risk/reward ratio). The three conditions are:
B win/loss < risk/reward — for a losing strategy, or a losing series of trades
(2) win/loss = risk/reward — for a break-even strategy, or a break-even series of trades
(3) win/loss > risk/reward — for a winning strategy, or a winning series of trades[/B]
You can plug various combinations of winning and losing trades, and risk/reward ratios into these formulas to satisfy yourself that they are correct.
Here’s just one example, based on the London Breakout Strategy discussed on this thread. Many traders using this Strategy use a fixed SL and TP on each trade. Then, they set entry orders, and let their trades run to either the SL or the TP, without manual intervention. In such a case, the pre-set SL and pre-set TP actually represent risk and reward.
Assume a trader using this strategy always places entry orders with a 50-pip Stop-Loss and a 40-pip Take-Profit, abbreviated SL(50) and TP(40). For these trades, the risk/reward ratio is SL(50)/TP(40), or simply 50/40.
[B]A series of trades using this risk/reward ratio would result in break-even if the win/loss ratio = 50/40[/B], which we can re-write as win/loss = 1.25, and that can be re-written as [B]win = (1.25) * (loss)[/B]. So, if the number of winning trades is 1.25 times the number of losing trades, then the series of trades has a net profit of zero.
If [B]win < (1.25) * loss[/B], then the series of trades produces an overall loss. And if [B]win > (1.25) * loss[/B], then the series of trades produces an overall profit.
Now, let’s derive Tymen’s formula for a “consistently profitable system”, to use his terminology.
We can do the same algebraic transformations on inequalities, that we do on equations. So, beginning with Condition (3), above, for a winning strategy,
win/loss > risk/reward
reversing the order, while maintaining the inequality, we get,
risk/reward < win/loss
multipying both sides of the inequality by loss/win, we get,
[B]risk/reward * loss/win < 1[/B]
which is the correct version of Tymen’s formula
Well one thing looks like it may be different. The price determination range so far is just under 40 pips.
Clint, Thank you for your clarification and excellent explanation, much appreciated
It was yet another day when staying away paid itself. Both directions would have been losing ones for me. I just wonder whether this pattern is typical for bank holidays like this - narrow overnight range, then either or both entries hit just to be stopped out a few hours later. I guess it could be.
Clint, thanks for the last year’s chart! (There we have an example of a range > 100 pips, but I wouldn’t draw any conclusions from that single day.)
I also stayed away, but will be checking to see how things look tonight.
CLINT
Errr… (fumbles through dog eared text book on advanced mathamatics) very enlightening? What do they say, there’s lies, dam lies and statistics… just kidding
So whats the verdict tonight? Its been trading all day in a very tight range. I’ve had a trade on all day (11 hours to date) and its been hovering at around the mid range 5-6 pips. Either more of the same or a big breakout?