btw, I don’t know how a trailing stop might have changed the outcomes. The ea doesn’t give that option, but I frequenly use ts in my trading.
In the original Daybreak and Triple Threat threads, we discussed the definition of “day” rather extensively. Brokers are on different platform times, so the lows and highs of their respective days will vary, meaning our entry points would also be different. Not only are we going to see fluctuating outcomes among brokers because of platform times, we will also see differences not accounted for by just this variable.
I had originally assumed that pretty much any discreet definition of day would probably suffice. After all, we’re just looking for some launching point, reasonably representative of support/resistance. But, I have found marked differences among the brokers. Most of my results have been obtained using IBFX data. Their platform time is gmt 0. Tallinex is on the same time. Forex Broker, Inc., is on gmt +2 and Oanda is gmt -5. Here’s what happens when we run the same parameters, i.e., gbp/jpy, daily, daybreak entries, no ts, 20 sl, 70 tp:
Tallinex Live Account: Net profit $3,165, quality n/a, total trades 391, profitable 32%, losing 68%.
FBI Live Account: Net profit $(932), quality 53%, total trades 289, profitable 52%, losing 48%.
Oanda Live Account: Net profit $5,169, quality 87%, total trades 453, profitable 36%, losing 64%.
Compare these results with my previous post using ibfx data. Some of these differences may be attributable to platform time, subtleties of datafeed, or other explainable circumstances. But, I had questions about why tallinex, which is on the same platform time as ibfx, was showing only a third the profit and more than 150 fewer trades. Does the oanda platform definition of day result in a h/l spread that works so much less effectively and makes $4,000 less than the ibfx platform? The oanda platform took about 70 trades less than ibfx. Would we need to look into one of those programs that resets platform time? And, what was up with FBI? It did no good at all!
This may be something all of you already know and you’re roflyao at my naivete. Believe it or not, here is the best I can determine without contacting customer support. Each brokerage must have differing policies regarding canceling open orders. Looking at the results section of the ibfx testing, two words are noticeably absent: “close” and “delete.” That is, all buy/sell stops stay open indefinitely and may be hit days or weeks later. For example, order #491 in my test was a buy stop placed on 12/11/13. Prices didn’t get that high again until 12/18/13 and that order was executed by the tester.
Now, let’s take the others one at a time. For example, Oanda shows unfilled orders from 1/9/13 through 1/18/13 all being deleted on 1/20/13. I continue to see deletions occurring almost next day through 7/11/13, then they stop. But, I see trade #96 is a sell stop placed on 3/7/13 and executed on 4/3/13. Frankly, this must be beyond my paygrade and I simply do not understand the trade deletion process. It is enough to note that open orders are being deleted on some basis.
Tallinex is deleting open trades next day throughout the entire run and has a string of ten closes that I can only describe as random. FBI is the real corker. Their tester both deletes every open order at the beginning of the new day and closes every active order!
I genuinely hope someone can help me understand this. It does seem that the tester is operating completely differently on each platform. One thing that may come from the FBI results is a clue that the initial notions of Daybreak may not be effective. That is, the original hypothesis was to open trades on the break and hold them until eod with a wide “emergency stop.” Though we seem to have a reasonable result on the w/l ratio, the average profit of $57 versus the average loss of ($67) eats us up. Subject to further examination, it would seem that we should scrap the original idea of holding until eod and look further at tp or ts.
I couldn’t agree more…
In a way yes. I don’t really consider them breakouts as much as I do momentum based trading. Currently a tad better than break even, but not enough results to really say much. I spend much more time doing research than I do trading these days
I am up to my knees right now in backtesting, etc., to either improve or lay to rest the initial Daybreak and Triple Threat ideas. Here is something for you to try using the strategy tester. Get the ea written by Spirit from the Daybreak thread (Daybreak, Spirit, v1.3). It is readily available on that thread or on rpotor’s separate website. Load it up on the tester and try it on daily data, gbp/jpy and eur/jpy with a 20 sl and a 70 tp. I have learned that it behaves erratically, depending on the broker, sometimes closing orders eod and sometimes deleting open orders. On my IBFX platform, it seems to leave most unfilled orders opened and these appear to be, on balance, profitable. To get your best results, use a gmt 0 broker. Download a demo if you need to. IBFX and Tallinex are both gmt 0.
If you want to try it on the less volatile pair like eur/usd, aud/usd, gbp/usd,eur/gbp, and usd/jpy, try a tight sl around 5-7 pips, depending on your spread, with a tp of 20 or 30. Because of the unpredictable nature of this tester/program, I would call the results inconclusive, but they give us a path to pursue. I am presently trying this out live on a couple of platforms. Will let the thread know if anything gets good.
You might also look into a thread on BP called PARMAR 3P Trading System. It will be on the first or second page of the forums. This is also a daily breakout method with a couple of twists. An ea has been written and can be backtested.
I have committed one of my smaller experimental accounts to Daybreak, having it monitored by myfxbook, trading the following pairs and conditions:
Gbp/jpy, sl 20, tp 70
Eur/jpy, sl 20, tp 70
Eur/usd, sl 7, tp 30
Gbp/usd, sl 7, tp 30
Aud/usd, sl 7, tp 30
Eur/gbp, sl7, tp 30
Since this is a small account and I am only trading .01, the best information can be obtained by going to Trading Activity, History. There, you can see every trade made and pips w/l.
[B]If you are interested in the Daybreak approach, please see the important changes in the first post![/B]
How is this daybreak working so far Pipwoof?
Hi piwoof are u still trading with this system?? If so which pairs to be traded??
Is there anyone here still trading using this strategy? I have tried to access Piwoof’s myfxbook but there’s no available data.
Regards,
Mary.