Daybreak

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21

john, i’ll do some more work on this tomorrow. you were wondering why more pairs didn’t yield more pips. note that your data begins 9-08. i have almost two years more data in the four pairs. also, i had time to run my data through the same dates as you for eur/jpy. you had 913 net longs and 5375 net shorts. my data yielded 2052 and 6364. i think this is because we are looking at a different definition of “day.” Consider that our twenty-four hour periods are arbitrary. That is, the definition of “day” will depend on your platform and may give you completely different highs and lows from what I am using. I am in Chicago, central time. Oanda is on EDT and their day for me is 11PM to 10PM. The IBFX day is on GMT and that is 7PM to 6PM for me. (Hope I got that right, time always confuses me.) I definitely do not get as good results using the Oanda data as I do with IBFX.

Also, since I have data back to the '80s, I ran a quick look at eur/jpy from 1990 to the present. Longs 5831, shorts 9053. Not too shabby, but a bigger problem. The equity curve showed a tremendous drawdown right in the middle, dropping from a high over 13,000, back close to 3,000, then, recovering. Maybe that’s what they mean by, “All systems fail and usually right after I start trading them.” Have to fix dinner. Thanks for the work.

22

When I calculated my pip average, I just took the total and divided by the number of months, so my average was about the same as yours but I was using 8 pairs instead of 4. There is definitely a difference between my brokers candles and yours. I am on the west coast and my new daily candle is at 5pm PST. What I want to do now is look at what the difference would be if we take the break of the candle close for long or short instead of the high or low. I will redo the spreadsheet tomorrow and see what it looks like.

23

Hi Pipwoof,

Just for clarification, your data is derived from IBFX (not Oanda)? Thanks for sharing!

Good Trading :59:

24

Been following this with interest.
Would be interesting if someone with more tech-skills could play around with modifiers - in particular with the question of:

  1. Double trades triggered (hedging) a good or a bad thing?
    (or would one earn more if one as a rule only open up the first trade, and automatically cancel the second one)
  2. Figuring out what SL-strategy is the most profitable. I.e. a fixed amount, something relating to crossing a daily/weekly average, or other solutions? Big SL or smaller (50 pip) etc.
  3. How does this system work f.ex. weekly and 4 hour charts? I.e. could it be ‘converted’ into a ‘weekbreaker’ (for those with even less time), or a ‘hourbreaker’, for those who just want to sit all day with the charts and take more opportunities with the charts.
25

yes, ibfx data. interestingly, gbp/jpy, no loss protection, shows about 6700 longs and 9900 shorts for the test period. oanda data shows about 4000 and 6800. i’m wondering why the oanda data only captures 2/3.

26

just learning my way around here. let’s see if this works.
GBPJPYm1440, IBFX.zip (392 KB)

27

Yesterday,
gbp/jpy long @ 123.84, closed 123.03, +81
usd/jpy short @ 79.33, closed 79.29, +4
eur/usd long @1.2508, closed 1.2440, -68
eur/usd short @ 1.2443, closed 1.2440, +3
aud/usd long @ 1.0089, closed 1.0030, -59
aud/usd short @ 1.0039, closed 1.0030, +9
Total for day, -30

Reviewing trades to date in june, system is struggling, i am showing the portfolio about -250. however, may was up around +700.

today
eur/usd long @ 1.2524
aud/usd long @ 1.0126

both our yen trades have entered both long and short, so are hedged. gbp/jpy will lose -117, usd/jpy will lose -48. hope the other two will cover.

28

just a reminder of our original premise. if we did nothing more than go long at yesterday’s high and/or short at yesterday’s low and held until close…

i did this study using ibfx data, 1-1-07 thru 6-26-12. only for our flagship gbp/jpy. sorry, just don’t have the patience to cover the whole portfolio.

without our -200 emergency stop (unprotected), we get longs +6694, shorts +11943, total 18637. that was 776 losses and 824 wins. average loss -86, average win 104. we don’t seem to be making our pips on the accuracy of entries, which, frankly, i have never been able to do anyway. rather than trying to predict the direction of the market, i have always done much better with effective exits and money management. with good exits and good mm, i am okay with a 50/50 entry. personally, i believe a truly effective entry predictor would appropriately be called “grail” and i’ve never bought anything, $3 or $3,000 that did the job.

when we employ our -200 emergency stop (protected), we get longs +9879, shorts 16868, total 26747. we get the same number of wins and losses, but our average loss goes to -76, average win stays at 104. another way of looking at this is that we are averaging +28 on every trade we enter. caveat, of course, past performance is no guarantee of future results.

a couple of you have suggested that we require a prior day condition, i.e., if yesterday was an up day, go long, etc. what i got with that was longs +1827 and shorts 7322, total 9149. 517 losses and 530 wins, average loss -91, average win 106.

i don’t know. it could be that this is one of those systems that isn’t going to look good on r/r, roi, etc., studies and only looks attractive when we consider wins versus losses. thanks for your help and support.

29

Interesting system! I’m keen to backtest this myself. Pipwoof, your results are similar to most positive-expectancy systems I’ve backtested so far. I never seem to get anything better than 0.2R or 0.3R expectancy.

edit: however, you’re getting entries on a near-daily basis, which is very good. I am definitely interested in doing my own backtest. Have you considered moving your SL to yesterdy’s low if going long, or yesterday’s high if going short? Or using an ATR-based SL? 200 pips seem a little static.

30

so, i also wanted to look into theses discrepancies between the data sets. one of the first things i caught was that oanda has both sat and sun data. the spreadsheet is going to look at friday data and make saturday trades. i took the aud/usd, just for may and eliminated both sat and sun trades for ibfx and oanda. ibfx shows longs -226, shorts +416; oanda shows longs -267, shorts +389. eliminating non-trade days doesn’t solve all the differences, but brings them closer together.

the other differences are accounted for by the platform’s definition of “day.” on 5-29, ibfx day for aud/usd was open .9815, high .9896, low .9799, and close .9825. oanda shows .9850, .9896, 9769, and .9786. so, on the 30th ibfx is going to call for a short at .9798, closing at .9701 for +97. oanda will trigger a short at .9768 and close it at .9694 for +74.

i suppose we could optimize the best hour ranges for our entries, but that sounds too much like, you know, “optimizing” and i wouldn’t be a fan. best to do the homework on your own platform and see what happens.

one last thing. having noted that the *#@% spreadsheet will trade ibfx data on sunday, i did go back to gbp/jpy and eliminate all the sunday trades. with protection, longs +8883, shorts +15449, total +24332. heck, maybe we’ll just start trading it on sunday.

31

finally, as we near the end of the month, thanks to everyone for their kind reception, ideas, and support. yes, there may be many ways to tweak this premise into something that feels personally comfortable for your trading. apply pre-conditions, play with stops, whatever, and, by all means, let us know your results.

win or lose, i plan to enter the contest next month with this: “TRIPLE THREAT EXITS WITH DAYBREAK.” using the same entries, entering three positions, and varying the exits. hope you will look forward to helping with that.

32

Even though the sample size is small, this suggests that trading this method with the prevailing trend may yield better results, at least in terms of expected value, perhaps not total pips, though. AUD/USD was clearly in a down trend during May and the results you posted show that trading with the trend produced wins and trading counter trend was a losing proposition.

33

rex, you are definitely on to something. trading my test period (gbp/jpy) without regard to prevailing trend resulted in about 27000 net pips over some 1600 trades. average loss -76, average win +104. when i apply even a crude definition of trend to the same study and trade only with the trend, my total number of trades drops to 882, 374 losses and 458 wins, lost pips -25575, won pips +50637, net +25962. dynamite! average loss -74, average win +111. i will do some more work on this, including trying to find a good definition of prevailing trend. thanks for the idea.

34

Hi Pipwoof, this looks like a simple breakout strategy, simple is good. I think you could improve results buy only taking entries in the direction on the trend and focusing on the strongest currencies and matching them to the weaker. I think you might also find that many of these breakouts will happen during the early hours of the London session. So if you are in the US east coast, you would put your entry order in before going to bed and hopefully wake up to some pips in your account. I look forward to hearing more about this

35

ah, ibfx closed for friday, june 29.
today’s trades:
gbp/jpy short @ 122.90, closed 125.15, emergency stop hit, -200
gbp/jpy long @ 124.07, closed 125.15, +108
usd/jpy short @ 79.20, closed 79.92, -72
usd/jpy long @ 79.68, closed 79.92, +24
eur/usd long @1.2524, closed 1.2655, +131
aud/usd long @ .10126, closed 1.0233, +107
total +98

36

Hi pipwoof,

I like systems like yours and in past I also tried many systems based on spread sheet calculations.

Your excel seems to have two mistakes (which I also made at the beginning):
1/ You assume, that the open price will never be higher than the high of the day before. An example is
the 15.06.: The high is 1,23489. The Open price of the next day is already 1,24127 (you will never get the 1,2349 as entry price). The same is in the other directions.
2/ My experience for systems like this: The spread is an essential factor for your success. The spread at fxprimus is about 0.05. You have to consider this in your calculations.

If you consider both points, the result in your excel in column G is only 1604.3 and not 6694.6 (but still positiv :slight_smile: )

Hope this helps and as I’m not a native English speaker (I’m German) you understand what I mean
Best regards
Siero

37

siero, thank you for your input. i am so painfully aware of the limitations of spreadsheet calculations. that’s why we are hoping a proficient programmer will take an interest in this method and write some code. in my younger years, i actually wrote code for computers, cobol and fortran. anyone remember? too far back for me. heh. i also managed to get reasonably good at tradestation language, but also let that go way back there. alas, never learned the mt4.

i genuinely appreciate that you are struggling with a foreign language here and it is certainly possible i am misunderstanding something. however, i will try to address your concerns as i do understand them and try to help others stay unconfused.

  1. an occurrence where the open of the day is higher than the high of yesterday is rare and usually insignificant. for this to happen, the close of yesterday would have to be right at the high of the day, then gap on the next immediate bar. looking at my gbp/jpy data, that occurs a total of 51 times between jan 07 and mid-june this year. however, 38 of those occurences are on sunday, where we would expect gaps between friday close and sunday open, leaving only 13 times that a day open was higher or lower than the previous close. some of those 13 are associated with holidays. when it does happen on a legitimate trading day, it is usually only a pip or two. i don’t believe this situation would impact our results.
  2. as far as transaction costs, i have made it clear that spreads, slippage, and other negative factors are not included in my results. when choosing a broker, everyone should do their homework on babypips and other sites. spreads may be an important consideration, especially if you are scalping. there can be more important things, like solvency, account segregation, regulatory oversight, method of withdrawal, country of incorporation, etc.

i do apologize if i have misunderstood anything and encourage you to try again if i have. i have tried to consider everyone’s suggestions and, as soon as the contest is over, i will go back and determine if any are helpful to the outcome of the system. if so, i will revise the basics and include the new stuff. it sure looks like tyr…forex idea on trading with the major trend may be a good one.

38

I have seen this the same strategy of Headge Report by Brian Campbell.

39

well, i didn’t know who brian campbell was, so searched him and tried to find something like this method. if you can provide a link, make a copy or something, i would definitely be interested. all i could figure was that campbell seems to provide a subscription service for a trading method. i did find comments from a couple of his customers:

  1. Enough is enough. A stagnant portfolio, almost halfway through April, losses of $500…
    I am closing out my Hedge Fund positions and will no longer be using it.
    Again, nothing against Brian Campbell, but the system simply didn’t work and I’ve had enough.
    Short post — possibly the shortest I’ve ever written — but I promised to be honest, so here it is.
    And I may be done with FOREX period. Haven’t decided yet.

  2. But so far, this seems to be an exercise in putting on a position, watch it draw down my account, then take it off. Hey, Brian, the goal is to take off profitable positions… While I can say that “this sucks”, it remains to be seen if I got, as Steve called it, “screwed”…

40

Beware! :34:

Rapid Forex, Brian Campbell and his partner cheated my sister out of $200 several years ago. There are a large number of other victims’ accounts with similar stories over at FPA.