Hello niX1990
Thanks for your new thought. Have you backtested this new thought or have you tested it on demo/live account. Please, let me know. I am waiting for your reply.
Hello pipwoof
Thanks for your great work. I appreciate your hard work. have you checked your system on demo or live account.
also, please, post the fully completed strict rules again.
nix, i didn’t mean to come across so short. i do apologize and assure you that this isn’t the first time my peculiar humor has got me into trouble. i appreciate your offers to help and the last thing i want to do is discourage anyone from that. maybe some of us have to laugh at what we don’t understand and i just couldn’t understand any correlation between what you were proposing and the thread. my bad. see, i have a limited iq and cover it up with a genius vocabulary (humor again). in any case, i presume we are adults and people of good will. we can move on.
the root premise here is that breakouts and closes often seem to end up in the same direction. when we test, at least from 2007 to the present, we confirm that we can enter the break, hold until close, and make pips. emergency stops are designed only to help us avoid disaster as we try to get to the close. getting to the close is a component of our premise with numbers to back it up. that becomes our base, or control group. within that gross frame are myriads of variables. suppose we did this… suppose we did that… each supposition implies an experimental group. to know if our idea adds value, we have to compare the control group with the experimental group. i’m a great believer that a trading method has to be “tamed,” in the sense of the Little Prince taming the fox. we have to know it, love it, and own it. to me, that means every person looking at this general frame may need to do something to it. add a this thing or the other if it is going to become personal and real for them. of course, we all encourage that.
unfortunately, ideas are easy and research is hard, especially for someone with my limited technical skills. for an idea to be proven or disproven, we need numbers. net pips, number of losses, number of wins, average loss… sometimes coming up with those numbers takes hours, sometimes months. even with the numbers, they don’t tell us what will happen, only what did happen. i do encourage everyone, for their own sake, to collect numbers of their own. you can’t even be sure of the numbers someone else came up with, even if they meant well. it is daunting to sally into the arena, but to go in without at least being sure of what happened in the past, is to court disaster.
for instance, your idea for an atr based sl may be a good one. baruch supposes maybe a camarilla would help us. jj’s idea on closing earlier than the final bar may work. and the notion of trading with the trend has been voiced by several. here’s the thing, show me the beef (numbers). how did it work for you when you started closing out earlier than the model? what average loss and win did you get when you applied a trend filter to the trades? did you improve over the control group? look at my work on trying to find this elusive filter. is it accurate? did i approach it right? you try and tell us what you find. this is where i need the help and will appreciate anyone who knows how.
obviously, i have never been accused of being a man of few words. i only hope the time invested in both writing and reading will be beneficial.
Pipwoof,
Your conclusion is exactly why trying to find a way to trade in the direction of a trend is a perilous journey. The original straddle on June 29th mitigated the -200 pip short trade loss. How? Because…the long order was also hit, enacting a hedge on the price (amounting to the size of the previous day’s candle) until the short trade SL was hit. Without any intervention, we would have lost -200 pips on the short trade, but made +109 pips on the long trade at day’s end. The net loss was -91 pips for the day with no intervention on our part (simply close trades at end of day). No one likes to lose -91 pips, but that’s a heck of a lot better than losing -200 pips!
For me, I will concentrate on TP levels…but that’s another story. :42:
bobkat, thanks for the confirmation on trend filter. still open to anyone finding it. if you have time, check my work on the hedge aspect. it seemed reasonable to me that, on those days when both signals were hit, like june 29, that our losses were limited to yesterday’s range and i thought that would be beneficial to the overall system. i haven’t been able to support that and at least think i have found a benefit to taking only one side of the trade. any thoughts or help appreciated.
sakirh, there are people still working on aspects of the method, but everything i can accept for now is on post 1. to my knowledge, no one is trading live yet, including me. demo accounts show profits in may and losses in june.
you are right to ask for data to back up ideas. also, i suggest you open hourly charts on the portfolio pairs. may and june would be good months to walk through by hand and will give you a feel for the trading. make a list of the entries, exits, etc., that you see with your own eyes. for instance, the eur/usd high on june 28 was 1.2523. that called for a buy stop on the 29th at 1.2524. that entry was triggered and the trade went on to close at 1.2655 for a profit of +131. of course, they’re not all that pretty.
[QUOTE=pipwoof;369713]sakirh, there are people still working on aspects of the method, but everything i can accept for now is on post 1. to my knowledge, no one is trading live yet, including me. demo accounts show profits in may and losses in june.QUOTE]
pipwoof…I [I]am [/I]trading live. but I hope that you don’t consider trading $.01 per pip is too extravagant! :8:
hahaha. sounds like the right size trade for a new system and a number i have used many times!
i just reworked my study on whether we should take both sides of a trade and added this information to post 1:
On days when we get two signals, the spreadsheet will trade both, effectively putting the trade in a hedge. I have recently completed a study of the hedging consideration and conclude that it is best to take only one side of the trade. Because of the spreadsheet’s shortcomings, on days when both sides were triggered, I took only the long. Out of about 1,720 trading days:
GBP/JPY had 273 times where both trades were taken. Taking only one side improved pips from 24,364 to 31,088.
AUD/USD had 262, improvement from 9,056 to 14,835.
USD/JPY had 251, improvement from 8,599 to 12,397.
EUR/USD had 318, improvement from 7,538 to 13,666.
I have not included these improvements in the equity, simply because I can’t be sure which side of the trade would have been taken first. At least, not from the spreadsheet. But, it is clear that taking only one side improves results. We can just let that part be a pleasant surprise to our further testing.
Read more: 301 Moved Permanently
as ibfx concludes its “day” we were:
eur/usd short @ 1.2506, close 1.2391, +115
gbp/jpy short @ 124.22, 124.00, +22
aud/usd short @ 1.0258, close 1.0280, -22
usd/jpy long @ 79.96, close 79.85, -11
net +104
Read more: 301 Moved Permanently
So pipwoof, is your recommendation to initially place straddle orders, but cancel the opposite order as soon as the first order hit becomes a trade? 
This is no longer a set and forget strategy, unless you have an OCO broker. Because you no longer have an automatic hedge when both orders are hit, I am concerned the SL’s are not optimum. I still like the safety of the straddle. The data collection method is also in question when you can’t determine which order is hit first on days where both orders are hit. I think this needs to be reexamined. I don’t believe you can then solve for taking all shorts as opposed to all longs when this occurs. You may find an anomally such as the order hit first is the closest to the previous days close, but may actually lose most of the time because price had already run into overbought or oversold levels. We would need to go back on those specific days to manually determine accurate results.
I think it makes more sense to examine more optimal TP levels (as closing all trades daily may be effectively truncating trades well before their maximum potential…ala let your winners run).
Just my $.02
Hi Pipwoof, great job and great results in backtesting this system!
But practical, how to apply it in real trading? Example:
Daily close +/-1 is aplicable only if the current price allows it! You can set this order only split secounds after the close…??
I came to my office this morning at 8am and the current price is already far behind that entry point! So if you want to apply this system you have to be present at closing time?
Ok, in some occasions at this time price will range within the previous candle, than you can apply this system, but if you’ll wait for those setups only, you win ratio is much lower, than your calculation is based on the fact that you will catch a trade every day… right?
The other difficulty is, if you’ll apply two orders BUY/SELL at same time and the price action is volatile the BUY order might be hit but later on price will go against that trade and the the SELL order is hit too, than one order cancels the other and result is a loss. Not all brokers provide hedging.
My oppinion: Good idea, good research, but the backtesting results can’t be anticipated in real trading
Good luck woris
I do agree with you niX1990. Most the time, price crosses the break out levels and moves offering some positive pips and then it closes as an indecision candle (As posted by you) which ends the day negatively. Inserting some dynamic stop loss and take profit will bring something positive and that will be better than facing minor losses. Home work to find out average movement of price after break out before reversal is necessary to exercise with the progress of this thread.
I worked with my hot forex data available with me since July 2005 and found out the average movement of price beyond daily break out is 51 pips for GBPJPY. If we can catch the movement at least for 10 days per month,then the yearly result will be above 6000 positive pips. If need more pips, try on more pairs after finding out the average movement.
Only thing, we have to define a dynamic stop loss as the TP is an average of 7 years movement and some times it may go back horribly before hitting the TP. Study on 4 Hour chart since Jan 2009 indicated a stop loss of 35+Spread is sufficient for a 50 pip target. If we are in market every day, then it is easy to catch 10(120) positive days per month(Year) and balance days become break even automatically.
I am also observing another method to increase profitability, keeping pipwoof’s strategy in it’s own structure but changing the closing time as follows.
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If the position is positive, then close it at 4.00 PM (GMT) as the price normally reverses after this time, which will reduce the profits.
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If the position is heavily negative, hold it beyond 4.00 PM (GMT) and close it at 4.00 AM (GMT) on next day as the price normally reverses and that may reduce the losses.
All the above opinions are based on previous data and a forward test on demo account is must required to confirm .
I am not trying to change the method and motive of this thread. Just suggesting few points to increase profitability as we all are after some pips and some profit.
yeah, woris, depending on where you are in the world, 8 am is probably not the best time to trade a system that calls for decisions at the close and open of the platform day. however, it looks like you are in the philippines and only one hour later than me, so i would think you would have plenty of time after work to enter trades unless your broker’s time is really out of sync with yours.
i explained some of this in previous posts, but i’ll just review here. ibfx closes their trading day at 7 pm central time, oando at 11 pm. because these are my brokers, this is when i need to close existing positions, set entry stops, alerts, or fxalerts to get into a new trade. the trading day is defined by your broker and you will get different entry and exit points depending on who you’re with. however, my studies indicate it works with both ibfx and oanda, so i’m not sure we couldn’t even define a day arbitrarily for our own convenience.
as far as entering within “split seconds” after the close, that would only happen if the close were right at the extreme high or low of the day. in that case, i like to either stay with an existing trade already in place or allow a few extra pips before entry into a new trade (see the section on discretion in post 1). for example, ibfx closed the day over three hours ago and nothing’s been triggered yet. that’s usually the way it goes. i’ve never felt like i was pressured to hurry in orders.
the issue of both long and short orders is an important consideration. again, it depends on your broker. if your broker accepts oco orders, place both entry stops and when one fills, the other is automatically canceled. or, if your broker doesn’t permit hedges (most don’t) determine how they handle a hedge order. does yours really cancel your existing position to fill the new one? mine don’t. if i am in an existing position and try to enter the other direction, i get a popup window that says, “hedge not permitted” and the order is unfilled. at this time, it looks like we are better off not hedging, but the research isn’t perfect. for those who really want to hedge, a separate account or sub-account may be necessary. enter all long orders in one and all shorts in the other. i do have two ibfx accounts and oanda permits sub-accounts, but i am not choosing to hedge at this time.
Hmmm . . . interesting problem. I have somewhere a straddle EA that I think is an OCO but, it will re-open on multiple reversals. Will dig it out and have a look over the weekend. Have not thought through the full consequences of that but also I recall it could work with time limits. Talk later.
AltosT
no signals triggered at this time and non-farm payroll in about half an hour. i would stand aside.
bobkat, thanks for the good ideas and support. if it feels safer to hedge, of course. rather than go through more than a thousand double-entry days by hand, here’s what i did. put a random number generator in the spreadsheet and an odd/even qualifier. on days when both entries were signalled, take the long trade if the random number is even, take the short if odd. any activity on the spreadsheet reruns the random generator, so you can perform several tests in seconds. across all four pairs, multiple tests, consistently better results when we don’t hedge. you sound like you know what you’re doing, so make it work for you.
if you set it and forget it last night, you are:
eur/usd, short 1.2361
gbp/jpy, short 123.82
aud/usd, short 1.0240
usd/jpy, short 79.53
watch out for the retrace. it is friday, short day, usually gets slow toward the afternoon. the spreadsheet will leave trades on until close. but you, being a person, might want to take the money and run.
Who am I to argue with a random number generator? 
Looking forward to trading this with you next week! Thanks for all your hard work and sharing with others! Have a great weekend!
Pipwoof, I’m curious…have you tested for trading the open/close of the candle BODY (sans wicks)?