Daybreak

somone started an ea, see post 42, but didn’t have time to follow-up and get it working correctly. i think there are several here who would love to have one. if you can do that, it would be much appreciated. thank you for the offer. we will look forward to trying it out.

good morning! we are:
gbp/jpy, long @123.53
eur/usd, long @ 1.2290
aud/usd, short @ 1.0171
usd/jpy, flat

Hi pipwoof…Won’t it be safe to place pending orders above/below 10 pips the high/low of the previous candlestick on the daily chart because these highs or lows provides strong resistance/support on the smaller time frames so we may get a false signal.

Pipwoof, I’ve been following your thread and like most, I am very interested in your system. I’m pretty new to Forex, so it’s possible I’ve read your post about today’s trades wrong, but it seems like you’ve taken long positions (EUR/USD and GBP/JPY) when price action passed above yesterday’s close, not yesterday’s high. Maybe I misunderstood the entire premise of the system, but wouldn’t your entry points have been ~1.2249 Short or ~1.2410 Long for the EUR/USD?

Thanks in advance for the clarification!

EDIT: I use FXCM’s platform, and realized for some reason on my daily chart, it jumps from 7/6/12 to 7/9/12 (yesterday afternoon the 7/9/12 daily candle was already active??)

lucky, i use my ibfx charts for updates to the thread. ibfx usually shows me only one or two hourly bars on sunday. the method requires +/- 11 pips for a monday trade. on ibfx, gbp/jpy sunday high was 123.42 +11 = 123.53 long entry. sunday high for eur/usd was 1.2279 + 11 takes us long at 1.2290.

oanda is on a different time and usually shows me nine or ten hourly bars on sunday. oanda shows the gbp/jpy sunday high for their “day” as 123.53, which would put us long on their platform at 123.64. oanda high sunday for eur/usd was 1.2296 + 11 = 1.2307. i have found both ibfx and oanda to be profitable, but oanda less than ibfx.

each trading platform will create a discreet data set called “day.” i have assumed that breakouts from any day may be profitable, but i haven’t checked more than the two brokers. not familiar with fxcm, so would be interested in what you determine. june was a particularly difficult month with gbp/jpy taking some hard losses and ending the month, i think, about -150 for the portfolio. you might walk through that month by hand and see what you get.

sorry for the confusion. hope this helps.

lucky, these are my prices and trades for gbp/jpy, ibfx, in june. this will be a little hard to read because of bp formatting. you can probably figure out how to read the price, date, open, high, low, close, day of week.

06/01/12 120.92 121.03 118.77 120.03 Fri
06/03/12 120.01 120.18 119.79 119.80 Sun
06/04/12 119.80 120.65 119.75 120.61 Mon
06/05/12 120.61 121.32 119.73 121.10 Tue
06/06/12 121.10 122.96 120.87 122.73 Wed
06/07/12 122.73 124.33 122.30 123.69 Thu
06/08/12 123.69 123.72 121.89 122.76 Fri
06/10/12 123.59 123.79 123.30 123.58 Sun
06/11/12 123.58 124.05 122.55 122.78 Mon
06/12/12 122.78 124.07 122.54 123.76 Tue
06/13/12 123.76 124.26 123.02 123.18 Wed
06/14/12 123.18 123.52 122.75 123.50 Thu
06/15/12 123.50 123.60 122.11 123.49 Fri
06/17/12 124.13 124.42 123.98 124.23 Sun
06/18/12 124.23 124.62 123.34 123.93 Mon
06/19/12 123.93 124.50 123.22 124.24 Tue
06/20/12 124.25 125.36 123.48 124.73 Wed
06/21/12 124.73 125.81 124.60 124.84 Thu
06/22/12 124.84 125.73 124.84 125.29 Fri
06/24/12 125.39 125.63 125.37 125.52 Sun
06/25/12 125.52 125.52 123.57 123.96 Mon
06/26/12 123.96 124.42 123.51 124.21 Tue
06/27/12 124.21 124.54 123.86 124.02 Wed
06/28/12 124.02 124.07 122.92 123.04 Thu
06/29/12 123.03 125.42 122.86 125.16 Fri

on the results, first column after the date is long trade result, then short, then total, then eliminating sunday trades from the total. last column is equity for the pair. ex, on june 4 we got both long and short signals. the spreadsheet will take both. we made +42 on the long trade, lost -83 on the short, for a net -41. it was not a sunday, so total carried over to next-to-last column. equity on this pair ended may at +24,741 and shows as of the end of june at +24,216, for a loss -525. some of the other pairs did better, but still loss for the month.

06/01/12 0 9 9 9 24751
06/03/12 0 0 0 0 24751
06/04/12 42 (83) (41) (41) 24710
06/05/12 44 (137) (93) (93) 24617
06/06/12 140 0 140 140 24757
06/07/12 72 0 72 72 24829
06/08/12 0 (47) (47) (47) 24782
06/10/12 (15) 0 (15) 0 24782
06/11/12 (102) 51 (51) (51) 24731
06/12/12 (29) (123) (152) (152) 24579
06/13/12 (91) 0 (91) (91) 24489
06/14/12 0 (49) (49) (49) 24440
06/15/12 (4) (75) (79) (79) 24361
06/17/12 62 0 62 0 24361
06/18/12 (51) 5 (46) (46) 24315
06/19/12 0 (92) (92) (92) 24223
06/20/12 22 0 22 22 24246
06/21/12 (54) 0 (54) (54) 24192
06/22/12 0 0 0 0 24192
06/24/12 0 0 0 0 24192
06/25/12 0 141 141 141 24333
06/26/12 0 (64) (64) (64) 24268
06/27/12 (41) 0 (41) (41) 24227
06/28/12 0 81 81 81 24308
06/29/12 108 (200) (92) (92) 24216

Thanks for the data, and this is an interesting find that using different brokers will vary results. I’m about to do some extensive analysis on the system with FXCM’s numbers, with my main emphasis focusing on how advantageous various trailing stops (fixed vs dynamic) would be. It seems this may be the way to go, because I feel most days when a pair goes sour 100+ pips, it’d be better to take ~50 pip loss rather than expecting the pair to correct from a 100 pip deficit.

But of course this is all without base, but I will share my findings! --does anyone know of a way to backtest trailing stops without using an advanced EA or doing by hand?

Thanks again!

anyone who is able to keep an eye on the markets, please check my new thread. it is an exit strategy using daybreak entries with three positions, but each position has a maximum stop-loss of -50. i will appreciate your feedback.

http://forums.babypips.com/free-forex-trading-systems/45633-triple-threat-exit-strategy.html

Pipwoof,

I have completed some “advanced” statistical analysis on the system. I will be making a video to explain the statistical method and interpretation of the results and putting it on YouTube as a private link. Please email me so that I can reply with the link.

Sam

not sure i know how to use the email. have tried to send you a couple, but not seeing anything in my “sent” box.

ah. sent myself an email from bp and it showed up in my regular (gmail) inbox. still nothing sent or received in the bp. did you get anything?

Here’s version 1 of the EA; enjoy! Could someone please back test with 90%+ modelling quality. I cannot for the life of me figure out why my MT4 keeps giving me ‘n/a’ modelling quality even after importing fresh data and converting it to 1440 (Daily).

Daybreak on myfxbook

Strategy tester results for June

Hi pipwoof would u please reply for the post number 143?

jj, not sure i understand. if you are saying that yesterday’s highs and lows often represent support and resistance for today’s trades, i’m sure that’s likely. though 1 pip is a small break, it would mean at least some break of that support or resistance. infrequently, the pair closes at or near the extreme for the day. if so, we would be looking for either a continuation of the move or a reversal and we might use judgment as described in the discretion section on post 1, i.e., leave an existing trade in that direction open with a tight stop or require additional movement before entering a new trade, per an earlier suggestion from you.

as a possible alternative to using highs and lows from yesterday, i am looking into the possibility of entering from the open at +/- a number of pips or entering at the nearest swing high/low from yesterday. wherever we land on entries, remember that an essential premise of the current entry is that observation suggests highs and lows from yesterday, broken today, often end with closes in the same direction.

spirit, really ignorant of mt4 programming, so appreciate every effort on your part to get us a working ea. ran it on june 1 through june 29. it would appear that we have a start. it is showing buy entries only, no sells, at exactly yesterday’s high. we would want both buys and sells at +/- one from yesterday’s high or low. also, it isn’t closing at the end of the bar (day). it actually closes at the end of the month. in this case, that’s a good thing 'cause the month was up and there was profit! lol. not sure it would work all the time, though.

if you have time, please take another look. many thank you from all interested.

ibfx has closed a slow day:

gbp/jpy, long @123.53, closed 123.52, -1
eur/usd, long @ 1.2290, closed 1.2316, +26
aud/usd, short @ 1.0171, closed 1.0203, -32
usd/jpy, flat, decided not to play today
total, -7

Read more: 301 Moved Permanently

Yeah I keep getting a message about not having 20 messages so I’m not able to use the email function. We will get it figured out…

Which pair(s) did you use? I got both buys and sells on EURUSD for June. I will change it to close at EOD.

On a side note, I have found that the most profitable entries are on a clear break of the previous day’s high/low. Take a look here.

New version of EA to fix orders bug (not opening orders for all pairs). Will fix all other issues I’ve picked up.

Feature requests are welcome.

Hello Everybody !!

I was closely reading this thread, and in last one week I made this excel backtest.
It is based od data from my broker FXCM (extracted from Marketscope 2.0) from 2003 - until this month.
I made test for EUR/JPY, GBP/JPY, AUD/USD and EUR/USD.
The best results are for GBP/JPY. This pair produced double amount of pips comparing to any other pair. This is impressive.

Explanation of excel:

I added modification to enter long/short on yesterday high/low +/- X
X is a number. You can enter X in field F2474. New results are then calculated automatically.

Added field G2474 to enter your own STOP loss. Currently it is 50. I found that best results are with SL 40-60. New results are then calculated automatically.

Column J - go long - number of pips produced if price action broke yesterdays high +/-X
Column K - go short - number of pips produced if price action broke yesterdays low +/-X

Column M and N - copy/paste of column J and K with added STOP LOSS (you enter in field G2474)
Column R and S - just copy/paste of column M and N

TOTAL PIPS in 10 YeaRS : FIELD N2474

Below is little table with calculation of PIPS by every year 2003-2012 and by month 2009- 06.2012
Negative monthly PIPS are automatically colored in red.

Sorry, this excel is maybe confusing to you, but i have no time to make it to look tip-top.
Also, the results that I got here look very impressive.
If you have any questions, please ask.

This was hard manual work in excel, and I hope there is no mistake. So, we should have a working programmed EA to backtest this strategy and give us confirmation of this excel.
I don’t like and use Metatrader platform, so I cannot test MQ4 files some of you provided.
I see, here are some people aslo at FXCM. Does anyone of you know how to programm in LUA?? Strategies for Marketscope 2.0 platform are written in LUA.

If you have someone to program this is LUA, then I can provide all details, logic and rules.

gk, appreciate your hard work. unfortunately, our spreadsheet studies always have limitations that we have to try to figure a way around. your data comes from a different definition of “day,” so it is a little different than mine, but i think we can stumble through. i had not previously looked at this pair, but it seems as usable as some of the others, yielding around +12,000 for your test period. the reason you are getting such high returns probably has to do with the inherent problems of daily data and stop losses. with daily data, we just can’t know if the stop was hit prior to a second event (tp, close, etc.). case in point, 03-13-2012. your data shows a successful long trade +27. my data shows a long -3. when we look at hour bars, i went long at yesterday’s high +1 = 108.51 and stayed until close at 108.48. Results -3. however, the bar immediately after entry dropped to a low of 107.87, a difference from our entry of 64 pips. regardless of what our spreadsheet shows, this is what actually happened on that day using my ibfx data. i suppose your will see a similar down bar if you look at a smaller time frame than daily. it probably occurred after your entry and rather than a +27, you would have a -50 because that’s where the stop-loss was set.

i remain optimistic that someone will yet get an ea working that will help us check some of this out. in the meantime, i am stuck with what i know how to use.