Ok, I finished my backtesting trying to apply the rules as Smith says. Using the last bar as a fixed stop loss, rejection rule as the book says, and trailing the stops using donchian 10 when the price is in better place than last bar, I’m not using ADX filter. I’m using daily channel 20/10.
I’m using the fartest point of the last 3 bars to define my last bar point.
This are my results from 2008/01/01 00.00.00 to 2013/04/01 23.59.59 (I’m going to update this post when I finish more pairs)
Yes, that’s how I’m applying the rejection rule. No, I don’t add another position on the second test, but it’d be interesting to backtest. I’m on the road for work at the moment, so I don’t have access to my normal MT4; I’ll give that a look when I get home.
Yep, my daily candles close at 00:00 UTC. I noticed that our results were rather close to each other!
Yeah that would be a good test, get loaded I say - to the moon! LoL
Thanks for the clarification, can you post what pairs you’ve tested and how are you testing.
Yes, you’re right. I also use Forex Tester 2 but I had not noticed this. The ADX looks like the built in one in MT4, which is faulty.
I’m no computer wiz, so I can’t fix it. But if someone knows how to they’re most welcome to help us convert the Wilder’s DMI indicator to a Forex Tester indicator.
Yes, you’re right. I also use Forex Tester 2 but I had not noticed this. The ADX looks like the built in one in MT4, which is faulty.
I’m no computer wiz, so I can’t fix it. But if someone knows how to they’re most welcome to help us convert the Wilder’s DMI indicator to a Forex Tester indicator.[/QUOTE]
I can program, albeit haven’t done so for years. FT2 stuff is written in Delphi which shouldn’t be hard for me to do, I’m on a week off next week I’ll have a plan then, I’d love to make an EA based in smiths systems, but that is far outside my realm of skills
Hi! I’m not forgotten the thread! I’m backtesting the channel breakout strategy on all majors and crosses, gold and silver and other crosses, with all the history I can get, but it is very time consuming and difficult. I’m integrating the MAE/MFE concept to the backtest to get the best results from the strategy.
When I have all the information I will complete the table and give results here.
Havn’t blown up, account growing - though the floating profit took a bit of a hit on Monday night (Aust time) due to too many correlated positions when US manufacturing data was released. More than half of this is back 24hrs later, though.
This is a risk I took with the understanding it could happen.
I have also started a demo account to try 55/20 channel trading using the Kelly criteria. Putting the formula on my spreadsheet suggests that with nearly 200 closed trades the optimal risk is 26.45%
[QUOTE=“Cyco;497221”]Havn’t blown up, account growing - though the floating profit took a bit of a hit on Monday night (Aust time) due to too many correlated positions when US manufacturing data was released. More than half of this is back 24hrs later, though.
This is a risk I took with the understanding it could happen.
I have also started a demo account to try 55/20 channel trading using the Kelly criteria. Putting the formula on my spreadsheet suggests that with nearly 200 closed trades the optimal risk is 26.45%[/QUOTE]
Id like to see the results of the 55/20 with Kelley. Any chance of keeping that updated here?
This (positional trading) is really the first trading system that actually makes sense to me.