How are you evaluating the slope of the 4h sma?
You cant just take any long trade where price is above the 4h sma as this would make no sense, the actual slope of the sma is the most important factor here as this is what indicated the strong trend.
Further you mention you only have 1 open trade at a time, what is the criteria to pick one pair over another if all the 3 ducks line up?
At the moment Iām not evaluating the slope at all, but unless Iām mistaken (which is quite possible) the slope wasnāt mentioned in either Andyās e-book or FXSnowballs additional rule that I used as starting point. If you wish tell me how you evaluate the slope, and Iāll see if I can come up with something to include the variable as a test, it would be fairly easy to add a rule of X pips in Y candles. On another system Iāve been playing with, I use a measure of Pips per Candle average, plus the ratio of Pos\Neg candles to insure a single event (like news) hasnāt skewed the results.
As mentioned earlier, Iām solely working with one currency pair, so that I can focus on what is best for that currency (in this case EUR\USD in case it makes a difference) working in this way, if the system doesnāt work spectacularly for one currency, it shouldāt bring the entire system down.
You are mistaken, the slope of the SMA is the single most important factor in choosing what pair to trade.
Just being above of below the sma is essentially irrelevant as this is not an indication of a trend and you could be taking trades in a sideways market which would make no sense given the 3 ducks is a trend following system.
To give you an example I am scanning abt 20 currency pairs a day and I usually choose the 2 pairs with the steepest slope on the 4h chart.
It is very important to keep an eye on the last part of the sma (from right to left) as you might have been in a strong trend for a while but if the end of the sma is starting to level out you might be better of looking for a pair that has not been trending as long but where the end is steeper.
I have no idea how you would be able to quantify that into a set of rules you could back test automatically but if you do figure it out I would love to hear the results.
Fair enough.
I must have missed that bit.
The obvious way to check the slope, would be to look for an average of x pips over y hours, and to do the test over several time periods to insure that your not rounding off. Can you do me a favour, and sticking with EURUSD can you give me a figure that you would consider a worthwhile trend in pips per hour or pips per 4hr candle or similiar. Then I can use that as a starting point, oh and how long you look at the last 10 candles, last 20 etc?? I know itās wonāt be an exact figure, but it should give me a starting point.
I am a visual person so I can give you an example.
The first circle is when I would consider this pair to be tradable with the SMA moving higher with the steepness of the slope accelerating.
At the second circle you can see the price dipped under the sma shortly and the slope is starting to decelerating and level out.
Despite the leveling out of the SMA at the second circle I would have considered the pair tradable until the break at the 19th of May.
Itās been advised numerous times on this thread that just using the basic rules automatically will lead to losses. I guess youāve proved that?
Itās also been suggested by many people to choose the most trending candidates as being higher probability. Rindoan suggests steepness of slope, I use that but will also factor in price structure as price can often extend away when the slope is steep leading to a big pullback before resuming the trend. That is my discretionary addition.
Thanks Iāve worked out that you first circle covers about 48 hrs, however I canāt read numbers on your chart on the right (probably my eyes to be fair) Iāve drawn 2 lines below could you tell me the values please?
I guess Iāve proved that blindly following the basic rules, will give you a small loss (although removing the news filtering, I actually make a very small profit), however what I can also tell you after looking at the results in more detail is that it has winning runs, and losing runs, if I can identify what is different about a losing run, on the charts before it happens, and rule out even 10% of the losses, then this then starts becoming more profitable than a bank account, which is definitely a step in the right direction. If nothing else remember I am back testing, not auto-trading, so even with my existing results, I now have 5 months of data, that I can study and decide when I should be trading and when I shouldnāt be trading.
Actually thinking about this we have an excellent trend indicator, which is the order and spread of the SMAs
By simply checking that all the SMAs are in order I actually turn a 16% profit, in 4-5months, which would be nice 
At one point it was up to nearly 30% but pulled back again.
Because I included fxsnowballs 200day SMA without thinking, I suspect that the trend detection will be very slow to react, so Iāll take that out of the trend detection, and just use it as a basic rule, like was intended, see what difference it makes.
Just load up a 4h chart of EURUSD and find the time period in question and read the numbers?
My head must have been somewhere else yesterday, I couldnāt see it and assumed it was a different year, today Iāve opened chart and see it clear as day. 150 pips.
Alright, back in full swing this week after the little detour markets took last week, and my reduction in trading activity due to the news.
Seems to me that GBPUSD and AUDUSD are nice pairs to trade on this system, at the start of this week. EURUSD and USDCAD are giving conflicting signals according to my analysis, so Iāll delegate them to the bottom of the āpotential trades to targetā list, for today.
US Dollar is also getting into the groove and trying to move higher. A rising tide raises all boats, I like to say, and therefore strength in the US dollar should give some jet-fuel to our bearish moves on GBP and AUD.
Letās get the snowball rolling againā¦
Off she goes, the GBPUSD.
Hope we can get some traction on the short trade. Longs have been whipsawed on the break of the Asian highs to the upside, and subsequent reversal. Now they will be scrambling to close positions, hitting stop losses and fuelling the downmove.
Well I run the back test over a longer period to make sure the profit wasnāt a fluke, and I can confirm that the code gives a 50% increase over approx 6 months. Although I think my margin requirements might be slightly wrong, and itās not stupid but I think it might be nearer 4% rather than the 2% I was planning for.
I personally still think the trend detection is too slow to react using the existing SMAs so it may be better with itās own short SMAs, so this is an obvious place to start tuning.
For anybody interest I have included a CSV which would be the trades it made in the last 6 months (only 80 odd trades.
2014-12-19 08:07:40,SELL,1.22832,2014-12-22 06:12:10,1.22546,0.00286,28.6
2014-12-22 09:55:25,SELL,1.22538,2014-12-24 08:31:20,1.21962,0.00576,57.6
2014-12-29 09:00:15,SELL,1.2181,2014-12-29 09:29:40,1.22189,-0.00379,-37.9
2014-12-29 11:00:35,SELL,1.21888,2014-12-30 07:45:00,1.21561,0.00327,32.7
2014-12-30 10:19:40,SELL,1.21521,2015-01-02 02:19:15,1.20512,0.01009,100.9
2015-01-02 07:00:10,SELL,1.20541,2015-01-04 22:00:15,1.19524,0.01017,101.7
2015-01-05 07:43:25,SELL,1.1942,2015-01-05 08:30:10,1.19726,-0.00306,-30.6
2015-01-05 09:01:25,SELL,1.19454,2015-01-05 13:15:10,1.19185,0.00269,26.9
2015-01-05 14:00:10,SELL,1.19125,2015-01-05 20:10:05,1.19451,-0.00326,-32.6
2015-01-07 07:00:00,SELL,1.18638,2015-01-07 08:01:15,1.18965,-0.00327,-32.7
2015-01-07 08:24:45,SELL,1.18752,2015-01-07 17:45:25,1.18356,0.00396,39.6
2015-01-08 08:58:45,SELL,1.17941,2015-01-08 13:58:50,1.17857,0.00084,8.4
2015-01-08 15:05:40,SELL,1.17728,2015-01-08 16:13:00,1.18032,-0.00304,-30.4
2015-01-09 07:00:00,SELL,1.17932,2015-01-09 13:25:40,1.18237,-0.00305,-30.5
2015-01-09 13:29:55,SELL,1.18113,2015-01-09 13:34:35,1.18077,0.00036,3.6
2015-01-09 15:10:45,SELL,1.1803,2015-01-09 15:33:50,1.18345,-0.00315,-31.5
2015-01-13 12:49:45,SELL,1.17809,2015-01-14 08:18:30,1.18113,-0.00304,-30.4
2015-01-14 09:28:15,SELL,1.17676,2015-01-14 10:14:30,1.17593,0.00083,8.3
2015-01-14 15:05:55,SELL,1.17723,2015-01-14 16:26:50,1.18033,-0.0031,-31
2015-01-15 08:00:35,SELL,1.17742,2015-01-15 09:34:10,1.16737,0.01005,100.5
2015-01-15 11:00:05,SELL,1.16839,2015-01-15 11:12:45,1.17156,-0.00317,-31.7
2015-01-15 12:38:00,SELL,1.17203,2015-01-15 14:49:55,1.16201,0.01002,100.2
2015-01-16 08:00:05,SELL,1.16311,2015-01-16 13:30:00,1.16144,0.00167,16.7
2015-01-16 13:31:20,SELL,1.1605,2015-01-16 15:41:35,1.15047,0.01003,100.3
2015-01-20 08:09:50,SELL,1.1578,2015-01-20 09:45:10,1.16085,-0.00305,-30.5
2015-01-21 07:07:35,SELL,1.15693,2015-01-21 13:17:50,1.15994,-0.00301,-30.1
2015-01-22 15:26:15,SELL,1.14437,2015-01-22 21:03:45,1.13429,0.01008,100.8
2015-01-23 07:27:35,SELL,1.13441,2015-01-23 09:03:30,1.12898,0.00543,54.3
2015-01-23 14:30:10,SELL,1.12117,2015-01-23 14:44:25,1.12443,-0.00326,-32.6
2015-01-26 11:27:15,SELL,1.12287,2015-01-26 13:19:10,1.12625,-0.00338,-33.8
2015-01-29 08:09:35,SELL,1.12764,2015-01-29 09:27:00,1.13064,-0.003,-30
2015-01-29 12:48:05,SELL,1.13,2015-01-29 14:00:50,1.13313,-0.00313,-31.3
2015-02-02 08:12:30,SELL,1.13066,2015-02-02 08:31:30,1.1337,-0.00304,-30.4
2015-02-10 10:04:35,SELL,1.12787,2015-02-10 12:08:55,1.13225,-0.00438,-43.8
2015-02-10 13:00:05,SELL,1.12869,2015-02-10 13:32:45,1.13182,-0.00313,-31.3
2015-02-10 15:32:30,SELL,1.12965,2015-02-10 15:41:20,1.13268,-0.00303,-30.3
2015-02-11 07:25:25,SELL,1.13079,2015-02-11 21:48:15,1.13391,-0.00312,-31.2
2015-02-12 07:01:45,SELL,1.1311,2015-02-12 08:30:00,1.13424,-0.00314,-31.4
2015-02-23 13:00:05,SELL,1.13023,2015-02-23 15:00:10,1.1335,-0.00327,-32.7
2015-02-24 07:00:00,SELL,1.13308,2015-02-24 11:28:40,1.13276,0.00032,3.2
2015-02-24 14:10:55,SELL,1.13167,2015-02-24 15:16:00,1.13505,-0.00338,-33.8
2015-02-26 13:45:05,SELL,1.12924,2015-02-26 17:40:20,1.11908,0.01016,101.6
2015-02-27 10:12:10,SELL,1.12128,2015-02-27 10:56:15,1.12431,-0.00303,-30.3
2015-02-27 11:59:10,SELL,1.12198,2015-02-27 15:08:20,1.12076,0.00122,12.2
2015-03-02 07:00:00,SELL,1.1174,2015-03-02 09:39:15,1.12047,-0.00307,-30.7
2015-03-02 13:37:45,SELL,1.12163,2015-03-03 07:04:10,1.12078,0.00085,8.5
2015-03-03 08:00:55,SELL,1.11968,2015-03-03 14:37:35,1.11864,0.00104,10.4
2015-03-04 07:00:05,SELL,1.11669,2015-03-04 15:21:15,1.10668,0.01001,100.1
2015-03-05 08:00:05,SELL,1.10516,2015-03-05 13:33:25,1.1083,-0.00314,-31.4
2015-03-05 13:52:35,SELL,1.10497,2015-03-05 14:34:45,1.10401,0.00096,9.6
2015-03-06 07:00:00,SELL,1.10144,2015-03-06 12:42:35,1.09616,0.00528,52.8
2015-03-06 13:02:10,SELL,1.09729,2015-03-06 13:33:20,1.09173,0.00556,55.6
2015-03-09 11:07:20,SELL,1.08754,2015-03-10 07:33:35,1.08166,0.00588,58.8
2015-03-10 08:03:35,SELL,1.07989,2015-03-10 09:10:30,1.07665,0.00324,32.4
2015-03-10 14:05:00,SELL,1.07518,2015-03-10 23:27:55,1.07051,0.00467,46.7
2015-03-11 07:03:35,SELL,1.06838,2015-03-11 10:12:15,1.05837,0.01001,100.1
2015-03-11 12:23:10,SELL,1.06177,2015-03-11 13:42:25,1.06063,0.00114,11.4
2015-03-11 13:48:40,SELL,1.05978,2015-03-11 15:28:40,1.05896,0.00082,8.2
2015-03-12 13:14:40,SELL,1.06142,2015-03-12 14:57:30,1.06447,-0.00305,-30.5
2015-03-13 07:00:00,SELL,1.05786,2015-03-13 07:52:55,1.06096,-0.0031,-31
2015-03-13 09:10:45,SELL,1.05984,2015-03-13 12:31:35,1.05963,0.00021,2.1
2015-03-13 13:00:05,SELL,1.05805,2015-03-13 14:32:50,1.0536,0.00445,44.5
2015-03-16 07:00:10,SELL,1.05194,2015-03-16 08:08:25,1.05509,-0.00315,-31.5
2015-03-16 10:53:45,SELL,1.05312,2015-03-16 13:07:25,1.05627,-0.00315,-31.5
2015-04-01 07:00:00,SELL,1.07605,2015-04-01 10:14:40,1.07505,0.001,10
2015-04-01 10:24:35,SELL,1.07517,2015-04-01 12:15:35,1.07817,-0.003,-30
2015-04-01 13:42:40,SELL,1.07546,2015-04-01 14:30:00,1.07862,-0.00316,-31.6
2015-04-01 14:51:25,SELL,1.07605,2015-04-02 05:45:25,1.07912,-0.00307,-30.7
2015-04-09 07:10:20,SELL,1.07708,2015-04-09 10:40:55,1.07618,0.0009,9
2015-04-09 12:44:35,SELL,1.07508,2015-04-09 17:59:55,1.06476,0.01032,103.2
2015-04-10 15:50:45,SELL,1.05955,2015-04-13 12:12:45,1.05522,0.00433,43.3
2015-04-14 08:00:05,SELL,1.05461,2015-04-14 11:01:40,1.05783,-0.00322,-32.2
2015-04-14 12:19:10,SELL,1.05595,2015-04-14 12:30:00,1.05927,-0.00332,-33.2
2015-04-15 12:05:05,SELL,1.0582,2015-04-15 12:30:15,1.06209,-0.00389,-38.9
2015-05-20 08:00:05,SELL,1.11013,2015-05-20 12:29:20,1.1138,-0.00367,-36.7
2015-05-20 13:16:40,SELL,1.11137,2015-05-20 17:47:15,1.11074,0.00063,6.3
2015-05-21 11:30:05,SELL,1.11457,2015-05-21 14:00:04,1.11378,0.00079,7.9
2015-05-21 15:00:01,SELL,1.11195,2015-05-22 04:00:46,1.11497,-0.00302,-30.2
2015-05-22 15:00:01,SELL,1.10272,2015-05-25 12:42:27,1.09901,0.00371,37.1
2015-05-26 09:56:59,SELL,1.09083,2015-05-26 12:08:01,1.09384,-0.00301,-30.1
2015-05-26 12:30:02,SELL,1.09069,2015-05-26 15:08:06,1.09037,0.00032,3.2
2015-05-27 09:38:13,SELL,1.0911,2015-05-27 13:49:40,1.08503,0.00607,60.7
2015-05-27 15:13:44,SELL,1.08652,2015-05-27 15:37:54,1.08959,-0.00307,-30.7
2015-06-01 08:38:09,SELL,1.08986,2015-06-01 11:40:03,1.09287,-0.00301,-30.1
2015-06-01 14:02:45,SELL,1.09314,2015-06-01 16:42:54,1.09182,0.00132,13.2
Like the new charts, nice and easy to read.
Contrasting a trade that works off the gate with one thatās not really moving below.
> Not really much traction on the AUDUSD short, so I cancelled my trade entry order. Not interested in participating in this pair today.
> On the other hand, GBPUSD broke the lows of the session and is consolidating. Hereās to some continued momentum lower ā¦
Nice work Drum.
Iām a visual person, so here are the results in cumulative pips on a chart below. 550 pips from 1 pair in 6 months is not too shabby. Letās try to improve these results though.
Set your algorithm to only accept 1 loss making trade per day. Shoot the dice, if it doesnāt work out, then wait for the next day to trade. This will take care of some of the severe drawdowns.
I notice that you have loss making trades of >30 pips, even though your stop loss is fixed at 30 pips. Why?
Also attached is a histogram with the distribution of returns. I assumed that a loss of 30 pips = 1% loss.
If my calculations are correct, almost half of your trades end up loss making. You are making profits because the Reward:Risk is more than 1.
To improve on this, I personally use trailing stops. Therefore, by bringing my stop loss to breakeven once I have a R:R of 1:1 (ie once I am in 30 pips profit), I shift my histogram of returns to the right. Most of my trades end up in the buckets -0.5% to 1.0% (treading water) but since the skew of the histogram is to the right, the outliers, ie the ones that take off and give 50-60-100, make up a good return.
Take care of the downside, and the upside takes care of itself.
In your program, try using trailing stops to see if it improves point no.3.
Hope this is interesting for everyone else as well.
What I mean by positive skew for a plot of your % daily returns.
This is what I aim for, during my month-end reviews.
Cheers to Snowball and Drum
What an indepth study. Thanks guys for all the hard work!
I took the short on GBPUSD. Hoping that when the US market opens the Dollar bulls join in the game.
Happy pip collecting
