Trading Systems in 'New Concepts In Technical Trading Systems' by J. Welles Wilder

Trading Systems Free Forex Trading Systems
447

Hello,

I’ve done some more VS backtesting. I took EUR/GBP next, and it was quite a disappointment. I hardly found any parameters yielding a positive result. The recommended factor are 2.8 … 3.1 yielded negative results for any number of days. The best I could find was 4.3 for 8 days’ atr, 400 pips. 400 pips total in 10 years! The highest score was a bit above 1000 around years 2003-2005. No reasonable help from any locking of profits. On the other hand, the highest negative results with any of the parameters were around 2000 pips, so there seemed to be some sort of limit for the losses (shoud that make somebody happy). If I ever end up in trading VS live (which I really hope), I won’t even look at this pair. Anybody having EUR/GBP open by VS, shout “hep”!

balaji3003: I saw two potential RTS trades last night. … a potential EUR/GBP short trade(Today is S day)

I look forward to learning the other methods as well… maybe EUR/GBP is excellent in something I do not know yet.

Then USD/JPY. Best parameter pair I could find: 2.9 and 7, almost 60 trades, total result 2300p. But the total result of this pair went negative several times along the way. This is better than EUR/GBP, but I wouldn’t still rank this very high. 2 trades went over the magical 1000p, but 6 peaked there. With an equivalent reasoning as I did for EUR/USD, using a trailing SL around 900p, which seems to be a bit more optimal than 1000p, I calculated a total result of over 5200 pips. This gives me a bit more trust in using some sort of stops or limits when we are approaching the highest ends of trends.

I would like to emphasize that I understand the stopless nature of VS, and I would not use any stops in the low or negative pip areas, just waiting for the signals. But rather I would like to find some other indicators that would have some correlation with good and bad trades. Ingot54 wrote in his thread about his rainbow indicator that was quite handy for easily seeing certain types of long-term trends, and that has caught at least my interest. I would like to do some analysis one day, if any counter-long-term-trend VS trades are worse than the others. Any point in doing that?

J.

448

Good morning!

Dale- I’m all done on my side just waiting for them to get my mailed documents. Then I’ll fund my account and be good to go.

I decided to start a trade journal. With $1k I trade between 1-2 lots, which keeps me between $15-$20 margin depending on the instrument. Here are my trade results so far.

GBP/CAD +42 pips (SI)
AUD/CHF +38 pips, $7.70 (RT)
CHF/BGN +$5.30 (RT) Broke rule, ADX was low, and on the day I was supposed to go out it was at -$4 so I waited till the next day and It turned arround.
GBP/BGN -30.00 (SI) Impulse Trade, I trippled trade size, since I felt it would go my way! I know stupid stupid.
CAD/JPY +85 pips, $16.50 (SI)
GBP/CAD +90 pips, $9.00 (SI)

Cheers,
Randon

449

Hey,

It seems to be working out well for you. I happy for you.

As I go along from day to day I find I’m constantly ‘tweaking’ the ‘odd thing’ here and there so here’s a update on what happening NOW:

I find that of late the best trades I’m doing are with the RTS and LRC’s. I’m not ‘sticking doggedly’ to the RTS sequencing either. All I’m doing is watching the price on those pairs that have the very lowest ADX(14) AND ADXR(14) values (which MUST be below 20 - 25 of course). If the price starts to go down during the day then I’ll be looking to buy at whatever RTS level is nearest the lower LRC line and if the price starts to go up during the day then I’ll be looking to sell at whatever RTS level is nearest the upper LRC line. If the order is hit then I’ll set the TP to whatever the current value is of S1 or B1. If S1 or B1 is not hit on the same day then I’ll adjust it the next day and so on and so forth. If the price CONTINUES on down the next day (if I’m now long) OR continues on up the next day (if I’m now short) I’ll repeat the same process of buying or selling as decribed. So far I’ve not had to realise a single loss on any position. Depending on your ‘risk tolerance’ you may either buy or sell at the nearest RTS line INSIDE the LRC (more risky) or buy or sell at the nearest RTS line OUSTIDE the LRC (less risky, higher profit, but fewer trades).

Also: I ‘play around’ a bit with my money management rules as well. I NEVER allow a single position to exceed 1.875% of my capital (assuming 200:1 leverage) BUT a single position NOT meaning ‘per instrument’. In other words: if I end up for some or the other reason having 2 lots open on a single instrument / pair then that is counted AS 2 lots and of course it means that I have exceeded my original rule of not risking more than 1.875% ON A SINGLE instrument / pair BUT I’ll never exceed a total layout of more than 15% - 22.5% of my capital at any one time. This is working ‘perfectly’. (By the way: I need to update my money management rules table that I posted earlier i.e. I think I was wrong back then. My 1.875% / 15% - 22.5% money management rule assumes leverage of 200:1 and this is my ‘sweet spot’ BUT I’ve noted that the LOWER your leverage THE MORE capital is required and NOT the other way round as I think I posted earlier).

450

I thought I’d also add that I try to enter trades somewhat close to a support level that is below market value if I’m going long, or close to a resistance level that is above market value if I’m going short. I don’t always get executed but it seems to be doing well for me. On the other hand if I catch the break on the ASI chart right as it happens I might just enter at market.

451

Hello!

I developed a bit quicker way to check the pairs with respect to the Volatility System and got some interesting results, at least according to my opinion.

Elite league:

++ EURUSD (see earlier)
++ USDCHF: parameters 3.0/9, 5400 pips, 44 trades, results over 1000p: 2, peaked over 1000p: 10

Quite good ones:

  • GBPUSD: parameters 2.7/10, 3200 pips, 59 trades, results over 1000p: 2, peaked over 1000p: 8
  • USDCAD: parameters 3.1/10, 3000 pips, 41 trades, results over 1000p: 2, peaked over 1000p: 4
  • USDJPY: parameters 2.9/7, 2300 pips, 58 trades, results over 1000p: 2, peaked over 1000p: 6
  • EURCAD: parameters 2.9/7, 1100 pips, 51 trades, results over 1000p: 2, peaked over 1000p: 11

I also made an excercise with EURCAD about taking the profit after 500p. The total result rose over 5000p. I start to be quite convinced that there is some reasonable limit where it is profitable to take the money you’ve got instead of waiting the signal. It would be nice to find a rule for determining that point for each pair.

It seemed that one feature of these was that you could change the parameters quite a lot without turning the results negative.

“Mutasarja” - at least I would not touch these:

– EURGBP
– EURJPY
– EURCHF
– CHFJPY
– CADCHF
– CADJPY

I could not find any parameters to bring these to a positive result. Or if there were some, they were quite odd ones and the result was negligible and turned quickly negative by shaking the parameters a bit.

And the worst of all:

— GBPJPY

This one showed the biggest individual profits (!) and losses and longest and biggest chains of consecutive losses. Seemed very unstable and unpredictable. Worst total results with any of the parameters. I could not figure any reasonable way to get consistent income from this with VS.

Comments are most welcome.

J.

452

Hello,

J.:

‘Me thinks’ you should open a demo account and start trading the VS!!! I think you’ll be more than surprised (and happy) with the results. Me: I have not realised a single loss with the VS YET. Now I’m NOT saying it’s NEVER going to happen because we ALL know that it WILL happen sooner or later. I see what you’re saying about EUR/GBP for example but are you taking into account the ATR(14) values when selecting pairs to trade with the VS??? Remember: the VS is the ‘Volatility System’ and so you’re looking for volatile instruments / pairs to trade with it. Remember: VOLATILITY = ATR!!!. Also: as I have said before: there is quite a bit of ‘contradictory’ information in ‘the book’ when it comes to what systems to use and when and when to stay in the trade and when to be ‘out’ of the trade but you need to work through this and come up with a solution that ‘fits all’ as it were. For example: what if you’re in a valid VS trade BUT now the ADX line drops below both +DI / -DI??? The pair is no longer trending at this point and is probably going to reverse direction at some point soon??? So: do you TP now or wait for the VS to give you a SAR signal??? You know: stuff like that!!! All I’m saying is that I’m no big ‘fan’ of ‘computerized backtesting’ (no matter HOW you do it) and I’d be very surprised if the VS results in huge losses in the long run as you describe. Also remember that Wilder himself ‘alludes’ to the fact that of all the systems in ‘the book’ the VS is POSSIBLY the most profitable.

453

Right!!! Well!!! End of the trading month and closed out early today!!! I THINK I deserve to!!!

I hope everyone has done well!!!

The results for my client accounts range between 15% - 56% gain on capital for the period 1 April 2008 - 30 May 2008 (the differences being largely due to the fact that not all accounts were opened at the same time i.e. the 15% gain on capital represents the gain on a particular account that was only traded from the second week in May so even THAT is not too bad I don’t think. And ALL of these results are IN SPITE of AUD/NZD which is still open)!!!

(I’m no longer posting the %tage gains on my own accounts here because some of my clients have a problem understanding that my gains WILL be higher than theirs simply because of the commission being earned in addition to profits made from trading).

Anwyay: again thanks to all of you and of course a BIG thank you to ‘the man’!!!

Have a GREAT weekend and of course ALWAYS looking forward to the next month of trading!!!

454

Hello, Dale!

Yes, going there! I already have a demo account suitable for that and have been looking for a signal a couple of weeks for half a dozen pairs without success. But what I just realised is that actually the current values of some pairs are below the most recent signals, meaning that I could open a better position now than when the signal occurred. I just need to put together a decent money management strategy first and formulate rules for entry and exit. Enty is clear with respect to the signals, but I think there needs to be an upper limit of concurrently open positions. If there is a maximum number of positions open and a great signal occurs, I also need to consider whether to close one of the open positions, and which one…

Yes I did. I experimented with a number of different parameter combinations, and I think that my backtesting can show some valuable characteristics about each pair. I repeated the test for EUR/GBP with ATR(14), factor 3.1, and here is some more statistics I found interesting:

Of the last 30 trades (last 4 years), 19 did not ever peak over 100 pips above the signal. Only 4 peaked over 200p. I would interpret this that the trend will end or turn very probably very soon after the signal, and I would like to see the potential targets higher than what this pair is willing to give. Considering that aiming at TP at the peak means more luck than skill, I would not see the risk worth taking.

I think that in case of EUR/GBP there sure is volatility, but it is outweighted by that pair’s exceptionally strong and quick movements that VS cannot adapt to.

As the different pairs have different behaviour, I find it useful to determine the parameters by backtesting, thus trying to optimise the profits, and not just selecting the parameters by hunch.

Thanks a lot for this comment! I think that if you can define a great way for finding out the ending of a trend, it will be the jackpot for this system. I’ll try to formulate some rules for myself for that are based on what I have learned about various indicators so far.

I also agree that there is a limit of the usability of backtesting and you need to get experience with real-time data as well before grading a strategy. I want to get a grab on a method when you are making decisions without knowing about the future, but I want to have as well some backtesting data to be able to say whether the odds are for or against me. I regard the following benefits of backtesting as the most important for me:

  • go / no go decisions for strategies and pairs
  • parametrisation
  • time saving

Looking forward to get the ordered book,
J.

455

Real glad to see you doing so well Dale. A testament to your tenacity and strength and should be an object lesson to many

456

Good (Sunday) evening all!!!

Nearly time to get going you know!!!

Tony:

Thank you ever so much for the kind words. To be honest: I STILL find it just a ‘tad’ hard to believe that I’ve gone from ‘wiping out’ account after account to THIS i.e. there was no ‘middle of the road’ for me but at some point I think I have to say to myself ‘well, whatever you’re doing now is working so accept it and be grateful’ (which is pretty much the point I’ve now arrived at). I DO constantly remind myself though: ‘NEVER GET TOO CO*KY OR TOO SURE OF YOURSELF’!!! THAT always leads to ABSOLUTE disaster as I have found out the hard way in the past and EVEN IN the past four months or so i.e. when things started to ‘turn around’ I STILL made one or two trades based on the ‘well it seems that I can do NO wrong now’ ‘phenomenon’ and had it not been for my money management ruls (which I have INDEED been able to ‘stick’ with) these trades would have spelled DISASTER (again)!!! Treat the market (and the brokers) with respect and the market (and the brokers) will reciprocate!!!

I always check your posts as you always have good advice and a sound knowledge (I just ‘elected’ to NOT ‘bug’ you)!!!

To be honest: my success is the reason I get so ‘upset’ when I see people losing money i.e. there is just no reason for it (and I can say that in SPITE of my ‘mess’ last year)!!!

Anyway: I’m still a long way off from getting back to ‘where I was’ last year but at least it is now a reality that I will (and then some)!!!

Again: thank you for the post. Much appreciated.

457

Here,

I just thought I’d attach my ‘Daily ADX ADXR CSIADXADXR’ worksheet up to date as of right now.

The purpose hereof is to demonstrate just how many entry signals ONLY TWO of the systems from ‘the book’ generate on any given day. How you trade them (the systems I mean NOT my signals as detailed) is up to you of course i.e. follow them through or TP at certain RTS levels etc. etc. etc.

Have fun and good trading this week / month!!!

Daily ADX ADXR CSIADXR 01062008 2105.pdf (13.7 KB)

458

Hi Dale,

Glad things are looking up for you. You’ve helped a lot of people (including me) and you deserve it. I hoped to open my delta account last week, but I couldn’t find a utility bill to send to them for verification anywhere, because all of my bills are paid online and deducted automatically from my bank account. So, I had to request a paper bill, which I just got in the mail yesterday. So hopefully by the middle of the week I will be “up and running” for real.

I am tempted to get back into the TBP system, which I initially had great success with. I used to trade 10 pairs with it, and there were quite a few days where all 10 pairs hit their targets no problem, but then I started to increase my lot sizes and what do you know, I started losing trades. You brought up using the TBP system with low adx/adxr pairs, but only take trades in the direction of the LRCs… I really want to try this out and I will let you know how it works once I get my account up. On my demo account I have two open VS trades, chf/jpy and gbp/chf that are both in profit at the moment… I could have had a few others but I’ve been a bit lazy the past week and haven’t been updating my charts at 1h 00m delta time.

459

Hello Nick,

Thanks for the good wishes and kind words. ALWAYS needed and appreciated!!!

I’m ‘tempted’ MYSELF to try out the TBPS again using LRC’s!!! Basically, if you have a look at the work sheet that I posted, that’s pretty much what I’m doing with the RTS and SIS trades i.e. only taking entries where the SIS or RTS signals are in the same (general) direction of the LRC’s (14,100). This is the first week that I’m ‘laying it out’ the way I did in the work sheet that I posted so I’m also keen to see MYSELF if this ‘pushes’ the ‘profit envelope’ EVEN MORE!!!

460

By the way:

Just one observation about the TBPS with LRC’s:

Just remember that it’s NOT ENOUGH to JUST take trades because the MF is telling you to do so and the signal is in the same direction as the ‘slope’ of the LRC’s i.e. there MUST be ROOM for the price to move WITHIN the LRC’s because remember that if the price is at or near the top or the bottom of the LRC’s and ADX/ADXR is low then the chances are that the price is going to ‘bounce’ off of the top or the bottom channel so that’s why it’s important that there is enough room for the price to move in the indicated direction AND hit the TP BEFORE it hits either the top or the bottom channel.

461

One more observation (I’m ‘on a roll’ today):

One OTHER thing that you may want to consider with ALL the trading systems in ‘the book’ is ADX and the ‘state’ of +DI and -DI. In other words (using the TBPS as an example): only take long trades when +DI has crossed above -DI (obviously the opposite applies for a short trade) AND (this is important): the gap between them is WIDENING i.e. they are moving apart. The more I ‘factor in’ Wilder’s ADX/ADXR the more I admire its concept!!! I mean: if you want to see something fantastic then just take a look at the high or low reached on the day of a +DI/-DI crossing!!! Just like ‘the old man’ says: whatever level that is becomes a ‘key’ level. Take a look see.

462

Good (Tuesday) morning everyone!!!

I get NERVOUS when I see this thread moving down on the main page!!!

(I think this is called a ‘bump’)!!!

I hope everything is going well everyone!!!

463

Good Morning!

Here are my trades, about a weeks worth of them, didn’t do RT trades till yesterday so I could focus on SI. Now that I feel like I’ve got the hang of SI I’m doing both:
GBP/CAD +42 pips (SI)
AUD/CHF +38 pips, $7.70 (RT)
CHF/BGN +$5.30 (RT) Broke rule, ADX was low, and on the day I was supposed to go out it was at -$4 so I waited till the next day and It turned arround.
GBP/BGN -30.00 (SI) Impulse Trade, I trippled trade size, since I felt it would go my way! I know stupid stupid.
CAD/JPY +85 pips, $16.50 (SI)
GBP/CAD +90 pips, $9.00 (SI)
GBP/CAD -20 pips, -$2.00 (SI) mistake, not impulse
GBP/USD +70 pips, +$18.00 (SI)
AUD/CAD -20 pips, -$2.00 (SI) mistake. not impulse
AUD/CAD +10 pips, +$10.00(SI) mistake, not impulse
USD/TRY -130 pips, -$24.00 (SI) didn’t account for spread when I placed my stop
GBP/CAD +119 pips, +$35.00 (SI)
EUR/CAD +60 pips, +$6.00 (RT)
CHF/BGN +40 pips, +$8.50 (RT)
AUD/USD +40pips, +8.00 (RT)
CAD/CHF +60, +12.00 (SI)

Up 7.4% in a week. I’ve got afew trades open and looking good. As you can see I’ve got plenty of room for improvement too.:smiley:

P.S. If you’ve got a weird sense of humor like mine you’ll find this funny.
eclectech : the tinfoil hat song

464

Hello,

I completed my study of VS pairs and accepted the following ones in my set:

AUDCHF, parameters 2.9/5
AUDJPY, 2.8/13
EURAUD, 2.7/11
NZDJPY, 2.9/12

The following ones were rejected:
AUDCAD, AUDNZD, AUDUSD, NZDUSD
and finally EURNZD which was as bad as GBPJPY, if not worse.

My next step: I tuned my bactesting program so that I can use it to calculate the status of all of the pairs I am interested of. I just download the latest data from MT4 and run my program. Downloading takes just a couple of minutes, and running the program a couple of seconds - much easier than with Excel. (I might tune this further to make also the download automatic - could Delta’s API be used for that? - but I haven’t bothered to study that yet.) Here are the output from yesterday and today. I got the first signal from USD/CAD as you can see in the listing below. So there it is - a fresh position open in a fresh Delta demo account. I also opened EUR/USD, which hasn’t changed that much yet. The others I ignored to wait for a better day.

Data in the table is encrypted followingly
Pair, date of the latest signal, direction of that signal (Short/Long), the value of the signal, _current value, difference in pips (now-signal), current sar, difference to sar in pips, biggest drawdown so far, highest peak so far.
Total = sum of all pip differences. I am now demo trading in such way that every pip will cost roughly the same for every pair, making also sense in this value.

Yesterday:
EUR/USD 01.05.2008 S 1.5467 _1.5523 -56 sar=1.5731 208 d=351 p=183
USD/CHF 24.04.2008 L 1.0351 _1.0370 19 sar=1.0237 133 d=137 p=274
USD/JPY 02.04.2008 L 102.30 _104.32 202 sar=102.86 146 d=228 p=357
USD/CAD 19.05.2008 S 0.9913 _1.0017 -104 sar=1.0062 45 d=112 p=95
GBP/USD 01.04.2008 S 1.9773 _1.9616 157 sar=1.9783 167 d=276 p=410
EUR/CAD 05.05.2008 S 1.5686 _1.5550 136 sar=1.5786 236 d=86 p=408
EUR/AUD 23.04.2008 S 1.6759 _1.6276 483 sar=1.6554 278 d=29 p=578
AUD/CHF 08.04.2008 L 0.9444 _0.9889 445 sar=0.9734 155 d=267 p=637
AUD/JPY 07.04.2008 L 94.67 _99.52 485 sar=98.24 128 d=197 p=639
NZD/JPY 18.04.2008 L 81.88 _81.74 -14 sar=80.19 155 d=338 p=113
Total = 1750

Today:
EUR/USD 01.05.2008 S 1.5467 _1.5451 16 sar=1.5790 339 d=351 p=183
USD/CHF 24.04.2008 L 1.0351 _1.0406 55 sar=1.0185 221 d=137 p=274
USD/JPY 02.04.2008 L 102.30 _104.97 267 sar=102.13 284 d=228 p=357
USD/CAD @@@ LONG 1.0112
GBP/USD 01.04.2008 S 1.9773 _1.9547 226 sar=1.9802 255 d=276 p=410
EUR/CAD 05.05.2008 S 1.5686 _1.5619 67 sar=1.5803 184 d=86 p=408
EUR/AUD 23.04.2008 S 1.6759 _1.6056 703 sar=1.6402 346 d=29 p=708
AUD/CHF 08.04.2008 L 0.9444 _1.0010 566 sar=0.9685 325 d=267 p=637
AUD/JPY 07.04.2008 L 94.67 _100.95 628 sar=98.24 271 d=197 p=640
NZD/JPY 18.04.2008 L 81.88 _82.16 28 sar=80.02 214 d=338 p=113
Total = 2553

So - this is no more backtesting but cold, up-to-date data. Had I opened all of these positions when their signals occurred, it would have so far made 2553 pips in 2 months (minus the loss for USD/CAD). Of course this would not be the whole truth, as this figure ignores all those trades, positive or negative, that would have been closed for one reason or another during this period. But anyway, I might think that it is not that bad.

Let’s see how this goes. My demo account is 0.1% up right now.
J.

Edit on the next day: I just realised that of course the latest bar is not complete when I download the data. So a signal is shown above for something that may be above the sar, but the bar may still close below it. I wonder how crucial this is. The purist’s approach would be to wait until the bar is close, but I valuate my sleep more than being awake at the closing time, and rather check the situation in the morning, and then ignoring the incomplete bar in my calculations. The difference should not be that high. This time it seems that I had some additional luck: the signal for USDCAD got generated yesterday from an incomplete bar, but I happened to open a position that early that it yielded some 40 pips extra.

465

Good Morning(NOT),

I lost all my gains this week and then some. I won’t bother listing all my bad trades. I’m down 10% this week. Money management was followed. Where I screwed up I think is not spending enough time studying the charts before I made my trades. The next day I’d go back and look at them and I don’t know HOW I ever read the chart so wrong. That coupled with properly executed trades that went bad. So I hope next week goes better. After this week I’m kinda hesitant to fund my account so soon though.:frowning:

466

Dear experienced Traders,

Now I would really appreciate some grounded comments about the following situation at hand with my demo positions:

I have opened a couple of days ago USDCAD according to the signal, and it is now on profit.

I also shorted a couple of days ago EURUSD that was close to the initial signal that occurred a month ago, and it was heading to the correct direction. (Was that a bad idea in the first place, regardless of what has happened after that? Let’s assume that I opened the position on the day of the signal.)

Now some fundamental event has taken place and there have been drastic turns with a number of pairs, leading EURCAD to pass the sar today, being already 100p beyond it. I went to open the position already today, maybe again a bad idea not to wait the closing of the bar, but let’s assume in this speculation that the bar was already closed.

So, there are 3 positions that hedge each other. USDCAD is fine. EURUSD is trending heavily in the wrong direction, but there is still distance to the sar. EURCAD is also heavily trending (the new sar is about in the same place as the old one).

I have thought that there is no point to have a set of hedging positions, so I decided to take the loss and close EURUSD in favor of EURCAD, because of the directions of the trends.

What would you have done in this situation and why:

a) Close EURUSD and open EURCAD like me
b) Just open EURCAD
c) Not open or close anything
d) Something else, what?

Thank you very much in advance for your thoughts and opinions! I’m trying to learn whatever I can from this situation.

randont: I think that you are experiencing the same fundamental events that I am wondering here. But let’s not give up!

J.