Took a hit on this one. Missed it buy about 3 pips here too. Too bad. I used a 20 tp and 30 sl.
Really? Maybe I guess our entries are a little different, I use the same TP/SL.
Sold at 1.6459, SL(30) 1.6489, TP(20) 1.6439
My entry price was a bit lower than what was in the usually price determination period. Used Fridayļæ½s 11:15 am low.
On my system the sell price went as low as 1.64379 (which means a buy of about 1.6442).
What did you use for entry price?
Sell at 1.6466 and TP was taken at 1.6446 NS MY SL was at 1.6436. I use FXCM so I take the BUY price and subtract 6 pips for my sell price.
Iām not sure what Clint or TREV are doing now as they used to use smaller targets and trailing stops (Clint had a 10pip target with a set 30 pip stop loss, TREV a 30SL and 5pip TS) but I believe trades were closed much earlier if the price action looked dodgy.
If you canāt set the orders and look at the charts then you better go with a set and forget strategy in which case you need to make sure that 1 loss does not wipe out 3 wins, etc.
Have a look at the link in this post. I am going to redo these in a few days.
I think generally:
(A) Lower TP, higher percentage of wins, need to nurse the trade more.
(B) Higher TP, less percentage of wins, set and forget.
ā¦in simplistic terms.
[B]As promised, here are some of the results of various strategies from 01 June 2009 to 24 August 2009.[/B]
- Only 1 order per day is entered, as soon as 1 triggers, the other order is cancelled.
- The overnight period runs from 1800 to 0400GMT inclusive - this means that the entire 1800 & 0400GMT candles are also counted for the period highs and lows, ie the order goes into the system at 0400GMT.
[B]- No account of trendlines, S&R, or news are made in these tests, which should of course increase your win rate if you use them carefully.[/B] - The figures shown are based on 2 lots per trade, remember to readjust according to your account risk.
- [B]You should only really look at the following on each report: percentage profit/loss trades, consecutive win/losses, and profit factor. The net win is a good guideline but depends on your personal lot size - it does not divide by the exchange rate so in reality figures are a bit lower.[/B]
- Ticks are based on my broker, you may see some small differences between the figures because of this.
- I stopped increasing the target profits on each group as soon as the profit factor maxed out on the level.
- I have tried to include as many of the strategies that I have seen mentioned on this thread, let me know if Iāve missed any. There are too many variations to test when you include things like breakeven points, traderās preferred style, stepped trails etc. so I am not going to test these, the guidelines below should give you an idea.
[B]SL = stop loss, TP = target profit, TS = trailing stop, MB = move to breakeven
Anything with a profit factor less than 1.00 means a loss over the 3 month period.
If 2 strategies have the same profit factor, you will win more going with the one that has the higher TP - check the net profit on the reports.[/B]
[B]The trailing stops[/B]
30SL 5TS Profit factor 1.35 Win/Loss 90:10
30SL 10TS Profit factor 1.39 Win/Loss 80:20
30SL 20TS Profit factor 1.35 Win/Loss 64:36
[B]The 10s[/B]
10SL 10TP Profit factor 0.96 Win/Loss 49:51
10SL 20TP Profit factor 1.30 Win/Loss 41:59
10SL 30TP Profit factor 1.63 Win/Loss 37:63
10SL 40TP Profit factor 1.85 Win/Loss 34:66
10SL 50TP Profit factor 1.98 Win/Loss 31:69
[B]The 20s[/B]
20SL 10TP Profit factor 1.18 Win/Loss 69:31
20SL 20TP Profit factor 1.18 Win/Loss 54:46
20SL 30TP Profit factor 1.50 Win/Loss 51:49
20SL 40TP Profit factor 1.73 Win/Loss 48:52
20SL 50TP Profit factor 1.77 Win/Loss 43:57
20SL 60TP Profit factor 1.98 Win/Loss 41:59
20SL 70TP Profit factor 2.01 Win/Loss 38:62
20SL 80TP Profit factor 1.45 Win/Loss 28:72
[B]The 30s[/B]
30SL 10TP Profit factor 1.20 Win/Loss 77:23
30SL 20TP Profit factor 1.19 Win/Loss 64:36
30SL 30TP Profit factor 1.51 Win/Loss 61:39
30SL 40TP Profit factor 1.53 Win/Loss 54:46
30SL 50TP Profit factor 1.47 Win/Loss 48:52
30SL 60TP Profit factor 1.64 Win/Loss 46:54
30SL 70TP Profit factor 1.67 Win/Loss 43:57
30SL 80TP Profit factor 1.34 Win/Loss 34:66
[B]
The 40s[/B]
Iāve not bothered with the TPs of 10, 20, and 30 here for reasons as proved above, ie a R:R of less than 1:1 has lower profit factors.
40SL 40TP Profit factor 1.63 Win/Loss 62:38
40SL 60TP Profit factor 1.68 Win/Loss 53:47
40SL 80TP Profit factor 1.48 Win/Loss 43:67
40SL 100TP Profit factor 1.66 Win/Loss 41:59
[B]The 50s[/B]
Iāve not bothered with the TPs of 10, 20, 30, and 40 here for reasons as proved above.
[I]Edit: at request added 50SL 30TP Profit factor 1.57 Win/Loss 72:28[/I]
50SL 50TP Profit factor 1.49 Win/Loss 60:40
50SL 75TP Profit factor 1.57 Win/Loss 52:48
50SL 100TP Profit factor 1.52 Win/Loss 44:56
Remember, this is back tested data; it makes no assumptions for what will happen going forward but is a good guideline.
You must choose which strategy is best for you. All the above strategies use the same lot amount and are therefore compared relatively. There is no reason why you couldnāt win the same amount going for the lower profit factor strategies but having a higher lot size.
[I]Edit: Take note of the average consecutive wins and losses on the reports to give you an idea of what youāre letting yourself in for with each strategy.[/I]
[I]ProfitFactor = GrossProfit / GrossLoss[/I]
[I]What some of the report items mean: Strategy tester - what items in the report mean[/I]
Let me know if anything looks odd or you have any questions.
Personally, I like any of the 50:50 win:loss strategies with a positive profit factor - I can cope emotionally with this success rate. Any less and I start to get worried even if the stats tell me it wins more but thatās me.
Enjoy 
Fascinating stuff, SM. Been looking at that for the last 15 minutes.
The thought of using a TS instead of a TP is intriguing to me, particularly since I set these before bed and they run through the night. Making use of a TS might allow for greater gains than a conventional 20 pip TP, assuming thereās not much retracement going on in the initial breakout. Has anyone noted whether this is true?
Great batch of info there SanMiguel! I decided to put it all into an excel spreadsheet so I could fiddle around with the data if anyone else wants to have a nosey at it, Iāve attached it to this post (I hope!)
The profit factorās got me a little confused though, how does it work it out? The overall Profit/Loss is best on SL of 40 and TP of 100 yet the profit factor of that combination isnāt the highest 
Oh, and I didnāt add the 50 SLās as I would never be able to get back to sleep knowing that I could lose that much in a few hours while Iām sleeping!
My dreams are cruel enough as it is, the 2 times Iāve woken up just before 5 to set the trades up, once I get back to sleep I have dreams where it hits the TP easily and one time the broker didnāt do the TP order so I ended up 100s of pips up! Felt so real then I woke up to find Iād stopped out again lol
Edit: Should have mentioned, Iām tempted by the 20SL 70TP and skip the Monday trade
London Breakout.zip (5.88 KB)
Hi, guys
Iām in the process of doing an analysis of this morningās aborted trade. Most of us took another hit this morning; and it was a
nasty one ā because we came [I]this close[/I] to squeaking out a win. Iāll post my analysis a little later.
[B]Right now, I want to congratulate all of you[/B] for the way you are evaluating Mondayās disappointing results, working to make improvements to this strategy, and sharing your ideas with the group.
You guys are acting like professional traders ā and I predict that most of you will be among the 5% of amateur traders who
go on to become successful professionals.
Letās shrug off this morningās loss, figure out what we did wrong, and avoid making the same mistake in the future.
[B]I want to single out SanMiguel for special congratulations[/B] for doing an extraordinary job of back-testing our various methods,
and for producing an immensely useful data set.
I am impressed with what you have done, SanMiguel. High fives to you, my friend.
More later.
Clint
Check the net profit between the reports, that tells you whatās most profitable. The 5TS looks good but itās not as good as some of the straight TP strategies. The success rate of the 5TS is very high though but you might only get 5 pips sometimes.
Trailing stops are very hard to get rightā¦optimising for maximum profit but not stopping you out too early.
The profit factor is:
ProfitFactor = GrossProfit / GrossLoss
You simply win more because you are gunning for more pips but you also lose more when you lose. Itās the same as saying on a 10/20 you only win 20 pips when you win but on a 50/100, you win 100 pips when you win, so although the profit factors might be the same ratio wise you actually win more with the higher TPs.
Some of the others are covered here though the main ones in the report probably speak for themselves: Strategy tester - what items in the report mean
A re-cap of Monday morningās losing trade:
We had a beautiful, narrow, well-defined channel Sunday night. The only problem was: It was inclined, instead of horizontal.
Take a look at the yellow channel on the 5-minute chart below. And look at the breakout from that channel, marked by the yellow arrow. If that channel had been horizontal, we all would have had successful Short trades this morning.
Two things occur to me: B[/B] we could decide not to trade set-ups that look like this, or (2) we could develop a new strategy for straddling an inclined channel and capturing breakouts like that yellow arrow.
Until we can successfully accomplish item 2, above, we probably should stick to item 1 ā that is, until we devise a method for handling breakouts from inclined channels, we probably should not trade them.
I didnāt like that channel last night, but I would have bet money that it was setting up for a breakout to the upside. Such a breakout probably would have worked for us. I didnāt give serious consideration to a breakout to the downside ā which begs the question, why did I place an order in that direction? My stupid mistake. It cost me. If you followed my lead, and got burned as well, I apologize. If we had placed only Buy orders last night, we would be having a completely different conversation today.
The price levels marked 1, 2, and 3 on the chart indicate how close we came to squeaking out a win. The breakout was running out of steam by the time it triggered our Sell Entry orders at 1. After 50 minutes of struggle, the pair took another run at the downside, but failed 1.8 pips short of our TP at 2. Shortly after that, the buyers took control, and ran the price past our SL at 3.
Later in the day, beginning at 13:15 GMT, there was a nice 100-pip plunge to the downside, but that had nothing to do with the Zurich/London opening, or with our London Overnight Breakout Strategy.
Iām open to the idea of changing my SL and TP, in order to improve my win-ratio. Iām not a fan of trailing stops, but I wonāt rule them out, either. I could easily look back at this morning, and pick a different Entry price and a different TP, and create a hypothetical profit.
However, as for this morningās loss, I donāt think that Entry points, SLās or TPās were the problem. The problem was not seeing the added risk inherent in a downside breakout from that inclined channel.
So, letās re-group, and take a look at tonightās set-up with fresh eyes.
More later.
Clint
Iām sure that everyone knows the risks and that blindly following other people wonāt always work so no need whatsoever to apologise IMO!
Secondly, are you thinking that we shouldnāt trade against the trend (Going back to āTrend is your friendā mentality) so if the channel was a decline, we wouldnāt set buy orders, only sell?
Hi, Mike
No, Iām not analyzing this as a trend vs. counter-trend decision. Rather, Iām looking at how far the price had to move (65 pips), from the close of the Period, before even reaching the Sell Entry point I had selected. In hindsight, Iām not surprised that the breakout (from the inclined channel) ran out of gas before it could hit my TP.
A perfect set-up, in my opinion, would be a narrow, horizontal channel, with the price near the middle of the range at the end of the Period. If that set-up came after a strong up-move (earlier in the day), then a breakout to the downside would technically be ācounter-trendā. But, I would have no bias against placing a Sell order to trade that breakout.
Ahh, ok that makes sense, thanks for explaining it
[B]Welcome to newcomers:[/B]
[B] JiveTurkey[/B] (what should we call you?), and [B]MrsAmandaT[/B] (I presume you would like to be called Amanda?).
Also, did you notice,
[B]SanMiguel[/B] has a new avatar. (No more aluminum cans in six-packs.)
Nah, Iāve gone all classy now. āThatāll be in a straight glass please barman.ā 
[B]
Et tu, Mike? Are we having an avatar competition?[/B]
[B]
āMandyā it is. (That was one of the all-time great songs ā way before your time!)[/B]
I have been watching this thread develop over the last few weeks with interest. At the risk of becoming an outcast, two things are worrying me. 1) There seems to be more than a few posts with a stop at 2:1 ratio. Now a āset and forgetā with this approach excuse the obvious means you need to be right twice as many times as your wrong just to break even. And 2) Focusing on a narrow 20 pip gain when price can and does move considerably more both ways even when strongly trending is perhaps a little fixated. I genuinely wish you the best of luck with this endevour. But as a 30 year pro trader may I humbly suggest there are better ways to trade.
- Thatās why the thread a few posts shows that R:R greater than 1:1 has higher profit factors.
My set and forget comment was merely a simplistic example and also aimed at those traders who are asleep at the time the trade is supposed to open and itās not for 2:1 ratios. However, many are still profitable in this strategy with less than 1:1ā¦surprising but true. Iām definitely not suggesting set and forget and on the contrary, there is some excellent analysis about the overnight trends and S&R on this thread that can only improve it further given enough time to understand the price movement and subsequent breakout or lack of. - Pips are pips. If you can get an average of 50 a week using 1 strategy, then thatās quite enough to make a consistent/good profit, no?
SANMIGUEL
Cant argue with that. As I say, I genuinely hope this endeavour works out for all concerned. But 50 pips gain a week with some risking a 2:1 ratio? Just does not stack up. I take an average 80 pips a day. I dont say that to impress youā¦ I dont need to. I say that to inform you there are better ways to trade and at less than a 2:1 stop.