Win ratio

[Firstfx]

You are right, it was 1 in that separate report…my mistake…so for the moment you should double the profit amounts until I can rerun your strategy on Monday/Tuesday. The profit factor (gross profit/gross loss), which should not be doubled, is the [B]same [/B]no matter what the lot size is. So, as you can see between 50:30, 50:50, and 30:30 profit factors are similar therefore reducing SL or increasing TP will serve better. [I]Again data is only over 3 months but I figured running these for the most recent market price action would be better.[/I]

It may be personal preference but out of the three, 50sl 30tp, 50:50 and 30:30 with profit factor fairly close to each other (50sl 30tp I am estimating to be 20,200 profit which puts it in between the other two) and 50sl 30tp with its farily huge win ratio of 72:28 I may be inclined to go 50sl 30tp.

Yes I agree, I think we do have to take into account that you are only testing a fairly short 3 month period - mainly to give a better understanding of the current market conditions.

Would also be interesting to see a one and two year strategy testing report on the following:

20sl 60tp
30sl 20tp
30sl 30tp
40sl 40tp
50sl 30tp
50sl 50tp

I have never used strategy testing software but is it fairly easy to do? If I can be of some assistance please let me know.

Thanks

[TalonD]

Monday is a bank holiday isn’t it? Don’t think I’ll trade it.

[Clint]

A first look at the London Overnight Breakout Strategy for Monday morning:

Sometimes choosing the starting time for the Sunday Overnight Period is a problem. Not tonight. Any starting time after about 18:00 GMT on Friday will give you the same HIGH/LOW results for tonight’s Overnight Period. I will use 18:50 GMT Sunday,
because that’s when my trading platform opened for the week.

Last week’s struggles may continue this week. Many traders believe there are definite “summer doldrums” in the currency market, and that we’re stuck in them now. And some traders talk about a “September Effect” as part of a larger seasonality theory.
In an article last Friday evening, here is what DailyFX said on that subject:

“Seasonality in global financial markets adds further downside risks for the GBP, as stock markets often experience their worst month of the year through September. Indeed, the much-talked-about �September Effect� looms large on FX markets; a strong GBPUSD correlation to the US S&P 500 strongly suggests that the British Pound would lose on S&P declines. Past trends hardly guarantee future results, but we cannot ignore fairly clear seasonal tendencies.”

Here’s a link to the complete article: British Pound Outlook Bearish on Technical Break Lower

The DailyFX article notes that the GBP/USD broke its multi-month trendline last week. That trendline, which was upward sloping and was broken to the downside, was the lower channel boundary line shown on one of the charts posted here on August 23. You can scroll back to post #1025 (currently 19 or 20 pages back from here) and see the channels I detailed then. The multi-month trendline that DailyFX is referring to is the lower boundary line of the yellow channel shown on the charts in that post.

The DailyFX article considers this trendline break to be clearly BEARISH. If they are right, this would imply a bearish shift in long-term sentiment, and possibly an early end to the “summer doldrums”.

There has been a lot of volatility in the GBP/USD in the current Overnight Period. Maybe the pair is telling us that it’s about to make a big move. If so, let’s hope the big move comes between 04:00 and 07:00 GMT this morning.

More later.

Clint

[Merchantprince]

So the fact of the British bank holiday tomorrow does not have a bearing on this?

[R_Carter]

TALOND & MERCHANTPRINCE I agree with you its a bank holiday Monday, expect low volititity. If your going to trade go with the ma’s. I think the only way to trade given the likely lack of volitility.

[Clint]

Notes on the London Overnight Breakout Strategy for Monday morning

I don’t like the look of this chart. There’s too much distance between the current price and the Period HIGH for me to believe in a breakout to the upside. As for the downside, I’m just leery of a Short Entry 18 pips above the 1.6200 level.

There may be a good trade in there somewhere, but it’s NOT the breakout trade we have been working so hard to perfect.
I will stand aside this morning.

For those who want to trade this set-up, here are the pertinent facts and figures:

Resistance and Support levels for Monday morning:

R – 1.6381 – August 28 high – VERY STRONG
R – 1.6364 – August 28, 11:30 GMT candle high
R – 1.6344 – August 28, 16:00 GMT candle high
R – 1.6314 – August 28, candle high on multiple candles

S – 1.6200 – century mark
S – 1.6186 – August 26 and 27, candle low on multiple candles
S – 1.6168 – August 27, 11:15 GMT candle low
S – 1.6152 – August 27 low – VERY STRONG

Scheduled News Releases:

As Mike pointed out, Monday is a British bank holiday, and this will definitely affect the nature of the market throughout the day. Here is what Forex Factory says about it:

Description: UK banks will be closed in observance of the Summer Bank Holiday;

Usual Effect: Low liquidity and irregular volatility;

FF Notes: Most Forex brokers remain open for every holiday except Christmas and New Year’s Day. Stock markets and banks have slightly different holiday schedules;

Why Traders Care: Banks facilitate the majority of foreign exchange volume. When they are closed the market is less liquid and speculators become a more dominant market influence. This can lead to both abnormally low and abnormally high volatility;

There are no news releases, scheduled for Monday morning, which are considered high-impact or medium impact for the GBP or the USD.

Later in the week, the schedule will get busy, including U.S. FOMC Minutes on Wednesday, the first day of G20 Meetings on Friday, and the U.S. Non-Farm Payroll Report on Friday. More on these as the week unfolds.

Here is the calendar of high- and medium-impact news releases for the week:

The Period HIGH is 1.6300 (bid). The Period LOW is 1.6224 (bid). The range is 76 pips.

Entry Orders:

None for me this morning.

Good luck, guys.

Clint

[Peleb]

Hi everyone, and thanks everyone.
San Miguel did the great job by testing this strategy.

I’m very interesting if anyone try sl/tp 10/40 or 10/50 because i intend to. I mean if risk i only 10 pips i can set much biger lot size then for example if you go with 50 sl. And the profit factor is great. Probobly no one wants to have 8 consecutive losses like it is in the 10s but, but if you risk 1% per trade it would still be only 8%, for me it is fairly acceptable.

Any thoughts or advice is welcome:).

[Peleb]

I’m not sure about overnight period. In the original post it was 19 pm - 05 am London time. Is it Correct?

[R_Carter]

PELEB

A stop of 10 seems a little tight? You could well have picked the right direction only to find a slight retrace takes out your stop.

[ReaperKK]

Good monday morning everyone, hope everyones weekend was great!

Well I entered last night like I always do, I entered at 11:30 because I was tired and I have early morning class so when I entered it was already kinda of close to the bottom so instead of using 6 pips from the lowest point, I use 9. TP of 20, SL of 30, trigger at a little past 2am and closed out at 2:24am.

[Peleb]

PELEB

A stop of 10 seems a little tight? You could well have picked the right direction only to find a slight retrace takes out your stop.

Yes, for GBP/USD it is tight, but in the SanMiguel’s Back tests it gives good results. I have still not decide which one to pick, 10/50 or 20/60. 10s and 20s
have the best profit factor.

[SanMiguel]

Yes, for GBP/USD it is tight, but in the SanMiguel’s Back tests it gives good results. I have still not decide which one to pick, 10/50 or 20/60. 10s and 20s
have the best profit factor.

Try and pick up the profitable days from the 10/50 report and have a look at the breakout on that day. At a guess, they will probably be the times a big move happens with little retracing - these don’t happen all the time hence some of the 20s might be better…but definitely have a look of some of the winners and some of the losers on a chart (you can pick up the dates in the report and whether the trade was a success or not).
I currently us 20/40 but am thinking of going to 20/50 or thereabouts.
You have to consider that GBPUSD moves an average of 150 pips a day. Trying to capture half of that move in a day is not always going to be successful so the less pips you go for, the more likely a success.

[Peleb]

Try and pick up the profitable days from the 10/50 report and have a look at the breakout on that day. At a guess, they will probably be the times a big move happens with little retracing - these don’t happen all the time hence some of the 20s might be better…but definitely have a look of some of the winners and some of the losers on a chart (you can pick up the dates in the report and whether the trade was a success or not).
I currently us 20/40 but am thinking of going to 20/50 or 20/60

I took three last 3 weeks for 10/50, 5 wins 10 loss, profit 150. seems ok, actually excellent if take that with 10 pips stop you can invest lot more then with the 20,30,40,50 stops.

I thought maybe can be problem if your backtest doesn’t take into account volatility inside the 1h candels. i mean if a candle is read it does not mean that it goes strait down… if you know what i mean?
I use oanda so i can’t do more tests, because the period on the chart is short, maybe latter on some other broker…

[SanMiguel]

I took three last 3 weeks for 10/50, 5 wins 10 loss, profit 150. seems ok, actually excellent if take that with 10 pips stop you can invest lot more then with the 20,30,40,50 stops.

I thought maybe can be problem if your backtest doesn’t take into account volatility inside the 1h candels. i mean if a candle is read it does not mean that it goes strait down… if you know what i mean?
I use oanda so i can’t do more tests, because the period on the chart is short, maybe latter on some other broker…

The strategy tester is based on ticks so it takes the price into account every time it changes.

[SanMiguel]

Would also be interesting to see a one and two year strategy testing report on the following:

I am unable to test further back than April but suffice to say that it doesn’t look like it was that profitable in April or May but has become really profitable since June. You should ask TREV this as he has longer experience with it and during the times when it was ranging he did something slightly different I think.
Secondly, the market changes, giving longer term data like this wouldn’t be of help because ATRs and ranges would have been different over a year ago. I mean over a year ago GBPUSD was around 2:1 and then it crashed. You can do some crude manual backtesting if you want on some 5min charts around that time if you can get the data from your broker’s platform?

I have never used strategy testing software but is it fairly easy to do? If I can be of some assistance please let me know.

To do it automatically like this you need to know some programming skills. Mine is done in Metatrader so you would need to learn MQL4, which is similar to C#. Some other software has similar strategy testing features.

[Clint]

Notes on the London Overnight Breakout Strategy for Tuesday morning:

The GBP/USD has returned essentially to where it was 24 hours ago. The price action within the box looks more normal this morning, than it did Monday morning. And the range is very narrow at 45 pips.

Some of the S/R levels from Monday morning are carried over to Tuesday morning. One notable addition is STRONG resistance at 1.6329 — just 30 pips above the Period HIGH.

News should not be a factor this morning, unless a normal London breakout fails to occur, in which case a news-trade at
08:30 GMT could be considered.

I will place my usual entry orders this morning.

Resistance and Support levels for Tuesday morning:

R – 1.6381 – August 28 high – VERY STRONG
R – 1.6364 – August 28, 11:30 GMT candle high
R – 1.6344 – August 28, 16:00 GMT candle high
R – 1.6329 – August 31 high – STRONG
R – 1.6314 – August 28, candle high on multiple candles

H – 1.62992 Period HIGH
L – 1.62540 Period LOW

S – 1.6234/24 (note the 10-pip range) – August 31 congestion area 03:30 - 13:50 GMT
S – 1.6200 – century mark
S – 1.6186/82 August 26 and 27 multiple candle lows / August 31 low – STRONG
S – 1.6168 – August 27, 11:15 GMT candle low
S – 1.6152 – August 27 low – VERY STRONG

Scheduled News Releases out of Britain at 08:30 GMT Tuesday:

CIPS Manufacturing Purchasing Managers’ Index (high-impact for GBP pairs), and

Bank of England Net Lending to Individuals report, month-over-month figures (medium-impact for GBP pairs)

Entry Orders:

BUY 1.6308, SL(30), TP(20)

SELL 1.6248, SL(30), TP(20)

[Merchantprince]

Clint, I’d just finished laying down my own orders when the 23:30 candle took off past the High. So now I’m waiting it out to see if goes back down, since I’m sure this movement isn’t the true breakout. Maybe reset the High?

In any case, I am going to try 24/48 ratio tonight, as that essentially covers the whole range.

[Clint]

You’re right about that little spike NOT being the breakout. If you adjusted your HIGH prior to midnight, then (according to prices on my platform), your buy entry order has not been triggered yet.

After I set my orders and posted tonight’s chart, I was away from the computer for half an hour, during which time my buy entry order [B]was[/B] triggered. So, I’m long from 1.6308, and currently showing a loss.

I was very pleased with the price action tonight, [B]until[/B] that late spike occurred. Now, not so much.

At the present time, I’m inclined to let my position play itself out — but, I’m in front of the computer now, so I can manage out of the trade if my opinion changes.

I hope it works out well for you.

[Firstfx]

Hey Clint or anyone else:

I know we are using 6 pips as the base add on to high/low of the price determination period (+3 pips more for the buy). I believe this is based on using 2x the spread - right? Or is there some other reason for using the 6 pips?

If my spread is more like 4 pips than should I be using 8 pips to add on the the high/low (+4 pips more for the buy)?

[Merchantprince]

When I saw the spike, I shifted my line for the High to 1.63019 and moved my entry to 1.63106.

I, too, was anxious about the first few candles of the overnight and decided to stay up and babysit the long if it looked to trigger early. Now the 00:30 candle is moving back down and my Buy was not triggered prematurely. Think I can go to bed now and “let nature take it’s course”.

Am indeed trying the scary 24/48 ratio, wish me luck.