Here's my chart from 5 Jan. Do I have the NY close / LON open in the same places as you? The LON open looks different on your chart. Check my times and my pivot value.
Unfortunately your 20-pip-breach rule wouldn't help any on this day. The MACD ticked up just slightly at 04:20 local = 06:20 NY and entered before it went so far below the pivot.
MQL4 -- maaaayyybe. I haven't done much EA writing. Unfortunately I'm really strapped for time and I really shouldn't be taking on any more projects...
I can tweak this TS system pretty quickly & easily so we can find out if it's worth doing in MQL.
The Once In a While Pivot Strategy.....
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garyfritz
Re: The Once In a While Pivot Strategy.....
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GT3RS
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Re: The Once In a While Pivot Strategy.....
My chart is different Gary. And the way you describe the performance early in the year being crap, but better after April makes me wonder about how brokers adjust for daylight saving..........
The problem I have is that Alpari [my broker of choice!] changed their market hours when BST started. They moved their server time. So, I'm not sure about the validity of my backtest now.
So, I think this is one for forward testing.
I'll continue to test and report back here.
Cheers,
Rob
The problem I have is that Alpari [my broker of choice!] changed their market hours when BST started. They moved their server time. So, I'm not sure about the validity of my backtest now.
So, I think this is one for forward testing.
I'll continue to test and report back here.
Cheers,
Rob
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garyfritz
Re: The Once In a While Pivot Strategy.....
Hm, good thought, but... Tradestation's timestamps are based on NY time. When NY moves, TS moves. So 17:00 NY time is always end of day, regardless of DST. (That's similar to the way some/many/all? crims move. PFG is on GMT+2 during the winter, but moves to GMT+3 when NY moves to DST.)
However London open (so I'm told) depends on UK local time -- which does not switch to DST at the same time as NY.
But that means London should open at 08:00 local = 03:00 NY time, year round, EXCEPT when NY has switched to DST and London hasn't yet (and vice-versa in the fall). NY went to DST on 12 Mar, London went on 25 Mar. So other than that two-week period, London should open at 03:00 NY time. I think.
The other reason I don't buy the DST theory is that it's not consistent. If that was the cause, it should do badly all year except it would do well during DST. But I looked at the last couple of years of behavior and the April runup only happened this year. There was a big jump in Sept 2011, mostly due to the big spike on 9/6/11, but most of the summer of 2011 was flat. There was a runup from 6/1/10 to 8/23/10 which I suppose could have been due to DST, but... There was a runup from 4/17/09 to 5/28/09 and one from 7/3/08 to 10/17/08. So all the runups are happening NEAR the DST period but not quite on it.
Finally, if it was a DST issue, shifting the time of the London open should show good results during the rest of the year. Didn't work. I tried scanning the London open time from 00:00 to 05:00 local time (NY-2) and they all had similar behavior. The original 01:00 = 03:00 NY = 08:00 London time performed the best, but it lost most of the time.
I think this thing just doesn't work most of the time. Why it has sudden bursts of great performance, I can't guess. If you could figure out what causes the bursts, you'd have something worthwhile. I can send you a full trade list from the last 5 years if you want to chase it.
PS: You said your chart was different. Different how? Do I have something wrong?
However London open (so I'm told) depends on UK local time -- which does not switch to DST at the same time as NY.
But that means London should open at 08:00 local = 03:00 NY time, year round, EXCEPT when NY has switched to DST and London hasn't yet (and vice-versa in the fall). NY went to DST on 12 Mar, London went on 25 Mar. So other than that two-week period, London should open at 03:00 NY time. I think.
The other reason I don't buy the DST theory is that it's not consistent. If that was the cause, it should do badly all year except it would do well during DST. But I looked at the last couple of years of behavior and the April runup only happened this year. There was a big jump in Sept 2011, mostly due to the big spike on 9/6/11, but most of the summer of 2011 was flat. There was a runup from 6/1/10 to 8/23/10 which I suppose could have been due to DST, but... There was a runup from 4/17/09 to 5/28/09 and one from 7/3/08 to 10/17/08. So all the runups are happening NEAR the DST period but not quite on it.
Finally, if it was a DST issue, shifting the time of the London open should show good results during the rest of the year. Didn't work. I tried scanning the London open time from 00:00 to 05:00 local time (NY-2) and they all had similar behavior. The original 01:00 = 03:00 NY = 08:00 London time performed the best, but it lost most of the time.
I think this thing just doesn't work most of the time. Why it has sudden bursts of great performance, I can't guess. If you could figure out what causes the bursts, you'd have something worthwhile. I can send you a full trade list from the last 5 years if you want to chase it.
PS: You said your chart was different. Different how? Do I have something wrong?
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