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| la poule aux oeufs d'or https://www.stevehopwoodforex.com/phpBB3/viewtopic.php?t=4432 |
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| Author: | trader689 [ Mon Dec 14, 2015 3:37 pm ] |
| Post subject: | la poule aux oeufs d'or |
hey celte can you guve any details about your other simple and profitable system ? thanks
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| Author: | idempotent [ Thu Dec 24, 2015 2:27 pm ] |
| Post subject: | la poule aux oeufs d'or |
I've been experimenting with this system with some backtesting, and I wanted to report what I found. My synopsis is that the system, as it stands, is barely profitable on M15. You need to go up to D1 before the average return on a trade seems robust. But there is room for improvement, as jf said, with the exit. I haven't done this work, and I am debating whether it is worth doing it or not. I wrote some code that combines the three entry signals into one. And then some code that added the NonLagMA as the exit. The NLMA was a real pain because it uses all the indicator buffers. I ended up writing some shoddy code that wrote all the NLMA colour change points into a database that another indicator could query. This indicator pulls it all together and draws a line from the entry time/price to the exit time/price. Next all the trades got written to a databse, recording the pair, timeframe, entry time and price, exit time and price, and the number of points (a point being 0.1 of a pip). I could then plot the profitability of, say, GBPUSD, M15: Not looking so crash hot for this pair. Since the beginning of November, we were up about 150 pips, twice, and more than 200 pips in the hole. Currently clawing its way out of the drawdown. There were 228 trades on that plot, and the average profit was -2.4 pips. Add in spread + commission and you're losing 4 pips per trade. OK so let's add in lots more pairs. The lower plots show the cumulative points (points, not pips, remember) for the following pairs: AUDCAD, AUDCHF, AUDJPY, AUDNZD, AUDUSD, EURUSD, GBPUSD, USDCAD, USDCHF, USDJPY. I picked these because they were the first in the list of what was offered by my broker. The higher plot is the overlaid cumulative total of all the currencies. At first glance, pulling in 2500 pips across 10 pairs in 5 weeks, sounds pretty damn good. But this is across 1565 trades. So there's a mean value of 15 points (1.5 pips), without considering spread and commission. With spread and commission, we're got a net losing system. Here's the breakdown of currency against mean points per trade: Code: Select all So let's consider higher timeframes. For the data I collected, here is the timeframe vs average points: Code: Select all For D1, we are getting better. At 19 pips (190 points) per trade, we are at least not losing so much in every trade. Here is the cumulative points since 2010. 16,000 pips over 947 trades. But for periods of up to a year at a time (like 2015), the strategy goes nowhere. Shortcomings of the testing There is no consideration for currently open trades. So quite often it will enter a second trade with one trade still open. I observe that the second trade is often less profitable. Shortcomings of the strategy We exit only on the close of a bar where the NLMA changes trend. This means the strategy blindly holds onto massive losing trades like the SNB fiasco. If there was some optimised ATR-based stop, that might greatly reduce the impact of losing trades, and improve the profitability. Exiting in profit when the NLMA changes means we have already given back some profit. Perhaps a trailing stop might be better. In this testing all pips are treated the same, which is patently not true. If the profitability of a trade was based on something scaled to ADR, that might make it easier to compare profitability of different currencies. Where to from here I'm debating whether this is worth more of my time. At this point, coding the ADR-based stop would take some hours. Feedback welcome. |
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| Author: | retireme [ Thu Dec 24, 2015 2:35 pm ] |
| Post subject: | la poule aux oeufs d'or |
Some very impressive work there idempotent, cheers! |
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| Author: | celte83 [ Thu Dec 24, 2015 2:48 pm ] |
| Post subject: | la poule aux oeufs d'or |
Hi, Wow which work! cordialement jf |
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| Author: | thomasmore [ Thu Dec 24, 2015 4:12 pm ] |
| Post subject: | la poule aux oeufs d'or |
Nice analysis ! |
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| Author: | idempotent [ Thu Dec 24, 2015 4:41 pm ] |
| Post subject: | la poule aux oeufs d'or |
Thanks for the feedback. I pushed a little more on the daily analysis. I ended up including all currencies, but filtering out those that were "inefficient". Inefficient one are where the spread is more 1/50th of the 100-day ATR. Here's the efficiency of all my pairs, as per IC Markets demo account: Code: Select all Code: Select all Plotting the cumulative pips for these 30 pairs since 2010 (when many of these came online) looks interesting. This yields 69,500 pips over 3288 trades over the six years, averaging 21 pips (211 points) per trade. By currency: Code: Select all Bed. Then Christmas. After that, a few things concern me. I don't like me arbitrarily deciding what pairs to include or not. That's curve fitting. I think it's fair to reject some pairs that are just too exotic. But I want to figure out why XAUUSD skewed things so much. Take a close look at this zoomed in view of the cumulative points plots. One of the darker lines, noted with the arrows, implies there was a trade on that pair from January to December this year, netting some 9,000 pips. Turns out this is USDDKK. Here's the chart as per IC Markets The quote history stops at 28 January 2015, but the ticks are still coming in. Hence the indicator shows such a stonkingly good trade. So I have data quality issues. Comments and thoughts welcome. |
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| Author: | celte83 [ Sat Dec 26, 2015 9:28 am ] |
| Post subject: | la poule aux oeufs d'or |
Bonjour, Personally I did not find how go out at best or I did not find the ideal filter of entrance(entry) to improve this strategy and make something profitable. Thus difficult for me to advise(recommend) to you ... bien cordialement jf |
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| Author: | varso [ Mon Mar 07, 2016 7:03 pm ] |
| Post subject: | la poule aux oeufs d'or |
Hi First thank you for your idea of trade. I like it and i combine with my idea. Yes and this is first time that i share my idea.  And this is how the graf can looks like. Lets dicribe this. The bottom indicator is your Wilder's DMI book alerts nmc 2 - the indicator lag only one candle - totally perfect. ( P.S. we have in world two types of indicator lagging or repeating. I wtite this that everybody know that. another types is magic).The second from bottom is your Wilder's_DMI + histo mtf + alerts + arrows 2 - also lag only one candle perfect work together. Now the main window. Maybe is strange for you. And yes is strange is not Time Frame chart is Range bar chart. RB 4 pips. IMHO is better to use RB4 because what i write before is lag one candlle in this scenario 4 pips plus spread and slippage. Let say 6-7 pips. If we use let say TF15min chart - it will be also spread + slippage + 15min candle pips move. This reason better is use RB. The blue and green lines are rainbows moving averages for determing trend. I will writte more about this latter. In this pictures we see nice clear entry. Where was it? I work also for EA. Im not coder i use fxDreema. The code will be rubish but it will be work, if some coders see potencial here it will be nice too help us. |
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| Author: | nonsense [ Mon Mar 07, 2016 8:37 pm ] |
| Post subject: | la poule aux oeufs d'or |
varso - I don't see entry. I think we wait buy where it is right now |
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| Author: | Wapen [ Tue Mar 08, 2016 4:38 am ] |
| Post subject: | la poule aux oeufs d'or |
Hi Verso, Thanks for sharing your input! I follow this thread and I'm trading it live with good results! Your chart show clear entries (thanks)! Hope some of the good programmers will drop by! Regards, Wapen |
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