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| Preemptive Zig Zig https://www.stevehopwoodforex.com/phpBB3/viewtopic.php?t=2792 |
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| Author: | snailbeard [ Fri Oct 04, 2013 9:53 am ] |
| Post subject: | Improved zigzag |
From the log file we can see that a potential trade was detected, but then dropped because of proximity to a significant level (D1 Lower Bollinger Band) 2013.06.11 03:30 AUDUSD,M1: VPO dropped: iDistInPipsToD1BB:9 < ZZMinDistToD1BB:30 2013.06.11 03:45 AUDUSD,M1: updateZigZagReadyFlag()... 2013.06.11 03:45 AUDUSD,M1: VPO dropped: iDistInPipsToD1BB:7 < ZZMinDistToD1BB:30. Nevertheless, we are picking up more trades. Running a back test over six weeks gives us a better idea. I leave it as an exercise to the reader to spot the hiccup in the report: Bars in test 47024 Ticks modelled 92968 Modelling quality n/a Mismatched charts errors 0 Initial deposit 10000.00 Total net profit 1236.98 Gross profit 1525.42 Gross loss -288.44 Profit factor 5.29 Expected payoff 29.45 Absolute drawdown 25.84 Maximal drawdown 435.00 (4.16%) Relative drawdown 4.16% (435.00) Total trades 42 Short positions (won %) 42 (88.10%) Long positions (won %) 0 (0.00%) Profit trades (% of total) 37 (88.10%) Loss trades (% of total) 5 (11.90%) Largest profit trade 122.00 loss trade -140.00 Average profit trade 41.23 loss trade -57.69 Maximum consecutive wins (profit in money) 22 (942.02) consecutive losses (loss in money) 2 (-142.92) Maximal consecutive profit (count of wins) 942.02 (22) consecutive loss (count of losses) -142.92 (2) Average consecutive wins 9 consecutive losses 1 ====================================================== So it looks like this method can be used fairly well most of the time. Now I need to find out why there are no buy trades! |
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| Author: | snailbeard [ Sat Oct 05, 2013 6:45 am ] |
| Post subject: | What Happens next |
In the following chart what do you suppose happens next? It is possible to win both ways on this one. The short term answer is H1 zigzag is rising towards the mid-H4 Bollinger and the M15 Bollinger is steeply upwards. However, there are D1 and H4 zigzag swings sloping down, which means the dominant swing is down. To survive the upward momentum one needs a bigger stoploss, but on returning to main swing there are 160 pips to grabbed. |
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| Author: | snailbeard [ Mon Oct 07, 2013 5:42 pm ] |
| Post subject: | Guidance from D1 and H4 |
Guidance from D1 and H4 We often get several intermediate zigzag candidates before accepting a final candidate. However, the false reversals are sometimes tradeable, but for safer trading one can follow the lead from the D1 zigzag and only trade along with D1. This makes sense to begin with where two or more timeframe zigzags share the same node, but becomes less useful as the lines diverge or as pip distance increases. When both the D1 and H4 swings are congruent we have our cake and eat several pieces, but will you tempted to go for one piece too many and make yourself sick? The small green price label are significant when combined with 'y=ma+c' which results a method of predicting the centre of gravity of price for that time frame. Eventually the D1 and H4 centres of gravity diverge too far and a strong H4 counter swing occurs upto the D1 Bollinger band. The counter trend with a lower risk is the one starting from 1.0222 which shares a node with a candidate D1 zigzag node. This has a swing of 164 pips which can be reentered several times. See the attached AUDUSD H4 chart. I used a dump of the zigzag tables to confirm the 'false' zigzag nodes, although you can often guess them. One can enter from the H4 chart or use M15 with H1 & H4 for better entries. |
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| Author: | snailbeard [ Tue Oct 08, 2013 7:23 am ] |
| Post subject: | Interpreting 4 time frames from M15 |
In this M15 chart we see how events play out in more detail. Keeping the H4 chart and the M15 charts side by side helps us to better understand the forces propelling prices between nodes of the zigzags. |
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| Author: | snailbeard [ Tue Oct 08, 2013 11:58 am ] |
| Post subject: | M15 step by step secondary entry |
In the attached chart are the clues to a significant pro H4, counter D1 trade. Firstly , the previous H4 zigzag node (off chart) indicates a swing up towards the H4 Bollinger, at least as far as the mid Bollinger and with the possibility of going on towards the upper Bollinger. Secondly AB are two H1 nodes of a swing down across the H1 Bollinger, therefore this is an H1 pullback with respect the H4 zigzag. BCD forms a triplet relative to the H1 node at B, where D is a pullback relative to C and D is a step up relative B. If we think think of B and D as the feet of a stick man, then our stick man has stepped back inside both D1 and H1 Bollinger bands. This is often a sign that there will be a walk upto the next significant band. To keep it simple we can use the M15 mid Bollinger price cross as the trigger to go. There is also an earlier signal from the Fibonacci line 61.8 when no candle bodies formed below 61.8, so we have a sequence of three candles which penetrated the Fib line but then closed above it. The setup cost 14 pips of observation relative to H1-B, the H1 swing continued for 90 pips beyond the trigger event. The risk was the proximity of H4 mid Bollinger and the D1 downward momentum. An alert at or just after D should give enough time to study the chart. However, since we are too close to the trigger to use a pending order, we could use a script which triggers on crossing a given price. Later on there are several more M15 pullback-reentries relative to H1 for the brave. |
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| Author: | snailbeard [ Mon Oct 14, 2013 5:06 am ] |
| Post subject: | enigma variations |
What is the effect of varying stop-loss, breakeven, and targets? Using a bigger stop-loss: If you are trading a single currency a drawdown of 10% is high compared to the recommended 1 to 2%. Large stop-losses result in longer trades especially in the wrong direction. This results in some good trades being blocked. There are half the number of trades and over 70% of trades fail. The size of partial exits is also very important and the logic of managing partial trades is too simple which means the profitable trades do not run long enough. A smaller stop-loss will allow more trades and reduce drawdown, even so I am still seeing a drawdown of 3% but a profit factor of 1.6 gives an annual return of about 5% on one currency. Since we cannot simulate a basket of currencies we can only speculate that trading 10 currencies would take our account to a drawdown of up to 30% and produce an annual return of 50%. However, due to correlations between some pairs and variations in liquidity this could be far from reality. in summary, outcomes are better when a) Grab at least a small partial profit often then move stop-loss to breakeven b) Grab up to 3 more increasing profits c) Use smaller stop-loss because big stop-loss keep bad trades in play and block profitable trades Profits can be improved by spotting more good entry points. Understand failed trades to improve entry selection ( Find major support and resistance on D1 and trade away from these levels and not enter trades too close to these levels). Final thought: The dominant 'trend' is irrelevant if we hit the stop-loss during a pull-back, which means our priority is the direction of the next twenty pips, our secondary concern is the dominant swing. |
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| Author: | snailbeard [ Mon Oct 21, 2013 4:14 am ] |
| Post subject: | Cherry Pie |
After rethinking and rewriting the entry rules, the code is little less like spaghetti. The results were quite surprising in the first back test. It looks like I can have my pie and eat it! It is making about 1% per week on just one currency. This is just the kind of information we need to put into shiny marketing material and sell it to gullible newbies. There is definitely something fundamentally correct about the raw trading logic but can it cope with all the moods and tantrums of the market? |
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| Author: | snailbeard [ Mon Oct 21, 2013 4:59 am ] |
| Post subject: | Longer term performance |
Over twelve months AUDUSD goes through a wide range of behaviours. Now the growth rate is down from 4% per month per currency to 10% per year per currency. Nevertheless, this is the raw trading logic without any selectivity. The drawdown is higher so we cannot trade as many currencies in parallel as we would like to without margin issues. I don't want to understate the importance of this result. If you are not familiar with the history of forex strategies and autotraders you might not realise that most traders cannot achieve this result. I have spent years trying out strategies and autotraders only to see one consitent result: long term losses, therefore, a modest 10% gain by a robot with no selectivity or optimisation is a solid foundation from which to develop consitent profits. The target is to increase the profit factor from 1.3 to 1.5 and to reduce the drawdown to 3-4%. |
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| Author: | snailbeard [ Mon Oct 21, 2013 5:25 am ] |
| Post subject: | Mixed messages |
The market often gives us mixed messages and depending on which trading strategy you are following you might consider that it is time to buy or time to sell. You cannot buy if someone isn't selling and you cannot sell if someone isn't buying. My simple entry logic often cannot tell the difference between a pull back and a reversal so it can frequently make the wrong choice. So here is a typical example of confusion, is this a pullback or a reversal? What are the clues? The vertical red line is the trigger for a buy trade. However, a close look at the M15 Bollinger at this time the has two negative connotations: a) the BB is sloping down not up b) the candles are on the wrong side of the BB The other clue is the relative sizes of the H1 zigzag swings: the pull back is surprisingly fast so the reverse swing is longer than the previous upward swing. |
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| Author: | snailbeard [ Mon Oct 21, 2013 5:47 am ] |
| Post subject: | The real deal |
Sometimes it is good to be patient, lets see if the market movers drop a few more clues: And here is the real deal, our apparent pull back has now turned into a sell set up: but don't get your fingers burn't - its going against longer term H4 swing, or is this a full blown H4 reversal......... |
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