Hi Mieloo, welcome aboard! I tried to develop a system with a nice R:R, started to implement it and noticed that it worked.mieloo wrote:this i like and i'll do my best to help.
but first, why 3.75?
thanks
| stevehopwoodforex.com https://www.stevehopwoodforex.com/phpBB3/ Print view |
|
| PwR EVA https://www.stevehopwoodforex.com/phpBB3/viewtopic.php?t=262 |
Page 1 of 2 |
| Author: | 0002097 [ Tue Jan 17, 2012 6:09 pm ] |
| Post subject: | PwR EVA |
Hi guys! Here's a system I've been testing, back and forward. It seams to get nice results and I would like to automate it. So, here it is: Strategy Name: PwR EVA Strategy Style: Trending Favored Market Conditions: Trending Entry Signal style:Indicator based and of course a little bit of common sense Expected Trading Frequency: something around 5 and 8 trades a day Strategy Expected Moves per trade: 3,75 the stoploss value Time Frames: 5minutes Times to Trade: 8.00 to 16.00 GMT Pairs To Trade: Only tested eur/usd Money Management/ Risk Management: Max stop loss of 10+ spread value, Take profit is always 3,75 times the stop loss value Scaling in/out: nope Order types: Pending stop orders (normal conditions), market orders if price is on the supposed value. Indicators required plus any custom settings: Pwr Indicator, candle range indicator and a 200 SMA. Custom Fib with the following levels (1, 2, 3, 4, 5, 0 and -0,25) used to place orders, tp at level 5 sl at level -0,25 Trade conditions: Well, the idea behind this system is to pick price lows and use small stop losses with a nice risk reward ratio. Long trades: PwR must be positive or crossing from negative to positive (I will attach examples with both scenarios). Trigger candle must be completely above the 200 SMA. Candle range must not exceed 10 pips. So, if PwR is positive and the trigger candle is completely above the 200 SMA we wait for a "upward hook" (chart #1), then we place pending orders (buystops) using the custom fib on every candle with a range bellow 10 pips (a 10 pips candle is still valid) if the order don't get triggered in the next candle we cancel it, wait for the current candle to close and place another pending, repeating it until the order enters the market. Chart#1 explanation: Trading session starts at 8.00 GMT PwR makes a "upward hook" (grey dashed line 1) but candle is too big, the next candle is too big also, then we get a valid trigger candle, the order is not triggered, that happens one more time and then on the 3rd candle marked with blue dashed line the order get finally triggered giving us a profit 3,75 times bigger our stop loss. On the 2nd grey dashed line (2) we have another hook that is valid because we do not have any order on the market (tp from the last order was hit) so this hook counts. The order gets triggered and it resulted on a loss. On the 3rd grey dashed line we have another signal; a "upward hook", candle is completely above 200 SMA and smaller than 10 pips, we place a new pending buystop, tp hit again. When PwR crosses the 0 line from negative to positive we use the exact same rules as we take a crossing as a hook. Important note: notice the 3rd trade on chart#1, after the order was triggered another hook occurred (green dashed line) but sinnce we already have a order in the market we dont use it Reverse for shorts Results so far: I started to backtest since February 2011 (every signal taken) attached excel spreadsheet And I'm forward testing it sheet #2 I hope the explanation was clear and I hope we can all profit from this. Regards, 0002097 |
|
| Author: | 0002097 [ Tue Jan 17, 2012 6:13 pm ] |
| Post subject: | Re: PwR EVA |
I forgot the indicators and template... |
|
| Author: | gaheitman [ Tue Jan 17, 2012 6:36 pm ] |
| Post subject: | Re: PwR EVA |
Nice to see you haven't walked away from the PwR indicator, and welcome! Hmmm, the common sense bit will be tough to code. Unfortunately, we'll need a mathematical way to classify a move as an "upward hook". Something like PwR value moves up 40 pips/points in one bar. Also, it looked like the hook is allowed to reverse without invalidating the trigger bar. How long is the trigger good for? If you can answer the questions above, I can provide an indicator that will show all the valid entries. I actually had one for your previous system, so it shouldn't be a big deal to update it. As do we all! BTW, thanks for using the template! George |
|
| Author: | 0002097 [ Tue Jan 17, 2012 7:08 pm ] |
| Post subject: | Re: PwR EVA |
Hi George! Well, I know that common sense is "hard" to code, that's why I prefer to trade with my EA's instead of let them trade for me. I define hook as a upward move of the signal line of the PwR, if it is horizontal or moving down and then goes up we have a hook. The hook is valid until a pending is triggered, but if PwR reverses to negative we start to look for shorts. The template was a excellent idea! Thank you for your interest George, regards, João. If you have anymore questions let me know, I will be glad to answer all of them. |
|
| Author: | gaheitman [ Wed Jan 18, 2012 5:42 am ] |
| Post subject: | Re: PwR EVA |
As I work through the indicator, all the questions we'll have when we build the EA are coming to the surface. First of all, let's review the terminology: The Hook: I am defining this with three points of the signal line. A recent point (X), the vertex point (Y) and a distant point (Z). A hook up occurs when X>Y and Y <=Z. For a hook down, it is the opposite, X<Y and Y>=Z. From your last response, we consider the PwR moving from positive to negative as hook down and from negative to positive as a hook up. Is it the main line or the signal line? In this case, a hook could go from being active for a buy (hook up) to active for a sell (hook down) without any trades occurring. Also, the hook expires (there is no hook active) when we close a trade, right? The Trigger Bar: I believe this is the first bar that occurs while we have a hook active with a range <=10 that is completely above/below the 200SMA. It stops being the trigger bar if we don't enter the trade on the next bar. If we don't, the next bar that meets the <=10 and above/below the 200SMA is the trigger bar as long as we don't change hooks. OK, now the important part. Signal Evaluation: Since you have a requirement that a trigger bar be completely above/below the 200SMA, we can only designate a bar as a trigger bar after it is closed. So when the current bar opens we are going to evaluate whether the previous bar is a trigger bar like this (assume we are evaluating along the buy side):
If at the end of the trigger bar we didn't actually trigger the trade, we return to evaluating the list above to see if the previous bar (the new previous bar, our old current bar) still meets all the criteria. We continue to do this with each new bar until we have a trade active, or our hook status changes. George |
|
| Author: | mieloo [ Wed Jan 18, 2012 8:24 am ] |
| Post subject: | Re: PwR EVA |
this i like and i'll do my best to help. but first, why 3.75? thanks |
|
| Author: | 0002097 [ Wed Jan 18, 2012 12:36 pm ] |
| Post subject: | Re: PwR EVA |
Hey Gaheitman, good morning! The hook "I am defining this with three points of the signal line. A recent point (X), the vertex point (Y) and a distant point (Z). A hook up occurs when X>Y and Y <=Z. For a hook down, it is the opposite, X<Y and Y>=Z." You are correct. "From your last response, we consider the PwR moving from positive to negative as hook down and from negative to positive as a hook up. Is it the main line or the signal line?" It is the main line. "In this case, a hook could go from being active for a buy (hook up) to active for a sell (hook down) without any trades occurring" Exactly. " Also, the hook expires (there is no hook active) when we close a trade, right?" Right but when you close a order, if a "hook" occur in that candle (the one that reached tp or sl) that that hook should be valid. "The Trigger Bar: I believe this is the first bar that occurs while we have a hook active with a range <=10 that is completely above/below the 200SMA. It stops being the trigger bar if we don't enter the trade on the next bar. If we don't, the next bar that meets the <=10 and above/below the 200SMA is the trigger bar as long as we don't change hooks." Yes. Signal Evaluation "If the current bar opened above the high of the previous bar, we place a market order, otherwise we place a BUY_STOP. Is the SL always 10+spread?" If the current bar opened above the high of the previous bar, we place a market order (only between a certain number of pips or % of range defined by us), otherwise we place a BUY_STOP. "Is the SL always 10+spread?" No, sl is defined by the range of the trigger candle, thats why we use the custom fib. A simple example, candle range is 10 pips, tp would be 40 pips and sl would be 12,5 pips. Candle range is 1 pip, tp would be 4 pips and sl 1,25 pips. (+ spread) "If at the end of the trigger bar we didn't actually trigger the trade, we return to evaluating the list above to see if the previous bar (the new previous bar, our old current bar) still meets all the criteria. We continue to do this with each new bar until we have a trade active, or our hook status changes." Yep. 0002097 |
|
| Author: | 0002097 [ Wed Jan 18, 2012 12:39 pm ] |
| Post subject: | Re: PwR EVA |
Hi Mieloo, welcome aboard! I tried to develop a system with a nice R:R, started to implement it and noticed that it worked. |
|
| Author: | 0002097 [ Wed Jan 18, 2012 6:58 pm ] |
| Post subject: | 18 Jan 2012 results |
5 wins and 3 losses |
|
| Author: | 0002097 [ Thu Jan 19, 2012 7:37 pm ] |
| Post subject: | Re: PwR EVA |
Today's results 4 wins and 4 losses! |
|
| All times are UTC | Page 1 of 2 |
|
Powered by phpBB® Forum Software © phpBB Limited |
|