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| FSP & ONS https://www.stevehopwoodforex.com/phpBB3/viewtopic.php?t=673 |
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| Author: | markot [ Thu Jul 05, 2012 9:37 pm ] |
| Post subject: | FSP & ONS |
Hello, i wanted to introduce this very simple and effective system. It is weekly system, and it is originaly created by Joel Rensink- http://infiniteyieldforex.blogspot.com/ . Original Joel Rules for FSP : 1. 1.Before the market's open on Monday morning at 00:00 CST; you must know what the total range of the previous week was, (high - low = range) and multiply that figure by .30 to obtain the values which will determine our entry points for the next week---- (example: EUD/USD: last week's range (Oct. 6-10, 2008) was 527 pips (high:1.3785, low:1.3258) Now multiply 527 x .30 = 158.1. Round up to get 159 pips. This figure is added to/subtracted from the open for your entry orders in the next step. . 2. After Monday's morning open be ready to buy on a stop at the opening price + the quantity from step (1). Or, be ready to sell at the price on a stop of the opening price - the quantity from step (1). 3. Now we will determine our position stoploss levels- Check back to step 1 to find the figure for last week's range. Following the example, the previous week's range was a total of 527 pips. Multiply 527 x .10 = 52.7. Again, round up to get 53 pips. If you get long you will place a position stop below the week's open a total of 53 pips (total risk in this example-- 159 + 53= 212) to protect your capital. The risk per trade will change every week. 4. If you are not stopped out-- wait for the open of the next weekly bar, which would be the next Monday morning at 00:00 CST. (For a short trade, reverse these instructions) If exiting at the open of the next week would result in a profit, exit the market. If not, continue holding until a succeeding week's opening price is profitable or you get stopped out for a loss. It is possible, but not very likely, to be in a trade for a number of weeks after entry. The original Joel rules for ONS : 1. Buy only on Fridays--- at one pip above the highest high of the last ten days--- if the 10 day simple moving average is above the 40 day simple moving average. 2. Sell only on Fridays--- at one pip below the lowest low of the last ten days--- if the 10 day simple moving average is below the 40 day simple moving average. 3. If you get filled on either rule, exit on Monday morning's open, or Tuesday morning's open, if Monday is a holiday. I did backtest FSP for EUR/USD. It is manual backtest on H4 time frame, and it is aprox 6 year data. I didnt test ONS. I divided backtesting in 2 scenario's. 1. First scenario, is according to Joel rules, except i exit position on Friday (if profitable) instead of Monday. NO Intervention. 2.The second scenario, i introduced a 50% retrasement rule. Once we get into position, if the restrasement starts ( H4 time frame) , we are looking highest swing high, and lowest swing low . Then we plot fibonaci level, and ONLY look for 50% retrasement. If the price retrase more then 50% ,i exit the position regardless if positive or negative. Also, if our position goes > 60 pip positive i move Sl to BE. Thus, this scenario is with INtervention. During the week, i would enter multiply times, if i got stoped out. I attached some pdf, explaning original Joel rules, and my exel backtest. |
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| Author: | MichaelM [ Fri Jul 06, 2012 6:53 am ] |
| Post subject: | Re: FSP & ONS |
What rules does Joel set for risk per trade? |
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| Author: | markot [ Fri Jul 06, 2012 7:22 am ] |
| Post subject: | Re: FSP & ONS |
Well, theres the catch ! As u can see, in my manual backtest, i distributed equal leverage to every position. In such a robust backtesting, system survived. Theres no doubt that further filtering could improve strategy,but not in a sense of introducing more indicators. I know that he is differently leveraging different pairs, each week, but that was not revieled. He also mentioned statistics/ utillity, so i guess we might look there for a clue. One of the way to distribute leverage is Kelly formula ( or half Kelly) , but then , Kellyis reserved for individual trades , not basket. Meaning, our overal risk would not be lower. The strategy itself, went through a calm period of 2006/2007 , and very volatile of 2008/2009, and its still up. Of course, i backtested Eur/Usd, but i quess similar results would be gained for other pairs. |
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