Volatility Expansion system! - page 3
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Thanks guys for all your interest.
keris, hope you got the download and get to reading the chapter on volatility.
He sure knows what he is talking about when it comes to trading.
quoting him from his book:
Of all the trend entry approaches I am aware, from moving averages to trendlines, oscillators to Ouija
boards, and fancy math to simple charts; I have never seen a more consistently profitable mechanical entry
technique than volatility breakouts. It is the most consistent of all entries I have ever traded, researched or seen.
Why these trading model is profitable is that you can incorporate Money Management into this model your portfolio to see how profitable it is.
I hope you got a chance to read up on the excel file I have posted which shows the equity rise, which in my opinion is prety good.
I am still waiting for one of you great programmers to program an EA so that we can test the parameters.
I am hoping someone would come forward soon.
Just a thought speaking of volatility...If we can get someone to continue the expert, i think an ideal setting would be to actually take positon above or below the target once the target is hit. Using bogus numbers, say the daily move goes to 1.0000 where are short positon is waiting. I would prefer to not take entry there, but for the EA to only notice the target has been hit, and set the entry approx. 10-20 pips above target (1.0010 or 1.0020). By grabbing on the retrace we will help elimate losses. A stop loss of 50 just isn't enough. It's likely to be hit, but by confirming position first, then taking the order afew pips away will decrease the votality strain against us, making our stops less likely to be hit (not to mention more profits!)
The idea is intriguing to say the least. But it complicates the system and not to mention overtrading. How it will benefit the systems overall performance , I am not sure. However, the basis of the system is that the those monstrous large move days which more than make up the losses.
Lets tweak this after we have tested the original rules? Only after we know how the original rules perform, can we try and optimise it.
We still do not have enuff interest from any of our star programmers.
I have two questions, When you say todays open and yesterdays high low where are you cutting the day at, 00:00 GMT, 17:00 NY?? And the debate on stop loss size why not use a Volatility Trailing Stop? The CockeyedCowboy
The excel file test has been done by taking 00:00GMT and I think that will suit us for now. I dont have data to backup why this time is the most suitable. But I will have to take the word of the original person who posted this excel file with the results on moneytec.
Hope that answers your question.
Volatility trailing SL would be great in giving us atleast small profits instead of getting our SL hit lots of time. It would be a good idea. Maybe you can give us an example how you think it should be used. So that someone who can program this can code it in the program to see how profitable it is. I have noticed that in this month there have been lots more ranging days and less of one sided trending days.
BTW, if most of the activity takes place in european and NY session, wouldnt that be the optimum range to exploit?
Larry williams is referring to the futures/commodities markets. But Fx being 24hr market, I think that would be logical.
However, it would be good to see the results based on original rules B4 we tweak it, But I think it would improve the system.
I know codersguru is busy with lotsa stuff,, anyone in touch with any other programmers??
All your help is appreciated.
I think this model is simple enough to trade manually. Shouldn't be too difficult to backtest by hand, either.
Anyway, here's an indicator showing the buy/sell points and their exits.
Upper blue is long entry. Lower blue is long exit.
Lower red is short entry. Upper red is short exit.
You can change the 70%/50% values. You can run this on any timeframe up to daily and it will show the 70/50 values for the day. Let me know if you find any bugs.
Keris
Hi all,
I misread the criteria for the exit when I made the "Daily Volatililty Breakout" indicator. In the original indicator, the exit was based off the Open price. It's supposed to be based off the Entry price. This has been corrected. Please redownload the indicator from below linked post.
https://www.mql5.com/en/forum/173441
Keris ,
thanks for the great indicator. Just from a first glance on GBP hourly charts, it looks like we seemed to get stopped out quite often, atleast in this month.
I distinctly remember that during the months of oct-dec 2005, the market was trending really good and we would have cashed in some really great moves. We wont be able to get any clear results from one month and has to be tested over about a year atleast.
Hopefully we can get an EA soon so that we can test this out.
Volatility trailing SL would be great in giving us atleast small profits instead of getting our SL hit lots of time. It would be a good idea. Maybe you can give us an example how you think it should be used.
Hi radicalmoses!
This would require EA only, but say that once the "market" hits our target (buy or sell), the EA would then enter our buy/sell order 10 or even 20 pips above/below.
Say for example the market is ranging down to hit our sellstop. The first time it hits will be when the market is in a downward motion, thus the sellstop is activated. Since we know based on this that we are going to be selling only that day, we should actually wait for the market to retrace up, and then approach our target a second time to then take the order.
Just a thought, but if we think about it, it makes a lot of sense, and a lot less stoplosses =)
EDIT: for example. Last week using your formula I hit my stoploss, and took the losses. Yesterday based on your formula, i bought gbp/usd at the area you said we should. Then i watched the market....it retraced as it so often does, so i entered a second buy about 10 pips lower. The market moved back up and i closed the day with double profits!! I'm not saying we should enter twice, but my point here is to look at the retracement.
*See image for example
ooops just noticed, thanks for fixing the indicator =))
please disregard thumbnail
Hi radicalmoses!
This would require EA only, but say that once the "market" hits our target (buy or sell), the EA would then enter our buy/sell order 10 or even 20 pips above/below.
Say for example the market is ranging down to hit our sellstop. The first time it hits will be when the market is in a downward motion, thus the sellstop is activated. Since we know based on this that we are going to be selling only that day, we should actually wait for the market to retrace up, and then approach our target a second time to then take the order.
Just a thought, but if we think about it, it makes a lot of sense, and a lot less stoplosses =)
EDIT: for example. Last week using your formula I hit my stoploss, and took the losses. Yesterday based on your formula, i bought gbp/usd at the area you said we should. Then i watched the market....it retraced as it so often does, so i entered a second buy about 10 pips lower. The market moved back up and i closed the day with double profits!! I'm not saying we should enter twice, but my point here is to look at the retracement.
*See image for exampleThanks for your reply and chart. I completely agree to what you are saying becoz going over the chart I noticed the amount of times that the prices has retraced back just after hitting the sell/buy stops.
with the method you are referring to, not only can we pack in more pips but also decrease the SL hits. What remains to be seen is the exact method to expolit the move in the manner you have mentioned.
One method I can suggest is Fibo levels. Most moves usually after a strong trend retrace to 50% levels before continuing the trend. That would be my logical level of entry. Your suggestions are welcome.
Another thing I have noticed is instead of using only one directional move, we can use same levels for taking both sides of a trade. For example,, we may hit our buy stop and we get our SL hit. this means the market might be reversing to the downside. So if we keep the short order also open,, we might instead get to make the loss up on the same day. I hope you get what I mean.
So if we keep the short order also open,, we might instead get to make the loss up on the same day. I hope you get what I mean.
yes but would this not go against the "primary" rules of either buy or sell only same day?