Forex Software — EURUSD 1 Day Breakout

Re: EURUSD 1 Day Breakout

null@example.com (Popov) — Fri, 13 Apr 2007 15:40:28 +0000

I can't say anything since we made calculation using the current time frame only. Without deeper analysis we can't see the movement inside the bar.

Re: EURUSD 1 Day Breakout

null@example.com (DannyBens) — Fri, 13 Apr 2007 15:13:36 +0000

Downloaded 02 build, thanks for the quick fix.

Something is bothering me with this day breakout test system - the smaller I put the stop loss, the better the results.
Best results with 5 pip stop loss - this is not realistic, 5 pips stop loss will hit many many times.

Any thoughts?

Re: EURUSD 1 Day Breakout

null@example.com (Popov) — Fri, 13 Apr 2007 15:09:37 +0000

Ok.
The Envelopes indicator has been corrected in FSB v2.4.0.2

Thanks a lot. It was possible to stay with the bug with years.

Re: EURUSD 1 Day Breakout

null@example.com (DannyBens) — Fri, 13 Apr 2007 14:30:46 +0000

Keep em coming!

Re: EURUSD 1 Day Breakout

null@example.com (Popov) — Fri, 13 Apr 2007 14:21:39 +0000

It was wrong. Now will be correct

[edit]
Let check again

Of course 1.004

[edit2]

There is an error in your exe . I'll post the update after 10min.

Re: EURUSD 1 Day Breakout

null@example.com (DannyBens) — Fri, 13 Apr 2007 14:15:05 +0000

FSB is calculating correctly, just the posting confused me
High band =
Close * ( 1 + Deviation / 100 )
Close * ( 1 + 0.4 / 100 )
Close * ( 1 + 0.004 )

EDIT:
Update?...

Re: EURUSD 1 Day Breakout

null@example.com (Popov) — Fri, 13 Apr 2007 14:09:53 +0000

Opss. I'll check now

Hahaha - mising brackets. Seems a new update after 30 minutes.

[edited]
now is OK

for (int iBar = nMA; iBar < Bars; iBar++)
{
afUpBand[iBar] = afMA[iBar] * (1 + fDeviation / 100);
afDnBand[iBar] = afMA[iBar] * (1 - fDeviation / 100);
}

expect it in the net:

Re: EURUSD 1 Day Breakout

null@example.com (DannyBens) — Fri, 13 Apr 2007 14:01:59 +0000

Back for a second to the Envelope:
You mentioned that the upper band is Close * 1.04 (using envelope 1,0.4)
What am I missing? The calculations do not add up for me.
Lets say EURUSD, Close = 1.3000
so upper band is 1.3000 * 1.04 = 1.3520 - which is 520 pips difference, which is obviously not going to hit in the next bar.

Where is the fault?

EDIT:
Should be 1.004 and 0.996 I believe?

Re: EURUSD 1 Day Breakout

null@example.com (DannyBens) — Fri, 13 Apr 2007 13:56:27 +0000

Completely understand - no need to expose what you dont want to expose.
But, I am guessing that I am not the only one that will ask these questions - all I want to do, is to make sure that the algorithm is reliable, and that when the time comes, I will be able to reproduce the same strategy logic in a trading platform.

Yes, it is obvious that FSB is faster than others.

Re: EURUSD 1 Day Breakout

null@example.com (Popov) — Fri, 13 Apr 2007 13:53:11 +0000

The current backtesting algorithm is not perfect (in the example with both TP/SL levels in the same bar - completely wrong). But it is hundred times faster then the one in some other platforms.

About the results when we have two signals in both side of the opening price. I develop this method and it is tested and optimized using shorter periods. It is almost 90% reliable.
You understand I can't discuss it here. It is the core of the application.

Re: EURUSD 1 Day Breakout

null@example.com (DannyBens) — Fri, 13 Apr 2007 13:49:47 +0000

Not sure I follow - any example?
Also, if I DO undestand correctly, not sure I completely agree - there are numerous strategies that just "through the net" in the lake - buy at limit or buy at stop - which ever comes first. A classic breakout system, and also (in the opposite direction) - a classic range trade.

I do agree, that in more elaborate systems, you only allow longs or shorts based on other indications, but when we deal with strategies that hold position for a bar or two, and only capitalizes on the "noise" then the direction is sometime of no importance.

Wouldnt you agree?

EDIT:
Sounds good Popov (didnt mean to rush you) - I am becoming hooked! my entire day was coffee -> forum postings -> system testing and back to 1....

Re: EURUSD 1 Day Breakout

null@example.com (Popov) — Fri, 13 Apr 2007 13:42:15 +0000

I'm working on it guys. The shorter period tester will be ready soon. And it will take the calculation only when is needed. It will use all the data we have (till 5 min). and will make a road for calculation for each bar. To speed the process if there are no calculation or if everything is clear - only the fastest algorythm.

Re: EURUSD 1 Day Breakout

null@example.com (Jar Jar) — Fri, 13 Apr 2007 13:36:42 +0000

Normaly we have to use at least one open filter to show us the dirrection of the trade. In this case it is not problem when we enter long/short in the beginning of the bar or other level. The open filter prunes the wrong signal.

Re: EURUSD 1 Day Breakout

null@example.com (DannyBens) — Fri, 13 Apr 2007 13:34:21 +0000

Jar Jar - if you mean that daily strategies, will use, lets say 1 hour charts and will only place exit orders at one hour after the entry hour, than I agree. This is the only error-proof way.
Of course, it means that you may miss some exits if the market is fast, but at least it is more accurate and you know that if you get good results in this way, you will get good results in real trading.

Also, if FSB will someday support automatic usage of the higher resolution data, and you have up to 5 minute or 15 minute bars, than this will be perfect.

Re: EURUSD 1 Day Breakout

null@example.com (DannyBens) — Fri, 13 Apr 2007 13:31:10 +0000

Thank you Popov for the detailed answer. It is good.
I am completely aware of the most basic mistake people do of using the value of the indicator to trade on the same bar. I am past that level now but nonetheless, it is good that you mention it.

You refer to it as "use previous bar value" - I am simply always buying at next bar (calculate on this bar, and buy @ limit at Bar+1)

So we got at least one thing clear; the entry logic is:
if not BuyAtStop( Bar+1 ) then ShortAtStop( Bar+1 )

This, btw, may be problematic - since it favors bull markets.
If this logic is reversed, we may get different results - but I guess that the only way to truely solve it is to use data from higher resolution.

Now, you touched the point nicely, and I would like to discuss more:
Talking about SL/PT - what would be the logic (in pseudo code) for that?

You mention that you interpolate the bar to determine what hits first - judging by the charts, it looks like FSB is doing something like this (for long positions):

( Bar is any bar from the positoin entry bar onward, including the entry bar itself )

if( Bar is Rising ) then {
if not SellAtLimit( Bar )
then SellAtStop( Bar+1 )
}
else { // Bar is falling
if not SellAtStop( Bar )
then SellAtLimit( Bar+1 )
}

Did I capture this somewhat correctly?
Also, how did you extract the 87% accuracy level?

It will be absolutely fantastic if FSB will use data from higher resolution to understand what hits first - this will take it to a whole new level.