Breakout trading
Aug 10, 2010 at 09:48
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10 Replies
Medlem sedan Oct 28, 2009
1430 inlägg
Aug 10, 2010 at 09:48
(redigerad Aug 10, 2010 at 09:57)
I thought I'd take the opportunity to discuss the peculiarities of my trading with my EA and see if I can gather the collective wisdom of any other traders out there.
Here are a couple of things I'm noticing from the results from my EA.
Sell orders are far more profitable than buy orders. I'm familiar with this as a theory for breakouts. Human psychology seems to be better suited to believing that a break to the downside will go further than a break to the upside. I think our relationship with gravity has something to do with it.
However, I'm also seeing that Wednesday is an appalling day for breakouts. Without Wednesday trading Cast Iron Man would possibly be twice as profitable. This is the one that gets me. Does anyone have any suggestions as to why Wednesday trading seems to provide weaker breakouts than the other days of the week?
Here are a couple of things I'm noticing from the results from my EA.
Sell orders are far more profitable than buy orders. I'm familiar with this as a theory for breakouts. Human psychology seems to be better suited to believing that a break to the downside will go further than a break to the upside. I think our relationship with gravity has something to do with it.
However, I'm also seeing that Wednesday is an appalling day for breakouts. Without Wednesday trading Cast Iron Man would possibly be twice as profitable. This is the one that gets me. Does anyone have any suggestions as to why Wednesday trading seems to provide weaker breakouts than the other days of the week?
11:15, restate my assumptions: 1. Mathematics is the language of nature. 2. Everything around us can be represented and understood through numbers. 3. If you graph these numbers, patterns emerge. Therefore: There are patterns everywhere in nature.
Aug 10, 2010 at 10:23
Actually here is the link instead: It's a couple of years out of date but I believe the same principles apply.
https://www.earnforex.com/forex-e-books/trading-strategy/Forex_Traders_Cheat_Sheet.pdf
https://www.earnforex.com/forex-e-books/trading-strategy/Forex_Traders_Cheat_Sheet.pdf
Medlem sedan Oct 28, 2009
1430 inlägg
Aug 10, 2010 at 10:27
Thanks for that much appreciated.
11:15, restate my assumptions: 1. Mathematics is the language of nature. 2. Everything around us can be represented and understood through numbers. 3. If you graph these numbers, patterns emerge. Therefore: There are patterns everywhere in nature.
Medlem sedan Oct 28, 2009
1430 inlägg
Aug 10, 2010 at 12:11
This is an interesting document - and I'll admit I only skim read it - however it doesn't appear to provide a reason for the statistical observations.
I'm looking for fundamental truths here as I believe that only fundamental truths lead to a better understanding of the market.
Drawing conclusions simply based on statistical analysis without any firm basis is poor scientific method in my opinion and generally leads to curve fitting your trading model.
Here's an example of what I'm looking for. Cast Iron Man Aud/Jpy trades are bad on Fridays.
Why is this? It's because a lot of the trades get opened during the London and New York session on Friday and there is no following Japanese or Australian market to provide the impetus for them as they have already stopped for the weekend. Therefore trading AudJpy on a Friday is probably not a good idea.
I'm looking for fundamental truths here as I believe that only fundamental truths lead to a better understanding of the market.
Drawing conclusions simply based on statistical analysis without any firm basis is poor scientific method in my opinion and generally leads to curve fitting your trading model.
Here's an example of what I'm looking for. Cast Iron Man Aud/Jpy trades are bad on Fridays.
Why is this? It's because a lot of the trades get opened during the London and New York session on Friday and there is no following Japanese or Australian market to provide the impetus for them as they have already stopped for the weekend. Therefore trading AudJpy on a Friday is probably not a good idea.
11:15, restate my assumptions: 1. Mathematics is the language of nature. 2. Everything around us can be represented and understood through numbers. 3. If you graph these numbers, patterns emerge. Therefore: There are patterns everywhere in nature.
Aug 10, 2010 at 12:19
Trading breakouts requires a good mix of fundamental and technical factors though, agreed?
From a rational point of view, I have zero idea why Wednesday is a bad day for your EA. Have you looked at the backtesting data for day by day analysis?
How has the EA fared during this strong bull run? Have shorts still been successful?
From a rational point of view, I have zero idea why Wednesday is a bad day for your EA. Have you looked at the backtesting data for day by day analysis?
How has the EA fared during this strong bull run? Have shorts still been successful?
Medlem sedan Oct 28, 2009
1430 inlägg
Aug 10, 2010 at 12:42
(redigerad Aug 10, 2010 at 12:42)
I ran a quick test this morning on GbpUsd excluding Wednesday trades and it didn't corroborate the obversation over the longer term, so maybe it's just a freak anomaly. However it's very pronounced. It's possible that it's down to news releases. I wonder what day most of the major news releases are.
Check out the daily winners profits versus losers losses on the system here.
https://www.myfxbook.com/portfolio/cast-iron-man-tradency-feed/42411
As you can see, without Wednesday there would be double the profit.
I haven't checked the longs versus shorts during the recent bull run. When roughly would you say that started?
Check out the daily winners profits versus losers losses on the system here.
https://www.myfxbook.com/portfolio/cast-iron-man-tradency-feed/42411
As you can see, without Wednesday there would be double the profit.
I haven't checked the longs versus shorts during the recent bull run. When roughly would you say that started?
11:15, restate my assumptions: 1. Mathematics is the language of nature. 2. Everything around us can be represented and understood through numbers. 3. If you graph these numbers, patterns emerge. Therefore: There are patterns everywhere in nature.
Medlem sedan Oct 28, 2009
1430 inlägg
Aug 10, 2010 at 13:13
So it's conceivable that pending the big news releases the markets are naturally slower on the Wednesday.
Checking from the middle of June, the bias for shorts winning is definitely not there now. Some pairs are better long some short.
If the system was just trading shorts though it would be in roughly the same position equity wise as it it with both longs and shorts in.
If it was just trading longs it would be about $4000 better off.
Checking from the middle of June, the bias for shorts winning is definitely not there now. Some pairs are better long some short.
If the system was just trading shorts though it would be in roughly the same position equity wise as it it with both longs and shorts in.
If it was just trading longs it would be about $4000 better off.
11:15, restate my assumptions: 1. Mathematics is the language of nature. 2. Everything around us can be represented and understood through numbers. 3. If you graph these numbers, patterns emerge. Therefore: There are patterns everywhere in nature.
Aug 10, 2010 at 14:01
It's a tough one isn't it? Hindsight always adds confusion and doubt. How many years did you backtest prior to going live? Perhaps this is just a small correction and say 6-12 months down the line, things will be normal again.
I think running only shorts is a worthwhile test though as I'm sure you'll know most analysts are calling for EU to drop back below 1.19 within 12 months.
I think running only shorts is a worthwhile test though as I'm sure you'll know most analysts are calling for EU to drop back below 1.19 within 12 months.
Medlem sedan Oct 28, 2009
1430 inlägg
Aug 10, 2010 at 15:21
I backtested Cast Iron Man over three years. 2007-2009.
I would have done longer but it's pretty intensive and optimising each pair took around two weeks on three years of data.
I would have done longer but it's pretty intensive and optimising each pair took around two weeks on three years of data.
11:15, restate my assumptions: 1. Mathematics is the language of nature. 2. Everything around us can be represented and understood through numbers. 3. If you graph these numbers, patterns emerge. Therefore: There are patterns everywhere in nature.
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