Half-Baked Potato

Right guys, i have been tinkering in excel for the past few days, hence my absence from the boards for a while, and have been testing the system put forth over on MoneyTec for trading GBP/USD


http://www.moneytec.com/forums/_show...edc81d90a4/_s-


bascially the rules are:-

take the price @ midnight GMT on monday

then put limit orders in to buy at this price + 50 , and to sell at -50

these are stop and reverse orders. so if the buy level is hit first, then the price reverses to hit the -50 level, then you stop out the BUY for -100, and activate a sell.

the stop for the reversed trade is the original BUY level (ie -100)

there are only 2 trades per week, one in either direction. therefore maximum weekly loss is -200.

all trades close at 1800 GMT on friday.


i have tried my best to backtest this, and i attach the results. for 2001- early 2003, it was just about profitable, but then as we move into late 2003/2004 it seems to have gone ballistic, as you can see from the equity curve.

i have taken my data from http://www.fin-rus.com/analysis/expo...g_/default.asp

and it (the data) looks a bit ropey (and im sure ive made some errors in my coding), but 140-odd trades should give a fair indication of the merits of the system.

drawdown is manageable, if not too decent, and the win rate is definitely useful (if a little distorted by the 2004 performance)

i will attach the sheet in due course, to enable you to tinker with the entry and exit variables, and of course , i would appreciate it if someone could check the code (if they have time)

possibly the reason for the underperformance is that volatility in 01-03 wasnt as high, and using the same entry triggers as for 2004 isnt such a good idea. i will look into coding a more dynamic entry method in due course.

additionally, im also fairly sure that returns could be improved by implementing a trailing stop, rather than the fixed -100, but sadly i dont think my excel skills are quite up to that yet.

usual caveats apply (dodgy data, dodgy coding, do your own research, obey the green cross code etc) , but im throwing this one to the hoards to see if it can be made more robust..


answers to the usual address,

Chinos

ok, and here is the spreadsheet i have been working off.

its a bit of a whopper, so may take a while to download.

you will need to hit F9 to recalculate after making adjustments.


the yellow cells are ones you can alter, and SHOULD alter the results.

please enter them in the formats that they are already in. eg type the day in full, and the times are 500, 1800, 2300 etc.

please also note, that i think the times on my data are GMT + 5 for some reason ( could someone verify this please??) so 500 is actually 0000 GMT , 2300 is actually 1800 GMT etc.


hope this helps,

FC

I had a look at this too and it seemed to work OK although recently there has been a historically bad drawdown.
When I get chance I will post equity curve.
__________________
"I refuse to tiptoe quietly through life
only to arrive safely at death"

FC

What a coincidence! I've just been reading the very same thread. Like all B/O systems, the SIBKIS system works well in trending markets but is cr*p in ranging markets.

My thinking is to eyeball Bollinger Bands on a 60 minute chart to identify trending or ranging markets, then trade the SIBKIS system in trending markets and a range-trading system in ranging markets. Obviously, this will require some screen watching, but we all have to work for our money.

As far as the SIBKIS system is concerned, you may also want to consider a strategy to minimise false B/Os.

Goober