GBP breakout system
GBP breakout system
Hi,
I have borrowed a few ideas of some people here (mostly JohnnyT) and might have come up with a very simple system for trading the swiss franc future on globex. The rules are as follows:
1) Plot 21 sma on daily chp chart and see previous day close - if above, only look for long; if below, only look for short
1) Breakout of 7-10am bar (all uk time) in direction daily chart has signalled
2) If get a signal, close trade at 12 59 59
3) If not got signal by 12 30, wait until 15.00 and re-enter trade of 7-10 breakout level
4) close at 20 59 59
5) no stops
Over the last 6 months, this has produced a profit (excluding slippage but including commission of $6.25/RT) of $7,800 trading one contract. With good money management, this would be nearer $10k. Max drawdown was an ridiculously low $600!!
However, as i use esignal, it wont let me import data to further backtest this so was hoping someone might want to have go doing it on tradestation or one of the other programmes with a large intra-day database going back 2 - 5 years.
The logic behind this is that the 21sma filter keeps you on the side of the MT trend; closing at 12 59 59 keeps you from gambling on the economic data; re-entering at 15.00 gives the chance of capturing the afternoon reversal.
Any help/improvements would be greatly appreciated.
David
nteresting ideas there. hadnt thought about re-entering on the similar break in the arvo.
will have a look at it with my slightly wonky data to see if it corroborates.
in the meantime, i'll see you guys on the other side of a 96-hour bender.
toodle-oo.
FC
be careful FC !!
it starts off with seemingly inocuous SMAs, and before you know it, you'll be on the harder WMAs and EMAs, and turn into a trend-follower.
its a very slippery road you may be embarking upon!
PS; ddune82: is this specific to GBPCHP, or have you tested it more generically for other pairs ?
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Quote:
Originally Posted by ddunne82
3) If not got signal by 12 30, wait until 15.00 and re-enter trade of 7-10 breakout level
David
Hi David,
I'm not sure what you mean by the above. (It's the 're-enter' that I find confusing. )
Are you saying that you only enter in the afternoon if you have not entered in the morning. Or do you mean that if you have taken a position in the morning, you then exit it at 1:00pm and go back in at 3:00pm. Or am I even more confused than I thought and you mean something else.
Also, I think I've found the symbol on IB (PSF ?) but I can't see how much the contract is worth. Could you let me know, please.
(Very interesting post, by the way. Thank you for sharing it with us.)
Regards,
Last edited by ivorm; Mar 24, 2005 at 6:58pm.
Just realised i made an error in the post - this isnt for GBP - its for the swiss franc. The title of the thread is wrong but i think i mentioned it was for the swiss in the text!
This set-up also works for the EUR but there is a diifferent set-up for the GBP - 11-15 breakout with the same sma filter. Over the last 6 months, all 3 have returned similar positive results which gives me pretty good confidence that this could be the basis for a system.
The draw downs have all been small EUR was around $1300 and GBP and $500 with profit for EUr of $10000 and GBP $5000. As this takes commission into account and cos they are futures, slippage should be minimal so the results should pretty accurate. The settings have not been optimised so if some nice results over 2 years get given, it could be game on.