Setups and skipped trades so far for Friday

AUD/JPY Long 102@86.40 Entry stop
CHF/JPY Short 0@111.50 Entry stop
EUR/JPY Short 44@121.71 Entry Stop
(GBP/USD::L) Long 0@1.4641 Entry stop
(NZD/CHF::L) Long 0@0.6804 Entry stop
(USD/JPY::S) Short 0@107.78 Entry stop
(USOil::L) Long 2@46.17 Entry stop
(USD/JPY::S) Entry stop 107.78 hit at 00:55
(USD/JPY::S) Skipped: Lots/Margin = 0
(CHF/JPY::S) Entry stop 111.50 hit at 01:30
(CHF/JPY::S) Skipped: Lots/Margin = 0
(GBP/USD::L) Entry stop 1.4641 hit at 01:43
(GBP/USD::L) Skipped: Lots/Margin = 0

Stopped out on the S&P500 and losses on two other positions.


[SPX500::L5918] Stop 15@2059: -605$ at 15:02
(EUR/JPY::S) Entry stop 121.71 hit at 19:53
[EUR/JPY::S4912] Short 44@121.70
Weekend at 29.04. 20:00...................................
Weekend ends at 01.05. 23:00

[Mon 02.05.16 00:05] 19954 -605 -280 \\''

Monday 02.05.16 Loss -707$ ----
[EUR/JPY::S4912] Cover 44@121.92: -127$ at 00:04
[USOil::L2134] Sell 2@45.68: -150$ at 00:04

[Fri 06.05.16 00:05] 19955 -881 +0
(AUD/JPY::S) Short 42@79.49 Entry stop
(CHF/JPY::S) Short 0@110.64 Entry stop
(EUR/JPY::S) Short 42@121.59 Entry stop
(EUR/USD::L) Long 0@1.1618 Entry stop
(NZD/JPY::S) Short 92@73.34 Entry stop
(USD/CHF::S) Short 0@0.9444 Entry stop
(USD/JPY::S) Short 0@105.54 Entry stop
(USOil::L) Long 2@46.81 Entry stop
(CHF/JPY::S) Entry stop 110.64 hit at 01:40
(CHF/JPY::S) Skipped: Lots/Margin = 0
(AUD/JPY::S) Entry stop 79.49 hit at 01:41
BrokerBuy AUD/JPY: 269 ms
[AUD/JPY::S2568] Short 42@79.48 at 01:41
(NZD/JPY::S) Entry stop 73.34 hit at 06:32
BrokerBuy NZD/JPY: 591 ms
[NZD/JPY::S3750] Short 92@73.34 at 06:32
(EUR/JPY::S) Entry stop 121.59 hit at 12:44
BrokerBuy EUR/JPY: 255 ms
[EUR/JPY::S5600] Short 42@121.59 at 12:44
Weekend at 06.05. 20:00

The JPY positions were in profit by a lot on but gave back a lot by close of trade Friday. This is making me think of adding a trade profit limit or trailing stop.

This might be an interessting variation but the idea of this strategy was originally to trade gaps over the weekend so if trades were stopped before I think it could hardly fulfill its purpose.

Simple question: did you try backtesting with TICKS as suggested by jcl? If so, how did it compare to previous results?

I used TICKS default so I don't have other results. Maybe RTG?

Yes I use TICKS too.

Thank you. I asked because my results with ticks were very different but that was probably due to my implementation.

Have you also tried implementing First Strike system? It's something that has been promoted by the same guy - Joel Rensink AKA TheRealThing. It's supposed to be complementary to ONS as it trades from monday to friday. In this link, there's also .pdf with the rules for download: http://systemtradersuccess.com/first-strike-trading-system/

Also - I don't know what your running implementation of ONS is. I'm working with something similar to what Sphin posted. I would love to see what you are using if it is different.

BUT - what I wanted to say is that I get significantly better results if I lag the HH and LL functions by 1. I tested it on 14 pairs (from 2011 to 2015). On average I get 7% higher AR when testing with no money management set. I did the whole test on M1 data and tried it with TICKS only for two pairs. Those tests confirmed the previous results. I hope I haven't overlooked anything important.

I did not change the trading algo so far, I play around with money management/OptF and different assets.
What did you do with HH and LL? Sorry, I didn't understand.