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
Re: One Night Stand System
[Re: RTG]
#459313 05/06/1621:5105/06/1621:51
[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.
Re: One Night Stand System
[Re: RTG]
#459314 05/07/1601:0905/07/1601:09
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.
Re: One Night Stand System
[Re: Sphin]
#459820 06/07/1619:1406/07/1619:14
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/
Re: One Night Stand System
[Re: pcz]
#459878 06/09/1619:0506/09/1619:05
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.
Re: One Night Stand System
[Re: pcz]
#459880 06/09/1620:5306/09/1620:53
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.