One Night Stand System

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Re: One Night Stand System [Re: Sphin] #459882
06/09/16 22:00 06/09/16 22:00

Joined: Dec 2013
Posts: 568
Fuerth, DE

Sphin

User

Sphin

User

Joined: Dec 2013
Posts: 568
Fuerth, DE

1stStrike's idea sounds really complementary to ONS and also very simple. I hope I understood it right so here is a quick & dirty proposal. I tried with the assets I have history data from 2002 to 2015. Assuming both orders should be cancled if one of them is not fulfilled on Mondays, otherwise Entrytime must be set accordingly.

Code:

int WatchTrades() {
	
	if((TradeIsShort && NumOpenLong != 0) || // OCO kill pending short
	   (TradeIsLong && NumOpenShort != 0) || // OCO kill pending long
	   (between(tow(),52000,52005)))	 // Friday 4:00 pm EST
	   return 1;
	else	
	   return 0;
}

void Trade1stStrike() {
	
	if(dow() == 1) {

		Entry = 50*PIP;
		Stop = 60* PIP;
		// EntryTime = 5;
	
		enterShort(WatchTrades);
		enterLong(WatchTrades);
	}
}


function run() {

 set(LOGFILE+TICKS);
 BarPeriod = 1440;
 BarOffset = 300; // EST 01:00 + 4:00 = UTC 5:00
 StartDate = 2002;
 EndDate = 2015;
 
 while(asset(loop("AUD/JPY","AUD/USD","EUR/AUD","EUR/CHF","EUR/GBP","EUR/JPY","EUR/USD","GBP/AUD","GBP/USD","NZD/USD","USD/CHF","USD/JPY")))
   Trade1stStrike();

}

Ironically GBP/USD is the worst performer.:)

Code:

Portfolio analysis  OptF  ProF  Win/Loss  Wgt%

AUD/JPY avg         .052  1.17  136/323   19.3  
AUD/USD avg         .062  1.28  129/290   34.5  
EUR/AUD avg         .034  0.98   85/400   -2.8  
EUR/CHF avg         .203  1.08   70/165    5.5  
EUR/GBP avg         .040  1.15   62/118   11.4  
EUR/JPY avg         .086  1.22  148/420   32.5  
EUR/USD avg         .032  1.10  134/369   16.2  
GBP/AUD avg         .000  0.97  115/549   -6.4  
GBP/USD avg         .000  0.82  116/462  -36.8  
NZD/USD avg         .012  1.04  103/278    4.5  
USD/CHF avg         .112  1.07  122/332   10.4  
USD/JPY avg         .053  1.12  119/283   11.6

Maybe there will be some approaches to improve it.

Re: One Night Stand System [Re: Sphin] #459891 06/10/16 09:11 06/10/16 09:11
Joined: May 2016 Posts: 180 Prague pcz Member
pcz Member Joined: May 2016 Posts: 180 Prague	Originally Posted By: Sphin 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. What I meant is this: HH(10, 1) - 10 is time period and 1 is offset. You can try if it gives you better results too. Regarding the First Strike - doesn't look as good as ONS. There's also modified version that uses previous week's range to determine entry and stop levels. Probably makes more sense than fixed values. Here's the pdf: http://www.forexfactory.com/attachment.php?attachmentid=693540&d=1304670051.

Re: One Night Stand System [Re: pcz] #459955 06/13/16 02:45 06/13/16 02:45
Joined: Feb 2014 Posts: 181 R RTG OP Member
RTG OP Member R Joined: Feb 2014 Posts: 181	Have you run both scripts together (ONS and FirstStrike) in a backtest?

Re: One Night Stand System [Re: RTG] #460140 06/17/16 10:15 06/17/16 10:15
Joined: May 2016 Posts: 180 Prague pcz Member
pcz Member Joined: May 2016 Posts: 180 Prague	Originally Posted By: RTG Have you run both scripts together (ONS and FirstStrike) in a backtest? Tried it only for EUR/USD. With my params ONS gives AR 34% and FS 18% when tested separately. When tested together AR is the same as for ONS but PF and Sharpe are lower. The resulting equity curve looks more similar to FS equity curve probably also because FS has more than twice as many trades.

Re: One Night Stand System [Re: pcz] #460298 06/24/16 03:49 06/24/16 03:49
Joined: Feb 2014 Posts: 181 R RTG OP Member
RTG OP Member R Joined: Feb 2014 Posts: 181	Wow crazy day so far with Brexit. It turns out take profit targets hurt this system today/ [SPX500::L0778] Stop 13@2073: -547$ at 01:06 (USD/JPY::S) Entry stop 103.55 hit at 01:09 (USD/JPY::S) Skipped: Lots/Margin = 0 (CHF/JPY::S) Entry stop 107.14 hit at 02:26 [CHF/JPY::S3059] Short 25@107.10 p (EUR/JPY::S) Entry stop 115.50 hit at 02:26 [EUR/JPY::S3062] Short 28@115.49 p [EUR/JPY::S3062] Target 28@113.96: +544$ at 02:41 [CHF/JPY::S3059] Target 25@105.58: +478$ at 02:42 (AUD/JPY::S) Entry stop 75.59 hit at 02:43 [AUD/JPY::S3672] Short 61@75.56 p [AUD/JPY::S3672] Target 61@74.04: +1150$ at 02:43

Re: One Night Stand System [Re: RTG] #460299 06/24/16 04:04 06/24/16 04:04
Joined: Feb 2014 Posts: 181 R RTG OP Member
RTG OP Member R Joined: Feb 2014 Posts: 181	Will be interesting to see how the alternate versions without take profit perform on this event. Are you still running a live demo Sphin?

Re: One Night Stand System [Re: RTG] #460317 06/24/16 21:39 06/24/16 21:39
Joined: Dec 2013 Posts: 568 Fuerth, DE Sphin User
Sphin User Joined: Dec 2013 Posts: 568 Fuerth, DE	Yes, I do. But I cannot point a myfxbook account to them because there are not only ONS's running on one FXCM demo account. My results so far are not as huge as yours because I run 2 ONS with silghtly different assets and trainings but with only low capital each, so lots are very restricted. 1st: [CHF/JPY::S3134] Short 1@107.10 Risk 14$ at 02:25 [EUR/JPY::S3147] Short 1@115.46 Risk 22$ at 02:25 [USD/JPY::S3629] Short 1@103.13 Risk 14$ at 02:41 [CAD/JPY::S3666] Short 2@79.29 Risk 43$ at 02:41 Result so far: + 41 //// 2nd: [CHF/JPY::S3133] Short 1@107.10 Risk 14$ at 02:25 [EUR/JPY::S3145] Short 2@115.50 Risk 33$ at 02:25 Result so far: + 44 // Final Results: 1st: [CAD/JPY::S3666] Cover 2@78.48: +13.80 at 23:59 [CHF/JPY::S3134] Cover 1@105.06: +17.65 at 23:59 [EUR/JPY::S3147] Cover 1@112.84: +23.07 at 23:59 [USD/JPY::S3629] Cover 1@102.21: +7.94 at 23:59 Total: +62 2nd: [CHF/JPY::S3133] Cover 1@105.06: +17.20 at 23:59 [EUR/JPY::S3145] Cover 2@112.84: +47.15 at 23:59 Total: +64 ONS has stated its 'financial crisis robustness'. Last edited by Sphin; 06/27/16 14:55. Reason: Final results

Re: One Night Stand System [Re: Sphin] #460463 07/02/16 04:37 07/02/16 04:37
Joined: Feb 2014 Posts: 181 R RTG OP Member
RTG OP Member R Joined: Feb 2014 Posts: 181	This week's setups. No entries (AUD/JPY::S) Short 68@72.54 Entry stop (CHF/JPY::S) Short 27@101.97 Entry stop (EUR/JPY::S) Short 30@109.58 Entry stop (EUR/USD::S) Short 95@1.0913 Entry stop (GBP/USD::S) Short 92@1.3122 Entry stop (NZD/CHF::L) Long 0@0.7024 Entry stop (NZD/JPY::S) Short 82@69.84 Entry stop (USD/JPY::S) Short 0@99.04 Entry stop Weekend at 01.07. 20:00.........

Re: One Night Stand System [Re: RTG] #460667 07/09/16 00:27 07/09/16 00:27
Joined: Feb 2014 Posts: 181 R RTG OP Member
RTG OP Member R Joined: Feb 2014 Posts: 181	This week's setups. I noted the NZD/CHF trade was skipped. I decided to take a manual position 10 @ 0.7091 [Fri 08.07.16 00:05] 21378 +1764 +0 (AUD/JPY::S) Short 68@72.54 Entry stop (CHF/JPY::S) Short 27@101.97 Entry stop (EUR/JPY::S) Short 32@109.58 Entry stop (EUR/USD::S) Short 101@1.0913 Entry stop (GBP/USD::S) Short 106@1.2799 Entry stop (NZD/CHF::L) Long 0@0.7087 Entry stop (NZD/JPY::S) Short 82@69.84 Entry stop (USD/JPY::S) Short 0@99.04 Entry stop (NZD/CHF::L) Entry stop 0.7087 hit at 00:12 (NZD/CHF::L) Skipped: Lots/Margin = 0 Weekend at 08.07. 20:00..

Re: One Night Stand System [Re: pcz] #460831 07/16/16 12:28 07/16/16 12:28
Joined: Feb 2014 Posts: 181 R RTG OP Member
RTG OP Member R Joined: Feb 2014 Posts: 181	Have you tried adding the SMA trend condition to the entry? It improves the system a lot.

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