EDIT (January, 2012) - I do not work on any automatic strategy any more, so I will not go further on this subject. Nicolas :-)
Hi,
In the “Battle of the Bots” thread, slacker made a reference (in this message: to the “Stop Hunting With The Big Forex Players” strategy, described on the following page: Stop Hunting With The Big Forex Players (
Extract: “The idea behind this setup is straightforward. Once prices approach the round-number level, speculators will try to target the stops clustered in that region. Because FX is a decentralized market, no one knows the exact amount of stops at any particular "00" level, but traders hope that the size is large enough to trigger further liquidation of positions - a cascade of stop orders that will push price farther in that direction than it would move under normal conditions.
Therefore, in the case of long setup, if the price in the EUR/USD was climbing toward the 1.2500 level, the trader would go long the pair with two units as soon as it crossed the 1.2485 threshold. The stop on the trade would be 15 points back of the entry because this is a strict momentum trade. If prices do not immediately follow through, chances are the setup failed.”
I tried to implement this idea on EUR.USD @ FOREX, 1 min from April 1st, 2007 to November 24th, 2011.
Full code (MultiCharts, Easy Language) is enclosed.
Data source = eSignal
Sessions = Interactive Brokers’ = Sunday 1730 until Monday 1700, … , Thursday 1730 until Friday 1700 (except Friday where session actually ends at 1600) EST
Same number of contracts for each trade: 500 0000. Since stop is placed at 15 ticks from Entry Price, it corresponds to a theoretical $750 risk per trade.
Commission and slippage are taken into account:
commission : 0.00002 per share/contract
slippage : 0.00005 per share/contract
The strategy has not been optimized.
It is LONG only. (SHORT version apparently does not show good results. I have no time to further investigate now.)
Stop Loss @ 15 ticks from Entry Price
Profit Target @ 15 ticks from Entry Price
Time Exit 5 bars after entry
Exit at 5 bars before end of session anyway
No trade in the first 2 bars of the session
Note: entry are made at “limit” price (versus : “at market”)
The results look promising. See attachments and below results.
Please, do not hesitate to criticize, comment, etc.
Initial capital: $100,000
MIDD: $27,000 (8% at the time it appeared)
Profit factor: 1.31
Sharpe ratio: 1.31
% of profitable trades: 55.41%
Total # of trades: 19135 (so a little less than 20 per day)
Nicolas
Parameters for backtesting under MultiCharts:
initial capital: 100K
commission : 0.00002 per share/contract
slippage : 0.00005 per share/contract
no Intra-Bar Order Generation (IBOG)
no Bar Magnifier
Fill limit order when trade takes place at limit price or better (vs ... when trade price goes beyond limit price by xx points)
Maximum number of bars study will reference: 50
Allow up to 1 entry orders in the same direction, regardless of the entry that generated the order
Maximum shares/contracts per position : 1M
Disclaimer. Future or FOREX trading has large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in such markets. Don't trade with money you can't afford to lose. This trading system is neither a solicitation nor an offer to Buy/Sell Futures or currencies. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed or shown in this thread. The past performance of any trading system or methodology is not necessarily indicative of future results.