フランシス・D. オーストラリアから私のオフに異なるEAのアイデアをバウンスするのが好き. 彼は、最新の電子メールに長いか短いのどちらかである信号から二重の損をしたばかりの恐怖を述べました.
この種の問題は、すべての時間を発生します. 私は最初の移動平均の上に価格十字架をフェードシンプルな戦略とそれを検出しました. たび価格十字架と移動平均の下に閉じ, 長い行きます. ショーツは同じ規則に従います. それは私が常に提唱愚かな単純な範囲の取引戦略のようなものです.
価格が下に交差したとき購入 200 SMA. 販売と価格は戻って上記交差したときに短い行きます
上記の例では、フランシスは文句同じことを強調し. どこにも行かせず、移動平均の周りの価格山車.
ランダム成果
SMA上記価格交差点に基づいて取引が損益分岐近くで出てきます. 受賞者は約発生します 66% 時間のと敗者の三分の一サイズであります. このような戦略は、どちらも作ることも、取引コストを無視したときにお金を失います.
戦略の受賞者の大半は小さな小さなされています. それはSMAに最も近いときは常に戦略は、その最大の機会に遭遇. 遠くにそれが行きます, それは間違った道を進んで保持可能性が高いです.
取引を反転すると、まだランダムな結果をもたらします. 唯一の違いは、勝者がに落ちるということです 33% 精度, しかし、平均的な勝者は今 2:1.
取引戦略の誕生
私はいつもスケーリング戦略が結果に影響を与える可能性があるか疑問. 戦略は、機会が最小になるとき勝つために最も可能性がある場合, 戦略は、市場に悪影響を移動すると、その位置のサイズを小さくしようとすると何が起こります?
別の方法として, それは位置にすべての小さな勝者とスケールでパスを取る場合何が起こります? [はい], それは敗者に調整されます, それはまた、結果の勝者を大きくする必要があります. 質問はその後、敗者の救済へのスケーリングとするときのレートを決定する方法になります.
ありがとう, フランシス! 新しいブログシリーズが誕生. 今、私は取引に拡張することを決定したこと, 私はいつ、どのようにそれを行うことを選択する必要があります.
洞察力や特別なものは何も心に跳ね上がっていません. 私は視覚的な人間です, 私はNinjaTraderを使用してExcelでほとんどのグラフを作成する午後の大半を過ごしました. 何簡単なプロジェクトとして開始すると、常に自分自身に成長します. それはほぼ取りました 4 時間情報を取得し、正しい書式設定します.
グラフは、周波数に対するSMAからの価格のパーセントの距離が表示されます (すなわち, 価格はこの遠くからどのくらいの頻度であります 200 SMA?)
価格からさらに移動すると、私は取引にスケーリングを気に 200 SMA. 上のグラフを見てから私の本能は、私は変曲点に焦点を当てるべきであると言います. 曲線は、周りの素敵な屈曲部を形成し 0.3% 離れSMAから. 私が取得するまで、たぶん私は変曲点での購入を開始することができます 0.6% とか、ぐらい.
何をすればいいと思いますか?
アフターの考え
このシリーズは、最終的に収益性の高い取引戦略につながった. 旅を読むしたい場合, 記事を順番に読んでほしい
適切なタイム フレームを選択します。
研究計画
初期 backtests の厄介な驚き
範囲の取引の試み
範囲の取引結果
移動平均エンベロープ ダフ屋
こんにちは,
私はいくつかの概念を理解している場合でも、私は、プログラミング技術を持っていません. 私にとって, この時間枠は、この絵馬のために短すぎるか、このペアはあまりにも揮発性であります. また, 私は、このタイプの戦略にはあまりwhipesawsを取得するためにラゲールフィルタのような指標を使用することを好みます.
JC
重さのおかげで!
EMA (50 と 200 良いペアです) MAとパイス間にハードトレンド中にトンネルを作成.
それはあなたが彼らの開発に早期に認識する必要がこれらのチャネルをあります. これは、MASは価格に、各動揺との関係でどのように動くかの点で基本的な理論の多くが含まれ. MACDは、この上で取得しようとしますが、それは短所があります. 価格アクションとshrap抑揚はチャンネルに通常の前駆体であります. 大メディアSmalのチャンネルの様々な程度があります。, しかし、あなたはドローENEVをCNAのかの小さな損失を取る場合 9 フィルタリングしにくい小さなチャネルでのピップナドGET 30 下端のピップの安全バッファーでlatgerものにピップあなたが安全であることができます. だからオユは、基本的な理論を持っていて、私は上記のMAを入れて、価格を探している場合移動メント (の鉄十字 50 価格との間の良好な分離 50 マサチューセッツ州の10のオユ基礎を持っています. 式は、そのハードではないですが、オユが基本的な考え方を持っている場合は、良いことがあります. 研究論文 2 MAとどのように価格はこれらに関連して動作し、あなたがDTO HT etradeロボットを行う必要前駆体および式を参照する方法を見つけるだろう (EA). 幸運は、それはそれは音よりも難しいです.
ショーン,
上記の説明は、利用される時間枠を示すものではありません, 200MAの使用のみ. 私は上記のコメントに同意します. 唯一の指標で多くの成功を持っていたことはありません. 通常、ノイズを除去するために2つ以上必要.
アーロン
アーロンねえ,
コメントのおかげで. 私は戦略を研磨するための最終ステップとしてフィルターに回します.
多くのポスターは、私は時間枠を残していることを指摘しました. 上記のデータは、M1チャートを使用して作成されました. 誰もが取引M1チャートのアイデアで心臓発作を持って前に, それは思ったほどクレイジーではありませんなぜ私が説明しましょう.
方法論のグリッド型のスケーリングのために、それは以前のものがStopLockしてきたトレーリングストップ、あなたのように新たな貿易を持つようにセットを使用することができます, 停止損失があっても破るに設定するか、またはより良いです. 今、あなたは負の行くことができる唯一の新たな貿易を持っています. あなたは、このプロセスを繰り返すとして、あなたは％の末尾の停止を持つことができます…位置によって変えることができますが、チャート上でそれを拾っています. 位置は、MAに近いならば、あなたはそれを別のマジックナンバーを与える可能性があり、その後、遠くにトレードとは少し異なる扱い.
一般的に, 範囲では、スケーリングと短いTP値と傾向が大きく、TP値を持っている方が良いでしょう. あなたが本当にそれはどこにでも行くことを期待していないとして範囲のために私はスケーリングではないことをお勧め.
また, 範囲ではMAや価格行動の中心に向かってバイアスすることになるでしょう. あなたは、方向の動きから利益となるような傾向では、外向きのバイアスにしたいです.
ニース,
それは遠くあなたはSMAが可能性が高い形成得ることがSMA渡って戻って返すことです私には思えます. 変曲点での取引を入力すると、良い場所のようですが、1つは、最初の傾向を理解する必要があります. あなたは傾向を持っている場合、あなたはそれに反対取引をすることができますが、鞭はより速く、より遠く戻ってあなたをもたらすとして、入札は小さくすべきです. あなたがより多くの賭け、おそらくより勝つことができるのトレンドとの取引.
合意ロバート, しかし、信号をところその値はsynchsに傾向を定量化する方法. それはちょっと変わり目モモ・発散を探します何の設定のようなものです.
こんにちはショーン
このようなsitautionで、私は通常、離れて、MAからパーセンテージseprationを探します. ビッグプレーヤーがMAを狩りしている場合は、彼らが市場を揺るがすながら、2つまたは3バウンスが一般的です. スイングのためのその共通のサイズが似ているように. あなたが逆転に以下のものに、MA上記価格の範囲を比較し、それらが似ている上に移動するには逆転の場合. 多くの場合、手ブレアウトと偽信号を最小限に抑えることができますprominateマサチューセッツ州の周りの高値と安値の相対価格の範囲を見て
乾杯
レオン
こんにちはショーン,
I am primarily a manual price action trader and as a result I think I might have an interesting perpective on this issue. The price action described is common in low liquidity markets. This is likely to occur during off peak hours such as after 3PM east coast USA time when North America and Europe are closed and Asia has yet to open. This can also occur on days where ther is very little news driving price action and/or just before a major holiday.
Since I use my EA primarily as an advanced order entry program I have addressed all of the above scenarios using time. I can manually input what time I want the EA to trade and when to stop trading. I then look at the news realeases and bank holidays and set the EA accordingly.
I also address this issue a second way. I give the EA a directional bias by having it reference trend either through the Awsome oscillator and the simple moving average. Price action trading below the MVA gives the EA a short bias and trading above gives it a long bias. This eliminates most of the whipsaw effect. Lately, I have come to believe that referencing the MVA or the AO on a larger time frame chart than the one being traded might yield better results.
ジョン L
I agree with your statement of starting at the inflection point. Because if you only trade between 0.3% と 0.6%, It should in theory increase win size and percent and minimize losses.
こんにちはショーン,
What is your preferred time frame with this strategy? Also have you established any pip targets that you would like to hit?
おかげで,
Chris
I doubt that I’ll use any specific pip targets, at least initially. I typically prefer to keep my strategies 100% defined by market conditions.
You did not mention the TF you are using…Maybe looking at lower TF and another SMA would help with scale in opportunities. If all TF line up, why not jump in again? Makes for boring manual trading staring at screens.
こんにちは, in terms of scaling in. The best way I’ve found is to do it once the math is on your side. I.e if you scale in when you are only a few pips into profit, you kill the chances of the trade becoming successful too early and if you double up, you half your profit thus placing the under pressure too early. The best number, or should I say the most sensible is to add when you are at least 20 pips into profit and you have a mini retracement to hide behide. So for exmaple, if price just fly straight up to +20, however you haven’t got a mini swing to hide behind, then it might be an idea to wait until you get that swing, then you can logically trail your stop and lift the stop to break even plus profit without killing the trade too early. If this doesn’t happen until the trade is up +30 etc then so be it, it just means you have an even larger buffer which is never a bad thing. Yes the likelyhood of the trade continuing gets less as the trade advances, but even so it’s still better in my opinion. You are also adding once the trade has pulled back, which is also a plus. If you just use a plucked number out of the skype to add, then often times you’ll add just as it starts to pullback making the trade top heavy right at the wrong point. So by waiting for a mini swing before you add coupled with the math on your side when you do it, i.e minimum +20 at least, then you have a fighting chance. You can look to add again, should the trade continue in that fashion, edging the new stop up to the lows/highs of the most recent swing etc etc. I’d love to know what effect that has positive or negatively on a trading system too, so will be interesting if you look into the idea further. 問題は、します。, does adding kill the overall profitability of a system? or does it incrrease it. Because there will be times when you add and get stopped out for a break even when you could of taken 20 pips on 1 lot for example but instead you took nothing. You didn’t lose it’s worth mentioning, but you didn’t win either. obviously the system has to move the stop to at least break even after it adds so you are never in danger of becoming top heavy. Just my 10 cence worth. Best of luck 🙂
おかげで, マーク. I really like the scaling ideas. You’ve given me something clever to think over.
こんにちはショーン, good good. Looking forward to hearing about it. Sorry about all the spelling mistakes lol I just read that back, I wrote it on the move apologies. おかげで. マーク.
That is a simple conclusion from the work already done. Your time & effort in charting and thinking. Now you can front test this for a month with as many possible micro trades on various pairs to see how to filter more noise and make the strategy more accurate.
I prefer to stay even simpler and don’t use SMA’s in my current strategies. Also not being a programmer is a disadvantage. I see the logic behind this though and it’s worth checking out further. I just personally don’t prefer this line of thinking (SMA being the main force behind any strategy)
Wishing you well!
こんにちはショーン,
In my view, 、 200 SMA works best on the higher time frames like the 4HR or Daily charts where there are less whipsaws. Very often, it is used as a directional bias instead of a entry signal.
To avoid whipsaws on the lower time frames, and even take advantage of it, perhaps you can use Renko charts instead of time based charts. 今のところ, the 200SMA can be used as the leading signal indicator, with the additional of several faster MA.
As per your original strategy rules, when the Reno bar closed beyond the 200 SMA and subsequently reverses, you can scale into multiple trades every time the Renko bar closes beyond the the additional series of MA.
That’s my 2 cents worth, hope it is of help.
乾杯,
Derrick
Derrick, agree with your comments. I find that counter-trend swings are a great entry when I’m in a defined trend…on the 1 時間, とき、 18 period linear weighted on close MA is above the 60 period exponential MA (on close) and price closes above the 18MA and the 18MA is above the 60MA, then by my eye we’re in a long trend (LT) その逆, if price < 18 < 60, then I'm in a short trend…now, once that is established (and this doesn't work perfectly, but its pretty darn good), I have established a series of rules that are similar to yours Shaun, where if I'm in a long trend, I'll go long if the price closes at or below the 18 on a bear bar etc, going counter to that move, but with the trend etc…and only with the trend…there are plenty of trades out there and I've learned life is easier for me when I just stick with the rule(s). I looked at your SMA distance chart and candidly, I think its a crap shoot…very appealing and have messed around with that before and been unsuccessful in finding the magic spot on that curve…there might be one, but there are enough other frictions that it never works out quite as grand as hoped for…hope this helps.
A few questions:
1. Is this 1 min bars?
2. Does the price chart display the rules you will follow? ie will you buy if price closes below the 200sma and reverse to a short on the first close above the 200sma? And to be clear you then would have bought both 2 と 3 bars earlier than the indicated buy bar given the buy criteria was met?
3. Are you thinking that on top of the initial rules you would only like to buy if the close is between 0.3% と 0.6% 離れて、 200 sma? もしそうなら, you would then like some rules to scale in such as 1 lot at 0.3%, 1 で 0.4% など?
4. Will you only make decisions intra-bar or on the close of a bar?
5. I take it 0.3% represents about 30 pips for the EURUSD?
I’m sure I will have a few more…
1. [はい]
2. [はい], the chart displays the rules. Entry is on the close of the marked bars.
3. I’ll be using scaling rules between boundaries. I’ll use micro entries for finer detail rather than 1 または 2 individual trades.
4. On bar close
5. [はい]. 0.3% * 1.3 (current EUR/USD) は 39 ピップ.
わかりました. Great.
So probability of a win is 66% または 33%?
How may pips is average win? average loss?
The probability is 33% winners/66% losers if you use this as a trending breakout strategy. If you trade is as a range, それは、します。 66% winners / 33% 敗者.
I don’t know the average pips, but it doesn’t matter. You don’t make money either way.
I think average pips are important because you’d only want cost (スプレッドとスリッページ) to be small as a % の $ expectancy per trade. If you are buying 0.3% under the SMA and selling 0.3% above the SMA then this is 78 pips from your estimate above. That should be ok given spread and slippage will be about 2 ピップ.
I don’t think there is an edge in directly exploiting the frequency graph you have posted.
I always come back to (Avg win x % Win) -(Avg Loss x % Loss) x Number of trades.
This strategy looks to be altering the frequency of trades and therefore the win loss ratio. I think you need to work on getting bigger winners and/or smaller losers. If you can do that then maybe you won’t want to decrease the trade frequency. What I mean is that I’d rather make $50, 5000 times than $1000, 10 回, regardless of the other performance stats.
For the mean reversion, giving it more room to revert and/or locking in the reversion quicker is what I would explore.
For the trend following, giving it less room at the start perhaps without a profit target is what I would explore.
また, in either case you are ‘catching a falling knife’ by buying the pull-back so I’d also look for some short and/or long trend bias change.
I tried something similar a while back using Bollinger Bands (Same SD concept). Sell at upper bollinger band, buy at lower, など. しかし, to take trend out of the picture, I added an ADX indicator stating that if ADX barrier > value = no trade. The ADX trend value was a bit laggy though. また, in regards to scaling, I had a second trade lot traded AND/IF (optional) at SMA middle line.
From my experience with these, the end of bar trading tends to be your worst enemy. By the time the bar is finished 30% of the trade is lost = greater risk for remaining.
I put aside the EA due to problems with stoploss. To be worked on later.
Would be happy for you to take a look at 1step sow or code if you wish.
On a second point in regards to scaling, I have also previously tried scaling in trades by using a lower timeframe indicator, say stochastic, rsi, dm+/dm-, など
Would be willing to explain further if needed.
また, very much agree on the Laguerre Filter above. Have been looking to include this in my arsenal as well. Further more you may use the lower time frame LaguerreRSI as a scale in.
What do the MACD volumes look like at the same point. If the bars are not increasing or decreasing greatly at the same time, your chances are the market will turn. If you use the MACD indicator (I use it at 6,13,9) with your crossover stragety it may help.
seems to be the Costanza theory of investing.
A very clever description! I had to search for what it meant.
If you’re wonky like I am, this article is really good on trading against public sentiment: http://bettingagainstmyself.com/2010/10/14/costanza-theory-betting-against-yourself-in-the-nfl/
Your system has a set expectancy and you are trying to maximize the returns from that expectancy. To maximize returns I think you need to trade at the ideal opening position size (probably around 2-3% for system that is accurate roughly 60% 時間の). Anything less or more and returns will suffer, theoretically anyway. このように, if you intend to scale into trades by reducing your ideal initial position size and then adding to it, I would expect that would reduce gains overall, even if this gains more on the occasional large moves. しかし, if you know that you also have a positive expectancy for the scaled trades, independent of the first trade (すなわち, you are trading two separate systems together), then scaling could work with the proper position sizing (or so I am guessing).
こんにちは,
Well your approach is interesting as it provides a visible continuum to a dilemma. As you know I made an attempt to navigate between two dangerous coasts: a trailing stop too small that gets the trade whipsawed and a take profit too optimistic that never got the trade filled. The problem is that when data are plotted with all different pairs on these two variables, no continuity graph can be drawn, therefore there is no way to optimize the trade-offs. But you seem to have obtained a graphic representation of your dilemma with which you can attempt to optimize your results.
ジャン ・ フランソワ
ショーン, I personally like your simple strategy using the moving average. しかし, the MA is arbitrary and completely under your control. If you don’t want the “price to float around the moving average” just switch to a larger moving average. And of course a Buy signal can easily switch to a Sell signal just by changing the MA. So why not make a ‘dynamic’ moving average that adjusts in scope (large or small) and offset (up or down) adapting to current price action. I say this would be a good starting place for your MA based strategy.
The congestion around the MA occurs regardless of the period used. I’m all ears if you have suggestions on how to make the MA period dynamic.
I don’t mean to bog down this conversation with discussion on the MA when you originally asked about ‘scaling strategies’. But what I mean to say is, if for example the 200 MA is changed to a 400 MA the moving average line would be of course less curved, more flat. And could even drop below the congestion in your example above, thereby indicating a Sell signal.
こんにちはショーン,
I’m thinking that you need the input from a lower frequency time frame for the trade entry to make sense. IOW, something like a swing-length probability indicator (from the HTF).
後で,
スコット
p.s. good exercise here!
こんにちはショーン,
I think you could do something interesting here with Parrondo’s paradox. http://en.wikipedia.org/wiki/Parrondo's_paradox
http://seneca.fis.ucm.es/parr/GAMES/Paradox%20in%20Game%20Theory%20Losing%20Strategy%20That%20Wins.htm
Have the value between changed done on Account Balance or on value/derivative of current price of a currency.
So you have one that can win 50% of the time and one that can win 66% 時間の – then use them as a ratchet. This rachet would need to be modelled on the appropriate currency movement. This way your using a mathematical advantage.
乾杯,
andrew
Those are excellent links. I just spent the first hour of my morning reading through the links and getting lost in their further reading. You’ve definitely given me something to think about.
こんにちはショーン,
I thought you would like that – I am working on a mathematical advantage. We could work on this together outside of your strategy if you would like. I am getting closer to determining which loosing strategies help the most.
With your questions on MA. I find a number of important determining factors:
– I find your choice of currency is very important. Some blast through a support line and some hit a support line like clock work and then again some are erratic either way.
– I find the 5min 80 または 100 SMA is my base for movement of price. I prefer this lagged price as I am after getting into a trend movement.
– I then compare the SMA to my custom price filter (my own version of a minimal lagging MA) and if after x number of bars it goes x pips away from the SMA then I am in. I find this leads to about 5 opportunities a day that need further checks.
– If price spends too much of the time going across the SMA n number of candles then I wait or do a parrondo’s like trade.
– When I am right I can get 20-200 ピップ, when I am wrong I loose on average 20 ピップ. Loss can be a lot larger if there is a large spike in the market and you cannot exit mid-bar. (news)
Not a method I would use personally as I prefer to go with the prevailing trend, not what may happen. Too much of a hit and miss for me. With regards to money management, I guess I would be looking for some further confirmation (another indicator?) before I loaded up on the trade. Maybe go in small initially when your rules advise you do so, keeping in mind that the market could continue against you for sometime yet. When the reversal is confirmed by a 2nd or 3rd indicator/patter/pivot etc, then it may be an option to add to your position size then. There is no easy solution as there are way too many variables, including the use of stops, targets, trailling stops etc.
I have just started a thread on another board discussing being in the market at all times using 2x indicators for buy and sell signals, which can form a sequence of trades using position sizes based on the fib sequence. I know Shaun thoughts on martingale and the like, but if you have a system that gives numerous buy and sell signals before the market gets away from you, then there shouldn’t be any reason to get too concerned.
With the above system based on a single MA, I think you would get the same results just tossing a coin and keeping your money management rules the same. It is an interesting topic with no real right or wrong answer, but at the end of the day as long as you make a profit with as little stress (ドローダウン) as possible, then you have a winner. 乾杯. ジム
こんにちはショーン, long time.
Personally IMO using MA’s will always be behind the eight ball in so many ways, and I do not use them, the fat lady has already sung by the time a MA gives any worthwhile signal.
Another point, having so many interested in using the same system once complete really aligns with your blog about the same EA placing the same trade all at the same time, so I am not quite sure of your goal here with this project.
Keep up the good work though.
コンウェイ
I find it helpful to watch how far the price is from the MA. I call this ‘price tension’. And in what manner the price has moved away from the MA. In this way the MA is not a lagging indicator. — I still think Shaun’s simple approach is good.