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  1. #1
    James Stanley's Avatar
    James Stanley is offline Moderator
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    ENTRY/EXIT - London Breakout (Opening Session Breakout)

    Hello -

    This is the strategy from the Strategy Trader Special Session on 12, 2, 2010.

    This strategy is based somewhat around the "London Breakout," Strategy.

    The strategy contains 5 inputs that are modifiable.

    Lookback periods is the length of the price channel to be used to gauge high/low. Default is set to 4.


    Opening Hour is the first hour that the strategy will allow a position to open.

    Closing Hour is the last hour the strategy will allow a position to open.

    Stop & Profit Target: Inputs in currency amount, not # of pips


    Please run through this, let us know what the best input settings you've found. With 5 inputs to modify, the range of results is extremely wide. If you wanted a brush up on optimization, the link below can certainly help.

    Optimization walk-through

    Enjoy!!!
    ไฟล์แนบข้อความ ไฟล์แนบข้อความ
    Last edited by James Stanley; 12-15-2010 at 07:42 AM. Reason: corrected stop/limit in code

  2. #2
    Hicksy is offline Member
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    Thanks for this James.

    Is it possible to get the Trade Session Indicator that you used in this video? You can PM me instructions if needed, etc.

    Many thanks!

  3. #3
    James Stanley's Avatar
    James Stanley is offline Moderator
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    Quote Originally Posted by Hicksy View Post
    Thanks for this James.

    Is it possible to get the Trade Session Indicator that you used in this video? You can PM me instructions if needed, etc.

    Many thanks!
    That is definitely possible Hicksy. Not sure if I had used Trading Station in this morning's session though - but that indicator is available on both platforms.

    On Strategy Trader, its in the "Free Indicators," thread (link below):

    Trade Session indicator for Strategy Trader

    On Trading Station, it is in the FXCodebase directory (link below):

    Trade Sessions indicator for Trading Station 2

    To get custom indicators into ST - you can watch the "Importing Indicators/Strategies," video at the link below:

    Strategy Trader Basics


    To get custom indicators in Trading Station, the following link provides a full walk-through.

    Adding Custom Indicators to Trading Station 2

    Hope you enjoy!

  4. #4
    s_kowaliw is offline Member
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    London Break out

    Hi James

    I used the above startegy last night

    I think that you might have the limit and stops mixed up because i put in a limit of 50 and stop of 15 and hit the limit of 15- 3 times

    Thanks

    Steve

  5. #5
    James Stanley's Avatar
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    Quote Originally Posted by s_kowaliw View Post
    Hi James

    I used the above startegy last night

    I think that you might have the limit and stops mixed up because i put in a limit of 50 and stop of 15 and hit the limit of 15- 3 times

    Thanks

    Steve
    Hey Steve -

    Thank you very much for bringing that to my attention. You were correct - the stop and profit target had gotten transposed in the code.

    I've gotten that all corrected. You can certainly re-download the file and get the corrected strategy. When you import, ST will let you know that there is already a code of that name - just go ahead and choose to overwrite that code and the corrected strat will be imported.

    I'm glad that it was limits getting hit incorrectly and not stops!

  6. #6
    Hicksy is offline Member
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    Hey James, thanks for the information and update/fix.

    I've been off ill for the past few weeks, so haven't been able to do any of the usual ST work.

    Anyways, I have a few questions that I hope you don't mind answering.

    Ok so a little about my strategy.
    It's good to hear that from the webinar that you and dailyfx/fxcm are interested in a London breakout strategy and its parameters and all that. This is mainly because I myself have been working/trading on my own little London breakout strategy for a few months now. I started it a little while back more as a secondary trading style that I did when my main trading either had a dry spell or just simply wasn't working, etc etc. I then soon realised that it was making me good and constant profit.

    So here I am, with a log of months of manual data of the strategy and because I've done previous work with ST and cannot always be at my computer on time in the morning, I thought why not just automate the strategy and sit back and..well..smile :P.

    So here comes my first and main question which I've asked before in the past (I'm sure you're annoyed of me by now hehe ). I'll use a screenshot of my normal TSII platform with an indicator I have for visualisation.

    ENTRY/EXIT - London Breakout (Opening Session Breakout)-londonbreakout_questions.jpg

    Ok, so, will ST be able to place trades for me when price hits these high and low points? Not on candle closes, or opens or highs or lows, just simply when price hits it. An example would also be great.

    If this is doable then I'm gonna go right ahead and code this bad boy .

    Many thanks,
    Hicksy

  7. #7
    s_kowaliw is offline Member
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    London Break out

    James

    your class was great today

    for some reason I could not get into the chat room

    question what time frame do you use for this strategy?
    I tried 5 minutes the last 2 mornings - not much action even with the British CPI release


    Thanks

    Steve

  8. #8
    James Stanley's Avatar
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    Quote Originally Posted by Hicksy View Post
    Hey James, thanks for the information and update/fix.

    I've been off ill for the past few weeks, so haven't been able to do any of the usual ST work.

    Anyways, I have a few questions that I hope you don't mind answering.

    Ok so a little about my strategy.
    It's good to hear that from the webinar that you and dailyfx/fxcm are interested in a London breakout strategy and its parameters and all that. This is mainly because I myself have been working/trading on my own little London breakout strategy for a few months now. I started it a little while back more as a secondary trading style that I did when my main trading either had a dry spell or just simply wasn't working, etc etc. I then soon realised that it was making me good and constant profit.

    So here I am, with a log of months of manual data of the strategy and because I've done previous work with ST and cannot always be at my computer on time in the morning, I thought why not just automate the strategy and sit back and..well..smile :P.

    So here comes my first and main question which I've asked before in the past (I'm sure you're annoyed of me by now hehe ). I'll use a screenshot of my normal TSII platform with an indicator I have for visualisation.

    Click image for larger version. 

Name:	LondonBreakout_Questions.jpg 
Views:	356 
Size:	34.1 KB 
ID:	74368

    Ok, so, will ST be able to place trades for me when price hits these high and low points? Not on candle closes, or opens or highs or lows, just simply when price hits it. An example would also be great.

    If this is doable then I'm gonna go right ahead and code this bad boy .

    Many thanks,
    Hicksy
    Hicksy,

    That is absolutely possible!

    And I never get annoyed when talking trading, - or automation of trading systems! I spend most of my free time doing the same, so its my absolute pleasure to help!


    The way I would code this system - I would assign two variables to capture the high and low. I would set a bool in the execute command to look for the high/low during the timeframe you wanted to box. Then you can set one of those variables to the high, the other to the low, and then you can set the rest of the logic below that in execute.

    If you wanted a help getting this coded - please feel free to input a Coding Request in the "Coding Requests," thread. We will certainly do our best to help!

    Strategy Trader Coding Requests


    Thanks Hicksy!

  9. #9
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    Multiple st's on same instrument

    Hey James,

    I am loving your posts and have tested all the strategies and all of them seem to be giving excellent results. The thing is i want to use them all and more, on just one liquid instrument, EUR/USD. But i cant activate hedging on my micro acc or strategy trader wont let me trade. Do you know if there is any time in the future when i can trade multiple strategies on the same instrument(i.e different buy and sell strategies at the same time), because i can only open 1 micro acc, hence can only trade 1 instance of EUR/USD with one strategy? Any workarounds that you know of in the meantime?

    Cheers
    Aaron.

  10. #10
    James Stanley's Avatar
    James Stanley is offline Moderator
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    Quote Originally Posted by Aaron_ze_baron View Post
    Hey James,

    I am loving your posts and have tested all the strategies and all of them seem to be giving excellent results. The thing is i want to use them all and more, on just one liquid instrument, EUR/USD. But i cant activate hedging on my micro acc or strategy trader wont let me trade. Do you know if there is any time in the future when i can trade multiple strategies on the same instrument(i.e different buy and sell strategies at the same time), because i can only open 1 micro acc, hence can only trade 1 instance of EUR/USD with one strategy? Any workarounds that you know of in the meantime?

    Cheers
    Aaron.
    Hello Aaron -

    Thank you very much for the kind words. They are greatly appreciated!

    Unfortunately I can't think of a ready way to work around the issue. Personally, I prefer to have a separate account for each strategy that I'm running live. It just makes it a lot easier to analyze and follow results. With a standard account - the accounts can be linked under one login so that its really easy to manage multiple accounts/strategies. I'll pose this question to some of the members of our Micro support team to see if they have any suggestions.

  11. #11
    James Stanley's Avatar
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    Quote Originally Posted by s_kowaliw View Post
    James

    your class was great today

    for some reason I could not get into the chat room

    question what time frame do you use for this strategy?
    I tried 5 minutes the last 2 mornings - not much action even with the British CPI release


    Thanks

    Steve
    Hey Steve -

    Sorry for the late reply. The only TF i run this strategy on is the hourly. It can certainly be modified for other timeframes.

    The reason I use the hourly is becuase of the 'lookback periods.' I had set a default value of 4 - so when london opens - the strategy is essentially looking for the high low of the last 4 hours.

    If you were using a 5 min chart - it would only be looking for the high/low of the last 20 minutes.

    There may be another concurrent issue - because if the strategy was boxing the last 20 minutes, that should have meant more trades, not fewer. Everything on my forward-tests on the hourly have looked ok though - so give a try on the hourly chart and let me know if that works better.

  12. #12
    s_kowaliw is offline Member
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    Opening breakout

    I did some backtesting on the hour - looks good

    also did some backtesting on the 7 min with longer look back periods -- looks quite good also

    now to put it into forward testing

    I've also been trading live the pivot reversal strategy with 4 successful/profitable days and would like to put a time filter on it - like you have on the london breakout - how hard would that be to do?

    Happy Holidays

    thanks

    Steve

  13. #13
    s_kowaliw is offline Member
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    Opening breakout

    Hi James

    Hope you are enjoying the holidays

    I was able to put on your time filter from the opening breakouts startegy on to the pivot reversal strategy - tested it and it works

    I will add it to other strategies as I go along

    How would you add a minute field?


    Have a great New Year!!

    Thanks

    Steve

  14. #14
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    Quote Originally Posted by s_kowaliw View Post
    Hi James

    Hope you are enjoying the holidays

    I was able to put on your time filter from the opening breakouts startegy on to the pivot reversal strategy - tested it and it works

    I will add it to other strategies as I go along

    How would you add a minute field?


    Have a great New Year!!

    Thanks

    Steve

    Hey Steve,

    When you speak of a time filter, i assume you are talking about some code that turns the strategy on and off and specific periods? This seems to be missing in the back testing functionality of ST...any pointers on how i would get around this? It seems that most strategies would be a lot more profitable in back testing if we could choose the intraday times to run them on(i.e. not the Asia sessions)? Is there any chance that you could post what you have learned in applying that time filter?? (I know you probably have better things to do, but you can put this down to a new years resolution of helping at least one random individual in 2011)

    cheers

    Aaron

  15. #15
    s_kowaliw is offline Member
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    London Break out

    Hi Aaron

    I took the time filter from James' London Break Out Strategy and put it in my Pivot Reversal Strategy, since it's perfect to run intra day

    Look at the code using the strategy language editor - you have to define it at the start of the program - Starting Hour, Closing Hour, Check Time, then you have to set it up in the input section - so that when you set parameters for your startegy advisor - it shows up then I added the execute code actually checking time at the beginning of the execute section section

    This is the first time that I have played with code for the strategy advisors

    I backtested it - it worked like a charm - then I forwarded tested it yesterday - the screen shows that the strategy is exiting either thru a limit or stop but the position never closes Also I tested the original pivot reversal strategy versus the one with the time filter - the original one enters into the trades faster then the one with the filter

    So the stop and limit and entry functions have been hampered by my changes -

    James - would you be able to take a look at my new Pivot Reversal with Time Filter and see where I screwed up? If yes - how can I send it to you

    Thanks

    Steve

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