Some days this blog has a couple short sentences, and others it has what seems like pages, and understandably it causes inconsistency. Unfortunately that’s just the way things turn out sometimes.
I’m glad I’m still paper trading, even with how promising the TT (triple threat) strategy looked. The most important thing you can do for yourself is to do your own work if possible. While I like the TT, I don’t fully agree with all the stops such, and that’s good for me. A good trader should trade with his or her own style and judgement, not based on what a “better” trader teaches them.
So, I did my own work. Pipwoof said he backtested his system for 4 pairs over 18 months. That’s quite a lot of work by hand, so I decided to start small: 1 pair for 1 month. Now, I ran into a bit of a problem, as the following picture shows. The system is based off of the previous days data, so.. that’s kind of important to know which days are which.
Unfortunately I ran into some consistency issues of my own: The top clearly says the 8th, while the 3 boxes on the left say the 7th. Which to trust? Considering I made this screen shot today (the 8th) I decided to trust the top number over the bottom.
The results are here:
Daunting I know, but after sorting through it, it’s not too bad at all. Step by step, removing the excel stuff if I can help it. If anyone is curious to know about how the functions work or what exactly they are (or if you want the excel file itself) just let me know:
A: Just the date, removing Saturdays
B: Day of the week; important because the breakout system works differently on Mondays than it does others
C/D: PDH/PDL or the previous day’s high and low. Pretty self explanatory.
E/F: BT/ST, the Buy and Sell triggers. The excel function first checks if the day if either a Sunday or a Monday. I made a judgement call about trading on Sundays, and put it to the same test as Mondays: The buy/sell trigger has to be 11 pips above the Previous Day’s High/Low.
G/H/I: Just data. I recorded that day’s High, Low, and Close according to my Platform in EST.
Up to this point nothing special, just data. The only numbers worth using practically as a trader are E and F, the Buy and Sell triggers. Everything else is necessary only to make the functions work, and to be organized.
J: Trigger? This is a simple function that answers the question: “Did a Buy or Sell signal appear? This is just to know if the day is trade-able. It lets me know how often I get action using this method. (answer: almost everyday) If a day doesn’t trigger, I wouldn’t trade it, so the data for that cell (profits, etc) is worthless. Note that these appear on Sundays and Mondays, days where the system of cautious about trading anyway.
K: Both Triggers Hit? This is another simple function that answers the question: “Did BOTH the buy AND sell signals appear?” Depending on how the day goes, it is possible for price to move up to trigger a buy, and later retrace all the way to create a sell signal as well. This was made mostly out of curiosity and for fun, but it has uses later, and it is worth noting that it is quite rare for both signals to trigger in a day. Also be aware technically what this means on the chart if both signals DO appear. An engulfing pattern. Yea?
L: Daybreak. Daybreak is a simplified version of the TT. Instead of the 3 exits, you simply hold until the end of the day. I wanted to check if this was profitable, so I made a function that states “If the close for the day is higher than the BT, or lower than the ST, then Yes. Otherwise, No.” Either of those options create a profitable day, depending on if I buy or sell in accordance to the trigger.
M: Pips via Daybreak. This cell runs the numbers: It finds out which trigger is made, the buy or sell, makes the trade, buy or short, and then finds out what the profit/loss is at the end of the day.
N: Pip Reach. This is where the more interesting stuff starts to appear. If a buy signal appears, this uses the daily high finds out the max profit on a long. If a sell signal appears, this finds the max profit on a short
O: Nearest 25. The more technical label would be “Rounded down to the nearest 25 pips” If I use a variation on the TT system, taking my first profit at the nearest 25, rather than “at least 25 but no more than 50”, and then moving stops every 25 from that point, this is what I would get. Thus, while N (pip reach) would require me to have psychic abilities to catch its profits, This one does not. This is basically my backtest to the system. This answers the question “If a trigger is made and I trade on it, taking my first profit/loss at 25 pips, and moving up my stops up 25 at a time, what would my profit on the day be?” Note that in this backtest, I’m cashing out both position 2 and 3 at the same price, which nets more profit than the actual TT system (since TT would require me to hold another 25 pips of loss)
So what’s the result for the month of July(and a little bit of August)?
If you scroll over to the “W” column there are some statistics. Nearest 25 pip total: 650. If you trade this system the MOST you would be making is 650 pips a month, which is really good. For some perspective, if you traded 1k cash on a 50:1 leverage, you could get at least 25k units of any of the big pairs. Over the course of a month this nets a little over 1.5k. that’s over 100% profit. Imagine doubling your stack every month. Of course, this isn’t how the system actually pans out in real life. This data assumes that if you don’t net at least 25 pips of profit on the position, you break even. Note that in the “O” column, there are a lot of 0s. This shows that, say, if a buy trigger was made, that the daily high wasn’t higher than 25 pips. Now, if we played the system rules, and took a 25 pip loss on every position that wasn’t a gain, how much profit would we have? The statistics show that there are 7 profitable days, and 11 unprofitable days. 11 unprofitable days means 275 lost pips. 650-275=375 pips. Still good, but note that we haven’t gone over any charts. We have no idea what’s going on. We’re pretty safe knowing thatgenerally 1 signal and 1 signal only shows per day, but those mishap days could turn a profitable strategy into an unprofitable one. I could look at the charts true, but I don’t care so much about the past as I do the present and future.
For the next month, AUD/USD only! (on one account at least)
- 365trading posted this