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I have had an idea of using Standard Deviation to calculate the optimal TP on a bar by bar basis.
Attached is an excel sheet that I think works out well; if everything on the sheet has no mistakes, I have tried to make an allowance for spread and slippage.
My reasoning behind this is I have been trying to develop a system that is adaptive to the current market conditions but keeping in mind what is a available in MT4 and what broker’s use as trading parameters e.g. Stop Level, minimum spread etc.
So I have been attempting to use things that are out of the brokers control and are dictated by “The Market” e.g. the daily range etc
I have posted the GBPUSD but have tested others with similar results.
Any comments are welcome
Cheers
Beno
Last edited by Beno; 07-19-2009 at 06:53 PM.
Reason: Add 2003 excel file
For some reason, I am unable to read your file or rename it to xls. So I can't comment much except to mention that a while back, I was using a similar approach for TP. I used 1/2 of the daily ATR for TP and full ATR for SL. This helped in adapting the values for TP and SL to market conditions as opposed to having fixed values.
For some reason, I am unable to read your file or rename it to xls. So I can't comment much except to mention that a while back, I was using a similar approach for TP. I used 1/2 of the daily ATR for TP and full ATR for SL. This helped in adapting the values for TP and SL to market conditions as opposed to having fixed values.
Thanks for the share,
Ms_Mel
It's a 2007 Excel file I will save another as 2003
and place it in the same zip file on post 1
This is an interesting way of using standard deviation, im always happy when people apply simple mathematical tools to accomplish something. Good work!
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Interesting behavioral change. See how the equity curve went erratic after 1/3rd. Thank you for inspiring method of statistical analysis and application. Not many people understand them, let alone apply.
Interesting behavioral change. See how the equity curve went erratic after 1/3rd. Thank you for inspiring method of statistical analysis and application. Not many people understand them, let alone apply.
The crucial phenomenon that I was pointing out is the drop in correlation between openPrice-to-yesterdayPivot used to determine TP direction after about the earlier data points. In short, "WTF happened to the market?" is the question to ask, though the fact stands that something has changed after that particular time where you can see from a very nice and stable cumulative PnL to a random whipsaw.
Crucial, because if you bet on the algorithm after that time marker, it's going to be a mess.
From March 29 2004 it looks like the volume is very erratic. you will have what I like to think as whipsaw bars when the current price moves over and under the daily open several times in a day.
Personaly as more and more people and companies move into the FX markets the Volume / Volitility should increase so this sort of whipsaw action migh become the norm.
so the never ending fight between the buyer and sellers continues
I think this could be a very good little system but could do with someone to code it.
find the highest high and the lowest low in the total history then the midpoint
Example USDCAD High 1.61900 + Low 0.90560 /2 = MidPoint 1.26230
if the open is over the MP Sell.
if the open is below the MP Buy.
A bit of maths.
find the Standard Deviation between the Previous bars Open and High and the Open and Low.
Example
2009.10.14 00:00 O1.03108 H1.03245 L1.02337 C1.0245
StDev O,H0.00097 StDev O,L0.00545 Average O,H and O,L 0.00321
The Average figure is the TP for your current Position.
Entry is on the open of a new bar.
Exit is on the close of the same bar.
MM is TBC.
from placing the csv data from various pairs and time frames it has showed to work in excel on any pair from 1hr upwards.
Linear Mode
