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Simple Intraday System. Trade once per hour. I need an EA to back test.
This method is titled "Two Bar in Row versus Open" system, labeled by Art Collins in
"Beating the Financial Futures Market."
The basic premise is – “…be long if you’re above the daily opening, short if below.”
All times are in UTC.
Rules are for longs. Shorts are the reciprocal.
Market Hours traded: 13:20-20:00 (Chicago floor hours)
If you open a trade, it’s kept open until the last hour before the market closes.
· 13:20 Note Opening Price
· 15:20 If the previous two bars closed above the Opening Price AND the last bar closed above the previous bar's close, then enter the trade.
· 16:20 Same
· 17:20 Same
· 18:20 Same
· 19:20 CLOSE ALL TRADES
Since an hourly “bar” can only be read on an MT4 chart at the top of the hour, then for a manual trade just obtain
the price at every anniversary hour of the trading session from an M1 or an M5 chart.
__________________________________________
An EA would make this a whole heck of a lot easier.
Here are the parameters:
EA External Requirements:
· Period (default is 60)
. 5 Digit Broker Pricing (true/false)
. Lot Size
· Market Open Time (to obtain Opening Price and to set anniversary time for broker hours)
. Close Trade if Price Crosses Daily Opening Price (true/false) (i.e. rather than carry a trade to Close All Trades Time. If the price drops below the opening (longs),
then the momentum has changed)
· Close All Trades Time
EA Internal Parameters:
· Earliest trade possibility to be 2 Period bars after Market Open Time
[If the Period selected is “60,” then the earliest trade possible would be 2 hours after Market Open Time]
· Latest trade possibility to be 1 Period bar before Close All Trades Time
· Requires 3 prices to determine if trade is to occur: Opening Price and previous 2 Period bars’ closing prices
. Previous 2 Period closes to be greater than Opening Price noted at Market Open Time
. Most recent Period’s close to be greater than the previous Period’s close
___________________________________________
Tradestation Results
Testing performed 05/24/2001 - 11/19/2005
All tested using 1 hour bars - Chicago trading hours
Note the absence of negative results
Return on Average in percent
S&P Mini 160.0
NASD Mini 95.4
Russell Mini 396.3
30Yr Bonds 368.9
10Yr Notes 391.1
5Yr Notes 255.5
Yen 56.1
Euro 397.3
Swiss Frank 220.1
__________________________________________
To visualize, please see attachments.
Times are adjusted to my broker time (EST)
Green is Chicago floor open
Blue are the hours you can trade
Red is the close all trades time
Last edited by efimortgage; 02-10-2009 at 07:00 PM.
Reason: EA requirements
Mr. Collins who is a regular contributor to Futures Magazine and a staunch technical trader, stresses that the measure of a system’s robustness is its ability to perform in all markets.
Further, he also identifies the opening price as “The Most Significant Price in Your Arsenal,” in regards to intraday trading. Perhaps trading London, and only trading London would yield similar results as Chicago.
Unfortunately, unless I can find an EA, I have no results outside of those posted above. However, it is noted that the 30 minute timeframe is nearly as robust as the 1 hour.
This method is titled "Two Bar in Row versus Open" system, labeled by Art Collins in
"Beating the Financial Futures Market."
The basic premise is – “…be long if you’re above the daily opening, short if below.”
All times are in UTC.
Rules are for longs. Shorts are the reciprocal.
Market Hours traded: 13:20-20:00 (Chicago floor hours)
If you open a trade, it’s kept open until the last hour before the market closes.
· 13:20 Note Opening Price
· 15:20 If the previous two bars closed above the Opening Price AND the last bar closed above the previous bar's close, then enter the trade.
· 16:20 Same
· 17:20 Same
· 18:20 Same
· 19:20 CLOSE ALL TRADES
Since an hourly “bar” can only be read on an MT4 chart at the top of the hour, then for a manual trade just obtain
the price at every anniversary hour of the trading session from an M1 or an M5 chart.
__________________________________________
An EA would make this a whole heck of a lot easier.
Here are the parameters:
EA External Requirements:
· Period (default is 60)
· Market Open Time (to obtain Opening Price and to set anniversary time)
· Close All Trades Time
EA Internal Parameters:
· Earliest trade possibility to be 2 Period bars after Market Open Time
[If the Period selected is “60,” then the earliest trade possible would be 2 hours after Market Open Time]
· Latest trade possibility to be 1 Period bar before Close All Trades Time
· Requires 3 prices to determine if trade is to occur: Opening Price and previous 2 Period bars’ closing prices
. Previous 2 Period closes to be greater than Opening Price noted at Market Open Time
. Most recent Period’s close to be greater than the previous Period’s close
___________________________________________
Tradestation Results
Testing performed 05/24/2001 - 11/19/2005
All tested using 1 hour bars - Chicago trading hours
Note the absence of negative results
Return on Average in percent
S&P Mini 160.0
NASD Mini 95.4
Russell Mini 396.3
30Yr Bonds 368.9
10Yr Notes 391.1
5Yr Notes 255.5
Yen 56.1
Euro 397.3
Swiss Frank 220.1
__________________________________________
To visualize, please see attachments.
Times are adjusted to my broker time (EST)
Green is Chicago floor open
Blue are the hours you can trade
Red is the close all trades time
Am I correct that the attached chart shows one trade opened that ended up being a loser?
My excellent example actually demonstrates 2 trade losses. That's real life for ya'!
1.3026 Open
1.3056 Hour1 Price above Open
1.3047 Hour2 Price above Open but below previous bar =No Trade
1.3061 Hour3 Price above Open and above previous bar =Open Long Position
1.3063 Hour4 Price above Open and above previous bar =Open Long Position
1.3043 Hour5 Price above Open but below previous bar =No Trade
1.3016 Close All Trades
Trade 1: Loss of 45 pips
Trade 2: Loss of 47 pips
_________________________________________________
Attached are the results of my actual live trading today.
The creator of this method never mentions whether or not to close the open positions if the price crosses the opposite side of the opening price. Nevertheless, I closed EUR/USD after it crossed. It was a wise decision.
Art Collins' quote, once more: “…be long if you’re above the daily opening, short if below.”
From now on, if the price crosses the daily open, I am closing all positions against the momentum before the Close All Trades time of 19:20 UTC. If I applied this rule yesterday, the EUR/USD losses could have been cut from 45pips and 47pips, to 35pips and 37pips, respectively.
I also attached screenshots.
Green = Open
Red = Close
Thick Line = Opening Price
Except the Swiss Frank. Notice how the market Ranges right after 19:20 UTC (14:20 EST)
Last edited by efimortgage; 02-10-2009 at 09:32 PM.
This looks interesting, but have to admit I'm having a little trouble following the rules. An indi would be nice to identify setups, then an EA could be constructed.
What's most confusing to me are the times. Chicago opens its floor at 20 minutes after the hour. So, if you were to trade the New York trading session, it would be fairly simple since the open is at the top of the hour. So you would simply use H1 charts.
At the NY open (8:00 EST), draw a horizontal line at the open price.
Once 2 bars in a row close above the open price AND each one is higher than the last, that's your signal.
Check every hour. Open if the next bar's close is higher than the last. If not, there's no trade.
Close your trades at the end of the trading session or when the price crosses your daily opening line into negative momentum territory.
What's most confusing to me are the times. Chicago opens its floor at 20 minutes after the hour. So, if you were to trade the New York trading session, it would be fairly simple since the open is at the top of the hour. So you would simply use H1 charts.
At the NY open (8:00 EST), draw a horizontal line at the open price.
Once 2 bars in a row close above the open price AND each one is higher than the last, that's your signal.
Check every hour. Open if the next bar's close is higher than the last. If not, there's no trade.
Close your trades at the end of the trading session or when the price crosses your daily opening line into negative momentum territory.
When does the trading session end with this system, 2pm EST or 4pm EST?
Linear Mode
