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John J Hardy
The Bank of England’s latest CPI data and its potential for rate hikes are digested by Saxo Bank's head of FX strategy John Hardy, who also takes a closer look at EURGBP.
Squawk / 15 September 2016 at 16:00 GMT
Financial Systems Advisor / Quantitative Investments Inc
Canada
kom75, as I live on the west coast of Canada, its hard to find a timeframe to trade currencies, non the less I set up my EURGBP model to start at 3:00 PM BST and trade until 5:00PM BST. It executes a trade between 3:30 BST and 4:30BST. Today however I have decided to try a 2:30 BST time stamp as that is US market open and it will trade in European market close.
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Qi2 Qi2
Todays EURGBP trade, timestamp for range was 2:30 to 3:30 BST, trade set up was long EURGBP at 0.8515 target was 10 pips, but trade closed at 0.8520, due to M5 candle close. The trade system calculate ROC of pips per second, calculating them every 5 seconds, staying with the entry trade rule, that was executed (based on the 6 lines or rules) for 5 minutes and in this case the ROC on the 3:55 BST candle dropped from a high of 0.8525 to 0.8520 during 5 second ROC calculations.
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Qi2 Qi2
Didn't know if you would see it on fxtimes post, so thought I would post it directly to you :)
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kom75 kom75
Thanks for info Qi2:). I will check this later, have only acces to my phone at the moment, so can't see chart:)
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kom75 kom75
nice and fast:)
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Qi2 Qi2
Same EURGBP set up as yesterday, range is set 1:30PM GMT to 2:30 PM GMT, trade trigger long at 1:45 0.85272 and ran up to 0.85393, so a 10 pip TP would have been hit, but the way my algo calculates, I closed on the pull back at 0.85361.
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Qi2 Qi2
Same EURGBP set up as last week, range is set 1:30PM GMT to 2:30 PM GMT, trade trigger long for 10 pips profit
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kom75 kom75
so do you use stochastic, macd with six line algo, but do you start counting ROC from 2.30pm?
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Qi2 Qi2
Hey kom75, do you have an email you can post here? If so I will send you full details. In answer to your question, The also starts running at 1:00PM GMT, it starts is tracking ROC (pips per second) creating a model, at 1:30PM GMT and for one hour (to 2:30PM GMT) it runs the models, based on the 6 line rule (Rule 1: If ⵠEURUSD > 0 and ⵠGBPUSD > 0 AND ⵠEURUSD >= 2 x ⵠGBPUSD then Buy EURGBP) it will execute only one trade, (as defined by the 6 rules) when the conditions are met. While in the trade, system calculates ROC every 5 seconds, and stay in the trade as long as ROC is maintained at 2:1:1 or greater to a maximum of 4:1:1. I have several position closing rules, but typically its the ROC that closes the trade. The time control restricts the trade to executing only between 2:30PM GMT through to 3:30PM GMT, at that time it closes any/all positions and shuts off. Sorry the charts are deceiving, I do not use MACD or Stochastic, they are a hangover from my manual trading days at Saxo.
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Qi2 Qi2
Not sure the screenshot helps, but you can clearly tell the EURUSD was moving on up, while GBPUSD was moving lower, and at the open of the 2:30PM candle the trade executed. The trade actually moved against me by 2 pips first, then made its way to the 10 pip TP. And the believe behind the trade is the impact of London fix, therefore weight the ROC on the GBP :). Its generally good for 5 pips, in 2 M5 candles, and some of the time 10 pips in 2 or 3 M5 candles.
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kom75 kom75
Hi, Qi2, my email: kom75@wp.pl. Late evening here, everyone sleeps, so I can think about your algo now;)
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Qi2 Qi2
What is very important in your algo platform is its ability to calculate continuously, as my algo executes trades while a candle is forming or so called executing while inside a candle.
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Qi2 Qi2
Here's one closing condition calculation of a total of 7 that apply to every trade: Position will be closed if inside the next (𝑖 + 𝑘)th, the candle after 𝑖th candle, in which the position was opened, the following condition is met: (Price𝑂(𝑖 + 𝑘) − Price (𝑖)) < TP, (HighPrice (𝑖 + 𝑘) − Price (𝑖)) > TP.
Then the profit will be calculated as Profit = TP, where HighPrice (𝑖 + 𝑘) is the maximum value for (𝑖 + 𝑘) candle.
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kom75 kom75
I have a simple algo running 24hr. Ratio is calculating continuosly, but want to find a way to optimise entry and close. Today on EURGBP I've got 1 pip LOL, and on AUDJPY only 6, so a lot to do:)
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Qi2 Qi2
That's a good start, creating working algo's isn't easy! I sent you an email :)
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Qi2 Qi2
Working on the USDJPY idea right now, set up is 11:00PM GMT, with the range set at 1 hour or 12:00PM GMT and trade for 5 pips on breakout either direction. Seems to work reasonably well, lets see what happens in the next hour :)
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kom75 kom75
Thanks, but haven't got any:(
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Qi2 Qi2
It got returned to me, I think I found the error, just sent it again :)
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kom75 kom75
I have USDJPY set at 1-2am BST, works, but have it only week or two. I have also AUDUSD with reference candle 12-1am BST, 2-3 month already, not enough to be sure but for now is working. Both aiming for 5 pips
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kom75 kom75
Thanks, got your email
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Qi2 Qi2
Wonderful! Then I'm going to take a break and make dinner, it's that time of day for me.
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Qi2 Qi2
Interesting range (11:00 to 12:00) set up on USDJPY, its very narrow and about to set up in 3 minutes...
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kom75 kom75
I'll give a try:). algo already set
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Qi2 Qi2
Its a slow start, I'll keep on eye on the screen while I prepare dinner, looks like it skewing to go long, question is will it breakout
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Qi2 Qi2
Now it may break short??
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Qi2 Qi2
That or stay stuck in the range? So far no break to either side....
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kom75 kom75
well, i use different algo, had a upside break
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kom75 kom75
so far low was 0.5 pip from my sl:)
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kom75 kom75
AUDUSD also in play, will see results in morning. Have a good evening:)
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Qi2 Qi2
Mine will go long at 101.92
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Qi2 Qi2
She triggered and then it pulled back...1.3 pip
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Qi2 Qi2
Are you short Aussie?
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kom75 kom75
USDJPY hit my tp at 101.965, but had to wait 1:15hr, bit later triggered another 5 pips from 101.972
My Aussie short hit sl, but triggered long which was succesfull
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Qi2 Qi2
Beautiful EURGBP set up this morning (Vancouver time) I stayed with 1:30 GMT ("0") to 2:30 GMT, range break to the downside to open at 0.86196, closed at 0.86008, in the trade for 36 minutes.
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kom75 kom75
I've got some pips, but in the morning (mine- gmt time;). Also played Bayesian range on sp500. Got some pips as well, but could be much better if not my 0.3 point spread. I missed tp and buy limit by 0.1 point which is very annoying LOL.
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Qi2 Qi2
We are running a PSO (Particle Swarm Optimization) algo on it to find the best possible optimization per candle within this "time window, I will have the results by the end of the week, and will send you the presets, once I have run the model live.
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kom75 kom75
Thanks:). Btw i thought you have preset 10 pips TP and now see nice 19 pips profit:)
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Qi2 Qi2
I have 7 rules for exiting a position, I can email you the set ups, I had posted one of them earlier in this post, but email is easier to understand.
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kom75 kom75
Thanks Qi2, I've got your email. Will be massive help for me and my coder
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Qi2 Qi2
Hi kom75, new EURGBP algo has arrived in beta form, using the setting I provided and it should prove interesting :)
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kom75 kom75
Hi Qi2, looks good, no losses, was it just before fomc or an hour before?
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kom75 kom75
did you managed to made it work continuously or is it still attached to 1 hr pre-calculation?
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Qi2 Qi2
As I have 11 parameters, 7 position close settings, all constantly being calculated every 5 seconds and I can continuous reallocate the timestamp, it was very interesting to see it trade during the FOMC new release, it made 18 trades in under 5 minutes, and it lost a few pips, here's the screenshot :)
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Qi2 Qi2
And then I adjusted the settings so that it maintained a 1 hour time stamp and this is that result.
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Qi2 Qi2
This is after the news release and things had calmed down.
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Qi2 Qi2
Here is the result from 12:00pm to 2:00pm Vancouver time, which is EOD in NYC, the system automatically closes all trades and shuts down.
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kom75 kom75
18 trades looks a lot, but o the other hand it was volatile time. Still ratio is open parameter?
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Qi2 Qi2
Ratio?
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Qi2 Qi2
ROC is as described by fxtime, set up is 2.1.1 or greater to a maximum of 4.1.1
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Qi2 Qi2
I just received the algo this morning, so I have a lot to learn, but its very exciting to me :). I will run optimization tests, that will help me narrow down the settings based on risk and the rest we will have to learn over time.
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kom75 kom75
I just seen your settings. both pairs have to move minimum 2 pips or just one?
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Qi2 Qi2
You have a good eye :)!
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Qi2 Qi2
I can adjust anyone of the symbol parameters, which makes it difficult to optimize, but once it is, we believe it will perform well. And so what you see is the 2 pip setting for EURGBP, unless it moves at least two pips, my system will not execute the trade
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kom75 kom75
I'm asking because I have same minimum movement parameter for both pairs, and try to find if better to set same value for both pairs or different
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Qi2 Qi2
We can discover this together, I am not sure yet, but I have EUR/USD 3 pips, GBP/USD 8 pips and EUR/GBP at 2 pips.
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Qi2 Qi2
I seem to always have more weight on GBP/USD, as more times than not, the GBP moves faster than the EUR, therefore that is skew, so why not weight the ratio on that assumption..??
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kom75 kom75
I have slightly bigger and not matched to pair but for first 20 pips and for second only 1 pip, but my algo is working 24hrs. Next week or so I will do your version:)
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Qi2 Qi2
Working for 24 hours, won't it lose the probability edge?
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kom75 kom75
Don't have settings for EURGBP, but if none pair move 20 pips trade won't be executed, so quite similar as in your algo
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Qi2 Qi2
Interesting, I would have thought that is ok for GBPUSD, maybe even UER/USD< but seem to be quite far for EUR/GBP, unless its a swing trade.
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kom75 kom75
I have a stamp point at 9pm BST and 24hrs was mayba generalization, because i close it afternoon
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Qi2 Qi2
In my models, the average pip per candle is less than 10 pips, so I used that calculation as a guideline during development..?
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kom75 kom75
I work on couple things and this will be changed soon
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kom75 kom75
20 pips move is for EURUSD/GBPUSD. Only when one of them will move 20 pips trade can be executed. on EURGBP I wish I could get 20 pips:)
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kom75 kom75
anyway this is only temporary setup and I have to add more parameters, because for now algo doesn't work as should be
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Qi2 Qi2
It take a lot of time and a great engineer is needed, because the code can kill your brilliant idea, so I hope you have a great coder!! Here's what is happening now.... and I am watching USD/JPY
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kom75 kom75
Well, I hope my coder is great:) Time will show.
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kom75 kom75
I'm already off my conputer so will see your screenprint tomorrow. Have good evening
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Qi2 Qi2
Good night :)
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Qi2 Qi2
Have an error in the clock coding, wouldn't let me set the trading past midnight and so I just woke up to shut it down now that it is good working again..
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Qi2 Qi2
Back in 4 hours :)
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Qi2 Qi2
timestamp is 6:30am PST or 1:30GMT, we are up and running
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Qi2 Qi2
Here the results from the 6:30am PST to 8:00am PST run, the algo has earned 44 pips in the two session and I seem to recall fxtime saying this model is good for 45 pips a day, so I am shutting down and as its sunny in Vancouver, I'll head over to my boat and call it a great week.
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kom75 kom75
Good job with your algo. Have good sunny day :)
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fxtime fxtime
Hopefully this comment is nicely buried here......once your algo is perfected and both of you seemed to have a working successful model may I suggest you run the trade model in tandem order flow. The time stamp of the USA open is great and reliable however a another programme running the same scenario with European time stampings in tandem will catch the faster moves and greater Rates of Change. Both of you have discovered that there are oddities within the programme primarilly due to time stamps whilst you will still earn with a single time stamp having split time stamps can permit tighter fiscal control although these trades work bloomin' well this can enhance revenue streams as the trades have different duration completion points that truly maximise returns !! Hope this makes sense?
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kom75 kom75
In fact I wanted to try it tomorrow :) Algo is working, but I'm still searching optimal setting. Tomorrow I will try European time stamping with 2 different settings. 1st with setting I have now, and 2nd for longer trades with bigger minimum movements for both pairs
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fxtime fxtime
Let me know how it goes...if need be I will email my time stamps if that helps? Trying to catch up with a backlog of emails but will forward if required.
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kom75 kom75
OK, thanks
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Qi2 Qi2
Hey y'all, there is no doubt in my mind, an additional element is needed, at least on mine, we the time frame really limits the income. Fxtime, do you use a timestamp on this algo too?

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