Strategie low volatility EUR/USD

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ORIGINALUL !

(formatarea textului nu cred ca e cea mai buna am copiat de pe un pdf cu 2 coloane)

 

The boomerang scalp

False breakouts that occur when most global forex traders are off the job present scalp opportunities. BY ED PONSI

 

One neglected area of forex trading is the tendency for currencies to drift quietly at certain times of the day. This begs the question: Is it possible to use this less-obvious market tendency to our advantage? After the U.S. forex trading session ends, but before the beginning of the Asian trading session, there is a stretch of several hours during which volume is typically low. This illiquid time of day begins around 5 p.m. ET. Although it is true that traders from Australia and New Zealand are active at this time of day, the “big three” centers of world currency trading — Great Britain, the United States, and Japan — are mostly dormant. It is during these hours that many currency pairs tend to drift aimlessly, and the lowvolume environment renders any movement — especially a breakout — highly suspect. Why are breakouts that occur on low volume unreliable? In all forms of trading, a breakout that occurs on high volume is respected because when traders put real money into a market it shows a high level of commitment to that position. The increase in volume is a reflection of that commitment. Because forex volume normally increases or decreases at certain times of the trading day, breakouts that occur during liquid periods are more reliable, while those during illiquid periods are much less dependable. Since any price move that occurs at this time (5 p.m. ET) is unreliable and likely to retrace, we can create a strategy that “fades,” or trades against, these false breakouts.

 

Timing is everything

 

Because 5 p.m. ET is considered by many to be the beginning of the forex trading day, it is also the time many market makers have chosen to charge or collect interest on open positions. Currency traders who pay no attention to interest charges or credits might be surprised at the amount they are paying, while those who do focus on this aspect of trading are often able to use interest credits to their advantage.

In order to avoid interest-rate charges, orders should be entered just after 5 p.m. ET when using this strategy. That time equates to 22:00 Greenwich Mean Time (GMT), which is the standard measurement of time used by currency traders. It is important to note that GMT does not recognize Daylight Savings Time, which is known as “Summer Hours” in the UK. Therefore, the time of day for order entry for this strategy will be 21:00 GMT when Daylight Savings Time is being observed.

Why do forex traders use GMT as a reference point? Imagine you are in the western United States, on a conference call with traders located in London, New York, and Singapore. One participant mentions that important news is expected to hit the wire at noon. This can create confusion, because you may not know which participant made the comment or where that person is located. However, if one of the participants states that important news is due to come out at noon GMT, there is no misunderstanding about the time. All the traders on the conference call will be prepared for possible short-term market volatility at the time of the news release.

This strategy — the “boomerang” — uses the euro/U.S. dollar currency pair (EUR/USD), which is attractive for short-term trading strategies because it has a tight spread. When using short-term strategies, every pip matters and a slightly wider spread can mean the difference between success and failure. False breakouts that occur when most global forex traders are off the job present scalp opportunities.

As a result, trading this strategy on platforms with variable spreads is problematic, because spreads tend to widen during illiquid times of day. Because the strategy is implemented at a time of low liquidity, a fixed-spread platform is recommended when using this strategy.

This is a brief “slingshot” style of trade that is designed to capture a quick profit and is intended for use at one specific time of day only.

The setup

 

The strategy consists of the simultaneous entry of a sell order above the market and a buy order below the market. The purpose of the sell order is to fade an up move and the buy order is entered to fade a down move. In either case, the strategy is based on the idea that any directional movement during this period will be short-lived because there is unlikely to be much volume behind it.

These price moves are most likely caused by an order (or group of orders) that would not normally have the power to move the market. This movement should be followed by a correction, or retracement, which is the move the strategy seeks to capture.

Place the sell order 15 pips above the “opening price” (at 5 p.m. ET) and the buy order 15 pips below the opening price. (Because this strategy is only designed for the EUR/USD, fixed-pip parameters can be used. If other currency pairs were being used, it would be impossible to use fixed parameters because of the volatility and spread differences among the various pairs.)

The exit point for both trades is the opening price. The protective stops for both should be 15 pips away from the entry point, creating a risk-reward ratio of 1-to-1.

If either side of the order is filled, cancel the other order. If no orders have executed within two hours of the open, all open orders must be canceled.

The reason orders must be canceled is because Asian markets tend to become active around 7 p.m. ET, and as a result an increase in volume and volatility should be expected. Since the strategy is designed for use in a low-volume trading environment, the increased activity from traders in Tokyo, Hong Kong, and other Asian market centers will create a trading environment that is too liquid for this strategy.

When this additional liquidity enters the market, any price move in currencies is more likely to have real volume behind it, and therefore it might not retrace. A strategy that fades breakouts would be inappropriate under these circumstances, since there is a chance institutions or other large traders are committed to the move.

This method of trading is simple but effective because exchange rates rarely make big moves during the “dead zone” between the U.S. and Asian sessions. For the protective stop to be reached, the exchange rate for the EUR/USD pair would have to move 30 pips in one direction — 15 pips to trigger the entry, plus 15 more pips to trigger the stop — a move that would be rare at this illiquid, nonvolatile time of day.

 

Trade examples

 

Let’s take a look at the strategy in action using a five-minute chart. On Aug. 5, 2007, the EUR/USD currency pair opened at 1.3810. Immediately, two entry orders were placed: a buy order at 1.3795 with a stop located at 1.3780, and a sell order at 1.3825 with a stop positioned at 1.3840 (Figure 1). Just two bars later, the exchange rate dipped to 1.3789, triggering the buy order at 1.3795. The trader canceled the sell order. The exchange rate immediately bounced back, and at 5:45 p.m. ET, the pair has climbed as high at 1.3819, executing our exit order at 1.3810. The duration of the trade was just 35 minutes. The pair continued to rise after the exit point was achieved.

Figure 2 shows another example. On May 10, 2007, the EUR/USD currency pair opened at 1.3487. A buy order was placed at 1.3472 with a stop at 1.3457, and a sell order was placed at 1.3502 with a stop at 1.3517. Less than an hour later, at 5:50 p.m. ET, the exchange rate dipped to 1.3471, creating an entry and causing the sell order to be cancelled. At 7:15 p.m., the exchange rate climbed to 1.3489, triggering the exit.

 

Quick in and out

 

The goal of the boomerang technique is to get in and out of the market quickly, and although the per-trade gains are not large, the approach has a high winning percentage because of the market’s tendency to drift at this time of day. One more important point: This strategy assumes interest will be charged or credited at a particular time of day. While many market makers charge or credit interest at 5 p.m., this is not a uniform practice. Rules for the payment or collection of interest vary from one market maker to another, so be sure to check with your broker for these important details before attempting to place a trade using this strategy. Successful application of the strategy depends on not being charged interest.

[tradelover]

Ok, am inlocuit in postul precedent EA-ul cu unul care simuleaza exact strategia, cu valorile default pentru parametri sl,tp,marja, si cu valorile orare modificate (intervalul de doua ore, cu conditia ca brokerul tau sa nu acorde/ceara dobanda DUPA ora pe care o pui ca parametru, in intervalul de 2 ore). In functie de broker se poate pune ca intrare ora la care brokerul acorda dobanda (daca nu e prea spre dimineata, sa se trezeasca asiaticii).

 

De exemplu la IBFX pun orastart=0 si pending time=120 (parametrul oraclose nu avea nici un rost, el era "uitat in text", l-am sters. Timpul de deschidere este "orastart" iar timpul cat stau orderele deschise daca nu s-a activat nici unul, este dat de "pendingtime", in minute) si in acest caz nu am dobanda, dar tot perdanta e (am ales ora la intamplare, fara sa calculez nika, doar sa fiu dupa momentul dobanzii, tu daca vrei, faci calculele exact pt brokerul tau).

 

De asemenea am pus loturi fixe de tranzactionat, calculati riscul manual si introduceti cate loturi vreti. Valoarea de 0.1 care este default corespunde unui risc de 15$ pe ordere la un cont cu lot standard. Adica un risc de 1.5% la un cont standard de 1000 de parai. Pentru un cont de 10000 (cand testati) modificti loturile la 1.0 loturi. Cei care l-au downloadat, sa il mai ia odata.

 

Ceea ce este interesant, daca testez pe M30 la Metaquotes, cu Every Tick, cu 1.0 loturi, cu toate datele M1 aduse din 1999 pana in prezent (ultimii 8 ani), atunci equity-ul creste liniar pe toata perioada testata!!. Adica contul se duce de la 10 mii la 29 de mii in cei 8 ani. (unde naiba e omuletul ala de la yahoo, care boldeste ochii mari??)

 

Pentru ca vreau sa imi adun intr-un singur loc jucariile la care lucrez, am decis sa pun o copie a strategiei si pe blog. Sper ca ener sa nu se supere.

 

S-ar putea sa fie ceva de capul ei. Dar trebuie testata serios, eventual pe un tick chart (sa vad cum fac rost de unul asa de lung) ori cateva luni de testare in timp real (de asta nu am timp).

 

Anyhow, spor la forward testing. Nu uitati sa downloadati EA-ul de mai sus din nou!

[tradelover]

Because I did not find a way to attach pictures to the comments in the blog.....

(nu imi place ideea sa le pun aiurea pe web si sa dau linkurile, uit pe unde le-am pus, se muta site-urile, chiar nu se poate face sa pot pune poza direct in comment la blog? ori nu stiu eu cum?)

 

[Stefan]

Tradelover, din pacate engine-ul de bloguri nu permite atasarea pozelor sau a altor fisiere in comentarii. oti totusi sa editezi postul tau de pe blog (ala principal) si sa inserezi acolo poza.

 

[edit] Se pare ca stie Bogdan (TheEconomist) o metoda sa pacaleasca blogul ( eu o sa ma fac ca nu stiu ca face asa ceva ) si sa-l faca sa accepte poze si in comentarii. Iti da el mai multe detalii pe private.

[tradelover]

M-am apucat de facut ordine pin blog si am gasit topicul asta prin arhiva, aveam link spre el de pe vremea cand am implementat strategia de scalping. Pt ca in arhiva nu puteam da reply, l-am mutat aici, penru ca sunt curios daca mai foloseste cineva asa ceva, si cam care ar fi rezultatele dupa cei 4 ani trecuti de atunci.

 

Acuma, cum o sa dati voi replica, daca mai il folositi, nu stiu, pt ca nu am identificat cum pot debloca un thread. De mutat l-am mutat eu, dar probabil ca Stefan stie el de ce nu ma lasa sa il deblochez, hihi. Acuma sa vad daca pot sa il mut inapoi in arhiva...

 

Edit

Bingo! a mers să îl deblochez, am luat-o logic, haha, trebuia sa merg in radacina, unde imi apare lista de topice, si acolo aveam iconiţa de deblocare pe el. Daca nu mai e nimeni interesat il voi muta inapoi in arhiva in cateva zile.

 

Editat Martie 19, 2011 de tradelover