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Thread: NFP System - Backtest data provided

  1. #11
    I believe he mentioned the 7 pairs within his first article

    This system is based heavily on an indior called the Sentinal Index. Origionally made by Joe Knight, I adopted the concept and gave it a usage in my system. What it's a dollar index made by carrying the movement of the 7 major USD based pairs (GBP/USD, EUR/USD, AUD/USD, NZD/USD, USD/JPY, USD/CAD, USD/CHF)

    I just ignore the decimal when I constructed my index. This manner it frees itself... It'd be good to here Kevin's take on this...

  2. #12
    Wow, I must have completely been blind. . .the details were in the very first post...I simply could not capture the gist of what was going on. OK. . .Now I get it. I presume it would not be too difficult to create an indior on this for MT. I've been considering doing something similar but for the following purpose.

    On a negative note, I'd think a real dollar index would need to possibly weight every one of these currencies based on typical daily quantity. Obviously trades in less liquid pairs (like the GBP/USD) may move the index just due to their greater volatility (due to lack of liquidity). Again, I'm not saying that the Sentinal index ought to be modified, but I had been thinking along the same lines.

    Anyways. . .interesting stuff.


    Quote Originally Posted by ;
    I think he mentioned the 7 pairs in his very first post

    This system is based heavily on a indior called the Sentinal Index. Origionally made by Joe Knight, I adopted the idea and gave it a use in my system. What it's a dollar index made by taking the movement of the 7 major USD established pairs (GBP/USD, EUR/USD, AUD/USD, NZD/USD, USD/JPY, USD/CAD, USD/CHF)

    I simply ignore the playoffs once I constructed my index. That way it normalizes itself... It'd be useful to here Kevin's take on this...

  3. #13
    Quote Originally Posted by ;
    On a negative note, I would think a real dollar index would need to possibly weight each of these currencies based on typical daily volume. Obviously trades in liquid pairs (such as the GBP/USD) can move the index just due to the higher volatility (because of insufficient liquidity). Again, I am not saying that the Sentinal index ought to be altered, but I was thinking along the same lines.

    Anyways. . .interesting stuff.
    This is a great point. . I'd never thought of it... something else to play ... Thanks...

  4. #14
    Yeah usually I just ignore the decimal to normalize. My first efforts in a sentinal index were to create a base day (Jan 3rd of 2000) and take the first close of that day as a base number (insead of 1000). Then, for every day, subtract the sentinal numbers in the base day like regular, totally taking the decimal from the equation, giving me a normalized rounded number of the overall pips moved. The number doesn't really matter, just the movements.

    I have also taken into account the potency of every pair in relation to the USD, and its effect on the Sentinal index. Ideally, if you make the sentinal index without breaking this in, it would react differently to various pairs (seeing as some pairs are more effected with the USD than many others ), rather than trying to normalize to allow it to behave exactly the same on every pair. I kind of depended on this, as I'd test each of the pairs versus the Sentinal index, and see which one it would work best on during different days and times (and months/years). I kind of stopped at GBP/USD because I entered into a contest, along with the time constraints forced me to stick to a single pair rather than manually backtesting on all of the other ones. I am working on putting this into an expert advisor in MQL4, which will allow me to backtest this from other pairs much more quickly, and allow me to discuss it more openly.

    A adjusted index could be me creating proportions on how far a pair has obtained or slid from the USD (its weight on the USD currently versus another pairs) and factoring that into the Sentinal amount, giving me a different indior for every pair. I will probably work on that later on, but I think theres alot more for me out of the as of today, so I will put that thought on the back burner

    Also, I've already thrown around a few ideas and charts about only charting the number in specific time frames. If you're only able to exchange between the hours of 5pm and midnight, by way of instance, make your number only deal with the times between 5pm and midnight. I've performed one between 9am and midnight (entirely dismissing the days of midnight to 9am), and the results are pretty fine, and reflect a good indior. When I get home in a few days, I will definately discuss more on it. Until then.

    -Kev
    Savage Pip Fiend

  5. #15
    Kevin, when you get a minute, could you answer my first question concerning the seven days sma in this post?
    Https://forexintuitive.com/cryptocur...r-request.html

    thanks

  6. #16
    I variable.
    30 minutes = 336 SMA

    You can use one time daily, but you'd only come up with one point every day, along with a direct line between these. . .also meaning that you could only take a trade in that one point throughout the afternoon, because only then would you know whether your sentinal number is above or below the SMA.

    sorry about missing the query.

    -Kev
    Savage Pip Fiend

  7. #17
    Quote Originally Posted by ;
    I just factor.
    30 minutes = 336 SMA

    You can use one time of day, but you'd only develop with one point per day, and a direct line between them. . .also meaning that you could only have a trade at that one point during the afternoon, because only then do you know whether your sentinal amount is below or above the SMA.

    sorry about missing the question.

    -Kev
    Savage Pip Fiend
    Because, the 336 is exactly what I guessed it'd be.

  8. #18
    Another question. Where and where are you setting stops, so it is possible to determine your risk % I visit you haveused 5%, but what is that 5 percent based on? Thank you

  9. #19
    I leverage 5% of my account.

    Meaning when I have an account worth 50,000, I will be leveraging 2,500 per place (or 2.5 lots for both rankings that I've offered, 5 lots total..which is 10% total leverage). Then I simply put the stops 100 pips in the contrary direction, which mean that a drawdown of aprox. 10% of my account if I shed, but has in the past gained back

    -Kev
    Savage Pip Fiend

  10. #20
    This is the GBP/USD one with 6pct risk of equity MM.
    Maximum DD is 30 %.
    Beginning equity 10.000.
    End equity after 7 years is 80.000 which equals to a yearly compounding rate of little over 30 percent.
    If I reduce the spread 4 instead of 8, the conclusion equity is 130.000.

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