NFP System - Backtest data provided
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Thread: NFP System - Backtest data provided

  1. #1
    Whats up fellas? I've got something which I want to share with you . Rob Booker http://www.robbooker.com recently held a contest to see who could think of the very best system to trade the NFP report. Here's the system (backtest information in Excel format), as I've agreed to make it freely available shortly after I won the competition. A couple of notes about it:

    This program is based heavily on an indior called the Sentinal Index. Origionally created by Joe Knight, I adopted the concept and gave it a use in my machine. What it is is a dollar index created by taking the motion of the 7 major USD based pairs (GBP/USD, EUR/USD, AUD/USD, NZD/USD, USD/JPY, USD/CAD, USD/CHF) and averaging their daily moves with each other to think of a meld of all of them, and a general management of the dollar. I plot this in Excel, and lay my 7 day SMA indior overtop, which I use for entry into the system. I don't have an automated way of charting and dispersing the Sentinal Index yet (I intend to distribute freely), however I really do still update it by hand, and also do provide services such as custom program development depending on the index, my signs dependent on the Sentinal Index and a brief description of every trade daily, etc. If you are interested in some of them, PM or email me, and also we could make a system like this one together

    Success rate: aprox. 80 percent more than 4 years
    Equity: $5,000 to $460,526.50 USD in 4 years
    Pips: 10,467 in 4 years (or an average of 215 per month)


    Kev
    https://forexintuitive.com/attachmen...2727778321.txt
    https://forexintuitive.com/attachmen...1213189774.txt
    https://forexintuitive.com/attachmen...1621476159.mq4
    https://forexintuitive.com/attachmen...1210372166.mq4
    https://forexintuitive.com/attachmen...8450953462.mq4

  2. #2
    Hi Kevin_E,

    Thank you for posting this interesting idea...

    I have been playing the math for this sentinal index... I have a couple questions;

    1. On your principles you state you overlay the sma in addition to it... How are you normalizing the index to match the scale of the SMA? Or are you referring a 7day sma of the sentinal index rather than a 7 day sma of the close? If that is the case, how are you determining a 7 day SMA of a 30min index? Are you using 336 periods of the 30 minute timeframe index? Or are you picking some specific time daily for the index to denote a conclusion of day. ?

    2. I see from your backtest, that you have completed the evaluation on GBPUSD.
    Have you attempted anyother pairs is that this egy for GBPUSD?

    It is an intriguing idea... I'd like to look into it farther... thanks Beforehand, Scott

  3. #3
    Seems neat. . Awaiting the indior dude

  4. #4
    Hi,

    This looks great, I know rob well and I can see he has showed you how to backtest...

    I will backtest this tonight

    Thanks for sharing

    -S-

  5. #5
    Well, the Sentinal index is not widely distributed as of yet. Joe Knight is the origional founder, and he let me borrow his own thought, computerize and backtest it according to my NFP system. I'm in the process of making a page that has actual time coffee based charts that will provide the indior (without any cost ). I'm on vaion in Canada, and will soon be returning this Wednesday, so expect something with this coming weekend. I really don't have a completely automatic system for producing the indior, although I'm working on a schedule to do so, so I can not precisely re-do my job here It would take entirely too long. I hope you can bare with me at the upcoming few days.

    -Kev


    Edit: Below are the Sentinel MT4 files for IBFX Mini
    https://forexintuitive.com/attachmen...0420450818.zip
    https://forexintuitive.com/attachmen...1239776557.mq4
    https://forexintuitive.com/attachmen...2018100658.mq4
    https://forexintuitive.com/attachmen...4997370985.mq4

  6. #6

  7. #7
    Thank you Kevin for bringing this to us. Definatly worth the evaluation. Enjoy the holiday

  8. #8
    Will the sentinal rules be published so we can incorporate them into our API? It sounds like it is going to wind up being available. Freely available in the website, but how do we automate the trades our selves without the rules for your sentinal? Your results can't be back-tested by us. . .and the signs can't be verified by us.

    Are you planning on making the rules freely offered? Or will the indior be available?

    Quote Originally Posted by ;
    Well, the Sentinal index is not widely dispersed as of yet. Joe Knight is the origional founder, and he let me borrow his idea, computerize and backtest it according to my NFP system. I am in the process of making a page that has real time java based charts that will offer the indior (without any charge). I am also beginning a sign service based on this indior where I'll offer upgraded sentinal numbers, the way to exchange depending on the indior, signs based on the indior, one on one help in trading with it, etc.. All the data that I have on the indior is back home. I am on vaion in Canada, and will be returning this Wednesday, so expect something by this coming weekend. I don't have a totally automatic system for generating the indior, although I am working on a program to accomplish this, so I can not precisely re-do my work It might take entirely too long. So I hope you can bare with me in the upcoming few days.

    -Kev

  9. #9
    Mrmikal,

    I'm not withholding the Sentinal index from anyone. I will make it freely available, but not one of my work is here. If you'd like the rules to produce the Sentinal index, something I labored hours each day for weeks to come up with in a usable format, then you go Whenever period (30 minutes utilised from the machine ), consider the closing of the current candle and subtract the near from the former candle out of it. That gives you a number that reveals that direction (up if the number is positive, down if the number is negative) the pair has moved at the last two 30 second candles. Now, do this for all 7 USD based pairs for the exact same candle (if you subtract the near on candle 8:30 in the near on candle 8:00 for Jan 8th, 2006 GBP, then you must subtract the near on candle 8:30 in the near candle 8:00 for Jan 8th, 2006 for the other 6 pairs). Add all of the numbers together, divide by 7 (to come up with an average USD move) which gives you a number....logistically the entire average amount all of the USD based pairs have moved.

    Now chart it. Take a base amount, doesn't matter what it's...I use 1000. For every 30 second candle you do the aforementioned rules for (and come up with your sentinal number for every 30 minutes), add this to your base amount. If your first calculation gives you 8.24 (the number you get after you include all of the moves together and divide by 7), add it to your base number 1000 to get 1008.24. Plot that in your graph. The next calculation (next 30 second candle) provides you with a movement of -3.12. . .then add this to your past sentinal number which becomes 1005.12. You see? Thats a sentinal number. If you want to wait a couple of days I can definately get you my hands generated numbers. Until then, if a person comes up with an automated method of producing this on a chart, then I'd love to see it. It would save me much work

    -Kev
    Savage Pip Fiend

  10. #10
    Kevin,

    Thank You for the info.. .question, however...

    The USD/JPY cross. . .obviously that number will probably be considerably higher than the others. . .won't that screw with your average? For instance:

    The USD/JPY moves 7 pips but the GBP moves 60 pips. . .if you do not normalize and take the resale worth, you will get (0.07 0.006) / 2 = 0.038, which obviously will be skewed. . .if you were to do the pip values, you would get (60 7) / 2 = 33.5 pips. . .so what is it?

    Do you need to reevaluate the pip value or some thing?

    Additionally, you state chart the 7 USD base pairs.

    What pairs are these? If you're charting the majors, that should be 4 pairs. Following that, we've got the NZD, AUD and CAD, I'd guess. . .but what about the HKD, the SKK, the Rand, etc.. . I am taking it as you're not including those. . .just the 7 crosses I mentioned. Right?

    Quote Originally Posted by ;
    ,

    I am not withholding the Sentinal index from anybody. I'm going to make it publicly accessible, but none of my job is here. If you want the rules to produce the Sentinal index, something I worked hours a day for months to come up with in a usable format, then you go Any time period (30 minutes used in the system), take the close of the current candle and subtract the near from the former candle out of it. That gives you a number that reveals which direction (up if the number is positivedown if the number is negative) the pair has proceeded in the last two 30 second candles. Now, do this for several 7 USD established pairs to get the same candle (if you subtract the near on candle 8:30 from the near on candle 8:00 for Jan 8th, 2006 GBP, then you have to subtract the near on candle 8:30 from the near candle 8:00 for Jan 8th, 2006 for another 6 pairs). Add all the numbers together, divide by 7 (to think of an average USD move) and that gives you a number....logistically the entire average amount all the USD based pairs have moved.

    Now chart it. Have a base number, doesn't matter what it is...I use 1000. For every 30 second candle you do the aforementioned rules for (and come up with your sentinal number for every 30 minutes), add this to a foundation number. In case your initial calculation gives you 8.24 (the number you get after you add all the moves together and divide by 7), insert it to your foundation number 1000 to get 1008.24. Plot that in your chart. The next calculation (second 30 second candle) provides you with a movement of -3.12. . .then add this to your past sentinal number which becomes 1005.12. You see? Thats a sentinal number. If you want to wait a few days, I will definately get you my hands generated numbers. Until then, if somebody comes up with an automated way of producing this on a chart, then I would really like to see it. It would save much job

    -Kev
    Savage Pip Fiend

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