The box

[westvleteren]

........... Edited April 30, 2014 by westvleteren

[Wanderer]

hey mate can you set the stop and target in your strategy?

 

thank you

 

I just use a Trailing Stop indicator to handle the Break Even Stops, Loss Stops and the Profit Stops. They all adjust to the market because the Trailing Stop Indicator contains an ATR. It is all in the source code.

 

Plug it in and see if you get an idea from it. It is the way I trade.

 

W.

[westvleteren]

........... Edited April 30, 2014 by westvleteren

[admis]

There is a further extension of PPTBoxSL. 2 additional variables exposed to use in a strategy:

Box_High and Box_Low.

As I can imagine, they can be used in pending orders or as a stop loss.

I'm glad to see here a large interest in the topic.

http://indo-investasi.com/showthread.php/24211-The-box?p=324613&viewfull=1#post324613

 

Just overwrite the previous one and compile it.

Good luck!:)

Edited April 14, 2014 by admis

[Wanderer]

Wanderer,

 

If youi specify the target and stop loss as well as your ATR in the strategy wizard: Will then the event that occurs first cause the trade to exit?

So e.g. if target = 20, then when price hits the target the trade will exit. But is the ATR condition is hit before, then the ATR condition will take the trade out.

Is this assumption correct?

Is this valid as well for the stoploss?

 

Yes you are correct. You will have to put it on a chart to see. But this is how it goes. When I enter the market the Trailing Stop Line is in front of my trade. Because of this I need to enter a Stop Loss at the place where my trade assumptions have been invalidated. I use a Stop Loss more for trade management than for money management. If the Stop Loss for the trade (where my assumptions were invalidated) and my Stop Loss for Money management (the limit of what I will risk in capital) are not both within tolerance I don't take the trade.

 

(EDIT: Price must first pass through the Trailing Stop so that the trailing Stop is behind the Trade). As the Trade progresses the Trailing Stop will start moving up (in the case of a Long). First it will hit my Entry (Break Even) then it will keep me in the trade until I Profit Stop out when the market turns.

 

Hope this helps.

 

W.

Edited April 11, 2014 by Wanderer

[thedriver]

There is a further extension of PPTBoxSL. 2 additional variables exposed to use in a strategy:

Box_High and Box_Low.

As I can imagine, they can be used in pending orders or as a stop loss.

I'm glad to see here a large interest in the topic.

http://www.sendspace.com/file/r0bqev

pass=indo-investasi

 

Just overwrite the previous one and compile it.

Good luck!:)

 

 

you are very gold member

:x

[westvleteren]

Thanks for considering the request and please do not feel obliged. Edited April 30, 2014 by westvleteren

[tellMe]

do you think you can upload ATRTrailingStop_V2?

get an error saying I need it.

 

thanks man!

[admis]

Admis,

 

Is it possible/feasible to make the targetlines/values available as well for the strategy wizard? The Box currently plots target lines.

Target 1 = blue line

Target 2 = light green

Target 3 = Orange

Traget 4 = Dark green (if I see correct)

Target 5 = Purple

The centre line of the |Box is Red. Would be nice to see how profitable the Box strategy will be when using the red centerline/value as StopLoss and use the targetlines for the respective targets.

Thanks for considering this request and please do not feel obliged.

 

Everything is possible... ;) give me a some time...

BTW: Good work, westvleteren!

[⭐ Meow]

Guys, anyone know how the target lines are calculated?

[Wanderer]

do you think you can upload ATRTrailingStop_V2?

get an error saying I need it.

 

thanks man!

 

Everything is in the Strategy Zip. Just Import it.

 

W.

 

http://[email protected]/files/nEbgS/

[admis]

@westvleteren:

Unfortunately I have to go out now, but I'll work on it this evening.

[user33]

I think I know why the backtest results of box systems with renko bar types are so good: the renko bars are fake bars! they don't have true open and true close, the indicator triggers are based on the fake close price, the next new bar's true open price can be VERY FAR OFF from what the indicator assumed and used for backtesting! The backtesting was "cheated" by these fake renko bars!

 

try this: add 1.5 -3.0 tick slippage to the strategy test setting, you will see the result of all these box system setting will be negative!

[Wanderer]

I've concluded that the Trailing Stop for this Auto Trader is not a good idea. The purpose of the Trailing Stop is to stay in the big moves. And it does that well. But the best way to use this Auto Trader is in scalping. Daaah!

 

What a difference a night's sleep makes. :-)

 

W

[kon]

I've concluded that the Trailing Stop for this Auto Trader is not a good idea. The purpose of the Trailing Stop is to stay in the big moves. And it does that well. But the best way to use this Auto Trader is in scalping. Daaah!

 

What a difference a night's sleep makes. :-)

 

W

 

Hi Wanderer,

Could it be possible to have 2 targets for scaling out of the position (with predefined ticks)? imho this is the best money management for the strategy...also i believe the initial stoploss should be 1tick up or down of the other side of the box.

regards

kon

[⭐ chripu]

I think I know why the backtest results of box systems with renko bar types are so good: the renko bars are fake bars! they don't have true open and true close, the indicator triggers are based on the fake close price, the next new bar's true open price can be VERY FAR OFF from what the indicator assumed and used for backtesting! The backtesting was "cheated" by these fake renko bars!

 

try this: add 1.5 -3.0 tick slippage to the strategy test setting, you will see the result of all these box system setting will be negative!

 

for me i only test it with tickchart...thats the one i use for trading live too ...for example i test it with 55T on FDAX ..and the result are not bad (backward and sim live) ...so far i´m only testing on SIM beside my livetrading...

[Wanderer]

Hi Wanderer,

Could it be possible to have 2 targets for scaling out of the position (with predefined ticks)? imho this is the best money management for the strategy...also i believe the initial stoploss should be 1tick up or down of the other side of the box.

regards

kon

 

That sounds like a plan. Thanks to ADMIS, he has exposed those parameters (Box High/Low) so it should be easy.

 

The logic for my personal trading is that I wanted to ensure that I got the big move and stayed in it, to pay for the inevitable small Stop Outs I incur, and still have a profit at the end of the day. That's my problem with hard Profit Targets, you are often leaving too much money on the table. And using Advanced Proxy bar types like RJ Renko Spectrum complicates things further. But Yamantaka has used both to good effect, hard Profit Targets and Advanced Bar Type. So we should use his system as a model. He has already answered the big question for us - does it work? We know it does because we've seen Yamataka Ninja reports. We just need to put in the time to figure out how.

 

I put the Box on my chart and almost without exception it signaled directly into an OverBought on Longs and OverSold on Shorts. Which is perhaps exactly where you want to be for a Scalper. I don't know Scalpers well. But this one might benefit from directional indicator. What kind I don't know. Yamantaka has obviously added something to his system in addition to the Box. We need to figure out what. A directional indicator would be my first guess.

 

W.

Edited April 12, 2014 by Wanderer

[Wanderer]

Hi Wanderer,

Could it be possible to have 2 targets for scaling out of the position (with predefined ticks)? imho this is the best money management for the strategy...also i believe the initial stoploss should be 1tick up or down of the other side of the box.

regards

kon

 

Maybe you could tighten up that Trailing Stop indicator for Scalping purposes. I used the 2.618 which worked great. I even used it for Entries. Perhaps change it to 1.618 to get a dynamic Profit Target and get more of the Scalp. Food for thought. Need an edge.

 

W

[kon]

Maybe you could tighten up that Trailing Stop indicator for Scalping purposes. I used the 2.618 which worked great. I even used it for Entries. Perhaps change it to 1.618 to get a dynamic Profit Target and get more of the Scalp. Food for thought. Need an edge.

 

W

 

i believe a volatility type trailing stop (AscTrend2) should work much better than a fixed trailing one....imho this should apply to the second target...first target makes the trade profitable or at least breakeven and second one gives the money....

[Wanderer]

i believe a volatility type trailing stop (AscTrend2) should work much better than a fixed trailing one....imho this should apply to the second target...first target makes the trade profitable or at least breakeven and second one gives the money....

 

Makes sense to me. I have the AscTrend2. I'll look at it.

 

W

[admis]

ok, it's done next step: exposed to use in a strategy all the levels (targets) for long and short orders.

http://indo-investasi.com/showthread.php/24211-The-box?p=324613&viewfull=1#post324613

 

So, all the available fields in a strategy are as follows: (the new fields are bolded)

LongTarget1

LongTarget2

LongTarget3

LongTarget4

LongTarget5

ShortTarget1

ShortTarget2

ShortTarget3

ShortTarget4

ShortTarget5

Box_Mid

------------

Box_High

Box_Low

Box_Signal

 

P.S. I don't know guys, how many of you are in a position to work directly in sources, without a strategy builder?

It's going to be more difficult to work with a strategy wizzard than in a sources (at least for me...)

Edited April 14, 2014 by admis

[westvleteren]

I am interested in the AscTrend2 : Could someone please make this one available so I can have a look as well? Edited April 30, 2014 by westvleteren

[admis]

The targets in PPTBox are calculated like fibonacci levels. The defaults values are as follows:

target1 = 162;

target2 = 233;

target3 = 377;

target4 = 512;

target5 = 618;

0-100% is a current box range. You can assign these levels into fibo tool in NT and check it by yourself.

It's possible to enable these levels as a parameters in the indicator.

[westvleteren]

It is a pity that the market replay takes so much time (even at 500 x). Edited April 30, 2014 by westvleteren

[admis]

@westvleteren:

Thank you for a nice words. I understand it is not the right moment to move work in to the sources. Much more important are now the backtests to find the optimal parameters. That's ok.