2009.09.10 DRAIN THE BANKS - LIKE A RAT

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capsmart
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Statistics.

Postby capsmart » Fri Feb 05, 2010 2:58 pm

Hi TRO
I do not know if this is the proper place for this post but anyway.
So I decided to do some statistics.
I took from metatrader the open/high/low/close info for GBP/USD for the daily for a period of 5 years. (Jan 2005 - Dec 2009)
Then I calculated how many days were up and how many days were down.
The result is: exactly the same.
Next I wanted to see what is the daily range (from High - Low) for those 5 years and calculated the average of these numbers.
Result is 173 pips. So on an average we can expect gbp/usd to move about 170 pips. Enough range to make our 10 pips.
Then (according to TRO's suggestion) I calculated the length of the wicks for each day.
Then I calculated not the average but the harmonic mean of those wicks.
The result is about 18 pip wicks.
The problem with the average is that if you have 100 wicks of 10 pips and 1 wick of 1000 pips (I know it is an extreme) the average would be 19.8 pips when in reality you cannot expect 20pip wick to happen. It will either be 10 or in extreme cases 1000 (1 in a 100)
So the harmonic mean of the above example would be 10.1 I think it makes more sense.
Then why not calculate the harmonic mean of the daily range? Ok it is easy to do it with excel. The result is 137. Hmm there is a difference between 170 and 137 but we have enough room for our 10 pips.
This is where I stopped my thinking for today and see what I can do with those 18 pip wicks that we can expect on a daily basis
The graph I am attaching shows the distribution of wick length.
You will see that we have more wicks with less than 60 pips.
Now I wait for TRO to give me another hint.
Have a nice week end.
Attachments
GBPUSD Daily.jpg
GBP USD daily (Jan 2005 - Dec 2009)
GBPUSD Daily.jpg (48.69 KiB) Viewed 2105 times
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TheRumpledOne
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Postby TheRumpledOne » Fri Feb 05, 2010 3:07 pm

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OPPORTUNITY...
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!

Please do NOT PM me with trading or coding questions, post them in a thread.

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Postby roger_over » Fri Feb 05, 2010 3:20 pm

Wow, Tough week for green rats there were opps but I was away from the charts when they happened , It seemed that the beginning of the Aisian session there were the most, the last couple of days anyway , keep plugging along
Genius is more often found in a cracked pot than in a whole one.
E. B. White

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TheRumpledOne
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Postby TheRumpledOne » Fri Feb 05, 2010 3:25 pm

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In this case, the M5 candle was green at low + 20. The GREEN RAT BUS was leaving the station.
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!



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Re: Statistics.

Postby TheRumpledOne » Fri Feb 05, 2010 3:57 pm

capsmart wrote:Hi TRO
I do not know if this is the proper place for this post but anyway.
So I decided to do some statistics.
I took from metatrader the open/high/low/close info for GBP/USD for the daily for a period of 5 years. (Jan 2005 - Dec 2009)
Then I calculated how many days were up and how many days were down.
The result is: exactly the same.
Next I wanted to see what is the daily range (from High - Low) for those 5 years and calculated the average of these numbers.
Result is 173 pips. So on an average we can expect gbp/usd to move about 170 pips. Enough range to make our 10 pips.
Then (according to TRO's suggestion) I calculated the length of the wicks for each day.
Then I calculated not the average but the harmonic mean of those wicks.
The result is about 18 pip wicks.
The problem with the average is that if you have 100 wicks of 10 pips and 1 wick of 1000 pips (I know it is an extreme) the average would be 19.8 pips when in reality you cannot expect 20pip wick to happen. It will either be 10 or in extreme cases 1000 (1 in a 100)
So the harmonic mean of the above example would be 10.1 I think it makes more sense.
Then why not calculate the harmonic mean of the daily range? Ok it is easy to do it with excel. The result is 137. Hmm there is a difference between 170 and 137 but we have enough room for our 10 pips.
This is where I stopped my thinking for today and see what I can do with those 18 pip wicks that we can expect on a daily basis
The graph I am attaching shows the distribution of wick length.
You will see that we have more wicks with less than 60 pips.
Now I wait for TRO to give me another hint.
Have a nice week end.


How about a frequency distribution for the percentage the wick is > 10, > 20, > 30, ... > 90, > 100?
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!



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Postby gangsta1 » Fri Feb 05, 2010 4:09 pm

"What time of the day were you trading Gangsta?

Im a green rat also and I find that before and around the London open is the best time for DTB. My broker is MBT and the day starts at 5:00am GMT. Im at my pc for 6:00am GMT so by then many pairs are still within 20 pips of the daily low as the day has just started. There is usually opportunity on most of the pairs shown on the TRO2009_MP_HLC_PIP indicator. I trade GBPUSD and EURJPY mainly but will sometimes take a cheeky trade on EURUSD and USDJPY. The pair doesn't really matter in my experience they all do the same thing once they're within 20 pips of the daily low at that time. DTB is genius

Yestderday price was falling like a stone for most of the day after that though as you said."


I trade the same time as you.

I wait for price to be within 20 pips of the low and execute the green rat. Yesterday there were many stopped out trades due to the big drop.

What is your SL/TP?

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Postby gangsta1 » Fri Feb 05, 2010 8:22 pm

Anyone got any advice on Money Management with the Rat method?

I am targeting 20 pips a day.
I always use a 10 pip stop.

I am stuck between taking 10 pips per trade or setting a break even around 5 or 10 pips and attempting to hit my daily target.

Any advice would be great. Are people just taking what they can or letting the trades go on runs? Anyone setting a break even or using a trailing stop?

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Postby TheRumpledOne » Fri Feb 05, 2010 10:16 pm

DRAIN THE BANKS - LIKE A RAT

http://kreslik.com/forums/viewtopic.php?p=25593#25593

1) price within 20 pips of the daily low - that is OPPORTUNITY

2) red candle closes

3) green candle closes - note the high price of the green candle.

4) enter long at the green candle's high price

5) STOP LOSS IS 10 PIPS

6) Take whatever profit you can.
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!



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Postby frang0nve » Sat Feb 06, 2010 7:22 am

Hello TRO,

I've enclosed a chart with the last setup yesterday for a 5 minutes Green Rat Trade Reversal in EURUSD.

After the green candle, two red candles closed and price created a lower low before the green candle high was reached.

I disregarded this trade (and many other opportunities like this) because I was wrongly thinking that a red candle and/or a lower low after the green candle was invalidating the setup.

Thanks for correcting my mistakes at PalTalk Two Percent Club.

After placing your buy order at the green candle high. How long would you keep this pending order active?

I know this is way too much asking but if another Green Rat Trade Reversal setup at a lower price is found before the first one is triggered, would you keep the original pending order?

Cheers

Francisco



Image
Last edited by frang0nve on Sat Feb 06, 2010 10:19 am, edited 2 times in total.

gangsta1
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Postby gangsta1 » Sat Feb 06, 2010 9:23 am

TheRumpledOne wrote:DRAIN THE BANKS - LIKE A RAT

http://kreslik.com/forums/viewtopic.php?p=25593#25593

1) price within 20 pips of the daily low - that is OPPORTUNITY

2) red candle closes

3) green candle closes - note the high price of the green candle.

4) enter long at the green candle's high price

5) STOP LOSS IS 10 PIPS

6) Take whatever profit you can.


Of course I have read that a thousand times TRO. I was looking for something more detailed like what you posted a while back:

I know the feeling.

What I do is protect ME from ME.

AT +5 pips, I will be ready to bail at +3 if price pulls back.

At +10 pips, I will enter a trailing stop of 4 or 5 pips.

**At +15, I will cancel the trailing stop and enter a hard stop at +10.

**Then I will move the hard stop up if price moves up.

At +25, I may move the hard stop up to +25 or to a price ending in 0 or 9.

Sometimes, I may exit 1/2 of my position at +20 to lock in a 1% gain.

The idea is to be CONSISTENT. You'll miss out sometimes, but you only need ONE big run and you are done for the day.

Remember, the daily goal is 2% or more and DO NOT OVER TRADE.


The problem I have is getting stopped out 3 times in a row (-30) and then taking what I can (+5pips) leaving me down 25 for the day and with a VERY POOR risk:ratio.

I am sure I am not the only green rat who gets stopped out VERY OFTEN chasing the daily low?

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