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    NFP. Занимательная статистика.

    Рекомендую ознакомиться:

    http://www.robbooker.com/books/NonFarmPayroll.pdf

    http://www.robbooker.com/NFP/NFP.xls

    Как говорит автор, это еще не готовая система. Но если приложить собственные дополнительные усилия, то будет вам щастя :rolleyes:
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    Аватар для Алан Кисиев  
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    4 Медалей
    Немного не в тему но..
    Я как-то 2 месяца вел статистику сигналов этого чела... Положительная была. Консервативный подход у него..
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    Именно БЫЛА? А сейчас как?
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    Сейчас не веду. Т.к. кончилась подписка. У него была PR акция тогда и он давал бесплатный триал на 2 месяца. Вот я и юзал. ;)
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    Понятно. Ну, видимо, он для сигналов что-то еще прикручивал к той основе, что в статье.

    Мне кажется, что имеет смысл поковырять, чтобы найти что-то свое.
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    Сигналы он давал не по NFP. Эта статья видимо одна из идей торговли. Не сказать чтоб основной торговый метод.
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    Лично я всегда торговал на НФП просто:
    Отложенники на 20п. со стопом 30.

    И все :)

    Правда, обидно, когда проскальзывание случается...
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    Все, не ходите, дети в ТТ.
    Проскальзывание в 50 пипсов, блин...

    Перехожу в WHC...
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    Обратите внимание на этих двух перцев.

    1)

    RULES

    1. Draw box between 8:30 on NFP Friday and midnight the following Monday.

    2. Plot a 336 Simple Moving Average on your chart

    3. If a close occurs above or below the box on the 30 minute chart, take the trade ONLY if the SMA and the Sentinal number and MA reflect it.

    4. Leverage 5% of your account per trade, twice. Open 2 positions 5% each (or 10% total...These percentages can be changed of course, I just did 5% as an example. You can just as easily do 1% per entry.) and wait for the price to move 50 pips. Once the price moves 50 pips, close one of the positions (to take 50 pip profit), and move the other to break even. This way, if your price reverses, you'll break even on the second position but still have already bagged 50 pips from the first one.

    5. Exit strategy is based on a close on the other side of the 336 EMA.

    6. Re-entries can be taken only if the price has closed above or below the current and previous week's high/low respectively, and
    the indicators say so.

    -----------
    This system's goal is to play on the trend of the market, fishing out the biggest movers and riding them until they run out of steam while at the same time giving you 50 pips for the false breakouts. The failure rate is 19.6% over the last 4 years.
    -----------

    Downsides:
    1. You are in twice the positions when you lose (two positions down 100 pips). Since the failure rate is so low (and the percentage negotiable), this system provides a steady stream of income that exponentially grows, so it balances itself out. I've included an example of a 5,000 dollar starting equity, leveraging 5% per lot liberally to show the flexability.

    2. The majority of the moves occur between midnight and 9am, so to keep a normal sleep schedule, one would have to set an alarm to notify when a trade has presented itself.

    3. The sentinal indicator isn't all that easy to come by. You'd need to know how to make it, and how to use it as opposed to doing a few clicks on a chart to come up with a standard indicator. Joe Knight is preparing the indicator to be distributed.

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

    Upsides:
    1. Steady "no worries" growth. The system, though simple, provides a good growth rate with little to no risk of losing any part of your account permenantly.

    2. Can easily be used in a scripting language or programmed to be an automated system. Of course people want the human aspect involved, but even traded mechanically, it produced on average aprox .215 pips per month.

    3. Can easily be combined with support/resistance or any other system. This just provides a solid indication of which direction the market is moving.

    4. Very few trades per month. I never exceeded 4-5 trades in a month, where my biggest winners came within 1-2 trades.
    Вложения Вложения
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    2) чччччччччч

    The rules are simple. I coded the system in Tradestation in a matter of minutes. First, record the daily high and daily low for the day in which NFP is going to be released. Using Tradestation's data, the day starts at 0:00 EST. This high and low is recorded all the way up until 8:30 (the time of release). When the high is breached by a certain number of pips a long position is entered. When the low is breached by a certain number of pips a short position is entered. In the examples and spreadsheet I've included, I used 8 pips in
    addition to the high and low. The reason for this is the high and low of the day can sometimes act as resistance and support and price can sometimes bounce off those. This is a way to allow price to penetrate enough through the high or low to signal a trade. This is the easy part - the entry.

    The exit depends highly on the trader. This is what I was referring to above as versatility. The images and spreadsheet I've given are for maximum return for minimal drawdown. This uses a 20 pip stop, a 40 pip breakeven, and a 325 pip profit target. In order to achieve maximum return, one must be a defensive trader. This means using a small stop and breakeven point. This will maximize gains as the risk versus reward is tremendous. If none of these targets are reached, the trade is closed 2 days after it is opened. Since the NFP is released on Friday, the trade would be close the following Tuesday at 0830 if the stop, breakeven, or profit is not reached.

    These values will provide maximum return on your account.

    If you are a more relaxed trader and desire a greater win percentage and can't handle such a small stop, it can be increased. A stop of 100 for example will generate more pips and will have a higher percentage of success.
    However, the risk vesus reward will be greatly affected. This system is not designed to produce pips, but it can be. I have picked these values to produce optimal returns in dollars, which it does very well. If you want me to optimize it for pips or a lower drawdown, I can do that, but in my opinion the only thing that matters is percent return on account and drawdown.

    This wouldnt be a system without money management. I use a 7% fixed fraction risk. If you do the math using a 20 pip stop and 7% risk, each pip is worth 0.35% of your account. Remember if your stop is hit, you lose 7%, but if your target is hit you gain over 100% return. This is the tremendous risk versus reward the system has. Risking 7% each trade, the system has never been greater than a 25% drawdown, which is very acceptable considering the outstanding returns. This system is producing several thousand percent returns in a very short amount of time.
    The spreadsheet will show these figures.

    I was reading that you are not sure how you are going to judge profitability. Remember this: the only thing that matters at the end of the day is how many % you made on your account and how many % you risked. 25% risk for over 23,000% return is a good choice to make.
    Вложения Вложения
    • Тип файла: xls NFP.xls (29.0 Кб, Просмотров: 13)

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