Momentum Capture Signal

[Big River Man]

So price action this week was not very helpful. This strategy works best if there are some surprises in fundamental news, but the perception of central bank positions did not change much this week. So most trades were closed break even.

The equity decline came mostly from trading USDCAD on Wednesday, which had the worst-case scenario where first one direction triggers then the other and both end in stop loss even though in the end the initial direction would have been correct. But it is hard to automatically judge where to go from this price action. I will check on historic backtest whether it is generally better to wait a bit longer after news on USDCAD before entering a position.

But overall such periods were normal in the past. As long as we get enough surprises/trends in a given period the strategy should stay profitable.
So have a great weekend.

Quite often CAD and USD news comes out at the same time. Can be a very confused pair in the initial moments of releases.

[corni]

Thanks for the suggestions.
I guess I will stick with the current one since renaming the EA would be difficult anyway.

[tse13]

Not sure if they do. You got any suggestions for a better one? "Momentum Capture" is quite fitting because the strategy tries to catch big momentum.

Captum or Catchtum -__-

[corni]

I think you are right. I thought this was another version of the "Steady Capture" strategy when I first saw it. Do they let you change your name?

Not sure if they do. You got any suggestions for a better one? "Momentum Capture" is quite fitting because the strategy tries to catch big momentum.

[reinerh]

your ea will most certainly do better then capture, and stress free i might add........................

and the name i still like btw, it fits very well as to how it trades.

[corni]

Maybe I should have choosen another name for the strategy "Capture" does not have a positive connotation anymore I guess.
The original name was "Breaking Banx" because of trading around central bank events, therefore also the name of the Darwin "BAX", but MQL did not allow that name. Too aggressive.

[corni]

So price action this week was not very helpful. This strategy works best if there are some surprises in fundamental news, but the perception of central bank positions did not change much this week. So most trades were closed break even.

The equity decline came mostly from trading USDCAD on Wednesday, which had the worst-case scenario where first one direction triggers then the other and both end in stop loss even though in the end the initial direction would have been correct. But it is hard to automatically judge where to go from this price action. I will check on historic backtest whether it is generally better to wait a bit longer after news on USDCAD before entering a position.

But overall such periods were normal in the past. As long as we get enough surprises/trends in a given period the strategy should stay profitable.
So have a great weekend.

[corni]

Correct, as you wrote it has no specific session. It starts Monday morning and closes potential open positions Friday 20 GMT. During that time it will only look for entries after important events and speeches for currencies:

USD, EUR, JPY, GBP, CAD, AUD, CHF

Somehow NZD events were not that great in backtests, but I might have to run some more analysis on that. CHF also had only very few trades in backtest. The 2015 EURCHF crash was not traded because my EA has a "maximum allowed movement" variable that filters out such extreme price movements.

Be aware that I am usually sleeping during AUD events, so if you subscribe to my signal you have to trust the EA to do its job alone or monitor the positions during those events yourself.

[Big River Man]

I can confirm that it did not trade because of the time filter. The strong momentum that would have triggered otherwise was at 12:00 GMT. Yesterday I was a bit confused because I thought Darwinex used GMT+0 and it showed the strong momentum at 15:00 (so Darwnex is actually using GMT+3). At 15:00 my system would have triggered trades because of the speech of FOMC Member Bostic.

True, it is a drawback of my system that it will miss some of the opportunities compared to continuous momentum strategies, but because of this filter it will also miss a lot of false breakouts and therefore limit the risk/drawdown in periods without clear trends. SFE had a very bad period from Aug 2017 until the recent recovery because of many reversals, many of which my system has been able to filter out.

I am not saying that you should put all the money in my system, but I would recommend to use two (or more) momentum strategies at the same time to have a good diversification.

So what session does it trade during?

End of London/Start of NY? Ah wait no it's linked to the economic calender to when CB's speak only, yes? That's quite a different/cool take on things if so.

What countries' CB's?

[corni]

I can confirm that it did not trade because of the time filter. The strong momentum that would have triggered otherwise was at 12:00 GMT. Yesterday I was a bit confused because I thought Darwinex used GMT+0 and it showed the strong momentum at 15:00 (so Darwnex is actually using GMT+3). At 15:00 my system would have triggered trades because of the speech of FOMC Member Bostic.

True, it is a drawback of my system that it will miss some of the opportunities compared to continuous momentum strategies, but because of this filter it will also miss a lot of false breakouts and therefore limit the risk/drawdown in periods without clear trends. SFE had a very bad period from Aug 2017 until the recent recovery because of many reversals, many of which my system has been able to filter out.

I am not saying that you should put all the money in my system, but I would recommend to use two (or more) momentum strategies at the same time to have a good diversification.

[corni]

Usually that would be the case if the movement was not within the period allowed by the time filter. But I am not 100% in this case. I will check it tomorrow.

[laracroft]

corni

Today many breakout systems (such as SFE Price Action, SafeHaven, TitanTrader) have traded on eurusd and gbpusd where there has been a strong upward movement.
How come your ea did not do eurusd and gbpusd operations instead ?

[corni]

No it is not a MC simulation. It is the equity curve of the actual portfolio backtest.
The backtests were performed with Tick data suite using tick data from Dukascopy. I also used 5USD commission and 150ms execution delay to simulate slippage.

[laracroft]

corni
Is the graph the result of a Monte Carlo simulation?
Are backtests made with a 99% modeling and with what database ?

[Drcdp]

Your trading looks very impressive Corni, keep up the good work!