Momentum Capture Signal

[Westie]

I'm surprised there were no trades today what with NFP and all.

[corni]

Hi corni I saw that there is two prices for the month is this an error? 40 and 50 for one month? Thanks nc!

One is in USD and the other in EUR.

[nc!]

Hi corni I saw that there is two prices for the month is this an error? 40 and 50 for one month? Thanks nc!

[corni]

Yes I am running v2 for Momentum Simplex. However, M30 and M15 have less symbols since some of the symbols only work on higher time frames. The backtests are good (after optimization of course they should be good. ), but did not make a portfolio backtest to share. I also would like to keep this thread mainly about Momentum Capture.

[phynicle]

I just submitted version 2.0, which will have settings for H1, M30 and M15. The old version just used H1, so it only caught the very large trends.

Does that mean your current signal is running v2 of the ea with h1, m60, m15 charts running? If so how does the back test look?

[corni]

No question there at all. As a signal provider you've got to be totally consistent.

Ignore any temptation to interfere, the signal is clearly advertised as an EA.

If stupid subscribers (like me) decide to close trades early / late then it's entirely our fault if it doesn't work.

Well on Wednesday it would not have been stupid at all to close early.

[Westie]

To be honest, if I did not have the pressure to keep the signal close to the EA backtest and therefore not interfere manually, I might have done the same. It is the nature of the human mind to lose trust after 1-2 month of false breakouts.

No question there at all. As a signal provider you've got to be totally consistent.

Ignore any temptation to interfere, the signal is clearly advertised as an EA.

If stupid subscribers (like me) decide to close trades early / late then it's entirely our fault if it doesn't work.

[corni]

Momentum Simplex is as the name suggest a simple method. If there is a strong momentum, it will just open market orders in the direction of the momentum, but no pending orders in the opposite direction. So it will only catch reversals if the reversal itself has again a strong momentum. I just submitted version 2.0, which will have settings for H1, M30 and M15. The old version just used H1, so it only caught the very large trends.

[yshin]

corni, how does momentum simplex strategy work compare to SFE? What's the difference between them?

Thanks.

[corni]

To be honest, if I did not have the pressure to keep the signal close to the EA backtest and therefore not interfere manually, I might have done the same. It is the nature of the human mind to lose trust after 1-2 month of false breakouts. Sometimes I even think big players use this psychological time window to switch from manipulating the price to ranging/trending behavior. When all believe there can never be a strong momentum/trend anymore, they start to push the price. But that is probably just my imagination.

The default settings will produce many small losses but historically always made new highs on occasions like this week. If you feel uncomfortable with those losses rather than closing the positions I would set them to break even and see what happens. Break even values are set from historic optimizations, so overall it was best not to change them. But it still might be good to modify them manually since you as a trader can estimate whether the news has the potential of a reversal. For example, the ECB had actaully very mixed news, end of tapering toegther with negative forward guidance (1 year without hikes), so it might have gone both ways. If you bought the EA yourself, you could even do this automatically, settings a smaller break even value etc.

I already posted this in Jimmy's thread, but here is probably a better place for it. I compared the performance of SFE Price Action and Momentum Capture EA during the recent drawdown period, which was very hard for every momentum strategy out there. The SFE master account had 16% drawdown with 7% returns while Momentum Capture had 3% drawdown with 5% gains. So one could have used 5 times the risk to get 25% returns with a drawdown still below that of SFE. However, I don't see both as direct competitors. If you can afford it I recommend to use both together as diversification, maybe even adding Momentum Simplex, another momentum strategy of mine that does not use a time filter and therefore triggers 24/7 on strong trends.

Comparison_SFEPriceAction_MomentumCaptureEA.png

[Westie]

laracroft I did a similar thing. I watched Wednesday go into profit, then loss. Then I cut the Thursday winner off early. Still, a profitable month and it made up for the last two months of losses.

[laracroft]

Momentum Capture EA is doing very well in recent months: good earnings and low DD (the profit factor remains high around 1.8) and follows the market better than strategies like SFE PA that have high DD.
Yesterday he rode the euro bearish movement very well after the declarations of Mario Draghi.
Too bad that I have halved the gains on my account, manually closing the shorts on the euro (I thought it could go at a loss as happened the day before with the statements of the Fed)

[corni]

Does that take into account possible large spread increases?

Also interesting about the NZD. this may even be because quite often CB's or announcement are at market closure time (well the 2-5 mins brokers suspend their feeds every day)

Yes I always use variable spread from Dukascopy data which is quite large compared to spreads of competitive brokers today. The EA is has a max spread parameter, which is set to 7 pips on backtests. On live trading it might be better to have a smaller value, maybe 3 or 5. But 5 minutes after an event usually the spread is far below that threshold anyway.

I will have to analyze NZD events when I have time. Interestingly, AUD shows good reactions so the Asian session in general seems to be able to produce strong trends sometimes.
But I will also backtest without max spread limitation. Because if your argument is correct then maybe the EA never enters because of big spread around those times.

[Big River Man]

I did some historic testing and indeed on USDCAD it is best to wait about 5 minutes before entering (instead of the currently used 1 minute). However, waiting longer resulted in less profit.

Does that take into account possible large spread increases?

Also interesting about the NZD. this may even be because quite often CB's or announcement are at market closure time (well the 2-5 mins brokers suspend their feeds every day)

[corni]

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

I did some historic testing and indeed on USDCAD it is best to wait about 5 minutes before entering (instead of the currently used 1 minute). However, waiting longer resulted in less profit.