The Darvas Squeeze - An Intraday Forex System

[CanOz]

I've had some time lately given the lack of trade-able spreads.

One of my great interests is trying to develop trading systems based on really simple indicators. Indicators that if used properly as filters and highlight conditions can improve the chances of getting into a little swing trade. I've been using the Forex markets as my playground as they tend to trend better at certain times. I've really enjoyed playing with this tonight...

The Bollinger Band Squeeze is a volatility breakout system.

I got the idea for this system a long time ago from a book or video and actually had Nick Radge code me up a Bollinger band squeeze for Amibroker. I used it for scans mostly but i was profitable on quite a few markets when back-tested in a very raw form without filters. This is the first time I've done something like this in NinjaTrader though. I like it because it links up well with Interactive Brokers. It is a very simple system. The squeeze indicator just tells you when volatility is very low, the ADX tells you when a trend may have ended. The trend filters tell you what the 60m and 240m trends are doing. The squeeze indicator will give you an alert when a squeeze is taking place, so you can put your orders near the Darvas boxes.

It took me most of the day to develop and visually test this. Then i added some filters to it. Its developed just with freely available indicators and the platform is NinjaTrader. I may get this coded and do some back-testing with it to see its real potential but for now I'll just forward test it with very small lots. I'm actually testing it on a longer time frame with 60m & 240m trend filters. The video was done using a 5m time-frame and 60/240m filters. I have the alerts enabled for the squeeze so its very easy to monitor, just today alone there were almost a dozen signals, mostly when Europe opened.

I've also attached a copy of a trade ticket that i use to record information on the entry conditions, i thought that was worth sharing as well...

Enjoy...!

[video=youtube_share;PWZ_h3ISrwg]http://youtu.be/PWZ_h3ISrwg[/video]

 

[barney]

Howdy Can ..... Even though there have been no replies to the thread, just thought I'd say good on ya for taking the time to do this sort of thing. Your input in general at ASF is very much appreciated, so well done

Cheers.

 

[CanOz]

Howdy Can ..... Even though there have been no replies to the thread, just thought I'd say good on ya for taking the time to do this sort of thing. Your input in general at ASF is very much appreciated, so well done

Cheers.

Thanks Barney!

First days trades...still short GBP.CAD with a small loss.

Paper trading a 40k lot at the moment. This currency isn't right either in NT, so today i'll switch to IBs paper trading account so i get the real currency results....

 

[waza1960]

barney
Re: The Darvas Squeeze - An Intraday Forex System

Howdy Can ..... Even though there have been no replies to the thread, just thought I'd say good on ya for taking the time to do this sort of thing. Your input in general at ASF is very much appreciated, so well done

Cheers.

+1

 

[CanOz]

Well it turns out my Darvas Squeeze system wasn't the holy grail, which is no surprise. The benefit of watching the markets this way though has led me to an interesting observation and made me re-visit an old trading strategy.

After some initial testing its looking alright...

 

[5oclock]

Interesting thread Can Oz, i missed it first time around, just like to second what Barney said about your posts and threads, they are always worth reading!!