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How many years did you test for? Can you show equity curve?
This equity curve. Is this the strategy we are talking about? What made you look at this and say "this has to be improved?"
For Daily bars, or intraday for the last bar of the day, the "close position" signal gets sent after market is actually closed, thus Exchange rejects it.
Can you help answer these questions from other members on NexusFi?
Well, my experience with fixed profit taking targets is that you leave a lot on the table.
I was just curious as to whether this could be improved upon with a trailing stop.
Well for intraday bars, this is simple: set the close position order to be 1 minute before the close. The killer is: holiday's....gotta know when the market closes at 1 pm.
What's your fix for this problem ?
Gotcha. Problem will be you don't have years of tick data to backtest.
I see that too, and as long as you did not optimize the settings, you do avoid some of the danger in switching exits. There is risk doing this though.
If you are using tick charts, you could run into issues if a bar never closes due to lack of ticks. I assume you are doing a custom session too. For Tradestation, there is a nice holiday function done by Suri Dudella that will help with this.
Note: I found that a retracement of 20% works pretty well.
To do: provide an option to make retracement a function of volatility. Higher volatility = higher percentage.
I'm confused, I thought you said you did not optimize anything with your trailing stop, and that your results were "much better." Now it sounds like you tested a few variations, and 20% worked pretty well.
Can you show the results from your original test?
I'd still like to see that a trailing stop beats the simple stop and profit target over the same time period from 2010 to present (edit: although that is not an apples to apples comparison, considering out of sample, etc)
Bummer you lost the results, because you seemed pretty upbeat and confident that you did better than what I showed.
Oh well
I would not test it on Daily Crude, because if you do better than what I show, that's just optimizing. I'm sure you could do better, but you'd be comparing my out-of-sample results the past few years to your in-sample results.
You can try it on other markets and bar sizes, maybe it will work, maybe not.
That's not true Kevin, let's just pick a number....say 50%. That's HWB (Half Way Back).
True, I could do some optimizing, but I am not forced to do so.