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Interesting. I still maintain that coupling a proven trend system with a proven range system and switching when the curves cross (plus a threshold amount) would beat either system, hands down, had they gone solo......... Your thoughts?

For the same reason the drug war was never won......... income stream for the district of criminals.

This is designed to limit HFT. If you've ever coded up a simple breakout HFT algo, the equity curve is a smooth parabola................. we're talking poaching the markets for suckers. you can't harvest all the fish, and have more next year.

I've learned quite a lot from Covel, and Tharp. Hershey has a concept that is quite interesting, however. I haven't figured out how to code it.

Interesting thread, thanks for posting.

Thanks again. I'm going to meditate on that for a while. I have very little finance background so I'm not familiar with much of what you write. Designing a trading system is just like designing a control system, from a mechanical engineering standpoint. Actually it's much simpler........ :D

How is this?

Offer of the market = daily range (difference between the minimum bid and maxumum offer for the day). Binary vector = either up or down, depending on event based signal Capturing offer of market via binary vector = event based trend following strategy on minute bars, encompassing daily...

You can get a free 30 day trial of ninjatrader and code your strategies using pull down menus, like in a stock screener. It runs on free data you download from yahoo or google. After that it is 50 bux a month.

Thanks. I haven't even started playing with position sizing. This was just a reversal strategy - one entry per position - for educational value, mostly. This is the second time I've seen you post events vs. time and the offer of the market. I'm thinking p/f charting (or finding pivots) and...

Limit your total drawdown to 30% or less using variable position sizing based on the distance to your maximum allowance. As you found, bleeding is biased toward death. :D

I thank you for your thoughtful replies. This is just an idea at this point, but it seems similar to setting shift points in a race car. You take a dyno graph of rear wheel hp for each gear and note where they intersect, there are your shift points. The same situation appears to be...

I had a crazy idea when looking at a trend following equity curve. It looked a lot like a trending stock. The various channeling and horizontal resistance triggers looked like they may be useful. Then it occurred to me that these thresholds could be used to switch the capital in the trend...

It shall complete a mild correction, then vault to resistance under the breakdown from 2 months ago. Then, it will turn south, confirming the Dow theory sell signal with a lower high, and I will open the taps. :D

Trend followers can scale their system resolution to match the pivot frequency of the latest price action........... The market is a superposition of various waves that constructively / destructively interfere on a regular basis. Do you keep your radio dial on the station that plays bad...

He did not account for the difference in position sizes. The R multiple expectancy formula will only work if all positions risk the same dollar amount.

Here it is with the buy / sell points based on one entry criteria and three exit criteria. You can see the wide tail case needs optimization (taking profits in the bollinger band is the right thing to do 90% of the time):

It's all about the exit strategy.

I agree, if one has an exit strategy and takes moderately small positions.

You publicly took a position that you refuse to cut losses on. Fired.