Anyone do any backtesting on "time-based" exits (ie. stops)?

Quote from athlonmank8:

Thanks as well. I never even thought about 1/2 of that to be honest. Glad I asked now.
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My advice is to do "forward testing" in real time.

If you want I will test the strategy with real money in real time.

If after a month it does not work I will throw it in the garbage.

Most traders will not do that because "I might lose money."

If you are afraid of losing money then find someone who has enough money and is not afraid of losing a few thousand.

It costs me a thousand dollars to fuel my airplane. I do not mind spending money to find a trading strategy that will add to my bottom line or that of my clients.

Successfully,

Alex L. Wasilewski
Co-Founder & Head Trader
Trades That Work
www.puretick.com
1-877-GOLONG1 (1-877-465-6641)
 
I backtested a couple of my systems with a time based exit, i have exel set to track the pnl of a system and i have it taking snap shots of my pnl every 10 minutes throughout the day, i have noticed that there is definately a certain time which i am supposed to hold till, i never would have believed in time based stops until i tried it, i would recommend it for anyone. A couple of my systems enter real early 10 mins into the open or less, and they definately show that the longer i hold the more money i make, but i also have the excel spread sheet set to cut off losers at a max loss amount, so while it tracks my pnl by time it will also shut down at anything over 400 per position.


Quote from athlonmank8:

Was considering incorporating them into my trading. I'm trading profitably so I'm kind of in the attitude "if it aint broke dont fix it". The other side of me is really thinking it could make me a bit more consistent and less emotional.

I will say this. I use cycles to trade and I really don't see why I shouldn't be using them. Time plays an important role on my entry so I figure if it's a factor on entry, it should be a factor on the other end as well.

Need some input here......
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Thanks again for the replies. The goal with this strategy is to build confidence, prevent from major blow-ups, and REDUCE STRESS. (it's been rough after 5+ losing years and with the 1st positive one i'm still on the bubble here)

A little update. Did some rough real time testing--- been trading with it. Two positive results out of 2 currently.
I only use it since time is a factor for getting me in, but overall so far so good. I sell 1/2 the position once the time is up and hold the other 1/2.

Trading the EUR/JPY cross with it.

Something i've noticed is that overshooting the cycles result in squeezes the majority of the time. So i figured I'd place an opposing order where my stops were to reverse the position (AFTER time was up). Sure enough original stop was hit and then reversed the position. Easy 30 pips (essentially broke even on the trade).

This is in no way, shape, or form scientific but this is the first semi-automated approach i've used. Really enjoy the lack of stress so far.

I'll keep you guys updated if you're interested. I'm willing to bet this is going to turn into a forward test thread for this (if no one minds).

I'll post real-time trades as well with the stops to keep me honest with myself and prevent me from pulling orders.

Thanks again guys.
 
Now someone assumed I was lying in the first post....what the hell is the point in that? It does me no good to lie.

Here's the two equity curves (discretionary trading). The first one is the first account I used (then withdrew). Attempting to "reset" myself I re-opened the account and started the bottom one which has done somewhat similar.

# of trades on the Y axis. So 140is and 210ish.

NOTE the draw-down in the 2nd. THAT'S what i'm trying to avoid while increasing size (parlaying) with the gains.

This is the control for this forward test.

I'll repost a new one after I do about 30-40 trades to see where i'm at.
 

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honestly time based stops make alot of sense, if you think about it buy/sell programs are based on time so they step in or leave at certain intervals, it also takes the guess work out of profit targets/stoplosses, i know alot of highly profitable guys who make money based on time based stops. The thing is you need a large enough scale with which to backtest.
 
Glad that you are having a profitable year. Seasonal commodity trading relies pretty heavily on timed entries and exits. I.E. buy dec gold on or around sep 4 and sell it on around nov 10. I completely made that up but I am sure you get the point.
 
I use time stops whether it is on one minute intraday charts or weekly systems. I use time exits to get to a breakeven protective stop.

I found in my long term trading of picking extreme highs/lows based on monthly, weekly, and daily bars, once I get into a trade, I have to be at a breakeven protective stop by near the end of the third day or I liquidate the trade. Cause I use options to hedge, I don't want to lose much time decay and I am looking for reversal areas where price should hit an area and almost immediately bounce off.

Even in my day trading, I use time exits based on same principles. I found for myself, that since I enter on retracements, price "hanging" around my entry price too long are more prone to evidentially hit my protective stop than to hit my target price. I want price to hit my limit order and pretty much immediately become profitable.
 
Quote from Handle123:

I use time stops whether it is on one minute intraday charts or weekly systems. I use time exits to get to a breakeven protective stop.

I found in my long term trading of picking extreme highs/lows based on monthly, weekly, and daily bars, once I get into a trade, I have to be at a breakeven protective stop by near the end of the third day or I liquidate the trade. Cause I use options to hedge, I don't want to lose much time decay and I am looking for reversal areas where price should hit an area and almost immediately bounce off.

Even in my day trading, I use time exits based on same principles. I found for myself, that since I enter on retracements, price "hanging" around my entry price too long are more prone to evidentially hit my protective stop than to hit my target price. I want price to hit my limit order and pretty much immediately become profitable.
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That's what started this. Battling time decay on options.
 
Quote from Nattdog:

Time based exits are one of the most logical approaches to testing entry signals.

If you backtest a signal and find the results are not signifigantly different than your control group over defined holding periods or "time stops," this is a clear sign that the trading Signal is not valid.

Some of my best short term trading strategies are managed almost exclusively by a time stop exit. A risk management stop and home run profit target is also used but they get hit infrequently.

In terms of how they will effect your trading, If you use at time stop only when you are underwater, just remember It is going to give you more losing trades.

Allot of "fade trade" strategies work better with a time stop.

For example my short trades in July made money only because I use a time stop exit. If I had held out for some profit target or stop loss exit, I would have been run over.

You need to look at the logic of your approach and see if the idea fits, and if possible do some backtesting.
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Do you automate all of your trades? Something I wish I had the opportunity to do.

I just realized profitable trades are going to need the same kind of management. I have a time-based trailing stop, but not an ultimate exit strategy. Will have to give that some forward testing.

I use a time-based trailing stop into a target. I have the home-run as well. IMO everyone needs that. Just a fraction of the position.
 
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