How to filter out losing trades

LngEnf2NoBetter,

Now you've got my blood up!

I spent the afternoon revisiting vol-based stops - I am not finding value.

By value I mean - the Sharpe goes up, or at least the maximum drawdown goes down.

I take it - you are intra-day with these models?
 
LngEnf2NoBetter,

I do not know what you trade, but do you think the FX market is somehow different. And that maybe why vol-stops don't add value?

I am am a bit stumped as to why I see not the slightest benefit.
 
Quote from BrooksRimes:

I would like to filter out some of the losing trades from an automated system. It’s a little more complicated than a straight stock
Some examples of trades I’m trying to eliminate:
The system starts a bearish trade on 7/16/08 in the middle of an uptrend.
Same with a bearish trade starting on 3/11/09.

Starting a bullish trend on 10/17/07 during a downtrend.
Same for 12/12/07.

...

I was experimenting with a filter for Linear Regression Slope but it wasn’t working out well.
More...

Well you are trading counter to the trend so the obvious answer is to use a trend filter. You mentioned looking at linear regression slope so I assume you didn't find anything useful there. Something else to consider. During the period of your failed long trades the Russell was underperforming the S&P. This could have been clearly identified at the time as it dates back to at least Spring 2007. Perhaps when taking a long trade you could consider going long on the stronger of some set of indices or funds, and for shorts, trading the weaker of some set.

With so few trades I'm not sure how you will come away with anything meaningful. If you look hard enough I'm sure you will find a filter that would have worked in the past. Whether it will work in the future is what matters.
 
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