Jasper's Last Stand
- Thread starter jasper6
- Start date
R80 (8 tick) Constant Range chart with Volatility Stop (15, 6).
This chart allows for 48 ticks of leeway, which seems to be about right for staying out of the noise. It seems like the noise level used to be about 18-24 ticks, but that things have been more volatile lately.
I am still trying to work out the rules for trading both of these charts. I am intrigued by using the R80 chart for intraday position trading and using an initial stop that is tighter than 48 ticks. Maybe 15-25 ticks. Don't know yet how many trades would get stopped out at those levels and then run in the initial direction. It seems like the best trades just leave the station. They don't come back to touch the opposite side of the entry bar. You could make the case for using a 8 tick stop in that event. Just seems like 8 ticks is awfully tight.
This chart allows for 48 ticks of leeway, which seems to be about right for staying out of the noise. It seems like the noise level used to be about 18-24 ticks, but that things have been more volatile lately.
I am still trying to work out the rules for trading both of these charts. I am intrigued by using the R80 chart for intraday position trading and using an initial stop that is tighter than 48 ticks. Maybe 15-25 ticks. Don't know yet how many trades would get stopped out at those levels and then run in the initial direction. It seems like the best trades just leave the station. They don't come back to touch the opposite side of the entry bar. You could make the case for using a 8 tick stop in that event. Just seems like 8 ticks is awfully tight.
Quote from gfmchina:
Hey Jasper regarding Ensign's Parabolic SAR, try speeding it up for example using 20 Maximum and 20 acceleration as the parameters. I was playing around with the acceleration parameter in Ensign and the result was quite interesting.
Maybe you could post a chart so I can see what your Parabolic looks like. The settings window would help, as well.
Jasper:
In looking at your charts think here is an idea for an exit entry risk management.
When you enter put a 1-point stop loss and exit half at 1 point profit and move the stop to even. On most days it seems you will make the point on a lot of moves and thus lock in a half or make point and the market will keep moving your way.
On bad entries you lose a point but the winners seem to outnumber the losers and you have more long runs as winners to make up for the losers.
Just test it on a few past days to see what I mean.
So enter with 1 point stop and 1 point profit target to exit half and move stop loss to entry price so you lock in half.
In looking at your charts think here is an idea for an exit entry risk management.
When you enter put a 1-point stop loss and exit half at 1 point profit and move the stop to even. On most days it seems you will make the point on a lot of moves and thus lock in a half or make point and the market will keep moving your way.
On bad entries you lose a point but the winners seem to outnumber the losers and you have more long runs as winners to make up for the losers.
Just test it on a few past days to see what I mean.
So enter with 1 point stop and 1 point profit target to exit half and move stop loss to entry price so you lock in half.
In my mind this sort of position management looks ideal. I had it in my mind that using two profit targets with a break even stop active when the first target is a sure-fire way to mitigate risk and lock in profit.
What I have found in my backtesting is that this is actually detrimental to net profit, profit factor, and expectancy over a prolonged period of time. I think in a way this kind of trade management cuts the profits short when the direction is chosen right.
After playing with targets, trailing stops, breakeven stops, etc., I have pretty much found that the optimal trade management is just to have a stop in place, and moving it to breakeven if the trade becomes sufficiently profitable. My backtests tell me that unless there is a reason to get out of the trade, one should stay in it. For me, that tends to be the point at which the chart is telling me to reverse the position all together.
As an aside, avoiding the use of profit targets, trails, etc. tends to remove additional parameters from the strategy, giving it a better chance of avoiding being curve-fitted specifically to the evaluation period.
Just my 2 cents.
RoughTrader