Jasper's Last Stand

I am sure there will be times when you cut off some profits but for the most part based on his charts (and this was a quick eyeball) it might reduce the losses on bad trades and keep him in winners longer.

In other words, you take profits at a predetermined point but still leave some contracts on the table with a stop at your original entry or just above it so you still make a profit. If the signal was a strong running one, then you still ride the wave with pocketed profit. It would be nice to be fully loaded on the long run but more often than not it pulls back.

It is an approach to weed out the confusion and indecision so to speak and once you get better at it, you can determine which move has the strength such that there is no need to scale out immediately but rather let the whole position run.

I think started with some basic objective rules and then tweaking the more you trade and the better feel you get will help force some initial disicpline and risk management (of course you still have to follow it for it to work).

Since I only scanned quickly, the profit targets and stop losses can be refined by the OP with a more detailed look at the moves.
 
Quote from optioncoach:

I am sure there will be times when you cut off some profits but for the most part based on his charts (and this was a quick eyeball) it might reduce the losses on bad trades and keep him in winners longer.

In other words, you take profits at a predetermined point but still leave some contracts on the table with a stop at your original entry or just above it so you still make a profit. If the signal was a strong running one, then you still ride the wave with pocketed profit. It would be nice to be fully loaded on the long run but more often than not it pulls back.

It is an approach to weed out the confusion and indecision so to speak and once you get better at it, you can determine which move has the strength such that there is no need to scale out immediately but rather let the whole position run.

I think started with some basic objective rules and then tweaking the more you trade and the better feel you get will help force some initial disicpline and risk management (of course you still have to follow it for it to work).

Since I only scanned quickly, the profit targets and stop losses can be refined by the OP with a more detailed look at the moves.
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Yep, I hear you. I've found that cutting some loose and letting the price manage the rest of the trade is also very profitable. However, I found that not scaling out tends to be even more profitable in the long run. If a trade was infinitely profitable over an infinite amount of time, taking half off at a specified target would cut the total trade profit down to half. Yes, half of infinity is meaningless, but you probably get my point. The amount of profit you forfeit for each long winner will vary, but it certainly will be less than letting everything ride.

Trades which will reverse direction much sooner will tend to be less profitable than scaling out, but I've found that the expectancy, PF, and NP are overall higher if you just compromise on those trades and let everything run.

I run mechanical systems, so that removes a lot of the emotional baggage I would have to carry. If I was trading discretionary by the seat of my pants like a quick scalper would, I would definitely use your method because I would be too mentally worn down without the mental satisfaction of locking in profit and moving the protective stop.

But this brings out a very interesting and challenging issue. If you are able to gather statistics from a strategy about when the trade direction reverses, the optimal profitability would come if you could somehow numerically judge a likely turn point as it is happening. Taking half off at that point, if the modeling is done correctly, would likely result in picking a local top or bottom. If it happens to not be a local extreme, well, you still have half on the table. I've been struggling with a way to identify turn points with reasonable statistical accuracy, but haven't found an elegant way to do it.

RoughTrader
 
Your last point is kind of where I am focusing. I have one entry signal I am using primarily now for ER2 and when I visually backtest I find that on average the common profit target is 1 point while some keep running in the same direction and some reverse back. So trial and error I decided to try and take some or half the profit at that 1 point and leave the rest in case it was one of those times the market was going to keep running in my direction.

if I was wrong and it came back after the point then I still had some profit in the position and I receive multiple signals in the day so I can always try again soon.

This is not computer tested, just visually going back intraday over time. The approach I mentioned I am applying recently so I cannot say yet how are the results but mentally it is helping me take some money off and not give to much leeway for a winner to turn into a loser.

You are right it would be better if I can optimally find that point where on average the signal dies but so far I am only trying to do so visually and use another indicator to confirm if the trend is ending. So still no elegant way to do so for me but my eyes.

We shall see...

Quote from RoughTrader:



But this brings out a very interesting and challenging issue. If you are able to gather statistics from a strategy about when the trade direction reverses, the optimal profitability would come if you could somehow numerically judge a likely turn point as it is happening. Taking half off at that point, if the modeling is done correctly, would likely result in picking a local top or bottom. If it happens to not be a local extreme, well, you still have half on the table. I've been struggling with a way to identify turn points with reasonable statistical accuracy, but haven't found an elegant way to do it.

RoughTrader
More...
 
I'm still here. +3.1 points today. Have spent more time with the charts and have settled on R120 and R40 charts both with the VS set to 15, 3.9.

Am still working on my rules and have been in the black most days. Yesterday was an exception, but I had a "relationship issue" flare up which distracted my focus. Word to the wise - when things flare up with the SO, just shut off the machine and save yourself some money.

On the longer term chart, I am showing about a 60/40 W/L with the Ave Win around 6 pts and the Ave Loss around 1.3 pts. This bears watching going forward.
 
Will be trading tomorrow using R40 and R120 charts on the ER2 with a Volatility Stop (15, 3.9) and a WMA (39). Looking for volatility flips and pullbacks through the WMA in the direction of the VS.
 

Attachments

+1 today. Only took this little trade between the white lines. Always seem to have a hard time getting going after a 3 day weekend. It seems like there are just way too many holidays lately.
 

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Quote from jasper6:

+1 today. Only took this little trade between the white lines. Always seem to have a hard time getting going after a 3 day weekend. It seems like there are just way too many holidays lately.
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I have the same feeling. I feel like we haven't really kicked off 2007 yet...

RoughTrader
 
Jasper,
I'm close to getting my eSignal scripting language to produce a volatility stop. Not nearly as clean as yours but it's a start. Since I don't have constant range charts, can you do me a favor and take a snapshot of your chart today (1/17) using 3 min. bars? Whatever your standard settings are is fine. Then I can compare to the attached. Much thanks!
 

Attachments

Quote from jasper6:

+1 today. Only took this little trade between the white lines. Always seem to have a hard time getting going after a 3 day weekend. It seems like there are just way too many holidays lately.
More...

I thought the white arrows on your chart indicated your entry/exit points? Are those automatically placed there or are you putting them there afterward? It seems like they always make perfect entries/exits if held until the next signal..
 
Quote from Trader KGB:

I thought the white arrows on your chart indicated your entry/exit points? Are those automatically placed there or are you putting them there afterward? It seems like they always make perfect entries/exits if held until the next signal..
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The white arrows are automatically generated. With SAR, you would get long or short as appropriate.
 
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