Quote from jack hershey:
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Quote from Whisky:
It seems you are talking about exits. Any concrete suggestions to improve over the original rules?.
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Here are the rule suggestions that will insure the system is profitable including fixed costs(coins) and inflation, etc.
Change to two fractals in series: RTH's and non RTH's and holidays and weekends.
Add an exit strategy to assure the two fractals are uncoupled. The exit strategy is to exit each trade using a time out. The time out is at the end of each fractal segment.
Add an entry identical the the original for each fractal.
To compare backtesting results to the actual market take the starting value of any interval and the ending value and determine the absolute diffference. Then divide by two to take into account the inefficiency of coin tossing. This value is the net profit of this rule adjusted system.
From a historical interest viewpoint you will get the same absolute value by taking the profits of just trading the non RTH's and subracting the losses from just trading the RTH's to get the actual net gain. Using a coin to guarantee 50% net of each is an interesting risk reduction mechanism and it eliminates inductive thinking from entering the methodology.
To replace the coin aspect is tricky but very possible. If the coin is replaced to have cetainty of entries, then a timing adjustment must be made to eliminate the problem of inflexibility of the "time out" requirement above, i. e., using end of bar timing on any fractal severely limits profitability. My suggestion implies that there is one bar during RTH and one BAR during non RTH and a coin determines whether the person trades with or against the one bar trend.
What makes the system profitable is the known fact that the gains after hours over long periods always outweight the evident net losses during the long term for RTH. So I used the market kurtosis to assure a winning system. I took gambling to the sidelines and used a "certainty" (non inductive) that is not commonly considered. The deduced certainty is that as the world turns, the lot of mankind improves. For US markets during RTH the long term net losses show that when Americans are awake and being "deciders", they tend to stilt the progress made in the world while they were sleeping.
Timeouts of trades are a function of market pace. I can hardly wait until the academic community begins to consider this a decade from now.
