Stops and Risk Control - ES

David's faith said:
Yes but 5% is in every means a lot. It takes 5 losers in a row and 25% are gone. Even with a big edge this almost means betting the farm.
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I never have 3 losers in a row thankds to very good entries. And if I have 2 loses in a row, they are never both stopped out. The second one always gets closed before the stop is reached. My system is build that way. The increased leverage compensates largely for the second losses that are closed at an "unlucky price".

I read 5 losers in a row as "this system sucks" or "I suck". I would never trade that.
 
Trailing 1, 2, 3 bar Hi/Lo's depending on how long in trade - as well as key support and resistance points. Many other factors beyond what I would put in a post.
 
virtusa said:
I never have 3 losers in a row thankds to very good entries. And if I have 2 loses in a row, they are never both stopped out. The second one always gets closed before the stop is reached. My system is build that way. The increased leverage compensates largely for the second losses that are closed at an "unlucky price".

I read 5 losers in a row as "this system sucks" or "I suck". I would never trade that.
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Oh, okay. What is your stop criteria? X ticks from entry or a mix of indicators/PA?
 
David's faith said:
Oh, okay. What is your stop criteria? X ticks from entry or a mix of indicators/PA?
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I posted many times how I defined the optimal stop for my trading system. So I am not going to repeat that.
In short:
I tested more than 1,000 (day)trades and found that the optimal stop, at the actual price of ES, is 5 points.

That stop gives me the best combination of:
  • the best total long term return.
  • the smallest drawdown in relation to the return.
  • the smallest open losses.
  • takes the biggest part of each move.
  • almost never stopped out as the system generates a take profit or reverse before the stop is reached.
  • shortest recovery time for recovering the loss.
My stop is depending of the level of the S&P and hovers around 0.125% of the notional value of the contract.
So at level 4,000 the stop is around 5 points.
At the level 2,000 the stop is around 2.5 points.
So the stop in points is linked to the level of the S&P.

This only works for my system. Your system will be different, so the stop will be placed somewhere else. YOU should find out where the optimal stop should be.
 
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