Hi,
Ok, so I am trying to figure out an appropriate methodology for attaching a set of exit conditions (stops and take profits) to a set of entry rules that I believe have merit. Previously I have always been using something like that following:
Stop Loss: Fixed or ATR based
Take Profit: Fixed or ATR based
Trailing Stop: PercentTrailing after InitMove
I have realized the following:
1) Trailing Stops are very dangerous as they backtest extremely well, but then once you backtest at the tick or minute bar level the profile is dramatically different.
2) There may be a better exit strategies that I am not considering.
So my question is, once you have come up with some satisfactory entry rules, how do you come up with your exit rules w/o over optimizing/curve fitting? Specifically, I am interested in things like:
a) Time Based Stops
b) BreakEven Stops
c) LeBeau stops
d) Parabolic stops
e) Indicator based stops
etc...
Other than brute-force, any ideas on any intelligent manner to come up with appropriate exits? Thanks.
-S
Ok, so I am trying to figure out an appropriate methodology for attaching a set of exit conditions (stops and take profits) to a set of entry rules that I believe have merit. Previously I have always been using something like that following:
Stop Loss: Fixed or ATR based
Take Profit: Fixed or ATR based
Trailing Stop: PercentTrailing after InitMove
I have realized the following:
1) Trailing Stops are very dangerous as they backtest extremely well, but then once you backtest at the tick or minute bar level the profile is dramatically different.
2) There may be a better exit strategies that I am not considering.
So my question is, once you have come up with some satisfactory entry rules, how do you come up with your exit rules w/o over optimizing/curve fitting? Specifically, I am interested in things like:
a) Time Based Stops
b) BreakEven Stops
c) LeBeau stops
d) Parabolic stops
e) Indicator based stops
etc...
Other than brute-force, any ideas on any intelligent manner to come up with appropriate exits? Thanks.
-S