stops - 'noise' and volatility

Quote from pretzel:


The graph above used a target of 1.25 and a stop of 1.00. This is for ES.

Here is another graph using the same strategy but with a target of 4.25 and a stop of 2.00.

Maybe I should make the stop and target as wide as possible to get a better graph?

pretzel


Your system is coming right along. I like the first graph very much. The second graph, does it use the same timeframe as number one? Going back to Magna's words on timeframe determining noise...possibly a way for rethinking number two and for thinking more about stops and targets.

Rethinking on graph one...using a smoothed moving average...Kaufman's efficiency ratio doesn't work well on an intraday time frame...you need another filter that is widely adaptive...Donchian's moving average crossover works pretty well. It provides a histogram much as MACD would; but also, gives a graphical polarized filter so you can see immediately whether to be long or short based on the moving average. Although the picture is 100 ticks per bar I still used a short moving average of 30 and a long moving average of 172 to create the indicator. Maybe it will help.

Bruce
 

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Quote from bdixon619:

ESavant -- there it is Maximum Adverse Excursion by John Sweeney. Well, worth the price and the study, imo.

Bruce

I just got the book today - just starting to read it.

pretzel
 
Intraday ATR on the same timeframe that you're trading from, taking into mind your maximum acceptable drawdown based on account equity size.
 
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