It takes a ton of discipline to let your profits run for multiples. My inherent human nature weaknesses, are compensated by being programmed out by the algo. I strongly believe every platform should have a password protected code, where hard constraints are put in, and during the course of trading, the trader would not be able to change the parameters within the system he trades. Meaning shorts above the Opening Range would not be allowed. Or longs below the opening range should not be allowed. Below was attempt at trading tick charts couple years.
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Great write up Spectre2007,
I can share my comments on "let your profits run". When I manually trade (semi discretionary and semi mechnical), and I exit the trade for a profit, I get happy. Then it goes up for more profits after I exit, my first thoughts are "I soo wish i had just stayed in that trade". I convinced myself to always have a reason for exiting the trade. For example, I exit for profit because price was at a well known resistance, so lets exit profits. Or ema cross, price coming back down near entry, lets exit. Another thing is, we both know, with day trading, rarely the market makes big moves, especially with ES. For me, I like to measure my trade by reviewing the numbers/stats. I ask, am I getting good entries, RR>1 (or 0.8ish), is my profit targets good, when i get stopped out was it fake out or is price going in the opposite directions. I don't worry about letting profits run anymore. I just want to be on the right side of the trade and doing things right.
This is why I like programming a strategy to answer the question 1. well what happens if let all setup run to market close 2. what if trail by X ticks. 3. what if I breakeven (need tick data for this with NT, lol) 4. what if this, what if that.
We can not argue with algo after market close. All we have is the statics and backtesting results of what has worked in the pass until drawdown is hit in the future. Atleast this is my thinking.
I let the stats decide if I should let profits run or not when dealing with automated trading. But manually trading, whatever chart shows me at the time, I take the profit if the profit target is reached.
Wow, so all the trend systems I tried to back test in NT, I never considered a trend filter or volatility indicator. I just test the trend system considering all market conditions throughout the historical back test.