stop loss and a take profit algorithm

Discussion in 'Strategy Building' started by alecase, Nov 15, 2014.

  1. alecase

    alecase

    good morning everyone

    can you advise me how I can implement a stop loss and a take profit algorithm for pairs trading strategy ?

    thanks for your cooperation

    regards
     
  2. 1245

    1245

    Without knowing anything else about your strategy, I would start with exiting a bad trade at 1/3 your expectation of the expected profit. Eg I enter a trade expecting to make 90 cents. Exit with a 30 cent loss.
     
  3. cjbuckley4

    cjbuckley4

  4. "If the goal here is to try to extract as much money with ANY system you may have and not just stick with 1 contract for the rest of your life, then Ralph Vince has covered that exact topic quite comprehensively. As we say in mathematics, it's a solved problem.

    Ralph Vince has answered your question with mathematical rigor and in excruciating detail. Anything you do that varies even slightly from the approach he lays out is proven to have a lower expected terminal wealth."

    I plagiarized the above from TradeStation forum mathematicians. I am studying Ralph Vince's work now.
     
  5. alecase

    alecase

    thanks to everyone for the answer
    How can I adapt a stop loss and a take profit on my strategy?
    the black line indicates the signal for buying and selling
    the others are the thresholds
    let me know what you think
    thanks[​IMG]