CL151

Thanks for your reply,Dom.Can you please give more information on the dynamic exits?What logic it uses/I`m just trying to implement smth similar to my strategy,but not sure if it`s the same.

 

The system gets in & out of trades at trend-changes, that's the primary dynamic exit.
There are a couple of anticipated entries & exits as well.

Static exits are typically end-of-session and/or end-of-week.

 

So it`s sort of an offset trades-the system exits/reverses at the opposite signals?Am i correct?

 

You are correct, the same event (trend-change) is used as entry-signal as well as exit-signal.

For entries, depending on the pattern, the system can either go with the new trend (TR patterns) or against it (CT patterns).

In most cases, the exit is on the next trend-change.

For CT patterns in AlternateTM, the exit is on the 2nd trend-change.

Here is an example of a trade off a CT pattern (that was Friday afternoon) ... the thick vertical dashed yellow line is the short signal, generated at the trend change (there is a thin vertical green line underneath it).

The exit is on the next trend-change (the thin vertical red line).

For AlternateTM, that trade was kept at that trend-change back to down, an exited at the following trend-change (back to up) at 4:23pm, for a loss.

 

I see it,thank you.

 

It is easy to show in backtest that using the dynamic-exit for losing trades yields better results than relying on a stop. The size of the catastrophic stop is a compromise, between absolute best performance & risk(s) management (not to mention emotional capital management)

 

100% Agree!I`m justt working on the same method.Normally,using the offset method,the stops and targets are rarely,if ever, hit.But you have to 'tread water' at times(most of the time,actually),which might be costly.

 

results are not impressive:

http://rapacapintro.com/account/accounts?acc=CL151

aware of the reasons?

 

Current DD on my BasicTM account is -3470, which is well within the expected max DD on a yearly basis.
Current DD on my AlternateTM account is -985.

That said, 2014 has been pretty difficult for the core pattern of this system (151), which is the one that I have been trading for the longest time (I introduced most of the others between May & July).

 

I meant the equity curve that goes parabolic and tends to revolve around zero.It may mean the system is overfitted.SR is <1 also very poor.