Arbitrarily testing stop strategies...

Discussion in 'Strategy Building' started by Corey, Mar 12, 2008.

  1. Corey

    Corey

    That exactly the type of test I would like to run -- except that your entries are based on a system -- and therefore your mileage with stops may not be independent of the entries you take.

    Hence, if I can create a random entry/exit system, with enough trials, I can smooth out the expected value.

    I will be sure to post my results (if I ever get it done...)
     
    #11     Mar 13, 2008
  2. I think you would want to run this test on entries from your specific strategy instead of random entries. The reason you take trades from a system is that you believe the market is different after your entry signal than at other times - you think the expected return is higher than normal when your strategy says to go long for example. If the expected return is different than normal, then there is a good chance that some of the other return distribution characteristics that affect the stop performance (volatility, skew, autocorrelation, etc) will be different too.
     
    #12     Mar 14, 2008
  3. MGJ

    MGJ

    Here are twenty five such plots, at progressively greater magnification. Convergence is slow: a million hands gets you two, but not three, digits of accuracy.


    [​IMG]


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    [​IMG]
     
    #13     Mar 14, 2008