I think that was one of those well-reasoned arguments you spoke of elsewhere. Flame alert! I can't disagree with your personal view of testing. I will simply observe that a robust system gives you the flexibility to select a comfortable stop at the expense of a lowered expectation relative to a looser stop. Guilty as charged. Most of the systems I have developed have optimal regions in both stop loss and profit stop so that this is relatively painless. However, I recently developed a system whose expectation dramatically increases with much wider stops, to the point that it eliminates all losers. If someone else wrote that sentence I would opine "Then you don't have the right entry conditions!" But there it is. Since all of my good systems have two to three losers for every winner, I am motivated to think carefully about wider stops. My systems also occasionally exhibit eith or nine losses in a row, so I am motivated just for sanity's sake to figure out how to avoid the trap of being drawndown when a system fails.
Backtesting ... is very difficult as new markets can behave very differently. Again, working with very good traders - you begin to understand the characteristics of markets. Obvious question, how do you find a very good trader to work with ? Answer - look for a track record of a number of years. They are out there, I don't think we are allowed to post recommendations for sites here - so don't want to get in trouble that way. pm me if anyone wants to know.
"07-08-10 04:38 PM Move your entry to your stop." truly that is the best reply start thinking like the stop hunters only let them move the market for you and if you miss many moves that way because the price never comes back so be it. you only need a few points a week on the es to be good that is the art of the entry in a nut shell in my experience
This game is all about finding out where the other guy is( the herd ) and shafting him (them). Stop being the herd. see above.
What I mean is that your entry and (subsequent stop) was at a price that was probably traded by a lot of other retail traders and resulted in your stop being bunched around others in a similar position. It doesn't take to much calculating to figure out which price levels most of the volume trades and where lots of stops would be at +/- these levels. For instance if you are long and your stop is just above first daily support you should know that this is area is likely going to be tested. In this scenario you would are been better off making your first entry at S1 rather than somewhere in the middle. Obviously this is a simple example and S/R lines are subjective but that's what I mean by obvious levels. Take a look a volume by price intraday chart and overlay your entries and stops. This may help you see where you can improve the placement of both.
Tracing ES price curve intraday you should use a big fat sharpe marker to outine the scatter zone. The scatter zone for liquid instruments are typically 5 x spread. If your setting a stop for 5 ticks and an exit for 10 tick you will obviously hit the stop more often. If you reverse the positions and take profits at 5 and stop at 10 you will get more scalps. If you are focused on volumous scalping... keep your exits inside the scatter zone and stops outside. Also when trading CME products you should review their price banding info, no bust range and order protection values for market orders for the instruments you trade. ES no bust range is 6 points. A 12 point spike or drop causes a temporary order matching halt where all option quotes are cleared out and the queue is given a few seconds to catchup (They call it spike protection). Protection range for market orders is +/- 3 points. Any stop set inside of 12 ticks will have a high probability of moving into the scatter zone with the most modest price oscillations.
If it really happens to the OP with a high frequency, there is a very simple strategy to take advantage of the situation: Use 1 lot for the original position and with the SL put a 3-5 lot conditional order in the same direction executable when the SL gets hit. Report back how it worked...
Forming the tinfoil into a sort of a "rabbit ears" shape at the top blocks most stop hunters, but nothing I tried keeps Goldman Sachs out of my thoughts. Maybe a Swastika symbol? I dunno.