ATS- opt Parmeters for today market volatility

Discussion in 'Automated Trading' started by algonxt, Jul 21, 2009.

  1. algonxt


    Parmeters for today market volatility


    Hi there, maybe anyone have a suggestion…

    I am trying to calculate the 3 optimal parameters:

    "SL" (in pips).
    "start trailing after x pips" - in pips
    "trailing stop" - the value of the trailing stop that will start after x pips.

    When I say "optimal parameters" I mean the best performance parameters for strategies that run with a random signal...

    Let's say that we always have only one position that's only "buy" or "sell" or "none".

    I guess its related for the volatility & the trading range…but how do I calculate this…

    This specific strategy is for Forex …but it can be for every asset.

    Thanks allot for your help in advanced.
  2. This is "no" problem. Set up an objective function of the form:

    f(SL, ST, TS)

    then take the first order partial derivatives wrt to SL, ST and TS.

    Set the derivatives to zero and calculate the parameter values. If the second order partial derivatives are negative, you have found the optimal values that minimize/maximize the objective function.
  3. algonxt


    I think I lost you there... probobly my bad...

    can you repat that In a simple words for the none PHD trader?

    I want to test it with real data .. I mean historical data...

    the target is to adjust the TRS & SL in a way that the market want take you out from a trade only becouse of the volatulity..

  4. Average True Range
  5. algonxt


    ATR is not what it use to be.... its not good for today volatility...

    but its a good recomandation... I want to replace it with some hard numbers.