I have been back testing different trading methods for a while and generally I just end up with some over curve fitted garbage. This time I developed the method while actually trading and then implemented it to just see what the back testing results would look like. I had to simplify the entry somewhat to make it easier to test. Because in the real method I use discretion on when to exit I had a big problem with exits. So right now as it stands I have it exit and reverse when the opposite condition is met. So its always in the market. So bottom line, I ran the implementation the first time and ended up with 62K profit over 5 years for 1 contract of ES. The number of winning days and loosing days is about 50%. The BIGGEST issue is the max 1 day loss. The backtesting results showed a max loss of $1200 in one day per contract which I would not have the stomach for. Especially considering winning days is about 50% meaning I could have a long string of loosing days which I coudlnt handle. So now my issue comes how do I get these max losses down? Currently the system uses a 3 pt stop. I attempted to put in a max loss variable that when hit trading woudl stop for the day. I was able to achieve a max loss of $500 in a given day and still keep profit over 42k for the 5 year period. Doing htis however made the winning day % significantly lower. A few things I did to make sure I didnt over curve fit. Is I did not optimize ANY parameters after the first run. Simply went with what I had. I then tried moving parameters around and profit stayed roughly the same area, 50-70k. In all my previous systems where i curve fitted too much I noticed that if i shift the time in the morning when the system woudl start for example from 9:30 to 10:00 the profits of the systems would drop very sharply negative. So for this system I tired offsetting the starting time in the morning from 0 to 120 minutes and in every case the profits did not change much at all... So I feel fairly confident the system is real and not curve fitted. The real issue now becomes finding a way to get those max losses down. What are some good exit techniques to use in automated systems?