Equidistant Trailing Stop Daytrader

Discussion in 'Strategy Building' started by profitseer, Jan 11, 2003.

  1. When I learned how to play craps I played and played every day for about three months prior to my first trip to LV. The stoploss was three losing rounds. Many days I would sit down and start rolling and the dice would pass for quite some time. Many times I would get the three straight losers. So my thinking was... if I start rolling the dice to pass and get stopped out, then I will start playing the don't pass.

    So I started doing that, still on my hand drawn table etc, ie., paper gambling if you will. And guess what I found out. I could play the pass and lose three, and the don't pass and lose three. What was I missing?

    The chop. Yes in dice there is chop too. That dreadful period where the seven shows just frequently enough to cause both the pass and don't pass players to lose.

    You win, you lose, you breakeven. It goes up, it goes down, it goes sideways. It passes, it doesn't pass, it chops.

    The following is posted on another thread:

    "Here are some usefuls statistics that are true for all markets:

    Studies show that most days fall into one of two categories, higher or lower days. A study of these patterns reveals that the approximate frequency of occurrence is as follows:
    Higher day 38 %
    Lower day 38 %
    Other 24 %

    Other represents inside, outside and equal days."

    Beware of the thinking that proposes doing the opposite of a losing strategy produces a winning strategy.

    #21     Jan 11, 2003
  2. excellent point inandlong, don't think about it too much or I might get depressed. Painful but true. Yes, the "other". Can't stop now or the law will catch up with me. Dang those averages anyway.
    #22     Jan 11, 2003
  3. 6k drawdown plus 4k margin. Hard to believe with just 10k you can beat 90% of all traders. Not to mention the S&P. So that's a 60% drawdown. How many funds could have gone on to be profitable if only they hadn't shut down at 50%?
    #23     Jan 11, 2003
  4. I wish I had them in writing. Some of which I do. Even from this summer. Great things come from simple ideas like these. I don't read the journals, but if you started one and called it "I got a million of 'em" I would print the darn thing out.

    #24     Jan 11, 2003
  5. white17


    Studies show that most days fall into one of two categories, higher or lower days. A study of these patterns reveals that the approximate frequency of occurrence is as follows:
    Higher day 38 %
    Lower day 38 %
    Other 24 %

    Other represents inside, outside and equal days."

    INANDLONG; this is pretty close to one standard deviation which should cover 68.3% of all possible closing prices. Your 38x2=76

    EDDY: would it be a lot of hassle to run a backtest again. This time go long at 10a.m ET rather than 9:30 and exit at 2 p.m. using either fixed or trailing stops.
    #25     Jan 11, 2003
  6. Wow that's pretty neat. The article is found at tradingeducators.com. I have no affiliation with it. The link was provided under the Gems thread by TriPack.
    #26     Jan 11, 2003
  7. Just a quick question about your stops.
    Stop managment is where I have trouble . I used to enter with a 2 pt stop and go for a 2 pt target at s/r levels and did well with that. Then I tried larger tragets with trailing stops and it seems then that I ended up geting stoped out early and losses were more frequent..
    I am loking at something similar to what you are talking about. When ES moves 1 pt in my favor then I go for a .25 gain and then wait.
    Can you please elaborate on your stops. When do you move it to protect your entry and cover fees. To what degree does it have to move in your favor before you take this step.
    I am also a all or not trader and I found out that for the moves I see a trailing stop can actually be detrimental.
    I would really apreciate your input.
    #27     Jan 12, 2003
  8. tradenut, same here, for us small movers, that trailing stop is a killer. The bigger the moves, the more attractive it becomes. Like I said, my guess for ES would be about 6.25 minimum for a trailing stop to start being attractive. And that is coupled with a 6.25 minimum target.

    I'm using 1.75 stop and like you, I move up to entry plus one tick at about a 1 .25 paper profit. It is not unusual to go all day without getting stopped out at my 1 tick stop. And when I do, yes, a few of them woould have gone on to be winners, but I think I see the market better after a one tick gain, than I do after a 1.75 loss.

    I use a 2.25 target, anything less is slow death with a 1.75 stop. The small profit is the slowest road to ruin. My rule is, if I take anything less, then that's the last trade of the day.

    I talk to myself, "You want to take this profit early? OK, but that means you gotta close up shop for the day. You ready to call it a day? or do you want to hang on and make one more trade?"
    #28     Jan 12, 2003
  9. but I think over time, any trader can use any consistent entry and turn profitable just using any stop and converting it to a trailing stop when the market has moved the distance of the stop in the traders favor. I know of no way to improve this method. The keyword being "over time". But Uncle Sam has no respect for time, so I have to use targets to keep him off my back.
    #29     Jan 12, 2003
  10. Dear Uncle Sam,

    I realize I owe you a little bit of money, but at the end of the quarter, things were going swimmingly well. Since that time however, I have come upon a little bad luck.

    If I pay you what I owe you, I will have to drop size, and even then, I will be cutting it so close that after every losing trade I will again have to reduce size. Since I have no idea when this drawdown will end, you can see my predicament. If things ever turn around, I will have to try to dig my self out of a big hole with a small stake. And chances are, I will never owe you money again for the rest of my life.

    If you like, instead of sending you the money I owe you, I will give you the rules for my secret trading system. As you can see by the bill you just sent me, it has quite an impressive track record. But at the moment, it aint worth a darn.

    Your ever optimistic
    Concerned Citizen
    #30     Jan 12, 2003