Equidistant Trailing Stop Daytrader

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

  1. Its funny we do amost exaxctly the same.
    I to go for 2.25 profit and sometmes for more but with the 2.25 it seems that success ration is very good.
    What I am thinkink of doing is to take the 1.25 profit and wait at originaly entry and reinter f it comes there . I seems like many time it comes back down there and then goes back up so it could be something to look at.
    Any ways think you for your answer.
    And what do you see as your success to win ratio using the .25 profit stops as in time to get stoped out and to actually have it go up and get you the 2.25-
    #31     Jan 12, 2003
  2. tradenut, If the market is random, it's 50% I suppose. It's like entering a new trade at the current price with equidistant target and stop. But if the market is not random, then what has moved 1.25 points is more likely to continue to move another point than it is to reverse for 1 point and then reverse again for 2.25 points.

    Besides, it may have already done that once if I entered on a pullback. So if it's random, the chances of any repeat of that pattern would be 50% I suppose. But if it is not random.........
    #32     Jan 12, 2003
  3. thats is the question.
    If its not random.......:) .
    It is true to go ahead and wait . By cutting down on the losses and getting those 2 pointer will make for profitable trading.
    Happy trades this week and take many points
    #33     Jan 12, 2003
  4. white17


    Sounds to me as though you are violating Jesse Livermore's golden rule. You are entering on pullbacks when you should be entering on advances, according to him. We all do that don't we? It just goes against human nature to pay more for something...and that's his point.
    #34     Jan 12, 2003
  5. tell me about it. I'm the worlds worst breakout trader.

    Try this some time if you want to feel real pain. Use 2 pt stop and reverses. Long at 26, then short at 24, then long at 26 then short at 24, oh well I guess I should have faded this one, well now here we are at 26, I'll hang on and cover back at 24, hmm27, 28, 30?what happened to 29? 33?$#@**(, I want to die.
    #35     Jan 12, 2003
  6. white17


    Not really into pain so believe I'll pass thank you.
    #36     Jan 12, 2003
  7. seriously though, I find when trading for 1 pt or less on es, it's always better to fade nothing. At 1.25 to 3 you can hit it either way and IMHO maybe a little better on the fade. And over 3 it's better to wait and jump on the move.

    Which ever way you go, my experience has been to stick with the same approach all day long is best.

    I'm even thinking once I make a commitment long or short, I'd be better off just trading from one side all day long.

    I've had days where every long trade was a winner, and days where every short trade was a winner, and days where no trade was a winner, but never a day when every long and short trade was a winner. That's what's got me to thinking.
    #37     Jan 12, 2003
  8. if I do that I'll have to change my slogan again
    #38     Jan 12, 2003
  9. white17


    The better slogan would be " win win win"
    #39     Jan 12, 2003
  10. Eddy


    I was out of town today, and just back home : nice to see some interesting new posts on this thread.

    I will be able to run your test tomorrow. Do you have already may be any expectations on how a start at 10.00 and an exit at 2.00 would affect/improve the outcome ?

    Thanks to an ET search, I just reread some of your previous trade management related posts (I discovered by the way some I missed) and I think we are sitting exactly on the same playground right now, ie my main investigation fields are today fully focused on the design of optimum stop and target management techniques to be used for ES daytrading systems.

    18 months ago, when I started daytrading, after some poor initially achievements, I asked me (probably like most of the newcomers in this arena) : “ I am sure there are better entry signals than my current bloody MACD/stoch combo." Few months and TA books later, I had switch to this wonderful StochRSI multi - timeframe setup and my account was still heading (slowly) down !! At the time, I hadn’t run any single backtest yet and I was still trusting my (fully emotional powered) clicking skills on the buy and sell buttons in order to make money… I was so wrong ! Even if I one would have give me a 60 % winning entry signal, I am sure I would have kept on losing money..

    Hopefully, my engineering educational background kicked back at some time. To make it short : I tried to take more logical decisions for exiting my trades, I read far better books (Douglas, Chande, Hill, Stridsman), switched from Nasdaq stocks to Eminis, learned not to trust my emotionally driven clicking abilities and ultimately replaced them by a much more efficient (and relaxing) way of exiting trades, ie thru an automatic implementation of stop and profit targets (thanks to the arrival of BracketTrader kind of programs).

    Practically speaking, I believe today in following an ES daytrading system with :
    a) tight initial stop loss (typically 1-3 pt) being moved to breakeven as soon as a trade moves in my favor of 1 – 3 point
    b) in a wide trailing stop (5-7 pt kind of range) being there to keep you as long as possible in the trend (if any)
    c) in profit targets and/or time stops (other than the exit at market close one) being there so that you would exit the trade with a better PL than the one you would achieved by hitting your wide trailing stop
    However, if I think I may develop a performing trade management system, on the other side, I am sure that I am not smart enough (yet, let's keep some hope) to find any entry trading signals providing me with an edge…
    WHY ? because as soon as I try, on top of my 3 existing trade management rules, to incorporate as 4th exit rule the reversal signal (ie using the short entry rule as a long exit rule or reverse), I found out that the performance of my trading systems systematically decrease !!!
    This is presently one of the way I use to check if there is any kind of edge in my trading signals. Even more than that, this tells me that I should focus first (and dedicate most of my time) on designing efficient exit rules, because these are really the one creating the positive expectancy of my systems.

    Don’t take me wrong ! I am fully convinced that good understanding of TA may improve the profitability of a system by helping finding better entry rules. But my personal experience is that it is easier to create/increase profitability using efficient PL protection techniques than using "better" signals. And I find stop/target management to be a very pleasant and rewarding place for holy grailing :)

    By the way, if anyone has a way to check if an intraday trading signal, typically based on 1 to 5 min bars (or constant tick bars in an equivalent range) has an edge, thank you for posting it ! Acrary posted a great “edge test” methodology few weeks ago, but it was primary designed for daily systems.

    Finally, just to give some examples of late night research works, I presently start making some deep intraday MAE/MFE analysis. By deep, I mean I focus not only on the max favorable/adverse excursion values, but as well on their evolution during the life of a trade, together with the evolution of the intra-trade max drawdown (which is the parameter to follow in order to optimize/adapt your trailing stop value..). On the initial stop level, I am sure one could adapt the initial value based on some market conditions parameters preceding the entry trading signal trigger (ATR/Std dev. kind of relationship), but no significant result on this issue yet.

    #40     Jan 12, 2003