How can I tell my system to not take repeated signals (ma crossovers) happening in both directions at a resistance/support level, in a range like the one shown in the picture? I would like to tell the system: "choose a direction, and stay with it until the support/resistance that caused a bounce holds true". In other words, "follow the first crossover, insert a stoploss at resistance/support, and then go to sleep and don't follow any more signals until the stoploss stays in place". Should I change the moving averages that give me the signals to JMA, AMA or the problem has to be solved in a different way?
Maybe you can reorganize your positions into following, 1. by time 2. by # of trades since beginning of a trading day 3. by some sort of directional indicator like ADX, ATR, etc. You may find that you can add filters to take out those bad ones. Of course you will get rid of some good trades too, as long as there is improvement in Sharpe, Winning%, etc. it is ok.
Hmmm. Nice one, Tampa. Stochastics wouldn't tell you that? travis, Suppose your system goes short and you have your stop set and a profit target or, maybe your system is designed to stay short until you get a long signal; whatever. In the first case, wouldn't you just take a small loss and wait for the system to go short again? In the second case, couldn't you use a time delay (I think Lawrence spoke of this) to your signal i.e. wait for a half minute, re-check market and enter if short is still viable? I think a lot is determined by your style of trade. Since you are using a crossover system it might be better to use an intermediate and a very long moving average. You won't be able to reverse as quickly but you will still be able to get the meat out of the trade. However, if you are just using a crossover to trade minute bars then you should use a stochastic filter as I mentioned to Tampa. I think he and others are using a discretionary stochastic system to trade. Automating a stochastic system is doable and has been done in Tradestation. I'm not aware if other software has the capability. Bruce
Kid, that's why I came here - to ask the rich people for advice. Thanks, Bruce. I am using a 5 minute chart, and tradestation, so I will look into it.