Hello all, I have a set of 50 discretionary trades that I paper traded over last two months. Now I would like to see how that set of trades would have performed under a different set of trailing stops. Trailing stops need to be multiples of ATR e.g. 1ATR, 1.2 ATR, 1.4 ATR and so on. Can anyone suggest the best method and tools to accomplish this test. The goal is to figure out which ATR multiple would have worked best on that set of trades. Thanks, Rahul
Probably you could do that work with pencil and paper and a chart actually. It is just 50 trades, chart them with a chart package that has the ATR in it, plot one ATR and by looking you might be able to tell the optimum ATR for each. You might need to look at a second chart with greater resolution to see what the price actually did as it approached the exit. I have done a tremendous lot of research by that method, it is not bad because it keeps you up close and personal to the chart, you stand a lot better chance of recognizing a pattern or understanding what is happening with the price and any indicators that way than you do while running backtests. If you have a chart package that will optimize then you can automate the process or double check your work with that but the initial work of programming could be a big task.
Thanks maxpi. I was hoping to avoid the manual work. But if there is no other suggested solution, then I will get on it next weekend. Thanks again. Rahul