The myth of letting your winners run

Discussion in 'Risk Management' started by Flowfollower, Jun 2, 2020.

How do you do it?

Poll closed Jul 21, 2020.
  1. Outlier hunting

    20.7%
  2. Profit target

    44.8%
  3. A combination of both eg trim and trail

    34.5%
  1. Tradex

    Tradex

    Only a backtest can reveal if your strategy makes MORE money with LESS drawdown, versus letting profits run.

    NEVER trade a strategy because it "makes sense", backtest your trading ideas and trade the most profitable one (on a risk-adjusted basis), period.

    Over the years I have noticed that my most profitable trading systems are counterintuitive.

    (Very interesting topic by the way!:thumbsup: )
     
    Last edited: Jun 2, 2020
    #21     Jun 2, 2020
    Wide Tailz likes this.
  2. taowave

    taowave

    There was a backtester/optimizer called Stratasearch which is no longer around...You could throw in as many rules as you liked with money management,and it would run thru hundreds of thousands of permutations and of course curve fit...More often than not,the exact opposite of what I believed backtested better than the holy grails...And of course,when I walked it forward,it all fell to shit :)
     
    #22     Jun 2, 2020
    userque, SimpleMeLike and Tradex like this.
  3. Tradex

    Tradex

    There we go.
     
    #23     Jun 2, 2020
  4. Flowfollower,

    Great post.

    I have struggle with use Profit Target vs Trailing Winners day to day for nearly a year now.

    Let me tell you something. Easier said then done day to day.

    The only way to know what works best for you is to test it.

    Test 1 : Trade management for 2RR
    Test 2: Trade management for trailing.

    Do this for 200 trades or 6 months.

    Afterwards you will know what works best.
     
    #24     Jun 2, 2020
    Flowfollower likes this.
  5. volpri

    volpri

    Bingo...bingo...bingo. Congratulations you have escaped the pundits and guru’s malarkey. Grab them profits. Keep that high win rate up.
     
    #25     Jun 2, 2020
  6. Tradex

    Tradex

    6 months? Why not test it immediately with historical data?
     
    #26     Jun 2, 2020
    SimpleMeLike likes this.
  7. Tradex

    Tradex

    Right, so let's all keep our profits short and let our losses run then!
    Just kidding. ;)
     
    #27     Jun 2, 2020
  8. volpri

    volpri

    ROFLMAO
     
    #28     Jun 2, 2020
  9. volpri

    volpri

    No no no Eastwood I grab them profits and average down them losses if the larger and immediate dynamic context supports averaging down. Then exit the averaged down with a profit. Like Doc Holiday...I say to the market “I’ll be your huckleberry”
     
    #29     Jun 2, 2020
  10. Tradex

    Tradex

    Well, see, my mule does not like it when I average down... :D


     
    #30     Jun 2, 2020
    comagnum likes this.