It's not that I have raw exposure the system has reversals and exits. The problem is under some market conditions that point might be very far away. For example if you system used a 20 day low, that low might be -$10,000 or more away from the current price!, an example would be in natural gas or oil during these manic times. I have done the research and in fact am working on some new methodologies currently which are based on dynamic statistics for developing trailing stops. Remember when you develop trailing stops in a system you need to think about reentry also. The problem is most simple methods like a 50% trailing stop or a $3000.00 money management stop might look like they help on a backtest but 2-3 years out you will see that it's either a wash or actually hurt performance. The results I showed were based on a 1 lot of all markets. Another solution is to see what happens if we filter trades based on risk, don't take any trade which needs more than $5000.00 of risk for example. This is not a hard stop so it let's the trade do what it needs to , you just stay out of the market when things are too risky.
" you just stay out of the market when things are too risky." Murray, That's right. Not every setup is tradeable. As Rcrancief so aptly stated it's not just the result, the journey too matters. It has to be in balance. As the system is at present I certainly could not muster up the stomach to trade it. Thanks for posting you results. At least you are willing to backup your claims. Beats the innumerable vendors out there whose only claim to a trading system is a good copywriter.
stops are just a crap shoot. If you pick stops that work in the market going forward you win. But you could have picked stops that were just right for getting nailed by whipsaws. To argue that these stops are better than ___________ is to not understand the nature of the markets. You find stops which work. so does everyone else. every starts cheating a little bit to get out just a little sooner or on the flip side you get positioned looking for the stop run. Then everyone figures out that game and it reverses again. Markets adapt to your stops. Because they are not your stops alone. Which is most likely why Murray is working on "stat stops" or "stat stop" (copyright 2008 JEM). Murray I will grant you a free license to use the name.
In the current issue of Futures Truth magazine Simple Harmony is ranked number 4 in the top ten multi-market systems since release with a 81.1% return. The orginal Turtle system as release by Russell Sands and tracked by Futures Truth has only average 19.6% return since release in 1990. You can see that Simple Harmony has done much better since release than the orginal turtle system.
Thank you for this information, I am still deciding on what platform I want to buy, Is Trend Harmony available for TradeStation or only TradersStudio ?