Value of Backtesting and Stops

I'm sorry, I don't understand, please explain in more detail? Which peak is the second peak? And to be clear, are we looking at a histogram of *trade returns* or histogram of price movements in the market?

Oh, OK, I thought we were talking about autocorrelation in the series of returns from the trading system, but you're talking about, again, the time series of price movements itself. Well, that is trivial

 

I'm just saying that in my experience, setting stops to "cut out" the part of the distribution where a lot of losses are, often doesn't work at all. But I guess you have a lot more experience than me

Tell me, have you often encountered clearly bimodal distributions of returns in your trading strategies?

 

No negative month.

 

The same for autocorrelations. On my side I mean autocorrelations of the trade returns.

 

In 2 strategies I have never put into practice (too low returns). To say it fast, this was the kind of strategy that can work perfectly or be completely wrong.

 

Yearly? Is that all you can muster?

Monthly would be more appropriate to get me interested.

Livermore did 150% weekly!

:eek:

Holmes

 

Yes, I understood this. My previous posts were a reply to pepper john, who said the opposite.

But then back to my original question - why do autocorrelations give value to stops? If I see a clear autocorrelation in my trade returns, I would add a rule about position sizing dependent on previous returns. If done right, this should both increase the profitability of the strategy and remove the autocorrelation.
How do stops come in to that?

 

Very good point, thank you for mentioning it. Sorry I didn't notice your post before.

I'm going to go and update my backtesting code now

 

If you could lend me some money at a good rate...

 

Without surfing through 17 pages of posts, I'll say this, experience has taught me 2 things.

1. Pigs are Cute and Hogs get slaughtered!!!!!!!!!

2. Any trade system worth trading will employ multiple exit strategies including stops and % and $ risk trailing, so as your profits increase, you can limit your downside and protect against sharp market movement against you.

CQG has a backtesting suite in the Professional Version of our software, complete with the above mentioned stops pre programmed, all you need to do is enter the % or $ figure.

Hope it helps....

Good Luck