Thursday, March 4, 2010

stops

I came up with a couple new stops which I am liking. what I dont like is stoploss. its gauranteed loss. I dont know how many times I have been stopped out to only see the ETF come back strong. I would rather close out a position if conditions change negatively.

the first exit is a profit target of 2-6x the average true range over 3-15 days. these are both calibrated to the past volatility in the etf so this may be a problem in over optimizing. the next stop is after a certain number of bars, if the LRC25 has crossed over and turned negative, then it trails a stop at the low less .02. Now the other stop I put in is based on the whole trade turning negative based on longer term LRCs starting to shift down.. ie; I look at the difference between the LRC say 50 and a 5 day moving average of it. LRC means linear regression curve. The regular ATR tgt exit is based on the ATR at the time of the entry and locks it in. Mine adjusts as the market volatility changes. The regular ATR stop simply turns off the limit target order and trails a stop at the low after the trade has been on for so long, like 5 bars. vs. mine which only kicks in after so many bars and the conditions turn negative as judged by the LRC25 xo its moving average.

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