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Jerome:
>Regarding volatility based stops, have you compared through backtesting ATR >based stops with fixed stops?
No, I have not done that. By fixed stops, do you mean fixing your stop at a certain percent below the buyprice? Or a certain no. of points? Or a fixed dollar amount?
I did for the CAC40 future contract I'm >trading dayly, and found that the fixed stop was more efficient. Typically, >in periods of very low volatility, the ATR stop gets to small and noise >hurts you. I backtested this strategy with ATR(10) and ATR(20) on 1mn >quotes. But that may well be a particular feature of this contract, and I >would be interested to learn if that feature is also relevant when tested >with large group of stocks on EOD basis.
How many ATRs were you setting as your ATR stop? If is was only 1 or less, then noise will get you. But, if you set it at 2ATR or more, then you shouldn't get eaten up too badly by noise unless the CAC40 is so non-volatile that even a 2ATR stoploss is within the noise level. I know nothing about the CAC40, so I'm a little at a loss here. What do you mean by the fixed stop being "more efficient"? In terms of what?
Al VenosaSTOP MORE SPAM with the new MSN 8 and get 2 months FREE*
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