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Has your trading system been whipsawed over the past 8 (trading
range) weeks?
Your equity curve flattened (like mine) or down a little?
If your system(s) are anything like mine, we need a trend, up or down
is good...sideways is a killer.
I have been trying to resolve this problem by applying different
indicators and oscillators and moving averages only to loose some of
my good trades (on the backtest)in order not to be whipsawed in a
sideways market.
I may have found a solution.
Active Trader magazine February 2003 page 82.
Equity curve Drawdown Management by Thomas Hartle.
"Your system has given you four losing trades in a row, should you
take the next signal or move to the sideline"
This article describes how you plot your equity curve (running total
of dollar gains and losses) and apply a 10 period moving average (you
can play with the period). When your equity curve drops below the
moving average...you stop trading and paper trade until your "equity"
rises above the moving average. Then you resume actual trading.
This may eliminate alot of bad trades on trend following systems in
sidways markets.
I thought this was a rather neat concept...applying a trading system
to our trading systems!
Has anyone tried this? Thomasz.....your thoughts?
New Portfolio manager feature?
Regards
Jim
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