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Filtering "slow" profitable trades in a trading system
Nowadays I am developing a trading system. As most developers of this board
know exit signals are very important.
In my system I have several exit signals and I thought would be good to
share them....(also beware too much conditions might reduce your degrees of
freedom...if any has any comments on this would be great)
A week ago I came with an idea of an exit signal but I am not as good for
coding as other people of the board.
Sometimes there are trades that are profitable for quite a while but they do
not move very fast...they move in a slow trend....
If you use a very strict exit signal you might leave profits aside
...because trend might accelerate any moment but also you don;t want to stay
too much with a small profitable trade.
The idea is the following:
With IB would be nice to build an indicator that calculates the average
profit per bar during a trade starting from entry signal (cero average
profit). For each bar an average trade profit (close basis) is calculated
and compared to a benchmark. For example:
For the first 5 bars the is no restriction to average trade profit per
bar...there we allow negative trade profit.
from#5 to # 10 bar the average trade profit per bar must be positive
...let;s say 1%.
from #10 to 15 bar the average trade profit per bar must be positive
...let;s say 1.5%.
If in the 11th bar the average trade profit per bar is less than 1.5% the
system should trigger a stop.
So we need the indicator to increase 0.5% average per bar profit for each 5
bars....
If someone has better idea on how to increase the threshold...share it :)
After each trade is closed the average trade profit per bar is reset to
cero.
I tried for a week to code this but i couldn;t... :(
If any can help with this I would apprecite very much. Comments appreciated
too...
THXS
J
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