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Greetings --
In all my testing and experience, overall, the inclusion of stop loss exits
that are regularly hit hurts the performance of trading systems. They are
best used to avoid catastrophic loss and are seldom hit.
Howard
---- original message follows
Date: Wed, 24 Sep 2003 03:21:27 -0000
From: "Phsst" <phsst@xxxxxxxxx>
Subject: Re: Position Sizing, math, and profits
Al,
<<SNIP>>
In all fairness to your approach, I have not backtested ATR
positionsizing (which I intend to do). But I have backtested limiting
losses to a fixed percentage, and to date, fixed percentage stop loss
strategies are inferior to other stop loss methodologies.
Regards,
Phsst
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