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I am currently trading a counter-trend system on select stocks.
Profitable trades average ~5 bars, losers are usually > ~10 bars. I
would like to test various N-bar stops to see if they can improve
drawdown and/or returns. Specifically as a first cut I would like to
try this pseudo-code, optimizing on N(bars) and S(%):
if (Trade_Length > N) and (Position_Profit < S) then SELL
What would be the simplest way to code this?
My reasoning on this is that I've tried the built in N-bar stop in
settings, which makes results worse, because by the time you stop
out sometimes you hit the peak loss, whereas if you let it ride to
the normal exit the loss shrinks. I thought maybe it could work with
a set loss percentage below which you ride the trade out, otherwise
stop out.
Thanks in advance,
Ralph
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