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[EquisMetaStock Group] Re: EXITS



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I approached the problem from this angle.

Using 40 years of SP500 EOD data and 25 years of Nasdaq Composite EOD 
data, I measured the extent and duration of every correction of -5% or 
more, then measured the extent and duration of every subsequent 
recovery.  What that gave me was a model of the "average" size and 
length of every meaningful ("trade-able") move in these two indices.  
I use it in making decisions about whether to sit still with trend-
trades or take profits "early" on strength or weakness (depending on 
the direction I'm trading).

The idea can be applied to stocks, since most stocks travel together 
with the broader market, but I have no idea if it has application in 
the futures market.

I've had mixed experience using trailing stops with trend trades.  
They seem to actually degrade system performance by forcing the system 
to trade more often than it ideally should.  The success of a trend-
trading system comes from the 30%-38% of the trades that are big 
winners.  If you get bounced out of your position on those because of 
a tight stop, that has a big negative impact on performance.

JMO and FWIW.


Luck,

Sebastian   

--- In equismetastock@xxxxxxxxxxxxxxx, "metastkuser" 
<andysmith_999@xxxx> wrote:
> When it comes to exits, a lot has been written about exits where you
> give back a little profit -- such as trailing stops, various exit
> indicators, etc. 
> 
> But what about exiting into strength? What about the philosophy that
> your profit exit should be predetermined at the time of placing the
> trade, and when you meet that target you close the trade?




 
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