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There's a good article in TASC (4/98) by Katz & McCormick on Trailing Stops.
I think it would be a good starting point for a discussion on Exit
Strategies. They programmed a random entry system in C++ that runs on UNIX,
so I'm hopeful that they don't have the bouncing tick problem, or, the exit
on same bar as entry problem, as one would have testing with Tradestation.
For those who haven't read the article, the conclusion is that "Trailing
Stops do appear to improve the overall performance of a trading system".
Considering that they used a random signal for entry, I think their work is
worth reviewing. In this manner, we can re-focus the normal overweight
given to entry signals and look at exit strategies for a change.
Jay Poswolsky
-----Original Message-----
From: Dennis Holverstott <dennis@xxxxxxxxxx>
To: Omega List <omega-list@xxxxxxxxxx>
Date: Monday, March 16, 1998 3:19 PM
Subject: Trailing stop scam
>{
>system: dhScam1
>
>For a locked ELA version of this system just send $3000.
>
>You will be required to sign a non-disclosure agreement
>punishable by death and/or forfeiture of all your assets.
>
>Apply to a daily SP futures chart.
>Set maxbarsback to 1
>Set trailing stop to $450.
>Set bouncing ticks to default 10%.
>}
>
>buy market;
>
>============================
>
>dhScam1 DSP8H-Daily 12/19/97 - 03/12/98
>
> Performance Summary: All Trades
>
>Total net profit $ 43000.00 Open position P/L $ 0.00
>Gross profit $ 50100.00 Gross loss $ -7100.00
>
>Total # of trades 49 Percent profitable 63%
>Number winning trades 31 Number losing trades 18
>
>Largest winning trade $ 7050.00 Largest losing trade $ -450.00
>Average winning trade $ 1616.13 Average losing trade $ -394.44
>Ratio avg win/avg loss 4.10 Avg trade(win & loss) $ 877.55
>
>Max consec. winners 5 Max consec. losers 3
>Avg # bars in winners 0 Avg # bars in losers 0 <===== THE
DEAD GIVEAWAY
>
>Max intraday drawdown $ -2075.00
>Profit factor 7.06 Max # contracts held 1
>Account size required $ 2075.00 Return on account 2072%
>
>--
> Dennis
>
>
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