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I have been recently made aware of exactly what the Trailing Stop
>problem really is. For all of Marks yelling and screaming, that was
never
>really made clear. A simple sentence warning people exactly what the
problem
>was would have been much better.........
Peter and all,
Yes, or perhaps a few concise comments on how some vendors
use the TS trailing stop to bloat apparent returns.
There are some reasonable uses for the TS trailing stops.
The main problem (especially when looking at possible intraday
systems based on "daily" data) is the inaccurracy of the "bouncing
tick" algorithm, which by default is calculated on 10% of the
bar. One solution is to observe the system through a range of
bouncing tick settings. Say 10 to 50 % of the daily bar. Comparing
this to the true swings experienced in the test market can provide
enough information to make some reasonale assumptions about
the success of the system without having to paste and test
12,999 bars of intraday data. <g>
Not making any judgements here, but any trader with MB's
acumen should have picked up on the trailing stop long before
it became a danger to equity.
Walt Downs
CIS Trading
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