The Best Exit Strategy

["robert" <robertr@xxxxxxxxxxxxx>]

This request goes out to the "old campaigners" who have seen plenty of
action and survived position trading the futures markets!

I've traded stocks but I'm new to futures. I've noticed that the "pace of
the game" seems somewhat quicker, the trends seem shorter, the volatility
higher and volume figures aren't as useful.

I'm in the process of evaluating various mechanical systems to try and find
something I am comfortable with to trade. I've been able to get my entries
to about 55 - 60% profitable on a number of markets( I'm testing with back
adjusted daily data) by using a trend filter such as { ADX(14)>20 and
Di+(14)>Di-(14)} or {3 MA's and only taking a long position when shortest >
medium>longest average}. Then I use a trigger such as a volatility breakout
above yesterday's close to enter long.

My question is WHAT IS A VERY PROFITABLE,EFFICIENT,and ROBUST(as in not
overly optimised) TECHNIQUE BY WHICH TO EXIT A PROFITABLE TRADE? I can't get
better than about 30% efficiency for my exits and that leaves a lot of money
still on the table! Yes, I can optomise the multiplier or length of the
indicator to a particular set of data but that's not going to be very robust
over time.

I've tested various combinations of:
                          trailing stops such as
Highest(H,6)-X*AvgTrueRange(10)
                               "          "         "      "
           -X*(StdDev,Y)
                          RSI(5) going below 50 or 30
                          Di+(14) going below DI-(14)
                          Highest(H) - $amount
                          Exitlong when C<Lowest(L,5)[1]

If from years of experience you have found something that works reasonably
well across most markets, much of the time and were prepared to share it,
this neophyte to futures trading would be eternally grateful.

Thankyou for any help you can offer.