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Conrad wrote re the trailing stop "bug":
> If you are
> entering on the close and would in fact move your stop during the next
> day, and assuming you very rarely get stopped out at your stoploss type
> exit, I believe this would give you accurate results *to the extent you
> could enter the orders on the floor with enough cancel/replaces to trail
> your stop by 10% after the contract moved up $200* (the first ex. at
> your website).
Nope. Notice that Mark's demo is using daily data. TS is calculating the
trailing stop based on the high or low of the day. The problem is you
don't know the high or low until the day is over. In the real world, if
you constantly move your stop to lock in 90% of your profit, you will
probably be stopped out long before the high or low is ever hit.
If Mark had modified the system to use, say, 1 minute bars then the
trailing stops would be pretty realistic. Of course, you would only be
able to test a few days at a time (13000 bar limit). Look at the system
report and see how many bars the average trade lasts. If it is a large
number, the trailing stops are probably OK. If it is 0 or 1, some system
vendor is trying to pull a fast one or some newbie is fooling himself.
--
Dennis
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