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Peter,
> Any of you out there who are trading range breakout systems - what do you
> find are the best filters to use to pick a false breakout when it occurs?
> Or, better yet, to keep you from making a trade when your filter indicates a
> breakout is more likely to prove a fake-out when it occurs?
Very hard to code IMVHO because it is the very nature of breaks that
they are a break of the propability ranges. It is propably better to
use a different strategy. For example to get into the market
in anticipation of the break - middle of trading range - or to
get in after the break and subsequent retracement. This has the
additional benfit that you can see whether the level really holds.
The floor and really fast traders take 90% of the possible profit
away on the profitable break-outs. Some other possibility is to use
extremely tight stops to stop you in and out again on failure.
Getting into the market on the first move after your computer
signals something on breaks is nearly impossible in my experience
unless you use one of the techniques above. However neither of these
methods comes for free.
I would love to hear comments from other as well.
Gerrit Jacobsen
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> Peter
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