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Has anyone been doing anything with
adaptive stops?
What I have been working on keeping track
of the amount positive or negative
a trade goes for double the time I was in
the trade, and then averaging that amount
to adjust my profit and exit stops.
What I have noticed is that the amount
of potential win compared to potental loss
sometimes makes the trade signal null.
It also helps to expand or contract the stops
depending on how the market is behaving.
For instance, some times you should stay in
for $2 or sometimes you should only stay in
for a $1. I don't have the code working the
way I want yet, but the only code I have seen
doing this was in Ruggerio's "Cybernetic Trading
Strategies", though it was too trival
to be very useful.
I have been maintaning an array and then
averaging it over ten trades in a rolling fashion.
I started on this because I have had profitable
trading system start to fail, when the only problem
was the stops need to be expanded or contracted.
Has anyone had some success?
David
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