|
PureBytes Links
Trading Reference Links
|
Chuck, don't you find that ATR based stops are inclined to leave a lot on
the table?
I use ATR stops with a buy3, sell2, sell1 strategy, taking profit at a
target (usually a swing point) and then trailing an ATR stop on the final
portion of the trade. This last is where I find lots of profit gets given
back. I am trying to think of some way of tightening the stop on that but
have not really come up with anything so far.
regards
Philip
-----Original Message-----
From: CRLeBeau@xxxxxxx <CRLeBeau@xxxxxxx>
To: dfens@xxxxxxxxxxxxx <dfens@xxxxxxxxxxxxx>
Cc: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: 13 April 1999 17:50
Subject: Re: Adaptive Loss and Profit Stops
>In a message dated 4/12/99 10:50:21 PM Pacific Daylight Time,
>dfens@xxxxxxxxxxxxx writes:
>
><< Has anyone been doing anything with
> adaptive stops? >>
>
>I have done a lot of work setting stops and profit targets in units of
>Average True Range. The ATRs expand and contract with volatility so they
>adapt nicely to changes in the market. I've generally found that I have
>problems when the ranges contract briefly and the stops get too tight
causing
>whipsaws. This can be corrected by averaging the ATRs over two different
>lengths (maybe a 4 day average and a 20 day average) and always using the
>larger value to set the stops. This allows the stops to widen quickly and
>still it prevents them from getting too close. There are some Bulletins on
>this topic posted on my web site at http://traderclub.com
>
>Chuck
>
|