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I'm talking about this situation:
Today, you can trade the Spy's with a profit exit
of .5 * ATR(Lookback), where Lookback is the
number of days you are looking for an oscillator
low or high, and you will win about 85% of the
time and average about $6000 a trade, trading
$300,000. This same system back in 1994
will fail because the profit exit needs to
be set to 2 * ATR(LookBack) for the same results,
otherwise you will exit too early.
I enter trades at market open, and then
calculate a loss and profit exit on
(multiplier) * ATR(Lookback). I want to expand
and contract the multiplier adaptively.
Since today is more volatile, and the price is higher,
a smaller factor works.
You have to use .25 on a short because of the
long market bias. But, that is for now, because
tomorrow we could be in a bear market.
Using Jurik's CFB, I have been able to change my
oscillator lengths adaptively just fine. Its the
exits where I'm not able to be adaptive yet.
Bob and Chuck seem like they come at this a little
bit differently than I do.
Thanks,
David
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