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RE: Asking too much ??



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> Generally, if I take a profitable system but with relatively large
> drawdown, add stops to it, drawdown does often decrease but so
> does profit over the long term.  Conversely, I find that mediocre
> or underperforming systems can became decent systems by adding
> stops. 

I think you're right, it depends on the system.  I tested a pretty 
mediocre system and there was a huge difference between different MM 
sizes.  However, in this case the smaller MM stops actually 
*increased* the DD while profits also decreased.  I think that 
reflects the fact that the system doesn't choose its entries very 
well, so tight MM stops get hit a lot more often.

With another system, changing the MM stop size didn't have much 
impact.  Really small values reduced the win% and the average trade 
size, but it didn't affect the DD &etc all that much.

I generally code exits into my systems, but sometimes they're based 
on market behavior.  E.g. on some of my systems I've found trailing 
stops of any kind reduce the performance, so I'll wait for the market 
to reverse before I set an exit stop.  I use MM stops only as an 
emergency-failure bailout.  So if the system enters and then the 
market snaps back, a lot of damage could be done before the bar 
closes and the system has time to compute a new exit.  

Gary