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> But I added up the MFE of all the trades. Total MFE of all the
> trades is >60k !!! How much money am I leaving on the table?!? Close
> to 90% !?! Yikes.
Obviously you're giving back a lot in a lot of your trades. And
obviously it's not possible to capture anywhere near 100% of the
MFE. But it seems like you ought to be able to capture a lot
more than 12%.
Assuming this is a reversing market like the ES/NQ/etc, have you
looked closely at profit targets? PTs are designed for reversing
markets because you know the market's going to snap back at you
at some point. (PTs will kill most trend-following systems,
because when a market genuinely trends, you don't want to short-
circuit the trade with a small PT. In these markets the old "let
your profits run" adage is 100% true. But not in reversey
markets!)
Beyond that obvious idea, you may be able to find places where
the market momentum slows down, or indicators diverge, or
something like that. Apparently your current exit isn't doing a
very good job of figuring out when the move has lost steam.
Gary
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