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MM exits are an interesting little problem when getting stopped in sometime
in the middle of the day. One answer is to use shorter bars. But this is not
supposed to be a daytrading system. My real point is the absurdity of a
fixed 6 point stop for a long-term SP backtest. Probably sometime in 1999
when the system was developed it was just right, but now it's too much too
tight and in the past it was way too loose. If you had been trading a
realistic number of contracts back when, normalized for volatilty, the
losses would have been much bigger than advertised!
Phil
<snip>
> Now you could claim that coding your own MM stops avoids this problem
> since, as I said, your system couldn't enter its MM stops until the
> next bar. That means your MM stops wouldn't be in effect on the same
> bar as the entry, so there's no confusion. But it ALSO means you're
> "naked" on the entry bar, with NO MM stop. That's probably not what
> you want, given that the position DID get stopped out.
>
> Gary
>
>
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