Sunday, April 1, 2018

To BE or not to BE?

Worked on more programming of my CL strat which is incubating for now as I plan to continue trading ES method for this week.  Comments here, prodded me to examine this closer and the data is below.  Thoughts encouraged!  My conclusion, BE stops or trailing stops add complexity but can sometimes help smooth out profit curve a bit but generally degrade overall performance. I was a bit surprised though the 3rd and 4th results below (of the 6) were so close in overall profit to the 1st original (optimized) system.  It does feel like I'm potentially over-optimizing more variables by trying to improve results by manipulating stops, and that's not a good thing...

In other news, was this really 6 years ago?  LOL
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3 comments:

  1. Kevin DaveyApril 2, 2018 at 11:23 AM

    Ha! That is exactly what I would say! I'd also say to backtest for more than 1 year.

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  2. MBAGearheadApril 2, 2018 at 3:27 PM

    LOL, for some reason Kevin's voice is always in my head when I'm working on systems!

    Sandy, as for why ES? Why not? All markets have their pros/cons. ES and I have had an on again, off again relationship for 11+ years...

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