After some sleep and playing out some of yesterday's trades, one item jumped out:
If you are using your exits as a place to also initiate a new position (as I am) the math can get even more sketchy.
Example - if short a full 3/3 and you get a reversal signal and get ticked in at ONE level, you stay short, but only for 1/3 of your contracts.
Let's say you are short at 1520, 1519.75 and 1519.50. A full 1/3 at each level.
You then take a reversal long at 1518.00. Only one level gets filled, but since this is a reversal long, your order should be resting for 2/3 of your contracts (you would need to have your orders lined up for 2/3 at each level). So you would stay short, but for only 1/3, which kind of defeats the purpose.
From what I can see now, this seems like a very viable strategy if you do not flatten and reverse a position at a new entry level. Just depends on how you trade really.
Looks like it's back to the simple method here.
Just when I thought I might have found a way to complicate things.
