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Old 04-10-2012, 09:50 PM   #1

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Adaptive Stops / Pivot Stops for My Automated System

Hello All,

I am trying to improve the results of my automated system that I have been trading now for over a year with great success. I would like to improve upon the stops because they are static and do not change with the market. As of now, I manually move the stops once the trend starts to move in the systems favor. I have tried simple percentage trailing stops which flat out do not work. If anyone has other suggestions I would appreciate your input and, or example of Easy Language code. I am looking for some type of pivot stop that will move up once a new closing high has been made.




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Old 04-11-2012, 06:19 AM   #2

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Re: Adaptive Stops / Pivot Stops for My Automated System

Your equity curve sucks. I would definitely keep playing with the stops and, generally, keep tweaking it until you can get the curve to have an undefined slope.

Why deal with reality when fantasy is so much more fun? Go for it! Settle for nothing less than vertical.
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Old 04-11-2012, 07:03 AM   #3

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Re: Adaptive Stops / Pivot Stops for My Automated System

Optimised Fixed Dollar
MAE Derived
Standard Deviation-based fixed/trailing
ATR/Simple Range-based fixed/trailing
EL 'Volatility'-based fixed/trailing
Parabolic
Moving Average
'Chandelier' Hanging Stop
Donchian N-period high/low Channel

Or for something truly adaptive:

Sell longs when a 2-period RSI crosses above 75 and cover shorts when it falls below 25.

Hope that gives you plenty to think about.

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Old 04-17-2012, 12:03 AM   #4

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Re: Adaptive Stops / Pivot Stops for My Automated System

Quote:
Originally Posted by MightyMouse »
Your equity curve sucks. I would definitely keep playing with the stops and, generally, keep tweaking it until you can get the curve to have an undefined slope.

Why deal with reality when fantasy is so much more fun? Go for it! Settle for nothing less than vertical.
LOL @ MM...just found this thread and was laughing at Mighty Mouse....What an equity curve....what a comment.

If you had an equity curve like that you wouldn't be posting on a forum, you'd be too busy surfing and golfing!!! LOL!

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Old 04-17-2012, 03:24 PM   #5

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Re: Adaptive Stops / Pivot Stops for My Automated System

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....What an equity curve....what a comment.
I think you should blame the one who is still looking to improve that curve
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Old 04-30-2012, 09:26 PM   #6

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Re: Adaptive Stops / Pivot Stops for My Automated System

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Originally Posted by dkc12345 »
Hello All,

I am trying to improve the results of my automated system that I have been trading now for over a year with great success. I would like to improve upon the stops because they are static and do not change with the market. As of now, I manually move the stops once the trend starts to move in the systems favor. I have tried simple percentage trailing stops which flat out do not work. If anyone has other suggestions I would appreciate your input and, or example of Easy Language code. I am looking for some type of pivot stop that will move up once a new closing high has been made.
Looks great! Stops can be tricky. I have often found trailing or ATR stops simply do not work. A hard stop based on a fixed dollar amount may work. Timed stops are also worth trying. Here are some articles that you might find interesting. EasyLanguage code is available as well.

What's Wrong with ATR Stops?
This article talks about how ATR stops may not works well because ATR values can vary greatly often causing huge losses. The author then proposes using the square root of the ATR value to generate a compressed stop value that may perform better.

A Flexible Trailing Stop Function
This is a rather complex function/indicator you can add to test various stops on your system.
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Old 05-01-2012, 10:46 AM   #7

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Re: Adaptive Stops / Pivot Stops for My Automated System

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Originally Posted by jswanson »
Looks great! Stops can be tricky. I have often found trailing or ATR stops simply do not work. A hard stop based on a fixed dollar amount may work. Timed stops are also worth trying. Here are some articles that you might find interesting. EasyLanguage code is available as well.

What's Wrong with ATR Stops?
This article talks about how ATR stops may not works well because ATR values can vary greatly often causing huge losses. The author then proposes using the square root of the ATR value to generate a compressed stop value that may perform better.

A Flexible Trailing Stop Function
This is a rather complex function/indicator you can add to test various stops on your system.
That's two posts from you today and, as usual, my day just got a whole lot more interesting!

Incidentally, one of the better volatility stops I have tested was derived from code created by Michael Bryant in a Breakout Futures article, although I think he intended the function to be used for an entirely different purpose. Nevertheless, I agree that volatility stops can be tricky, and that trailing stops are seldom beneficial.

Thanks again,

BlueHorseshoe
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Old 05-02-2012, 09:15 AM   #8

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Re: Adaptive Stops / Pivot Stops for My Automated System

@Bluehorsehoe Can you tell me which issue of Bryant's you are referring to please, as I have them all saved.
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