Adaptive Stops / Pivot Stops for My Automated System

[dkc12345 10]

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.

 

 

 

[MightyMouse 12]

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.

[BlueHorseshoe 10]

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.

 

Bluehorseshoe

[Xiao si 10]

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!

 

CanOz

[Obsidian 10]

....What an equity curve....what a comment.

 

I think you should blame the one who is still looking to improve that curve

[jswanson 10]

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.

[BlueHorseshoe 10]

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

[Adrian 10]

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

[jswanson 10]

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

 

Glad you enjoy the articles, BlueHorseshoe.

 

It is strange, at least I think so, that often volatility stops and trailing stops often don't work. They seems so elegant and logical as they advance with the market and/or adjust with volatility. Yet, they are not always feasible in the real world. The point of course, is to test and test some more.

[karoshiman 10]

 

...

 

It is strange, at least I think so, that often volatility stops and trailing stops often don't work. They seems so elegant and logical as they advance with the market and/or adjust with volatility. Yet, they are not always feasible in the real world. The point of course, is to test and test some more.

 

 

 

Well, actually it makes a lot of sense why they do not work consistently. Any volatility measure used just describes the past volatility. As with any indicator describing the past these have no predictive value.

 

Maybe it's a better idea to use implied volatility from the options market. Would be interesting to see whether such system works better...

[BlueHorseshoe 10]

Well, actually it makes a lot of sense why they do not work consistently. Any volatility measure used just describes the past volatility. As with any indicator describing the past these have no predictive value.

 

Maybe it's a better idea to use implied volatility from the options market. Would be interesting to see whether such system works better...

 

This idea has occurred to me before, but I don't understand options well enough to begin testing it. I'd also wondered abut the VIX . . .

[karoshiman 10]

This idea has occurred to me before, but I don't understand options well enough to begin testing it. I'd also wondered abut the VIX . . .

 

 

That's a good idea with the VIX and it should be pretty simple to analyze.

[jswanson 10]

Here is another idea in regards to stops. It's called a Noise Tolerant Stop . The author of the article stats the stop requires no optimization. if You visit the link you will find a complete description as well as EasyLanguage code you can download. Probably worth testing.

 

Here is the link: Noise Tolerant Stop