Hi guys.
I have several strategies that worked in the past on futures, over a long haul (1997 to present).
They try to guess the intraday direction and generally buy/sell in the morning, to exit at end of day.
My problem is I can't code any other good exit rule that would make my strategies actually tradeable:
-with a stop-loss (which would be desirable, because some days you actually lose a lot), of course the winning % goes down a lot, and the system becomes unprofitable. Yeah you don't lose $3000 that day but $500, but at the same time, many other days when you lost $600 during the day but ended up winning 300, you still lose 500. You know what I'm talking about.
-with a trailing stop, it doesn't get any better than the fixed stop-loss
-balancing the stop-loss with a target profit also doesn't work. The system becomes profitable again, but profits vs drawdown is a lot worse than in the original system.
This said, I would really like to introduce some more advanced exit strategy to limit the risk, if any of you has suggestions.
I have several strategies that worked in the past on futures, over a long haul (1997 to present).
They try to guess the intraday direction and generally buy/sell in the morning, to exit at end of day.
My problem is I can't code any other good exit rule that would make my strategies actually tradeable:
-with a stop-loss (which would be desirable, because some days you actually lose a lot), of course the winning % goes down a lot, and the system becomes unprofitable. Yeah you don't lose $3000 that day but $500, but at the same time, many other days when you lost $600 during the day but ended up winning 300, you still lose 500. You know what I'm talking about.
-with a trailing stop, it doesn't get any better than the fixed stop-loss
-balancing the stop-loss with a target profit also doesn't work. The system becomes profitable again, but profits vs drawdown is a lot worse than in the original system.
This said, I would really like to introduce some more advanced exit strategy to limit the risk, if any of you has suggestions.
