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Tight Stops can give false comfort
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Tight Stops can give false comfort

  #111 (permalink)
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Big Mike View Post
Thanks for sharing, but I'm having a hard time following. Perhaps you can list three or four example trades including the stop loss and profit target for each, and at what point you move to breakeven.

I guess I tend to think in terms of what I call "efficiency", which is how much of the MFE I closed on the trade. If MFE is 100 ticks, and I exited the trade at 50 ticks, that is 50% efficiency. So I have a hard time understanding what you've posted because it is missing pieces of the puzzle.

Mike

Big Mike,

I might explained it more complicated than it really is and it would probably be easier to understand if I say that accuracy = success-rate.

Example: I got a signal to enter long on usdchf @ .7900. According to the graph in the previous post, it would make sense to only move the position into BE after 60 pips at .7960, since that shows highest profitability. Then there is only two possible outcomes; it either hit my TP based on average range (blue line) or trigger my stop @ .7960.

Hope it was easier to understand.

"We may not be able to control the wind, but we can always adjust our sails"
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  #112 (permalink)
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aediaz1 View Post
Big Mike,

I might explained it more complicated than it really is and it would probably be easier to understand if I say that accuracy = success-rate.

Example: I got a signal to enter long on usdchf @ .7900. According to the graph in the previous post, it would make sense to only move the position into BE after 60 pips at .7960, since that shows highest profitability. Then there is only two possible outcomes; it either hit my TP based on average range (blue line) or trigger my stop @ .7960.

Hope it was easier to understand.

Yes, but the graph was missing important pieces of the puzzle (as far as I could tell anyway), such as stop and target size for each trade, and the MAE and MFE for each trade.

Mike

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  #113 (permalink)
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Big Mike View Post
Yes, but the graph was missing important pieces of the puzzle (as far as I could tell anyway), such as stop and target size for each trade, and the MAE and MFE for each trade.

Mike

I realized just now, despite your first post, that I didn't include TP and SL and my first post. SL = 50 pips and TP = 110 pips.

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  #114 (permalink)
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Hi aediaz1,
I have also done extensive testing on BE stops and have found results similar to what you describe. I was surprised that the threshold for moving the stop to BE was so high. It isn't that intuitive at first glance. Mike's question about MAE/MFE is an interesting one. I only looked at those figures in a macro context to give me some parameters for testing. It would be interesting to see what relationship might present itself for a set of test parameters.

I did most of my testing on EUR/USD (6E) and had similar SL/PT ranges. I think my most efficient setting was SL 35ticks and PT 170ticks. It was further optimized with a second, single stop move to 35 ticks when position profit hit somewhere between 80 and 120ticks. (It has been a while since I was working with this trade model and don't remember the specifics.) Of course the entry component of the model has an effect, but that is a whole different conversation

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  #115 (permalink)
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billr View Post
Hi aediaz1,
I have also done extensive testing on BE stops and have found results similar to what you describe. I was surprised that the threshold for moving the stop to BE was so high. It isn't that intuitive at first glance. Mike's question about MAE/MFE is an interesting one. I only looked at those figures in a macro context to give me some parameters for testing. It would be interesting to see what relationship might present itself for a set of test parameters.

I did most of my testing on EUR/USD (6E) and had similar SL/PT ranges. I think my most efficient setting was SL 35ticks and PT 170ticks. It was further optimized with a second, single stop move to 35 ticks when position profit hit somewhere between 80 and 120ticks. (It has been a while since I was working with this trade model and don't remember the specifics.) Of course the entry component of the model has an effect, but that is a whole different conversation

Hi Billr. I had the same feeling when I discovered this research some years ago. Back then I used 20-30 pips trailing stop which was devastating for my results. I think the main reason people want to use such a small trailing stop is to reduce the mental stress. At least, that was probably my reason.

"We may not be able to control the wind, but we can always adjust our sails"
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