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Tampa, Fl
Posts: 1 since Nov 2012
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I am working on an automated system using TradeStation (Commodities/Indices). The basics of it are using a random number generator (coin toss) for entry direction and a set stop/target to attain a certain probabilistic outcome based on expected value. What I am having trouble with is that in order to get the probability expectation I want the stop gets hit much more frequently. Recent results have been that profit/loss always tends to hover around zero (back and forth between negative/positive) until a series of consecutive winners/losers shows up. Then it will hover around that level until the next set comes. This is good if those consecutive outcomes are positive, but bad when they are negative. I have looked at adjusting tighter targets, but that screws up the probabilities. However, if this gives me a better win/loss ratio, then I supposed that would make the difference.
I tried tossing the randomized direction, but found the results to be similar, if not worse due to "chasing" on my part. I truly believe in the randomization and prefer to use it, but am conflicted as to why I am having such a difficult time translating my system into automation. I must be missing something or viewing something from the wrong perspective.
Any suggestions? Get rid of automated target exits and exit discretionary whenever a decent profit is there? change the stop/target ratio? Have I just not given it enough time to have enough trades executed before the results can develop in the intended manner?
Would like to here what you all have to say.
Thanks,
J.
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