Stops and New Markets

Update on the trading research so far:

I’ve managed to computerize the ATR trailing stop and the volatility breakout stop. At first glance, when combined with an arbitrary channel breakout system on the Hang Seng Index, the stops worked wonderfully, producing great Net Profit/Drawdown ratios. However, I’m not sure if that was related to the stops or simply because I was lucky in designing a good breakout system. Hmm.

Other attempts to combine the stops with my existing systems (such as my Donchian Breakout system) proved to be relatively unsuccessful. This is surprising since the Donchian Breakout system is similar to the regular breakout system, with the exception of adding an additional moving average filter. Neuroshell spat back weird results when I tried to include the ATR trailing stop, somehow the charts got squished – there must be some irregularity in the programming. Also, surprisingly, ratios became worse rather than better. Could it be that the stops take profit too early? I’m really confused and I need to refocus – have to find a more systematic way of combining my entry patterns with stops.

Also, I need to find some new markets for my other systems to trade. So far, my most successful system, the SMA_ATR system (which incorporates an ATR band around a simple moving average), is able to robustly and successfully trade the USD/SGD and the HSI. It can also trade T-Notes and EUR/JPY, but there are relatively fewer trades so it is not enough for me to gauge the statistical significance of the systems’ success rate. (they generated 17 and 11 trades respectively over the test period)

My Donchian Breakout system can trade the SGD and T-Notes, (though I cheated in that market by using Neuroshell’s papertrade function – however the parameters yielded great ratios and good number of trades). It can trade the EUR/JPY and the HSI, but also without enough trades for me to gauge the statistical significance of success.

Goals for now:

1) To find a more robust system that can trade at least 3 markets (with good in-sample and out-sample Net Profit/Max Drawdown ratios), preferably in the areas of currencies (except for USD/SGD and EUR/JPY), in commodities such as oil and Loco London Gold, and in the indexes.

2) To combine my existing Donchian system with some kind of stop system, either a) an ATR stop system, b) an ATR trailing stop system, c) a Volatility Breakout stop system, or any combination of the above.

3) To combine the new systems with my existing stops.


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