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Strategies & Market Trends : Systems, Strategies and Resources for Trading Futures

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To: Patrick Slevin who wrote (765)	5/15/1998 8:36:00 AM
From: Allan Harris	Read Replies (2) of 44573

Patrick, You raise some interesting and valid points. What happened yesterday, closing 10 points or off our intraday trading high and within 3 points of the intraday trading low, stings. But in our real time, real money, trading of the model, we have found that MOC exit strategies are just as likely to close near the intraday profit highs as the profit lows. As for stops, we have done extensive statistical testing of every conceivable stop strategy and concluded that the absolute best stop is no stop at all. But this is just not a practical policy, so we use a relatively wide stop, that gets hit on occasion, but keeps us in most of the trades through the MOC exits. One strategy that seems to work well is to move the stop up to breakeven or a small profit once a minimum profit threshold is achieved. While this works nicely on days like yesterday, we tested it back to the beginning of our neural net signals (July, 1996) and discovered that overall performance of the system was inferior to our MOC exits. It is easy to look back and say what one should have done, much more difficult to look ahead and decide, "What do I do now?" Allan

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