more musings...
trying to prove that exit is indeed more important that entry..
did a bit of Dow research on data from 1998 to late 2004.
trading EOD to EOD only,
toss a coin/flip the cat/count grandma's teeth etc to go long or short. as long as you have a 50/50 theoretical bias.
go long or short accordingly.
exit all long entries after 2 consecutive up days.
exit all short entries after 2 consecutive down days.
i have been hitting F9 on the attached spreadsheet and i am yet to come accross an equity curve that doesnt slope upwards.
of course it isnt tradeable, and the drawdowns are horrendous.
BUT, if we didnt have exit rules, the curve over a reasonable length of time should come to approximately zero less commissions..
the various runs i have come up with all seem to have a profit factor of 1.4 or so, a win rate of approx 6570%, and an average win/average loss ratio of approx 75% (not so good)
there are better exit strategies out there, of course. but it does show that exit is more important than entry.
now the question is how to find the best exit strategy....
FC
trying to prove that exit is indeed more important that entry..
did a bit of Dow research on data from 1998 to late 2004.
trading EOD to EOD only,
toss a coin/flip the cat/count grandma's teeth etc to go long or short. as long as you have a 50/50 theoretical bias.
go long or short accordingly.
exit all long entries after 2 consecutive up days.
exit all short entries after 2 consecutive down days.
i have been hitting F9 on the attached spreadsheet and i am yet to come accross an equity curve that doesnt slope upwards.
of course it isnt tradeable, and the drawdowns are horrendous.
BUT, if we didnt have exit rules, the curve over a reasonable length of time should come to approximately zero less commissions..
the various runs i have come up with all seem to have a profit factor of 1.4 or so, a win rate of approx 6570%, and an average win/average loss ratio of approx 75% (not so good)
there are better exit strategies out there, of course. but it does show that exit is more important than entry.
now the question is how to find the best exit strategy....
FC
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