SmartQuant Discussion

What I've learned may be of use to you guys. I took a marginal strategy that I'd developed and added the following money management:

• On entry via market order, place bracket OCA order (Stop/Limit) with stop below recent low (5 bar minimum) and limit at a set distance, call it TakeProfit1
• If TakeProfit1 is filled, stop (OCA) is cancelled. Enter a new stop order at breakeven.
• Finally use a trailing indicator such as Parabolic SAR to move the breakeven stop on bar close to the previous bar's value. Continue until filled.

Optimization parameters included TakeProfit1 distance and the P-SAR acceleration parameter. I found that a close take-profit and high acceleration gave the best results. By optimizing the exit rules and not the entry (e.g. indicator parameters for entry) I found the resulting strategy to be less curve fitted and more reliable across asset classes.