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PostPosted: Wed Aug 31, 2011 11:12 pm 
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Joined: Wed Aug 24, 2011 7:11 pm
Posts: 42
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.


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