Panic and Retracement Implementation

I have now implemented the panic and retracement strategy – called PANIC1 for now. It looks like this strategy can be used in two ways. 1)    The original design of this strategy, i.e., a large sudden move in the order of several standard deviations, with the expected retracement afterwards. This of course does not happen […]

Standard Deviation and Z-score

Today I did a bit of work on the Panic Recovery strategies mentioned earlier. I wanted the strategy to support analysis of changes in the price by using standard deviations … so I had to do a bit of a refresher on standard deviations. So the standard deviation is easily explained here: http://www.mathsisfun.com/data/standard-deviation.html But how […]

Strategy Idea: Panic and Recovery

How about this for a strategy. Panic Recovery 1: If there is a sudden spike in the market, assume there will be a retracement. Open position if the price moves a lot (standard deviations or pips based off range of previous n bars)… Once we have a close that closes lower than the open of […]

Research continues

The past few days I’ve been doing more reading and research for interesting techniques and strategy ideas. 1)    One important thing I’ve learned is that risk dictates either the position size or stop loss. So if the acceptable loss/risk amount chosen relative to the account balance of $7000 is 1%, that’s $70. –       If I […]

There is no perfect strategy

Staring at the backtesting charts, and optimizing using my gradient checker, I can easily reduce the number of loss trades (and profit trades) during sideways market periods. However, the discovery of the slowly trending in the non-volatile market mentioned in the previous log entry has bothered me a bit. There is a long trend right […]

Preventing Whipsaw – Using a longer moving average?

Can we possibly utilize a third, much longer time frame MA to prevent whipsaw and loss trades? Possible ideas are Only trade in the direction of the trend indicated by the longer MA If the longer MA has a flat gradient, we are in a sideways market so avoid trading. Add envelopes to possibly switch […]

Optimizing – Lot sizes and Margin Call

Today I updated the strategy such that it is possible to check the slow MA and fast MA gradients for a certain angle. I ran these through the optimizer and of course can find combinations of inputs that make money. However, it seems that the safest strategies are the ones that result in a very […]

Limiting losses during spikes – must use Stop Orders

Something I noticed today while investigating loss trades in my backtesting results. Suppose our strategy will automatically close out the position if on some condition, say either we have lost a certain amount of pips, or some lines cross signaling an exit. However, the strategies logic is only executed per update of the instrument. Let’s […]