Rule-Based Trading Systems

[capt_jmj]

gloe - We were Long and our profit target was reached. A Profit Stop is nothing more than a limit order to close a position when the profit target is reached, but how that value is determined is the trick. For our system, it varies dynamically day-by-day as a function of a long baseline standard deviation of price and a shorter term volatility ratio, which allows the Stops to "breath" around a more stable value that tracks the market's trading behavior over the longer time period. As you are probably aware, the market suffers greatly from the "recency" syndrome, and our dynamic, adaptive Stop approach attempts to exploit that.




Kind regards,
-CAPT J

"What would you attempt to do if you knew you could not fail?"

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