Regarding your five day OS long, are you saying you eventually hedge after 5 days both short and long if the market continues to go down?
I do not hedge after 5 days, I just hold my nose and follow the market down with my 200% long position. I tried out some strategies where I just bail out into cash if the loss exceeds 10% (as an example), but none of these strategies panned out.
If a 9/11 type event happened, that is the only time I would do a manual override on the model. Maybe the Asian Flu thing in 1998 too. My model took quite a beating back then.
<<Does it work the same for OB?>> I do not use this methodology for OB situations because it does not work shorting in Bull markets, although it works pretty well in Bear markets. Oddly, the long method works pretty well in both Bull and Bear markets, but I need to use deeper OS levels for the Bear of course.
<<Is there ever a time you would not have gotten out break even?>>
It fails every now and then, although the strategy is currently on a hot streak, I haven't had an unprofitable scalp since last January. It is really really overdue for a failure or 5. Since I am of the opinion that none of these type models can get it right every time, I suspect that the market will soon go through a phase where I get whacked a number of times.
Keep in mind that I do not "Double Down" per se. The baseline long entries are 75% - 125% - 150% - 180% and 200%. But I use several multipliers that can significantly alter those baseline entries.
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