Saturday, December 20, 2008

More on the 3 Finger Reverse

These are the results with pyramiding turned on for the 3 finger reverse. The system now returns over 2x the net profit, but the max consecutive winners/loser ratio has become pretty dismal (for me) and the max drawdown is similarly impacted because (this is a test) . . . we now have multiple positions exposed and the % drawdown is magnified by the number of those open positions.
As I mentioned in the original 3 finger lead post, it may be better to scale into these trades in lieu of the pyramiding function. Simply doubling the position size in the 3 finger reverse will generate almost as much net profit as the pyramid version, but with much better max winner/losers and greatly reduced max drawdown.

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