Thursday, August 27, 2009

Happy Trails Stop Fx

This is a follow-up to Monday's post on the Qs Happy Trails system and the use of the TradeStation "breakeven stop floor" (BSF).
Monday's system parameters set the BSF at $4, which admittedly seems unrealistically tight at first glance.
The spreadsheet above identifies all the metrics of using a $ 4-20 BSF range and demonstrates the types of tradeoffs between total risk exposure and net system returns that can be realized by incrementally pumping up the BSF.
Ultimately, a BSF of 5 yields the optimum net profit.
When I backtest these systems I test in increments of 2, so the setting of 4 posted with Monday's results reflects the advantage of using 4 in lieu of 6, as 5 was not considered as part of the backtest.

No comments: