Exits

Hi Peter,

when using exit types such as a Stop Loss (eg $1250) or Profit Target (eg $625) how does GSB determine (estimate) the outcome of a trade, especially on a 30 minute or larger bar which can have large ranges at times? I'm assuming that GSB does not use decades worth of intra-bar tick data to recreate what would have actually happened, in what sequence per bar and so some form of estimation is expected.

Ultimately I think I want to understand what should be considered when using these types of exits to build systems with GSB.

Many thanks.

Jason

P.S. I ran GSB using a $250 stop loss and Market On Day Close. I exported the trades from one strategy that was created. I noticed that some losing trades lost more than the $250 stop loss (see attached image). Is this supposed to happen like that? I guess this is relevant to the broader question above. Thanks.

Quote: Originally posted by JasonT

Hi Peter, when using exit types such as a Stop Loss (eg $1250) or Profit Target (eg $625) how does GSB determine (estimate) the outcome of a trade, especially on a 30 minute or larger bar which can have large ranges at times? I'm assuming that GSB does not use decades worth of intra-bar tick data to recreate what would have actually happened, in what sequence per bar and so some form of estimation is expected. Ultimately I think I want to understand what should be considered when using these types of exits to build systems with GSB. Many thanks. Jason P.S. I ran GSB using a $250 stop loss and Market On Day Close. I exported the trades from one strategy that was created. I noticed that some losing trades lost more than the $250 stop loss (see attached image). Is this supposed to happen like that? I guess this is relevant to the broader question above. Thanks.

Hi Peter,

thanks for the explanation of the method. Yes I agree that $250 is too tight a stop for ES.

I was running a test to see how GSB handled different stop loss amounts (eg $2000, $1000, $500, $250 etc) and their effect on system performance. In general, as the stop loss got smaller the best equity curves got straighter and smoother. From my experience in testing with Ninjatrader this is a warning sign, as typically tighter stops produce worse performance, which I think is the point you are making.

My personal view is that autotrading with no stop loss in place exposes all of your capital and doesn't protect against large price moves that can happen intraday on some markets. For me its not acceptable to leave such a risk unmanaged. That's the reason for testing the fixed stop amounts.

If a trader's view is that they must use a stop loss, whatever value is selected, then its affect on a system they intend to trade needs to be tested, because it will affect a system's performance. It might improve the performance but it also might render it unprofitable.

Is GSB able to measure Maximum Adverse Excursion?

That might be a way to identify how much risk the system would have been exposed to and how often.

Thanks

Quote: Originally posted by JasonT

Hi Peter, thanks for the explanation of the method. Yes I agree that $250 is too tight a stop for ES. I was running a test to see how GSB handled different stop loss amounts (eg $2000, $1000, $500, $250 etc) and their effect on system performance. In general, as the stop loss got smaller the best equity curves got straighter and smoother. From my experience in testing with Ninjatrader this is a warning sign, as typically tighter stops produce worse performance, which I think is the point you are making. My personal view is that autotrading with no stop loss in place exposes all of your capital and doesn't protect against large price moves that can happen intraday on some markets. For me its not acceptable to leave such a risk unmanaged. That's the reason for testing the fixed stop amounts. If a trader's view is that they must use a stop loss, whatever value is selected, then its affect on a system they intend to trade needs to be tested, because it will affect a system's performance. It might improve the performance but it also might render it unprofitable. Is GSB able to measure Maximum Adverse Excursion? That might be a way to identify how much risk the system would have been exposed to and how often. Thanks

Quote: Originally posted by kelsotrader

I have just found another issue with having a tight stop loss. The current default for max trades per day is blank ie as many as meets the entry parameters. That means that the system can keep entering trades and getting stopped out. I know because I have seen it happen. The answer is to make sure that trades per day are limited. I would suggest that everyone enter 1 into Maximum Trades Per Day to ensure it is limited and not just taken for granted.