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New Exits

admin - 21-1-2019 at 12:51 AM

Found some simple new exits today.
This is shown on my benchmark gsbsys2.1es with no stops at all.
Hope to add to GSB soon

Code:

if currentcontracts > 0 then beginIf  decision =-1  and sfDecision <1 then sell {short} ("sx**") this bar on close;

if decision =1  and  sfDecision>-1  then buy to cover ("lx**") this bar on close;
end;

For long, If secondary filter is no longer a buy, and the oscilators are a sell then exit long.

admin - 23-1-2019 at 01:55 AM

coming in build 50.89 in the next few days in the beta forum

coccigelus - 23-1-2019 at 02:27 AM

That is a very notable improvement! Would be included the setting to remove the filter in the exit as well?

admin - 23-1-2019 at 03:21 PM

Quote: Originally posted by coccigelus

That is a very notable improvement! Would be included the setting to remove the filter in the exit as well?

We talked at length on this, and i dont remember all the details of what you wanted.
All the options can be enabled or disabled.
But we still have the option to go from long trade, to short if indicators and sf say go short. This tends to almost never happen day trading.
Is this ok to you?
Reversal could also be stopped by limiting trades per day to 1

admin - 23-1-2019 at 05:59 PM

Here is the results of the exits
es 30 minute, verify on 25 and 35
build from 1.1.2000 to 6.30.2015
results shown are out of sample to dec 11 2018
In summary exit 2 and exit 5 work well.
Significant increase in performance metrics, and decrease in drawdown.
Note verification is still helping. All metrics improved at the mild cost of number of trades.
But verification helped less. This is a good thing that I think is due to more effective exits.
What surprises me is new exits gave less trades, not more trades.

admin - 24-1-2019 at 07:30 PM

This is with the new exits. 50.80 version. Very aggressive exit number 6. There is no stop. This is just a system pulled at random.
Note the tiny losses. Such an aggressive stop will reduce overall pl I would expect.
System degrades a lot when the stop is removed

admin - 26-1-2019 at 12:12 AM

Note the new exits. They work well but using them all works badly, plus is much slower to build systems.

engtraderfx - 28-1-2019 at 11:09 PM

I tried using the next exits, for clarity, the above suggests exit 2 & 5 worked well (2=IRevSFFlat & 5=IFlatSFFlat), the numbering seems to have changed in final release, is that equivalent to final exits 2 (IRevAndSFFlatRev) & 1 (IFlatRevAndSFFlatRev)?

Seeing variable results so far, some systems only see a few exits using these options which indicates limited improvement but some have a lot of exits. Was wary of curve fitting by adding more variables to simple MOC exit, are we relying on WF to sort this out?

admin - 28-1-2019 at 11:25 PM

Quote: Originally posted by engtraderfx

I tried using the next exits, for clarity, the above suggests exit 2 & 5 worked well (2=IRevSFFlat & 5=IFlatSFFlat), the numbering seems to have changed in final release, is that equivalent to final exits 2 (IRevAndSFFlatRev) & 1 (IFlatRevAndSFFlatRev)?

Seeing variable results so far, some systems only see a few exits using these options which indicates limited improvement but some have a lot of exits. Was wary of curve fitting by adding more variables to simple MOC exit, are we relying on WF to sort this out?

51.x vs 50.89.

exit 2 is same as exit 5

exit 3 as exit 2

exit 5 similar but not the same as exit3,

others all different

IM not too worried about curve fit. The indicator result and or the secondary filter are both valid points entry and exit.
Things like exit2 where SF and indicators both are flat or reverse - seem common sense for a valid exit.

engtraderfx - 9-2-2019 at 12:34 AM

Hi Peter, I am seeing systems with exit no's higher eg 12 or 13? I thought I had searched with 'none' only enabled. Doesn't seem to do anything tho.

admin - 10-2-2019 at 03:48 PM

Quote: Originally posted by engtraderfx

Hi Peter, I am seeing systems with exit no's higher eg 12 or 13? I thought I had searched with 'none' only enabled. Doesn't seem to do anything tho.

I dont know where you got that screen shot from, or the number.
Can you show the settings like I have in my screen shot.

admin - 10-2-2019 at 03:48 PM

Quote: Originally posted by engtraderfx

Hi Peter, I am seeing systems with exit no's higher eg 12 or 13? I thought I had searched with 'none' only enabled. Doesn't seem to do anything tho.

I dont know where you got that screen shot from, or the number.
Can you show the settings like I have in my screen shot.