Enter/Exit on Retracement

LeviF · Post by **LeviF** » Sun Sep 13, 2009 4:16 pm

Does anyone here trade a LTTF system with entries/exits on retracements?

rgd · Post by **rgd** » Mon Sep 14, 2009 11:04 am

In my program, I trade 3 LTTF systems, of which 1 buys a retracement. However, it has the lowest sharpe ratio as well but it performs well when the others are not.

Adrian77 · Post by **Adrian77** » Thu Oct 08, 2009 3:22 am

I have a few LTTF systems - one based on traditional breakout entries, one on volatility breakouts and one on a retracement. The retracement based system only enters after some evidence of a short term resumption in the main trend, but it certainly doesn't require a new 20 day high to enter. Similar to RGD, I find that the diffferent entries perform well at different times and simulation (and real time trading) produces a smoother equity curve using all systems.

Note: While the different entry signals produce some good diversification value if used with the same exit rules, I have found results are much better by using different stops and exit rules as well as the ddifferent entry.

I have also played around with exits on retracements after the main trend has turned against you...eg. if long and the long term (250day?) moving average turns down, exit on the next 10 day high. This has the obvious risk that there is not a 10 day high if the market drops like a stone, so I abandoned (perhaps prematurely?) the idea based on this issue.