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The MSES makes use of a fixed stop and profit target that do not change their placements during a trade. Originally, the parameters for the placement of these stops were somewhat arbitrxy and certainly not optimal. What happens when these parameters are stepped through a range of values in search of an optimal combination In this test, the money management stop parameter is stepped from 0.5 to 3.5 in increments of 0.5. The profit target limit parameter is also stepped from 0.5 to 5 in increments of 0.5. The profit target parameter is simply the multiple of the average true range used in placing the profit target limit. Likewise, the money management stop parameter is the multiple of the average true range used for placing the money management stop.
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The code implements the standard random entry at the open and the modified standard exit strategy. The rules for the exit are as follows: A limit order exit is placed a certain number of true range units above (long) or below (short) the entry price. The number of true range units that the limit order is placed away from
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the entry price is specified by the parameter ptlim. Besides the profit target limit, an exit stop is placed a specified number of average true range units below (long) or above (short) the entry price. The parameter mmsrp determines the number of true range units that the stop is placed away from the entry price. Finally, maxhold is a parameter that specifies the maximum time any position is held. If they were not closed out ,earlier by the profit target limit or money management stop, all trades will be closed out with an exit at the close after maxhold days or bars have elapsed since entry. In the test, maxhold is fixed at a value of 10, the same value used throughout the tests in this book. Table 14-l shows the annualized risk-to-reward ratio (ARRR), the percentage of winning trades (WIN%), and the average trade profit or loss (AVTR), for every combination of money management stop and profit target limit parameter settings. At the right of the table, the AVG or average values (average taken over all money management stop parameters) for all the performance figures are presented for each profit target limit parameter value. At the bottom of the table, the AVG or averages (taken over all profit target limit parameters) for each of the money management stops are shown. A number of things are immediately apparent in the results. As the profit target limit got tighter, the percentage of winning trades increased; this was expected. A tight profit target has a greater chance of being hit and of pulling a small profit out of the market. However, the increased percentage of winning trades with tighter profit targets was not sufficient to overcome the effects of cutting profits short on trades that had the potential to yield greater profits. Looser profit targets performed better than tight ones. For most of the profit target limits, there was an optimal placement for the money management stop, between a value of 1.0 and 2.0 average true range units away from the entry price. As the stop got looser, the percentage of winning trades increased, but the other performance figures worsened. As it got tighter, the percentage of winning trades declined along with the other measures of performance. The overall optimal performance, in terms of both annualized risk-to-reward ratio and average trade, was with a profit target limit of 4.5 and a money management stop of 1.5. As deviation from the optimal combination occurred, the annualized risk-to-reward ratio increased, as did the average loss per trade. There was relatively little interaction between placement of the profit target and the money management stop. The values that were optimal for one varied only slightly as the parameter controlling the other was adjusted. Another almost equally good combination of parameters was 1.5 and 4 (profit target and stop, respectively). This provided a very slightly better average trade and a trivially worse annualized riskto-reward ratio. It is interesting that the arbitrarily assigned values came fairly close to the optimal values, appearing only one cell away from the optimal cells in Table 14-l. The optimal values, however, provided 6% more winning trades than the arbitrary values of 4 (profit target) and 1 (stop).
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