Several recent articles I’ve written explained my techniques for developing and testing trading systems. The trading system we have been working on is a very simple breakout strategy called FirstStrike. The first couple of articles on this subject I used a regime filter and a trend strength filter to help reduce unproductive trading times. Next I wanted to explore a few exit techniques. But before jumping into testing exit techniques, I wanted to show you a simple tool I created to help me test other exits.
The tool is a simple strategy to assist me in testing various stops and targets. My program is not completely unique. It’s actually based off an existing TradeStation strategy, called _Stops&Targets. I’ve taken this program and modified it with several other exit techniques. The code is available for download at the bottom of this article and is called _Stops&TargetsAdvanced. This strategy can be inserted into any chart to help you quickly test various exit techniques.
Below is an image of the _Stops&TargetsAdvanced strategy applied to a chart. You can see this strategy is running in parallel with another strategy called MA Simple. MA Simple is a moving average cross over system that only generates entry signals. All exit signals are generated by the _Stops&TargetsAdvanced strategy.
My code has the same stops and targets available in TradeStation’s original version, but I’ve expanded the capabilities to include the following nine new stops:
Next I will explain the input values for these nine new stops.
The video explains the code and how to use these stops in much more detail. A future modification I would like to add would be to base exit decisions on a different time-frame. Currently all exit decisions are based on the same time-frame in which trades are executed. It’s a common practice to base exit decisions on a higher time-frame.
The code is available below and of course, you can freely change it by adding new stops or modify the existing stops. Please, change to your liking. Please note however, this tool is for backtesting. It has not been designed or tested on live markets. In closing, please leaving your comments below.
Jeff is the founder of System Trader Success - a website and mission to empowering the retail trader with the proper knowledge and tools to become a profitable trader the world of quantitative/automated trading.