Instead of price stops, use time stops and proper position sizing

Instead of price stops, use time stops and proper position sizing options.
Price stops will, as research shows, destroy a good strategy, simply due to randomness in volatility.
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  • Votes +1
  • Project StrategyQuant X
  • Type Feature
  • Status Refused
  • Priority Normal

History

b
#1

gin

17.08.2020 12:41

Task created

m
#2

mabi

19.08.2020 03:36
Voted for this task.
m
#3

mabi

19.08.2020 03:41
Think i asked for this some years ago. But then figured we have exit after x bars. However i think this is can be very good because it can catch short time momentum and other types of thrust in the market that normally reverses and enable SQx to find other types of strategies. Alternatively maybe being able to select exit on another timeframe could be a more useful feature using both exit after x bars and indicators. :)
h
#4

hankeys

19.08.2020 07:03
for now you can write this custom block for yourself, i think that this logic is simple


problem we have is that, there is no distinction between entry and exit signals - if you want to use some logic only for exits, you need to create template and use custom group, and by this way, the simplicity of custom blocks is gone

MF
#5

Mark Fric

11.09.2020 12:34

Status changed from New to Waiting for information

there is Exit after X bars, this isn't enough?


Making it time based and not bar based is more difficult to accurately backtest.

h
#6

hankeys

11.09.2020 12:53
i think the problem is simple - we can for example use EXIT at END of DAY, but we can do only 1 thing - we can set only 1 exact value - we dont have nothing like building block EXIT DAY, where we can set for example start/stop/step to let the SQX choose the time for us


so for me the best solution is to turn the trading options to building blocks and let user decide if he wants to use it and how - this function i proposed many times ago

MF
#7

Mark Fric

27.10.2020 13:39

Status changed from Waiting for information to Refused

Exit after X bars is this kind of stop.


Turning trading options to building blocks is possible, but it will be quite complicated. I'm not sure f being able to choose the value of exit at end of day randomly will bring anything good.


You are already able to optimize trading options including exit time, it is just not as a building block.


Votes: +1

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