Dear All,

I have repeatedly encountered a problem when I backtesting an trade-entry method. In the method, I have a fixed stop loss of -1R. I see the maximum possible profit on the chart for each setup; sometimes, it is +1R, +3R, +20R and so on. The problem is that these positive value is the maximum possible values, what I really want is the expected value if I use trailling stopping.

I have attached a figure to illustrate the problem. In the figure, you can see once the buy (long) position is entered, the position went up with retracements, and achieve a maximum profit of +10R. As you can see, the best possible profit of this position is +10R, but this is not guaranteed. Normally, less than +10R is earned in this case. Should I say the expected profit is +5R in this case???

My backtesting is manual, and I don't want to go down to each case to check. Is there a mathematically approximated solution for this?

cheers,

kk

I have repeatedly encountered a problem when I backtesting an trade-entry method. In the method, I have a fixed stop loss of -1R. I see the maximum possible profit on the chart for each setup; sometimes, it is +1R, +3R, +20R and so on. The problem is that these positive value is the maximum possible values, what I really want is the expected value if I use trailling stopping.

I have attached a figure to illustrate the problem. In the figure, you can see once the buy (long) position is entered, the position went up with retracements, and achieve a maximum profit of +10R. As you can see, the best possible profit of this position is +10R, but this is not guaranteed. Normally, less than +10R is earned in this case. Should I say the expected profit is +5R in this case???

My backtesting is manual, and I don't want to go down to each case to check. Is there a mathematically approximated solution for this?

cheers,

kk

Attached Image