I've been going over what is to be learned from the different results from SnowRoller (SR) and SR_Classic.
SR_Classic logic: (outline)
Current SnowRoller (SR) logic: (outline)
This last item has the effect of a negative equity pop, aka an equity poop. This creates a negative equity drag that is hard to overcome. If we could design the strategy in reverse to take advantage of equity poops there would be a strong upward pull on equity/balance over time. The drawback is the assumption of ASSYMETRICAL RISK. <-- no small thing.
Current SR continued
SR_Classic logic: (outline)
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Determine global trend for a particular symbol. Close(50) - Close(100) on 5 min bars = 250min - 500 min, approx 4 hr - 8hr. Allow taking trades only in the direction of the global trend. Add up trades every buysellstep (5) pips up or down and allow overlapping positions Take off trades the same way when the "trend" shifts from up to down and we are long (for instance) Use CloseThis to bank a large move in single symbol equity Use CloseAll to bank a moderate move in global system equity
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Set start point - arbitrarily start with a buy or sell based on last up/down move only take buys above the highest position + buysellstep pips (5) only take sells below the lowest position - buysellstep pips (5) If position is LONG and price goes below the lowest buy by reversallevel # of pips, close all longs.
Current SR continued
Inserted Code
CloseAll and CloseThis as in SR_Classic but with percent instead of $$$ Uses a per-position stop that bleeds the account Exit Worst is not a good idea as this also bleeds the account
