Cumulative Frequency of winning trades, 65sma-3cc system

2000 3000 Maximum profit ($)

>5000

 

Figure 4.11 Cumulative frequency of maximum favorable excursion of 65sma-3cc system. Note that horizontal scale is not linear.

money management stop, there were several trades with losses greater than -$3,000. We can try to clean this up by placing a stop at $1,000, as shown by the MAE plot. The detailed analysis showed several profitable trades that were closed out at a loss. We would like to minimize such trades. There were about 4 percent truly huge trades with profits in ex­cess of $5,000. We must find an exit strategy that does not miss out on such mega-profits.