So I spent the night having nightmares about uncontrollable draw down which can happen when you write a code with no stops. I like trading with no stops and just exiting on an indicator condition or two but it is always good to know what your risk is.
So as this strategy only exits a trade if the close is greater than the last high I decided to see what was the average was and the longest run of candles was without this condition being met on the DJI daily.
So I wrote this simple indicator:
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IF close < high[1] then count = count + 1 endif If close > high[1] then Total = total + count totalcount = totalcount + 1 count = 0 endif Biggest = Max(count, Biggest) Ave = Total/Totalcount return count as "Count", Biggest as "Biggest", Ave as "Average" |
and the results were this:
So the average number of days without a close greater than the last close is 3.007 so that is pretty good but the longest run is 34 days and that is a long time to be watching the market fail to close higher. So maybe I need to test the strategy by adding a condition to sell if the run of candles without a new high is a certain amount over the average and see how that affects things.
I also have an idea regarding position sizing that I want to try out.
Plenty more testing and analysis yet to do…..
Hopefully someone out there is enjoying this journey of testing and analysing this strategy – please feel free to jump in with any ideas, developments or test results!
