This means orders will often not get filled even though lower ranked stocks may have Place orders for the top ranked stocks such that if they all get filled will be 100% invested.Rank stocks from high to low using 100 day Historical Volatility.21-day moving average of dollar-volume greater than $10 million.Close less than the 5-day moving average.Close greater than 100-day moving average.I will have to make minor changes to test it. I will be adding stops to one of the most popular posts, Simple Ideas for a Mean Reversion Strategy with Good Results. Does not using maximum loss stops on a mean reversion strategy still produce the best results in terms of Compounded Annual Growth or Maximum Draw Down? The Strategy But it has been 10 years since that original stop research. I trade two stock mean reversion strategies with no stops. From that point on we traded our mean reversion strategies with no stops. We could not believe it but tests on other mean reversion strategies showed the same thing. I which point I decided to completely remove stops and this gave the best results. A general pattern emerged that the larger the stop the better the results. I then got curious and tested larger and larger stops all the to a 50% stop, which at the level really is not a stop. I ran the test and noticed that higher stops had better results. We tried 5%, 7.5% and 10% maximum loss stops. Well, does one?Įarly in my time while working with Larry Connors, he had me do a test on a mean reversion strategy and of course he said put stops in. But do you know how they change your strategy results? Are they improving your results by giving you higher CAR or lower maximum drawdown? Recently I was speaking with a reader about this topic and he insisted that it you had to have stops to trade. “You must use stops.” And most of us use them. Maximum Loss Stops: Do you really need them?
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