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I spent quite some time on this system now and found some interesting points.
When Autostoploss is TRUE the system uses the spread calulation of the count bars to move the stop dynamic. In theory and least most of my test a dynamic stop should perform better then fix hard stops. This is becuase the stop should be a function of the volatilty in the market. The wilder the swings the bigger stop required. It stands to reason therefore you can NOT have a fixed 20 pip hard stop in volatile conditions. It will be hit every time.
Therefore i programmed the auto stop to include what i call stop bias and use the optimiser to find the best values and found a significant increase in performance by adjusting the control of the AutoStop feature.
Also i noted the Values period count and Value period count max plays a major part in system effectiveness. This value should be optimised between 1 and 30. Low values work better ie 3 to 7.
When a StopLoss values is either then 0 it will overide automatic stops and is less effective but its value can be controlled by the StopLoss Index.
The bad news is this system really suffers on both demo forward and demo testing the last few weeks. After much research the reason is becuse the daily ATR of euro is the worst or lowest its been since 2002!! Thats why live testing recently is showing flat/lossy performance while backtest earlier shows signicant gains. When volatitly dries up the system is unable to get the pull backs required to capture past the spreads. This effect is directly proportioned to the Daily ATR reaching its lowest through late August till now.
Now i worked out how to post charts this backtest runs all the way from Jan 2004 till today. The growth rate is mind blowing when everything is fully tweaked but you can see the recent right side of the chart is dropping. It dont look much but this is the last 2 months on low ATR is significant drawdown period.
Last edited by bolt; 11-29-2006 at 12:48 AM.
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