Trailing Stop

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Matt Trump
Posts: 1
Joined: Thu Sep 25, 2014 3:36 pm

Trailing Stop

by Matt Trump » Sat Jun 10, 2017 10:25 pm

Has anyone backtested the utilization of trailing stops on spreads? If so, how (e.g. Max DD, Avg DD, etc.), and did it reduce volatility without too much of a drag on return.

Posts: 4
Joined: Wed Mar 09, 2016 2:29 am

Re: Trailing Stop

by karma » Wed Jul 12, 2017 7:51 pm

You have exposed one of the several weaknesses of this site where you have only formatted access to the database. It is possible to get the historical Drawdown and MAE for any spread by a roundabout. This is accomplished by getting the backtesting data for the spread by backtesting for the same spread but advanced one year for each leg, (this presupposes the spread doesn't fall out because it doesn't meet the 80% win threshold).

Roman could make this a lot easier if backtesting included Drawdown and MAE for the current spread being analyzed and highlight it so one knows it may not be final statistics if the spread has not expired.

Another solution is to include current worst Drawdown and worst MAE in strategy analysis in addition to historical Average Drawdown and Average Worst MAE.

Whether either of these solutions is easily done depends on how easily this data can be derived from the database wihout a major upgrade,

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