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Trade Management

Trade Management

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Published by X-Trader Dot Net

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Published by: X-Trader Dot Net on Jun 19, 2012
Copyright:Attribution Non-commercial

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10/23/2012

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Copyright (c) LBRGroup 1996-2006. All Rights Reserved.
1
Trade Management Functions
 The Relationship Between Entries, Exits and StopsLBRGroup@att.net LBRGroup.com
 
Copyright (c) LBRGroup 1996-2006. All Rights Reserved.
2
Testing for the Edge
Randomly entering a position can produce a profit 65%of the time. By applying simple filters, random entry canbecome breakeven or even slightly profitable.
This data gives a benchmark for a systematic trader tobeat in order ensure the system is successful due to
more then capitalizing off noise. “Noise” is analogous
with random price data.
Let’s go through a 5 step exercise using a randomizer to
generate trade entries as a departure point for modelingprice behavior.
 
Copyright (c) LBRGroup 1996-2006. All Rights Reserved.
3
ATR (Average True Range) Stops
ATR = Average True Range
“True Range” includes “gap” area + Day’s
range
ATR is a moving average of the past N-
days “True Range”.

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