garyfritz wrote:xfr8dog wrote:So what do you guys think about stacking the winners a la some kind of caterpillar input with a basket trailing stop?
That's a VERY interesting idea. Like you said, SuperTrend catches big long moves, but you get killed during sideways periods, and that tends to eat all the profit from the big moves. But if you increase the profits in the big moves by stacking... hmmm...
I tried a simple-minded test and it doesn't look that promising.
Here's a simple SuperTrend reversal system running on D1 EURUSD: when ST switches under the price, go long, when it switches over, go short:
ST1.gif
(EURUSD was the only pair that did that well, BTW.)
Then I added a simple stacking approach: every time the market moved X ATRs in my favor, I added another contract. Most settings of X made less money than the non-stacking approach. The ones that made more, did it with far more risk and volatility. For example, here's the result of stacking every 0.5*ATR:
ST2.gif
It made twice as much profit over the 5-year test, but it was almost entirely due to one monster trend back in 2010. Most of the time it was LOSING money. Except for that one huge trend, the simple non-stacking approach worked a lot better.
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