Thứ Tư, 11 tháng 8, 2010

Dev Stops Philosophy

Most of trades is searching great entry and the best point to take their profits. But I think very important thing is to let your profits run, and trail stop. But simple traling stop may be not enough. That is why we need the DevStops. 


Method and calculation was described in Kase's book "Trading with the Odds".  The DevStop is the closest we can come to an ideal stop level in the real world. The indicator mathematics accounts for volatility (which is directly proportional to risk), and also for the variance of volatility (how much risk changes from bar to bar) and volatility skew (the propensity for volatility to spike higher from time to time).  Specifically, the DevStop places exit points at 1, 2 and 3 standard deviations over the mean two bar true range, corrected for skew. So we can take profit or cut losses at levels at which the probability of a trade remaining profitable is low, without taking more of a loss or cutting profits any sooner than necessary.  

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