Stretch

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January 1, 2021 at 3:22 am #102090

JulianCohen
Participant

Is there any specific reason Stretch is measured off the Low or Highs, as opposed to the Close.

I’m testing using the close and the results are quite different.

January 1, 2021 at 3:51 am #112758

GlenPeake
Participant

hhhhmmmm……That’s something I’ve not tried before…. more rabbit roles coming up

Results are ‘different’ for you Julian?…. different GOOD or differnet BAD? Different for LONG or SHORT systems?

I guess (for a LONG system) it ensures your BUYLIMIT is below the previous day’s price action….. which ‘might’ mean you get a better entry as you’re calculating the stretch from the previous days LOW etc….. (testing required here though).

FWIW, I just did a very quick test on one of my MR systems and the stats did not improve:

Stretch With LOW: CAR/MDD: 40%/-21%
Stretch With CLOSE: CAR/MDD: 32%/-42%

I then played around with the Stretch Multiplier against the CLOSE and no luck/improvements there either…. as yet… but it’s another way of diversifying etc…. something to keep in the testing toolkit

January 1, 2021 at 4:00 am #112760

JulianCohen
Participant

I found I got a better ROR, obviously with at the expense of MDD, but not horrible.

Basically to achieve roughly the same number of trades and CAGR, MDD, expectancy numbers, using Low and High means running at 0.8 stretch and using Close means running at 1.1 stretch.

Do you think there is any benefit in having a larger stretch then under those circumstances?

January 1, 2021 at 4:04 am #112761

JulianCohen
Participant

I guess to answer my own question, you would need a greater stretch to ensure that the limit price was not going to be “in the market” on the open.

January 1, 2021 at 7:51 am #112762

ScottMcNab
Participant

I use close for one MRV system and low for the other for a bit of diversity too as both on US…close works better on days that close is less than open
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