The above is an article posted by Nick several days ago.HERE is an interesting paper on trend following in stocks. I think this is a simple way to overcome the n-day breakout suggested above.
I notice that in this study an initial stop was not used.
Essentially its a long-term trend following system with alltime high close as the entry and 10ATR as the exit (very loose).
Now win% is 49% and R/R is 2.56.
I still cant get my head around why such a longterm trend following system would have these sort of stats??
You would think win% would be closer to 30-40 and R/R maybe 4-5+ ??
What sort of impact do you think placement of an initial stop would have on the results of this system?
In general, when is an initial stop required for longterm trend following system?