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Time for some specifics. Here is a comparison between a random entry system and a breakout entry system. The two systems are identical apart from their entry;

Universe: ASX200
Test Period: 10 years back from today
Exit: 6.5 ATR
Position Sizing: 2% risk
No pyramiding
Monte Carlo runs: 1000

System 1: RANDOM ENTRY (EntryTrigger:=1)
Total Profit: 657%
Winners: 44%
Drawdown: 12%

System 2: BREAKOUT ENTRY - ROC(CLOSE,1,percent) >= 5 AND VOLUME >= (Mov(VOLUME,50,EXPONENTIAL)*1.5)
Total Profit: 623%
Winners: 44%
Drawdown: 15%

System 2 performs significantly worse than System 1 - it is less profitable, but far more importantly, the drawdown is significantly higher for this lower profit.

Entering on a breakout does NOT add value to long term trend following systems. In fact, it does the opposite.

<blockquote data-quote="MichaelD" data-source="post: 288112" data-attributes="member: 2416">Time for some specifics. Here is a comparison between a random entry system and a breakout entry system. The two systems are identical apart from their entry;Universe: ASX200Test Period: 10 years back from todayExit: 6.5 ATRPosition Sizing: 2% riskNo pyramidingMonte Carlo runs: 1000System 1: RANDOM ENTRY (EntryTrigger:=1)Total Profit: 657%Winners: 44%Drawdown: 12%System 2: BREAKOUT ENTRY - ROC(CLOSE,1,percent) &gt;= 5 AND VOLUME &gt;= (Mov(VOLUME,50,EXPONENTIAL)*1.5)Total Profit: 623%Winners: 44%Drawdown: 15%System 2 performs significantly worse than System 1 - it is less profitable, but far more importantly, the drawdown is significantly higher for this lower profit.Entering on a breakout does NOT add value to long term trend following systems. In fact, it does the opposite.</blockquote>

[QUOTE="MichaelD, post: 288112, member: 2416"] Time for some specifics. Here is a comparison between a random entry system and a breakout entry system. The two systems are identical apart from their entry; Universe: ASX200 Test Period: 10 years back from today Exit: 6.5 ATR Position Sizing: 2% risk No pyramiding Monte Carlo runs: 1000 System 1: RANDOM ENTRY (EntryTrigger:=1) Total Profit: 657% Winners: 44% Drawdown: 12% System 2: BREAKOUT ENTRY - ROC(CLOSE,1,percent) >= 5 AND VOLUME >= (Mov(VOLUME,50,EXPONENTIAL)*1.5) Total Profit: 623% Winners: 44% Drawdown: 15% System 2 performs significantly worse than System 1 - it is less profitable, but far more importantly, the drawdown is significantly higher for this lower profit. Entering on a breakout does NOT add value to long term trend following systems. In fact, it does the opposite. [/QUOTE]

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