First the results and then I will get into the interesting part:
| Based on IWM | 1000 shares | Trade costs | |||
| Monthly total | Weekly avg | Net with IB | Net with TD | Total trades | |
| Jan | $40.00 | $10.00 | $705.00 | $1,938.10 | 190 |
| Feb | $490.00 | $122.50 | $210.00 | $1,508.00 | 200 |
| Mar | $1,280.00 | $320.00 | $440.00 | $1,117.60 | 240 |
| Apr | $810.00 | $122.50 | $26.00 | $1,427.76 | 224 |
| May | $2,450.00 | $612.50 | $1,715.00 | $352.10 | 210 |
| Jun | $720.00 | $144.00 | $162.00 | $1,797.48 | 252 |
| Totals | $5,710.00 | $218.58 | $1,104.00 | $7,436.84 | 1316 |
| Max Profit | $1,970.00 | Best Day | $2,220.00 | Average Profit | $0.34 |
| Max Loss | $1,080.00 | Worse Day | $2,010.00 | Average Loss | $0.15 |
| Ratio | 182% | Ratio | 110% | Ratio | 227% |
| % Winners | 33% | Best Week | $2,090.00 | Total Wins | 217 |
| % Losers | 66% | Worse Week | $1,300.00 | Total Losers | 436 |
| Ratio | 50% | Ratio | 161% | ||
So...unfortunately this exit strategy doesn't minimize the number of loosing trades....this is the same as the previous exit strategy.
But the winners still out pace loosers by enough to get you a profitable system over the long run...in this case 6 months worth of data.
Now for the interesting part...lucky for me, the months of January through June offer a period of low and high volatility, this is what gives me confidence in the system itself as well as the paper trading results it has provided. Plus with a total of 600 plus round trip trades, you have some pretty good statistics to back your ideas up.
So now I will post the results of the first exit strategy vs. the second exit strategy:
| First Exit | ||
| Monthly total | Weekly avg | |
| Jan | $1,350.00 | $337.50 |
| Feb | $760.00 | $190.00 |
| Mar | $2,260.00 | $647.50 |
| Apr | $380.00 | $142.00 |
| May | $1,460.00 | $365.00 |
| Jun | $70.00 | $47.50 |
| Totals | $5,520.00 | $240.92 |
| Second Exit | ||
| Monthly total | Weekly avg | |
| Jan | $40.00 | $10.00 |
| Feb | $490.00 | $122.50 |
| Mar | $1,280.00 | $320.00 |
| Apr | $810.00 | $122.50 |
| May | $2,450.00 | $612.50 |
| Jun | $720.00 | $144.00 |
| Totals | $5,710.00 | $218.58 |
Ironically, Exit Strategy 1 outperformed Exit Strategy 2 during the low volatility days of January through March, then from April through June Exit Strategy 2 outperformed Exit Strategy 1.
I haven't gone back to do the academic exercise as to why this is, in a way i would think that exit 2 would do worse in higher volatility given that it keeps you in longer...but in higher volatility environments you get stronger moves so the profitable trades get more profitable.
In fact, the average profit was 0.28 for exit 1, vs 0.34 for exit 2 (21% delta) , whereas the avg loser was 0.13 for exit 1 vs. 0.15 for exit 2 (15% delta). So volatility benefits the exit 2 to the extent in that it keeps you in profitable trades longer than in loser trades...
Anyway when you combine the two you did better than using either one on its own. You would be up $8350 and not have had a loosing month, this is a 51% improvement over exit 1, and a 46% improvement over exit 2.
Now all I need is something to tell me when to switch exit strategies. Perhaps use some indicator with the VIX?
