Saturday, November 8, 2008

Big Bamboo Stop Study

I will once again refer readers to Woodshedder at iBankCoin for some background on Big Bamboo and additional commentary on the following results. The following data is the raw results from a series of tests looking at various protective stops for Big Bamboo. These backtests measure the results of every entry signal generated by the system on the leveraged ETF portfolio since they began trading and each signal is purchased with $10,000 worth of shares. No compounding, slippage or commissions are included. Think of this data simply as raw stats and these test only look at various protective stops used in conjunction with the specified profit target of RSI(2) > 80.

Note: The ATR stops test various multiples of the 10-period ATR for the ETF being traded and the stop is not adjusted daily for changes in volatility. It is fixed at the time of entry and left alone.

Charts of results:

Raw Data: HERE


Woodshedder said...

B- great stuff! Thanks!

bhh said...

It will be interesting to run the position sizing model with the new stops and see what the DD levels are for the same "aggresion level" re: the risk percentage.