Algo Trading Tip - Quick Exits - Do They Work?

[@jacobamaral]

Quick exits will increase sortino/sharpe, but may not increase expectancy. Great vid Kev

[@AlgoTradingWithKevinDavey]

I'll have a follow up next week with a different quick exit. Psychologically, the quick exit does feel nice. But it may not be best thing to do profit wise.

[@covingtoncreek]

There are so many times I *want* something that seems logical to work, and testing doesn't bear that out. It reminds me of my day job when evaluating medical studies. We are always warned about using "anecdotal" data to make decisions. You need real tested data, and not to be afraid of the results. Thanks.

[@AlgoTradingWithKevinDavey]

Test test test is what I always say!

[@HateDietPepsi]

Perry Kaufman said he always gets out of part of his position on a quick move.

[@AlgoTradingWithKevinDavey]

I did not test that in this video, but Perry is a trading legend, so I am inclined to believe him...

[@adizomer]

Great research! Thank you for your sharing!

[@AlgoTradingWithKevinDavey]

Glad you enjoyed it!

[@MrA1wizard]

Interesting how your data analysis can also be applied to stop losses where the data is likely to tell you not to use a stop loss or if you do then make it as wide as possible.

[@AlgoTradingWithKevinDavey]

Yes, that comes up over and over - stop losses tend to reduce performance. That is why so many pros do not even use them. It can get nasty though with big losses once in a while.

[@albertocosta1789]

Another great video KD! Interesting to see the ATR does not quite perform as a good volatility exit as most people may think. Look forward to watching the next video testing a different quick exit

[@AlgoTradingWithKevinDavey]

We shall see how the next one does. These results actually surprised me.

[@jt-oz]

Great video Kev. Thanks for all the hard work. If you are new to Kevin watch a bunch of videos and do his course. Life changing for algo traders.

[@AlgoTradingWithKevinDavey]

Thanks for that! I appreciate it!

[@sani0160]

Great video Kevin I appreciate it. How about testing for a large profit target something like 10k, 15k, or 20k(not optimized). Something hard to hit but possible if the markets go nuts. I call it "Reverse catastrophic profit target". Or "Gifts from the market gods"Hopefully the names made you smiled 😃

[@AlgoTradingWithKevinDavey]

I like it! It would be one of those Black Swan type events, definitely worth testing!

[@dimadiall]

​@@AlgoTradingWithKevinDavey Reverse Black Swan, or RBS exit ;-) hehehe In fact, in my strategies I often try to lock in part of unexpected profits like this via a partial close, or by opening two positions - both follow the same exit rules, but one of them with a suitably large take-profit level, which call "Windfall TP".

[@AlgoTradingWithKevinDavey]

@@dimadiall - Thanks for sharing! It does seem like quite a few people do this!

[@leonjbr]

Super interesting teacher. Very informative video.

[@AlgoTradingWithKevinDavey]

Glad you liked it!

[@adomet2123]

Can you Test Percetage differance of TEMA exit ? Nice vid (TEMA + %TEMA)

[@AlgoTradingWithKevinDavey]

E-mail me info/code on it, maybe I'll try it. THANKS!

[@albertferguson8361]

On thing is unclear. On the 8 strategies you tested the volatility exit on, did you include your original exit ideas for the 8 strategies and then add on the volatility exit as a "just in case" exit, or was the volatility exit tested standalone?

[@AlgoTradingWithKevinDavey]

All the code is on the article: kjtradingsystems.com/quick-algo-exit.html Most of the exits were due to the volatility exit, but reverse signals would also cause exits.

[@mattlewis-UK]

Surprised you used such small ATR multiples seeing as you are looking for spikes and gaps. I was expecting that your ATR multiple would have been starting at 3 times and going up to something like 10 times??? Where have I gone wrong in my logic?

[@AlgoTradingWithKevinDavey]

Great point, maybe I'll do that in a future video!!!