Long-Only Trading with Fixed Profit and Loss Limits and Cooldowns

Summary

This example describes a simple long-only system that enters whenever it has no open position and two waiting periods have elapsed. It closes a position at a fixed dollar profit target or loss limit, pauses for twelve hours after a loss, and delays another entry for fifteen minutes after a profit. Position size is set to a fixed share of account equity, and the document outlines a profit-and-loss calculation based on position size, price change, and contract size.

The accompanying backtest settings specify ETH/USDT Binance futures on daily bars for about a year, but no performance statistics are reported. The entry rule itself has no trend, volatility, or price signal, and the stated profit target is smaller than the loss limit, so profitability would depend heavily on the win rate and execution. The discussion also notes that cooldowns may miss opportunities, fixed thresholds may not suit changing volatility, and the strategy lacks an overall drawdown control.

Key ideas

• The strategy opens a long position when flat and when neither the post-loss nor post-profit waiting period is active.
• It exits at a fixed dollar profit target or loss limit, then applies different cooldown periods depending on the outcome.
• Position size scales with account equity, while the PnL calculation uses price change and contract size.
• The entry rule lacks market filters, and the smaller profit target relative to the loss limit requires a sufficiently high win rate.
• The published backtest setup gives no performance results and does not establish profitability.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.