Managing Take-Profit and Stop-Loss Orders in VeighNa CTA Strategies
Summary
The discussion explains why a resting exchange limit order for profit-taking can freeze a position and prevent a locally managed stop order from closing it. It contrasts exchange orders with VeighNa stop orders, which remain local until their trigger conditions are met. It also notes that a take-profit stop can trigger immediately if its threshold is already satisfied after entry.
Three approaches are presented: use a moving stop and update it as the trade develops; check a fixed profit target locally and submit a limit exit when reached; or place both exits as local stop orders and cancel the remaining order after one fills. The post describes canceling old orders before updating exits as part of its suggested workflow. These are implementation suggestions rather than comparative test results, and the post itself warns that moving stops can give back gains in choppy markets and that paired stops require cancellation management.
Key ideas
- An exchange resting limit exit may reserve position quantity and block a later stop exit.
- VeighNa local stop orders are sent to the exchange only after their trigger conditions are met.
- A moving stop can replace a separate resting take-profit order, but may surrender gains during choppy trading.
- A fixed profit target can be checked locally before submitting an exit order.
- When using paired local stops, cancel the unfilled exit after the other one executes.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.