Trend Chaser with Grid Adds and Risk-Based Exits

Summary

This document describes a ProRealTime trend strategy that enters when weighted rate of change, MACD, and stochastic conditions align. It adds to positions as price moves favorably by a volatility-adjusted grid step, with the step derived from recent and historical average true range. The strategy sizes its stop distance from a percentage of account balance and position value. After a chosen reward threshold is reached, it exits when floating profit crosses below a moving average minus a standard deviation band.

The author reports tests on major indices and says results appeared strongest on short time frames, including one- and five-minute charts, with DAX tests limited to opening hours. The spreadsheet filters out systems below specified expectancy and win-rate thresholds, and reports drawdowns. These are preliminary, author-reported results; no full dataset, independent validation, transaction costs, or detailed robustness analysis is provided. The author also questions the platform’s drawdown calculation. The method’s repeated adds can increase exposure, so the stated stop logic and reported returns alone do not establish risk-adjusted performance.

Key ideas

• Entries combine directional changes in weighted rate of change and MACD with stochastic thresholds and movement.
• The strategy adds to winning positions after price advances by an ATR-based grid distance.
• Initial stop distance is based on a percentage of current account balance and aggregate position value.
• After reaching a reward threshold, the exit uses a moving average and standard deviation band on floating profit.
• Reported index backtests are preliminary and do not establish performance after costs or independent validation.

Tags

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