20dmf

[Billy]

I'm sure this has already been considered and tested, but it struck me to wonder whether the pivot-based 3:1 R/R entry points are maybe less important when the LT edge is strong? In other words, when ST edges dominate then we are probably more in a mean-reversion environment, and the pivot-based entries are crucial. However, maybe when LT edges dominate, it matters somewhat less that we find an entry price that is optimal for mean reversion, and don't want to miss a larger trend?

Just idly wondering,

-Mike

Mike,
Both the LT and ST edges are computed using 3:1 RR multi-pivots entries. So these edges can only be achieved assuming that you enter exactly at the robot’s recommended 3:1 RR limit price. Robot’s edges can be further improved only when you enter at better prices, not worst ones.

If you review the pdfs on the IWM robot’s design and backtesting, the 3:1 RR multipivots rules have a neutral-to-positive impact on returns but lower considerably the drawdowns. They are an essential risk management component of the IWM robot’s LT risk-adjusted performance.
Billy