Subject: Did you read this past Alvarez Quant Trading blog post?
Revisiting old research can spark new research or trading ideas. Did you read Exiting using limit orders.
Most of us focus our research time looking to find better entries. We don’t spend enough time thinking about our exits. I am definitely guilty of this. A popular way to enter a mean reversion trade is by using a limit order. I use that on the strategy on RSI2 Strategy: Double returns with a simple rule change post.
The exit on that strategy is on the open. Many people don’t like exiting on the open because of the volatility and the belief that you will get a bad fill. What if we exit instead using limit orders? I tested this idea years ago. Time to revisit an old idea.
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