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based signals during strong trends, a great entry model could probably be developed. The kind of filtering is exactly the opposite of what was sought when testing breakout systems, where it was necessary to detect the presence, rather than the absence, of trends. The primary weakness of simple oscillator-based entries is that they perform poorly in sustained trends, often giving many false reversal signals. Some oscillators can easily become stuck at one of their extremes; it is not uncommon to see the Stochastic, for instance, pegged near 100 for a long period of time in the course of a significant market movement. Finally, most oscillator entry models do not capture trends, unlike moving averages or breakouts, which are virtually guaranteed to capture any meaningful trend that comes along. Many traders say that the trend is your friend, that most money is made going after the big wave, and that the profits earned on such trends can make up for the frequent smaller losses of trend-following systems. Because oscillator entries go after smaller, countertrend moves, it is essential to have a good exit strategy to minimize the damage that will occur when a trend goes against the trades.



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Given a mechanical trading system that contains an entry model to generate entry orders and an exit model to generate exit orders (including those required for money management), how are the entries and exits evaluated to determine whether they are good In other words, what constitutes a good entry or exit Notice we used the terms entry orders and exit orders, not entry or exit signals. Why Because signals are too ambiguous. Does a buy signal mean that one should buy at the open of the next bar, or buy using a stop or limit order And if so, at what price In response to a signal to exit a long position, does the exit occur at the close, on a profit target, or perhaps on a money management stop Each of these orders will have different consequences in terms of the results achieved. To determine whether an entry or exit method works, it must produce more than mere signals; it must, at smne point, issue highly specific entry and exit orders. A fully specified entry or exit order may easily be tested to determine its quality or effectiveness. In a broad sense, a good entry order is one that causes the trader to enter the market at a point where there is relatively low risk and a fairly high degree of potential reward. A trader s Nirvana would be a system that generated entry orders to buy or sell on a limit at the most extreme price of every turning point. Even if

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