Take Profit and Stop Loss Trading Strategies Comparison in Combination with an MACD Trading System

• Main Authors: Dimitrios Vezeris, Themistoklis Kyrgos, Christos Schinas
• Format: Article
• Language: English
• Published: MDPI AG 2018-09-01
• Series: Journal of Risk and Financial Management
• Subjects: algorithmic trading; take profit; stop loss; MACD; ATR
• Online Access: http://www.mdpi.com/1911-8074/11/3/56

A lot of strategies for Take Profit and Stop Loss functionalities have been propounded and scrutinized over the years. In this paper, we examine various strategies added to a simple MACD automated trading system and used on selected assets from Forex, Metals, Energy, and Cryptocurrencies categories and afterwards, we compare and contrast their results. We conclude that Take Profit strategies based on faster take profit signals on MACD are not better than a simple MACD strategy and of the different Stop Loss strategies based on ATR, the sliding and variable ATR window has the best results for a period of 12 and a multiplier of 6. For the first time, to the best of our knowledge, we implement a combination of an adaptive MACD Expert Advisor that uses back-tested optimized parameters per asset with price levels defined by the ATR indicator, used to set limits for Stop Loss.