How about, when it signals a long signal, the next exit/reverse/short signal is likely to come at a time after the long has shown me enough of a profit to cover commission and slippage.


I guess another factor is the frequency of signals. If you are expecting to get one in five minutes, and it will come 50/50 up or down, chances are you should just stay in.


So the real answer is probably you should start taking off the position one contract at a time, at random times, if commissions are bigger than slippage, or something. Meaning, the answer is pretty self-evident - and I had already solved it - but living in a world made up of traders like Dr. Bill, I get nothing but grief for even asking such a question.


And then if I further tell someone "I think a small part of my edge is that sometimes I don't exit," I get laughed out of town. But it seems I am correct, thank you.


eLROY