Third exit model alongside target-vs-stop and the fixed take-profit. The TP sweep
showed the edge lives in the fat tail (avg R keeps rising as you let winners run),
but a fixed wide target is win-rate-brutal and gives everything back on a reversal.
A trailing stop harvests the tail while protecting gains.
Per setup the replay computes the realized R for several trail widths (3/5/7/10/
15/20%) in a single conservative pass — stop ratchets up via max(initial_stop,
peak*(1-trail)), exit on the pullback or at the horizon close, R vs the initial
risk. Aggregated into a trailing sweep (win rate = share closed in profit, avg R,
total R) over the qualified set and shown as a new table in the Backtest panel.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
dennisthiessen
ab9ce18809