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--- In amibroker@xxxx, Yuki Taga <yukitaga@xxxx> wrote:
> What does work for me is money management. I buy with an
> expectation, both in terms of price and time. If I'm let down,
> I get out, and fast. I tend to put on positions about 3 times
> the size that I intend to hold if I should end up having a
> medium or long term winner. I am quick to take profits on
> the rest. I almost *never* trade an entire position in or out
> at one time. That's why I'm following this 'money management'
> and 'back testing' capability thread rather closely. I would
> love to see a back testing capability that actually allows me
> to test the way I trade in real life.
**********
Yuki,
Your post, especially the quoted part above, speaks to me since
I have been trying to get a handle on testing a system that has
a single entry signal but two distinct exit signals. I have
concluded it will be a lot easier for me to treat that system
as two distinct systems for back testing eventhough they are
used simultaneously in real life. I am guessing, but your
system sounds similar in that it seems to have a single entry
trigger with two (or perhaps more) exit triggers.
Here is what I understand from your post.
System 1 is used for 1/3 of your initial trade investment. System
1 is a long term hold provided the trade goes well. My guess is
you hold this trade for as long as it goes up and perhaps with
looser stops than used in System 2. You might be able to write
trade rules for this long term system that could be back tested.
System 2 is used for 2/3 of your initial trade. It appears to be
very short term and likely has a very tight stop loss in case
the trade goes bad. I expect this system exits at a certain
profit level and/or a sign of weakness. My guess is you likely
could write trading rule for your exits. The difficult part
may be writing trade rules for your entry.
I took a lot of words to really say: picture your system as two
distinct systems. It may be a lot easier to back test.
b
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