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Hi Stefan,
I tried out your Exploration on TLAB. The last buy signal that your
Exploration indicates for TLAB was on 9/25, not on 10/2, and the trade
starting on 9/25 would have lost money. So what is wrong in my setup?
Regards
Al
----- Original Message -----
From: <tradeshark@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, October 13, 2001 7:10 PM
Subject: [amibroker] STO + MACD + MM Trade Anatomy
> For those who found my earlier elaborations on the volatility based
> MM system quite theoretical, I'd like to post a trade anatomy here,
> showing, how this system could be applied. Please consider, when
> trying to track this anatomy on a historical chart, that hindsight is
> always 20/20 and you have to make your decisions at the best
> available information you have at any given moment. Of course, some
> decisions could have been avoided, in order to squeeze the optimum
> out of this trade - but, rule number 1 is preservation of capital -
> so a prudent approach is desired ( at least for me ).
>
> Here's how it worked out so far :
> Parameters : Account size 10.000 $, Risk : max 2% of account size per
> position. Positionsize is determined by risk / volatility model :
> You can track the daily changes by using the model posted on my
> previous thread. Pull up the chart of your desired stock and run the
> exploration with settings : "current stock" and "lastn days 250"
>
> On Oct. 2nd, TLAB gave a STO 14,3 crossover buy signal.
>
> The MM system returned following values on Oct. 2nd, after data
> update for entering the trade the next day ( Oct.3rd. ) :
>
> Close as of Oct. 2nd. : 9.30
> Planned Entry for Oct. 3rd. : 9.96
> Stop if filled : 8.66
> ProfitTarget : 11.63
> Risk : 1.30/share
> Reward : 1.67/share = > 1:1
> Max Position : 154 shares = 150 shares
>
> Oct. 3rd. trading range : open 9.04
> high 11.12
> low 8.98
> close 10.51
>
> Our limit order for 150 shares @ 9.96 was well within days trading
> range.
>
> At the end of Oct. 3rd., we placed our stop @ 8.66
>
> Oct. 4th. morning
> after updating data for Oct. 3rd. the system returned following
> values, reflecting the shift in volatility :
>
> Stop 8.52
> PT 12.51
> Positionsize 115 shares - well below the position we took on Oct.
> 3rd, due to much higher volatility.
>
> Now what to do :
> 1. we keep our Stop @ 8.66 since we never trail a stop-loss down
> 2. we raise our profit-target from 11.63 to 12.51
> 3. Since the system signaled much higher volatility and suggested a
> smaller position, we decided to reduce our position by 50 shares q a
> price close to the initial profittarget of 11.63
>
> We enter a limit sell order for 50 TLAB @ 11.63 and keep the stop for
> 100 TLAB @ 8.66
>
> Oct. 4th trading day :
> Stock opended at 11 and went up to 12.95.
> Needless to say, our 50 shares were gone for 11.63 and we netted a
> nice profit of 50 X 1.67 = 83.5 - our commissions, using IB as Broker
> would have been 2.50 USD so far.( 150 x 0,01 $ buy, 1 USD min. for
> sale of 50 )
>
> Oct.5 th.
>
> Data update in the morning.
> Systems return for Oct. 4th :
> Stop 8.60
> PT 13.63 ( see the increase from 2 days before ! )
> Positionsize : 91 ( dropped even lower, but not significantly )
>
> What to do for Oct. 5th. trading day ?
> 1. We keep our stop for the 100 at 8.66. Although the stock has risen
> quite a bit, we refrain from raising our stop because the volatility
> went up as well. So any intraday move could wiggle us out of this
> trade, if we wouldn't stay away from the daily noise.
> 2. We don't change our position. Although 91 is obviously lower than
> 100, it's not so signficant as as the drop from 150 to 115.
> Furthermore, we locked in some profits already, so there's no need to
> become scary.
>
> Oct. 5th trading day :
> TLAB opened @ 11.29 and went up to 12.50 - daily high. The low was
> 10.76 and it closed at 12.30 - still below our new profit target.
> Happy weekend
>
> Oct. 8th.
> downloading quotes from Friday.
> Our system tells us :
> Stop 9.07
> PT 14.46
> Max Pos : 85 shares ( we still hold 100 )
>
> So we raise our stop finally a bit from 8.66 to 9.07
> We raise also our PT to 14.46
> We don't change our positionsize - the drop from 91 to 85 is again
> not really significant and doesn't justify any action here.
> Again, we made already some profits and we raised our stop. So not
> much to worry about.
>
> Oct. 8th trading day :
> TLAB had a narrow range day, compared to the previous days !
> It opend at 12.10, went up to 13 and closed the day at 12.34 with a
> low of 11.87
>
> Oct. 9th - morning data update
> Our system returned following values :
>
> Stop 9.55 ( trailing gets closer due to lower volatility )
> PT 14.77 not much more than the previous day
> Positionsize : 87 - we still have our 100 shares
>
> Accordingly , we raise our stop. No other changes
>
> Oct.9th. trading day
> Another, very narrow range day for TLAB.
> Open 12.41
> High 12.65
> Low 12.19
> Close 12.36
>
> Oct. 10th. data update.
> Our system returns following values
>
> Stop 10.06
> ( now we have locken in at least a bit more than breakeven on the
> remaining position. Notice how closely shrinking volatility is
> trailed )
>
> PT 14.67 - lower than the previous day, but only by 10 cent. We'll
> adopt this one.
>
> PosSize : 99 shares - we still hold our 100 shares
>
> Oct. 10th trading day
> Slightly higher volatility for TLAB.
> Open 12.37
> High 13.35
> Low 12.30
> close 13.03
>
> Oct.11th - data update
>
> Our system shows following values
> Stop 10.50 - half a point increase from the prior day
> PT 15.04
> Max Pos : 101 - we still keep our 100 shares
>
> We increase our stop accordingly and also our PT
>
> Oct. 11th - trading day
> TLAB opened at 13.38, moved to a high of 14.53 ( close to our PT as
> of Oct. 10th. - remember ?
> It closed at 13.92 after posting a low of 13.30
>
> Oct. 12th. data update
> System values :
>
> Stop 10.97
> PT 15.78 - significant change from the day before
> Max Pos. 95 - no change
>
> What to do for the trading day - it's Friday, the war is going on and
> who knows, what the weekend might hold in store for us. TLAB is
> trading well above our initial PT of 11.63, and somewhat below our
> raised 2nd. PT of 14.67. Volatility went down and
> We think, it might be time to take some money off the table.
> We give a sell order for 50 TLAB @ 14.25. A price within the trading
> range of the prior day and slightly below our revised PT .
> Since 14.53 had been the high of Thursday, we think, it's prudent,
> not to squeeze out the last penny on a friday
>
> Oct. 12th trading day
> TLAB had almost an inside day.Our Stoch Indicator is close to a
> downside crossover at 86.7 and MACD is just about crossing the 0 line
> from the downside.
> Open 13.93
> High 14.80
> Low 12.98
> close 13.81
>
> Needless to say, that our sell-order for 14.25 had been hit, locking
> in another 4.29/share or 214.50 - 1 USD comm. = 213.50.
>
> Our total position is now 50 TLAB. The position has paperprofits of
> 50 x 3.85 = 192.50
> We realized already 213.50 + 81.50 = 295 $ on Profits
> after commissions
>
> That all from an initial position of 150 x 9.96 = 1495 $
>
> Oct.13th : data update
>
> Our system shows following values
> Stop : 11.16
> PT : 16.41
> Max Pos : 87
>
> What are we going to do for monday ?
>
> Since STO Indicator signals a shortterm overbought condition, while
> the MACD is still rising ( lags somewhat behind STO, of course ) and
> TLAB was not able to close at a higher high on Friday, we will be
> cautios and watch out for any signs of breakdowens in TLAB in the
> course of next week.
>
> We raise our stop-loss for the remaining position to 11.16, locking
> in at least 1.20/share, if TLAB breaks down on Monday.
>
> The drop in Max positionsize from thursday to friday is not very
> significant, but still a break of the trend towards larger positions
> in recent days. So we expect higher volatility on Monday / Tuesday.
>
> We have realized a decent gain on this trade so far, without risking
> a lot and have only used a comparably small percentage of our trading
> capital of 10K.
>
> Applying the full capital ( evtl. + Margin ) would allow us to hold
> 4 - 6 different positions and manage them according this model.Still,
> we would only risk up to 12% of our total trading capital in all
> trades.
>
> Of course, not every trade works out like this one, but with the
> money-management approach described here, one could easily sustain
> the drawdons inherent in trading-systems like STO and MACD.
>
> I believe, system-development should focus more on these subjects of
> how to manage position and youir capital wisely rather than trying to
> find the ultimate holy grail in signal generation.
>
> Bad money-managment and poor risk-control can ruin the best trading
> system.
>
> Hope this helped a bit.
>
> Best regards and good trading
>
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