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Hi,
you're correct - Amibroker exploration cannot find that particular
Stochastics trade. As I explained in the systems description, I use
it in MetaStock together with an optimised STO / MACD system - which
I cannot transform as is into Amibroker ( now ) . Therefore, I used
simply the standard STO buyrange < 20 and sell range above 80 for
Amibroker exploration. Feel free to replace these systems ( MACD /
STO ) by your favourite one or integrate an optimize function, if you
like.
Stoch crossover on 02.10.01 for this trade happend on a STO value of
36 - so it couldn't be found by the Amibroker exploration.My MS
Exploration takes on every STO crossover and I check the Chart also
for other indications and patterns before I take a trade.
However, the other results ( entry - stop PT MaxPos ) used in the
exploration are from Amibroker ( they are almost the same as in
MetaStock ).
No system is perfect and this system is not designed to eliminate the
weaknesses of STO or MACD systems - with each system you'll have some
loosing trades. The decision of taking a trade or not is always
discretionary. However, the management of the trade is not.
For Sept. 25th, i.e. you'll find you would have had about 25 MACD
signals and probably the same amount of STO signals - so plenty of
possible trades to choose from.
If you would have taken the MACD Signal for TLAB on 25.09.01.( as you
discovered ), you're entry price would have been 10.62 exactly 2
cents below the days high.
Your stop would have been 9.18.
You would have been stopped out of this one by 4 cent on 02.10.01,
which was the low on 02.10.01 - the day the STO Signal was generated
by my MS System.
Btw : Since you know the signal only the day after, you wouldn't have
had a chance to reverse your position during this day - unless you
follow the markets. So your stop would have been hit - most
probably.It depends quite a lot on the trading volume on each price
level - because the prices don't trade through each levels cent by
cent intraday.
Getting stopped out of a trade is nothing bad - that's what a stop is
supposed to do. But as you can see in this case, the stop was very
close to the actual reversal point ( by a few cent ) and often
enough, this system keeps you well out of the daily noise. As you can
see on the trade as from Oct. 3rd. on.
--- In amibroker@xxxx, AR.Holzwarth@xxxx wrote:
> 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@xxxx>
> 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
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
> >
> >
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