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Hi,
OK. If you need my help - just e-mail me: tj@xxxx
Best regards,
Tomasz Janeczko
===============
AmiBroker - the comprehensive share manager.
http://www.amibroker.com
----- Original Message -----
From: <tradeshark@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, October 14, 2001 3:31 PM
Subject: [amibroker] Re: STO + MACD + MM Trade Anatomy
> Hi Tomasz,
>
> in MS I use optimization formula and I have yet to learn, how to
> implement this in AB. I'm sure, one could convert it - just a matter
> of time for me to learn it.
>
> 2nd. I use also time series and variable MA's in MS, which are not
> implemented in AB ( yet ) or I haven't found a way to do so ;-)
>
> Don't forget, I just started to work with AB a couple of weeks ago
> and I didn't had the time to learn much about the AFL language. From
> what I have experienced, it is more flexible than MS, but I need to
> learn how to work with it. That's all.
>
> regards
> Stefan
>
> --- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> > Tradeshark,
> >
> > Could you please explain what causes difficulty in converting
> > the system into AFL? I belive that everything from MS can
> > be translated to AFL.
> >
> > Best regards,
> > Tomasz Janeczko
> > ===============
> > AmiBroker - the comprehensive share manager.
> > http://www.amibroker.com
> >
> >
> > ----- Original Message -----
> > From: <tradeshark@xxxx>
> > To: <amibroker@xxxx>
> > Sent: Saturday, October 13, 2001 11:37 PM
> > Subject: [amibroker] Re: STO + MACD + MM Trade Anatomy
> >
> >
> > > 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/
> > > > >
> > > > >
> > >
> > >
> > >
> > >
> > >
> > > Your use of Yahoo! Groups is subject to
> http://docs.yahoo.com/info/terms/
> > >
> > >
> > >
>
>
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
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