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Hi,
I have two systems that I have been first refining without stops.
After getting to some reasonable level I apply stops.
At first I thought I was making a mistake.
Trailing stop always dramatically decreased win/loss ration and
profit%, unless raised to something like 30 - 40% which is almost
useless.
If I applied profit stop, performance increased significantly and
seemed to optimise at a surprisingly low value of 5 - 7%.
In a way I am please to see others having same experience but it
seems to fly in the face of usual advice to stop losses quickly and
let profits run.
Interested to hear others views. I havent been able to improve buy
indicator to chanage this effect.
--- In amibroker@xxxx, "Herman van den Bergen" <psytek@xxxx> wrote:
> Hello,
>
> you might want to try optimizing your stops with something like
this:
>
> LPos = Flip(Buy,Sell);
> SPos = Flip(Short,Cover);
> MXL = Optimize("LMaxLossStop",10,0,15,0.5);
> MXS = Optimize("SMaxLossStop",10,0,15,0.5);
> ML = IIf(LPos,MXL,IIf(SPos,MXS,0));
> ApplyStop(0,1,ML,1);
>
> Best regards,
> Herman.
>
> > -----Original Message-----
> > From: bvandyke [mailto:bvandyke@x...]
> > Sent: 23 October, 2002 7:33 PM
> > To: amibroker@xxxx
> > Subject: [amibroker] Stops
> >
> >
> > Hello all,
> >
> > I'd never really paid much attention to Stops, but in light of
recent
> > discussion of them and money management, i tried an experiment.
> >
> > I tested the T3 System in the AFL Library on the QQQ using LONGS
> > only, as that is the way i trade. Like Herman has stated, i also
have
> > found the T3 system useful. The results of the system with
different
> > Stops is below:
> >
> > QQQ-Using T3 System in AFL Library
> > Longs Only; $10,000 invested; $10 Commission.
> > Time period = 4/1/99 thru 10/23/02
> >
> > 1)No Stop Total Equity = $13,589
> > 2)Profit Target 10% Stop, Total Equity = $18,039
> > 3)Trailing Stop 10%, Total Equity =$3,860
> > 4)Maximum Loss Stop 10%, Total Equity =$6,045.
> >
> > I found it interesting and may explore it further since it does
seem
> > that with some securities Stops may improve performance.
> >
> > Bill
> >
> >
> >
> >
> >
> > Post AmiQuote-related messages ONLY to: amiquote@xxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> >
> > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
> >
> >
> >
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