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<FONT face=Arial color=#0000ff
size=2>Al,
<FONT face=Arial color=#0000ff
size=2>
My
answers in blue in your text ...
<FONT face=Arial color=#0000ff
size=2>
Best
regards, Jérôme ULRICH
<FONT face=Tahoma
size=2>-----Message d'origine-----De : Al Venosa
[mailto:avcinci@xxxxxxxxxxx]Envoyé : jeudi 6 février 2003
15:05À : amibroker@xxxxxxxxxxxxxxxObjet : RE:
[amibroker] ATR-Based Position Size (was NDX/QQQ)
Jerome:
>Regarding volatility based stops, have you compared through backtesting
ATR >based stops with fixed stops?
No, I have not done that. By fixed stops, do you mean fixing your stop at a
certain percent below the buyprice? Or a certain no. of points? Or a fixed
dollar amount? <FONT face=Arial
color=#0000ff size=2>[Jérôme
ULRICH] ----------------------------------------------------------------------------------------------------
A
certain n° of points. But when I trade stocks, I use a percentage
below the buyprice.
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I did for the CAC40 future contract I'm >trading dayly, and found
that the fixed stop was more efficient. Typically, >in periods of very
low volatility, the ATR stop gets to small and noise >hurts you. I
backtested this strategy with ATR(10) and ATR(20) on 1mn >quotes. But
that may well be a particular feature of this contract, and I >would be
interested to learn if that feature is also relevant when tested >with
large group of stocks on EOD basis.
How many ATRs were you setting as your ATR stop? If is was only 1 or less,
then noise will get you. But, if you set it at 2ATR or more, then you
shouldn't get eaten up too badly by noise unless the CAC40 is so non-volatile
that even a 2ATR stoploss is within the noise level. I know nothing about the
CAC40, so I'm a little at a loss here. What do you mean by the fixed stop
being "more efficient"? In terms of what? <SPAN
class=683475808-07022003>[Jérôme
ULRICH] ----------------------------------------------------------------------------------------------
I
don't remember precisely, as I did this work about 2 years ago. I think I
have tried several values, 2 included. The fixed percentage I presently
use is actually roughly equal to 2 times the average ATR calculated over a
period of several years. Otherwise, the CAC40 is volatile
enough for my taste (and my trading). The problem is faced in those
congestion periods when volatility shrinks to a very low level. To take the
CAC40 example, quotes can evolve in a 10 points congestion zone during a
couple of hours. At that time, your ATR will be very low. Then, volatility
rises quickly, as you enter the market (if your entry signal is volatility
based especially). You then have a 3-4 points stops (even with a 2 * ATR stop)
as it is based on the very low volatility period, when the present quotes
danse from 5 to 10 points each minute. You then gets stopped much too
often.
By
"more efficient", I mean that the annual return worked out through my
backtests is higher with the fixed stopped than with the ATR(X) based one. But
once again, this has only been checked on the CAC40 future
contract.
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size=2>------------------------------------------------------------------------------------------------------------------------
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