|
PureBytes Links
Trading Reference Links
|
Guess I'm confused.
One of the followup msgs to this thread stated that Scottrade did not
support trailing stop loss orders.
Trailing stop loss orders are nothing more than STOP orders with a
price specified that will trigger if the security trades against the
position and through the STOP price. It is referred to as a 'Trailing'
Stop Loss order when you peridically change the specified Stop price
to 'Trail' the price action of the stock price to either limit losses
or protect gains.
Backtesting software simulates the manual adjustments that must be
made regurlarly to Stop prices for trailing stop loss purposes.
Is this one of those 'teach an old dog new tricks' thingy's?
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Richard Harper" <rdharper@xxxx> wrote:
> Phsst;
>
> Here is the appropriate help section from the live screen:
> What is a stop or a stop-limit?
>
> Stop Order is a buy or sell order which automatically converts to a
market order and will buy and sell securities at the current MARKET
price once the order is triggered by the stop price. For OTC orders,
a stop order becomes a market order if either scenario takes place.
The stock is quoted (bid for sell stops and ask for buy stops) at your
stop price or actually trades at or through the stop price. For
listed stocks a customer is entitled to the next sale on the primary
market when the price trades at the stop price, providing there are
enough shares available at that price.
> A stop order may be a day order or a good til cancel order. A limit
order is not the same type of order as a stop order. Buy stop orders
are placed above the current offering price and sell stop orders are
placed below the current bid price. A stop order gives you the
opportunity to protect a profit or limit a loss on a security already
purchased. Be aware that significant, short term market movements may
trigger your stop order, creating an undesired/unwanted buy or sell.
Also, depending on market conditions and the fact that your order is a
market order, once triggered, there is no guarantee of what price it
will be executed at and can be several points away from the stop price.
>
> Stop Limit Order is an order to buy or sell a security at a
specified price or better (stop limit price), but only after a given
stop price has been reached or passed. It is a combination of a stop
order and a limit order. A stop limit order may be a day order or a
good til cancel order. Unlike a stop order which converts to a market
order once order is triggered by the stop price, a stop limit order
would only be executed at the limit price or better. As with any
order limited by price, the risk is that you have the opportunity that
your order would not be executed if the market price does not reach
the limit.
>
> Stop Orders and Stop Limit Orders are handled differently by the
exchanges and are considered "not held" orders. No priority is given
to these orders and you may not be executed, even if the stock is
trading at your price.
>
> ***NOTE: Stop orders must be placed at least .25 of a point below
the current bid or above the current ask. We have established this
guideline due to the possibility of the order being invalid if the
market price moves below the designated sell stop price or above the
buy stop price.
>
> ----- Original Message -----
> From: Phsst <phsst@xxxx>
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, February 23, 2003 5:16 PM
> Subject: [amibroker] Re: cannot buy on open
>
>
> <<Scottrade supports all but Mkt on Close, End of Week, End of Month.
> Nor trailing stops, the thing I'd like to see added next. The others
> are supported.>>
>
> I looked at the demo Scottrade online trade entry screen. It allows
> you to enter a Sell... Stop... GTC... order on an existing Long
> position, or a Buy to Cover... Stop... GTC order on an existing Short
> position. What the demo trade entry screen did not show was how to
> specify a Stop Price at which to execute the order.
>
> If a price specifier is available under the live trading system, then
> that is all you would need to implement Stop Loss orders, and then
> make them trailing by manually adjusting the Stop Price nightly or
> periodically.
>
> Hard to believe that Scottrade does not allow you to specify a Stop
> Price in the order entry screen.
>
> Phsst
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Richard Harper" <rdharper@xxxx>
wrote:
> > Phsst;
> >
> > Scottrade supports all but Mkt on Close, End of Week, End of Month.
> Nor trailing stops, the thing I'd like to see added next. The others
> are supported.
> >
> > Richard
> > ----- Original Message -----
> > From: Phsst <phsst@xxxx>
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Sunday, February 23, 2003 9:08 AM
> > Subject: [amibroker] Re: cannot buy on open
> >
> >
> > <<Would you mind sharing the name of the broker you use to
place these
> > orders?
> > I do not think I can do this with my current broker, Scottrade.>>
> >
> > Almost all brokers support the orders I use... Datek, RJT, ETrade,
> > AmeriTrade, etc. The Order parameters from Ameritrade include:
> >
> > Position - Buy, Sell, Sell Short, Cover
> > Terms - Market, Limit, Stop, Stop Limit
> > Good For - Day, GTC, Mkt on Close, End of Week, End of Month,
> > Good ThroughDate
> > Special - All or None, Do not Reduce, Fill or Kill,
> >
> > I rarely trade during the day, preferring to make my trading
decisions
> > using EOD data and placing those orders online that night for
next day
> > automatic execution.
> >
> > Each night I review all open positions and manually place (or
adjust)
> > trailing stop loss orders using 'Sell' / 'Stop' orders. I use GTC
> > orders for stop loss purposes so that if I happen to be away
for a day
> > or more, then I have absolute protection even though I may not
have
> > 'tweaked' the trailing limit price.
> >
> > Nothing fancy.
> >
> > But I want my backtesting software to be able to simulate all
of the
> > available EOD Order stradegies from within code or AFL without
having
> > to change parameter settings from a Settings window every time
I want
> > to test a new combination.
> >
> > Phsst
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Rik Rasmussen"
> <hrasmussen@xxxx> wrote:
> > > Phsst,
> > >
> > > Would you mind sharing the name of the broker you use to
place these
> > orders?
> > > I do not think I can do this with my current broker, Scottrade.
> > >
> > > Rik Rasmussen
> > >
> > >
> > > > -----Original Message-----
> > > > From: Phsst <phsst@xxxx> [mailto:phsst@x...]
> > > > Sent: Sunday, February 23, 2003 12:00 AM
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > Subject: [amibroker] Re: cannot buy on open
> > > >
> > > >
> > > > Yuki,
> > > >
> > > > I've read the previous posts on this subject and feel the
need to
> > > > contribute to your side of the issue:
> > > >
> > > > AB is almost bulletproof on the technical indicators and
triggers
> > > > needed to initiate backtest trades...
> > > >
> > > > HOWEVER, I find that the ENTRY / EXIT stradegies of AB are not
> > > > intuitive, and that a good bit of 'tweaking' and 'testing' is
> > > > necessary to even attempt to come close to real-world
orders for
> > > > entry/exit positions of securities.
> > > >
> > > > For example, for years I have traded certain strategies as
> follows:
> > > >
> > > > After hours Buy or Short Limit order @ todays (EOD) close or
> "BETTER @
> > > > OPEN".
> > > >
> > > > No StopLoss entered on day of order entry execution.
> > > >
> > > > After Mkt closes on day of order execution (and each day
> > > > thereafter)... place trailing stop loss order .10cents above
> or below
> > > > todays high or low (only if new stop moves in direction of
> position).
> > > >
> > > > The above has been a successful strategy with my own
backtesting
> > > > software and actual trading discipline.
> > > >
> > > > I cannot figure out how to accomplish the above in AB.
> > > >
> > > > And if folks are tolerant, I think I can come up with some
other
> > > > situations that have eluded me in past AB backtests that I can
> > > > accomplish with my own software.
> > > >
> > > > And for those who wonder why I fool around with AB... TJ has
> done an
> > > > unbelievable job on the many technical indicators that are
> needed to
> > > > setup entry and exit signals that my own software is not
> capable of.
> > > >
> > > > I tend to still rely upon my own backtesting (called
'SIM') for
> > > > verification of real trading stradegies, but only because I
> haven't
> > > > figured out the more esoteric issues of AB Order/Entry issues.
> > > >
> > > > Regards,
> > > >
> > > > Phsst
> >
> >
> > Yahoo! Groups Sponsor
> > ADVERTISEMENT
> >
> >
> >
> >
> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > (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 the Yahoo! Terms of
Service.
>
>
> Yahoo! Groups Sponsor
> ADVERTISEMENT
>
>
>
>
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (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 the Yahoo! Terms of Service.
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(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/
|