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<<Is this one of those 'teach an old dog new tricks' thingy's?>>
Wait a minute... I do remember that last year Datek implemented an
automatic 'trailing stop loss' order. So I assume that is what some of
the add on messages to this thread were referring to.
If that is where the confusion arose, then I apologize.
But my own impression of the Datek auto trailing stop loss order
capability was that it was pretty crude and lacked the granularity
that a serious trader would want to use for profitable trade
management purposes.
Sorry to have slow on the uptake.
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Phsst <phsst@xxxx>" <phsst@xxxx> wrote:
> 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
> > >
> > >
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