|
PureBytes Links
Trading Reference Links
|
Fred,
Perhaps the term "extremely tight stops" means different things to
different people.
What kind of stop loss stradegy do you prefer?
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> Phsst,
>
> I disagree. It is not practical in the real world to use extremely
> tight stops. When you place stop loss orders the specialists by
> definition must know where they are and it's very easy for them to
> take the price of the stock down to where you order is, stop you out
> and then continue on. This is how they make their living.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "phsst" <phsst@xxxx> wrote:
> > Fred,
> >
> > You are correct.
> >
> > And while I did not articulate it very well, dd info in AB should
> not
> > be taken for granted.
> >
> > The most accurate trading systems developed in AB are those which
> > include STOPS so tight that the intra-trade variations in price are
> > accounted for in the exit stradegy.
> >
> > Regards,
> >
> > Phsst
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, Fred Tonetti <ftonetti@xxxx>
> wrote:
> > > Phsst & Others interested in this subject,
> > >
> > > One of the problems with taking information from even a detailed
> report
> > > in AB and exporting it to a CSV and then in turn importing into
> Excel is
> > > that although it will properly show the Entry Date & Price and
> Exit Date
> > > & Price, it does not show prices of whatever it is that's being
> traded
> > > during the bars in between the entry and exit, therefore there is
> no way
> > > using a methodology like that to come up with semi-accurate
> numbers for
> > > drawdowns .
> > >
> > > Example .
> > >
> > > For simplicity I used Pring's KST system trading AA i.e. only one
> stock
> > > ...
> > >
> > > As one can see from the report below there was a 7.1% CAR and
> 36.71%
> > > drawdown on a close to close basis.
> > >
> > > In looking at the Equity Line in the graph (attached) one can
> see here
> > > too that there were the same results.
> > >
> > > But if one does a copy of the actual detail trade information and
> paste
> > > into Excel (See Attached) and adds columns for max equity and
> drawdown%
> > > and then at the bottom of the column takes the maximum of
> drawdown%, the
> > > result shows an incorrectly low 27.67%. The reason of course is
> that
> > > the detailed report from AB and thus Excel does not show what
> happened
> > > during the course of time that individual trades were being held.
> > >
> > > In looking at what is in the AB reports when multiple stocks are
> traded
> > > some of which could be simultaneously or overlapping investments
> there
> > > are several problems.
> > >
> > > 1. AB apparently assumes that one must have enough capital to buy
> > > say $10k of every stock in the run and so it forces initial
> equity to be
> > > higher then it needs to be.
> > > 2. AB reports as MaxDD what is the MaxDD for one stock trade and
> > > although in some way this may be useful information it overstates
> what
> > > MaxDD is for the account. Beyond this though and given what
> information
> > > is available in the detailed report trading only one stock, it
> would not
> > > be possible to export all the trades for multiple stocks and get
> a semi
> > > clear picture of what Returns or MaxDD for the system is. This
> would
> > > have to be done using a different methodology, probably utilizing
> an
> > > exploration.
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Get a FREE REFINANCE QUOTE - click here!
http://us.click.yahoo.com/2CXtTB/ca0FAA/i5gGAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
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/
|