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Ive never used stop loss orders beyond mental ones. As I've stated
before stop loss orders don't work in the real world the way they
work in trading systems for a variety of reasons including opening
gaps, specialist activity etc. among others and there's really no way
to simulate at least the specialist/market maker activity.
--- In amibroker@xxxxxxxxxxxxxxx, "phsst" <phsst@xxxx> wrote:
> 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.
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