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As I've stated before, I primarilly trade MF's where stops are
meaningless. About the only thing one could to provide a stop in
this arena is to buy puts or sell futures, neither of which I do.
--- In amibroker@xxxxxxxxxxxxxxx, "phsst" <phsst@xxxx> wrote:
> I see... then how do you accomplish 'mental' stopS in your
backtests?
> JUST KIDDING ;-)
>
> Phsst
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > 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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