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10% was suggested by
Curtis Dahl when he published his book back around 1960, and Nicholas
Darvas used 10% stops. At that time, before the days of the PC,
markets were much less volatile and the trader had more time to make a
decision. More recently some people have told me numbers between 3% and
5%.
My own feeling is
that if any of your stocks are down 10% sell them, or if you can't bear to
give a sell order put in stop-loss orders.
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I don't think that
you need to do a formal back test to verify this
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<FONT face=Arial
size=2>Lionel
<FONT face=Tahoma
size=2>-----Original Message-----From: Dave Merrill
[mailto:dmerrill@xxxxxxx] Sent: Friday, August 29, 2003 10:19
AMTo: AmiBrokerSubject: [amibroker] detecting "basket"
performance in a backtestwhen using an overall market
timing signal plus some strategy to pickspecific stocks, someone on another
list proposed that if the overallperformance of all stocks purchased at that
time dropped by some amount (10%say), the whole basket should be dumped. the
theory is that the overallmarket signal was "wrong".is there any way
to backtest this kind of behavior in AB? how can I accessthe value of all
stocks currently held?thanks,Dave MerrillSend
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