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Jerome,
Exit strategies would vary depending upon the 'character' of the trade.
For example, 'precision' trades (like a pullback to the 20dema) should
probably have a very tight stop, like LLV(Low, -<some # days>) minus
<some figure>, ie. LLV(Low,2) - 0.25; or Ref(Low, -1) - 0.2; or
whatever. Some traders prefer an adjustable 'figure' based upon stock
price. This type of stop should get you out of losers quickly while
letting winners run about twice as long.
Short term trades (15 to 30 days) could use a less constrictive stop
like SAR or MA Xover, or even a larger 'figure' associated with the
precision trade stop type mentioned above. At first glance, SAR seems
to be a little riskier than most people want, but when applied to
'strong' stocks I've got some good SAR backtest results without
encountering an excessive amount of risk. (but risk is measured in the
eyes of the beholder)
Intermediate and long term trades need 'breathing room'. These are
more difficult to time, so to starting with a stop set just below a
support area might be appropriate, and then move it up with time and
profits.
Since this is a trade management thread, the really important thing is
to USE STOPS. To my mind, STOPS are the single best element of good
trade management.
And since you have AB, test taking partial profits at various points
in the trade.
One final comment, the next release of AB should make it very easy to
gauge the effectiveness of your money management / risk control
backtesting efforts on portfolio backtests.
Finished rambling... Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Silvarius" <silvarius@xxxx> wrote:
> Phsst,
>
> Thank you for you post.
>
> Could you tell us what type of stops you have backtested other than
fixed
> and ATR based ?
>
> Best regards, Jérôme ULRICH
> -----Message d'origine-----
> De : Phsst [mailto:phsst@x...]
> Envoyé : mercredi 24 septembre 2003 05:21
> À : amibroker@xxxxxxxxxxxxxxx
> Objet : [amibroker] Re: Position Sizing, math, and profits
>
>
>
> In all fairness to your approach, I have not backtested ATR
> positionsizing (which I intend to do). But I have backtested limiting
> losses to a fixed percentage, and to date, fixed percentage stop loss
> strategies are inferior to other stop loss methodologies.
>
> Regards,
>
> Phsst
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