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Re: [amibroker] exiting flat positions



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Dave:
 
Why not try a simple Nbar exit, like:
 
nBar=Optimize("nbar",6,1,15,1);  ApplyStop( stopTypeNBar, 
stopModeBars, nbar);   
I don't know what your average trade duration is, but whatever it is, you 
can set Nbar to get you out at some time point near your average trade length 
(or min or max or whatever) if the stock does not move. This plus the 
combination of a max stoploss to get you out if the stock moves against you and 
a trailing stop to get you out with a profit or a profit target stop might get 
you what you want. 
 
Al Venosa
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  Dave Merrill 
  
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Friday, December 12, 2003 5:39 
  PM
  Subject: RE: [amibroker] exiting flat 
  positions
  
  <SPAN 
  class=711043222-12122003>Hi Gary, I saw your EI post and want to investigate, 
  but unless I'm misunderstanding something, that's not the issue I'm trying to 
  get at. It seems like you'd use EI to put you in stocks that move 
  without big changes in volatility, which I'd think would allow more tailored 
  stops, among other things.
  <SPAN 
  class=711043222-12122003> 
  <SPAN 
  class=711043222-12122003>What I'm wondering about is positions that don't move 
  at all, or stop moving after you've held them a while. For instance, say you 
  get a great bump up immediately after entry, then it just sits there flat. 
  Doesn't hit a stop since it's not falling, didn't go high enough to hit a 
  target if you have one, just sits.
  <SPAN 
  class=711043222-12122003> 
  <SPAN 
  class=711043222-12122003>My code was an effort at kicking positions like that 
  out the door at some point, so their capital can be used for other things. It 
  didn't test out profitably in the context I checked it though. Not sure what 
  that means.
  <SPAN 
  class=711043222-12122003> 
  <SPAN 
  class=711043222-12122003>Dave
  <SPAN 
  class=711043222-12122003> 
  <BLOCKQUOTE dir=ltr 
  >
    I like your code, and your idea.  In terms of an alternative, Al 
    posted Tharpe's Efficiency Index which addresses chop.  Here's his code 
    and explaination. Regards,
    Gary
     
    Effiency Index (EI) = (C - ref(C,-x)/ATR(x)
    
    An efficient stock is a stock whose price movements are high 
    relative to its volatility changes (i.e., the price change is high but the 
    volatility change is minor). So, if a stock increases by 3 points while its 
    volatility only increases a little, that's good because it gives you greater 
    profitability at a given volatility.
    
    I think the way you would use it would be as a boolean Buy (or 
    Short) qualifier. In other words, something like this:
    Buy = <your normal buy rules> AND EI > y; //where y 
    is an optimizable variable.Dave Merrill 
    <dmerrill@xxxxxxx> wrote:
    <BLOCKQUOTE class=replbq 
    >Obviously, 
      losses are a problem. But so are positions that hang in thereforever 
      taking up available cash but going nowhere, without hitting 
      profittargets or stops.How would you code that, assuming 
      you're dealing with a system that tries todump losers but let winners 
      run as long as they're advancing.I tried starting from a modest 
      stoploss, with the stop percentage advancingevery day until it becomes 
      negative, enforcing the requirement to make aprofit or get off the 
      bus. I'm not certain, but I think it's working, justnot very 
      profitable in the context I tried it:.Here's the 
      code:----------------bars_since_buy = NZ(BarsSince(buy), 
      BarCount);bars_since_short = NZ(BarsSince(short), 
      BarCount);bars_since_entry = IIf(bars_since_buy < bars_since_short, 
      bars_since_buy,bars_since_short);stoploss_rise = 
      Optimize("stoploss rise", .5, .1, 1, .1);stoploss = 13 - 
      (stoploss_rise * bars_since_entry);ApplyStop(stopTypeLoss, 
      stopModePercent, stoploss, false, true, 
      0);----------------Anyone see any problems with the 
      implementation? Any other ideas foravoiding sitting in stagnant 
      positions?DaveSend BUG REPORTS to 
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