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Hi Al,
I thought about that, too. However, it seems that a time-based stop doesn't tackle the heart of the issue which is position performance (or lack thereof).
Maybe gate the either a time stop or the stop Dave proposed if a certain performance threshold hasn't been met by a given time. But then, that gets us back to determining an intra-trade performance measure which seems to be the fundamental question.
If the methodology is completely systematized, this lack of performance will show up in the equity curve, and assuming we have broken below some minimum threshold objective function for the OOS results maybe it's time to trip the circuit breaker on the system?
Seems like a multitude of options with no one, clear solution.
Regards,
Gary
Al Venosa <advenosa@xxxxxxxxxxxx> wrote:
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
----- Original Message -----
From: Dave Merrill
To: amibroker@xxxxxxxxxxxxxxx
Sent: Friday, December 12, 2003 5:39 PM
Subject: RE: [amibroker] exiting flat positions
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.
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.
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.
Dave
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:
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 bugs@xxxxxxxxxxxxxSend SUGGESTIONS to suggest@xxxxxxxxxxxxx-----------------------------------------Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html Your use of Yahoo! Groups is subject to the Yahoo! Terms of
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