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Gary:
Well, if the stock doesn't move as you expected it to by a certain time
period, you just exit and get into another trade. The Turtles used that
technique. I think they set 2 or maybe 3 weeks to get out if the price just
didn't move at all. Assuming all other system signals are in place at the time
of the buy, I don't see any reason for not setting a time-based exit if the
stock simply doesn't behave the way it's supposed to. The position performance
simply failed, and since no stoploss has been triggered, you would just stagnate
if you stayed in the trade, so prudence says get out and wait for the next
signal on another stock. You're right, though: lots of options, no clear
solutions.
AV
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Gary
A. Serkhoshian
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, December 12, 2003 6:08
PM
Subject: Re: [amibroker] exiting flat
positions
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:
<BLOCKQUOTE class=replbq
>
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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