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I don't remember, either. Sorry. I simply remember that if their expected
trend faltered but the price still didn't trigger a max stoploss either, they
would get out. I'd have to go back and read it again to find out what they based
it on, but I'm disinclined to do so at the moment. I suspect, as you did, that
it was based on ATR in some way (like if the price didn't move by 1 or 2 ATR in
2 weeks, exit). You're welcome about the money mgt. stuff. It's kind of a
passion with me.
I'm not sure MFE would do the trick, either. MFE is the maximum favorable
excursion (upward price movement if long), and Dave's example was when the price
wasn't doing diddly squat. Unless you mean that, if the price didn't reach, say,
0.5*MFE by, say, 1 week from now, get out. Is that what you mean? Don't know the
answer.
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Gary
A. Serkhoshian
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, December 12, 2003 6:29
PM
Subject: Re: [amibroker] exiting flat
positions
Hi Al,
Not to sound Clintonesque, but how did the turtles define "move" as in
"they set 2 or maybe 3 weeks to get out if the price just didn't move at
all". I think it was ATR based as were most of their targets and stops.
Don't quite remember.
Maybe MFE is the answer? Just thinking aloud, and sucking up everyone's
extra bandwidth. BTW, thanks for posting all that stuff on Tharpe.
Very helpful.
Kind Regards,
GaryAl Venosa <advenosa@xxxxxxxxxxxx>
wrote:
<BLOCKQUOTE class=replbq
>
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:
<A title=serkhoshian777@xxxxxxxxx
href="">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
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