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Hello, Peter.
I'm glad you posted this message because I think exits are THE most
important part of any system (in addition to money management code). Entries are
usually tested or evaluated using a timed exit, i.e., you exit x no. of bars
after the entry, x being the trade duration you wish to have your system invoke.
You only look at % winners to see if the percentage is high enough (perhaps
greater than 55% or so) that the entry has gotten you off in the right
direction. But the exit is what eventually makes you money, and from what I've
seen, most people give much more emphasis to entries than exits. That said, I
hope Howard Bandy is reading this because back around Dec 14, 2003, he
posted a version of PSAR that first TJ wrote but that he modified in which the
PSAR is initiated at one's point of choosing rather than the reversal point.
Unfortunately, it was only the long side. I was wondering if he has also written
the short side, too. Then, we could have a parabolic exit that is not tuned in
to strictly reversals but rather can be invoked at will in a non-reversal
system. That would be really cool to test as an exit. Howard, if you are
listening, have you done or do you plan to do this yet, i.e., write the short
side of the PSAR exit code? I'm not a good coder otherwise I'd do it
myself. Anyway, I am keen to watch what comes out of this thread, and I hope I
can contribute ideas as time goes on.
Regards,
Al Venosa
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=pcwinch@xxxxxxxxxxxxxxx
href="">pcwinch
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, January 09, 2004 4:36
PM
Subject: [amibroker] Exiting Trades
Hello Everyone.
I have been a AB user since 3.2 (approx) and I
have been away for a few years.
It is a pleasure to still see so many old faces,
excuse me Yuki, Dimitri....perhaps I should stop there. And how the
messaging has grown. It used to be good to get 5 a day, but now 70!!! a
day.
Anyway, I post today to suggest to everyone that
apart from a lot of noise about data purity and a few other things, everyone
is focussing on entries.
I should like to suggest that we should have a
small competition for those who like to program. The competition should
be on exits. I propose that a random entry should be made and then
everyones favourite gangbuster exit system be tested. I would be happy
to receive emails and I will test against a number of undisclosed share and
future OHLC data series with fixed entry points (also undisclosed) and report
which system or strategy of exit worked the best. I know this will blow
away all those systems that rely on "I make a fixed profit", or "I exit on a
x% retreat systems". But I think a simple line of code that is applied
to you exit code will accomodate that anyway.
The premise is that everyday you should ask
"would I enter this trade today if I wasn't already in it".. This is
challenging because you will quickly find out that there are gamblers amongst
you.
I don't want to enter all the pros and cons of
this idea, I could sit here and argue them all myself as many of you also
could. My intention is to get everyone of the gangbuster entry mania and
concentrate on preservation of wealth. In short, if I only ever lose on
very small amounts, but always hang there for profits we shall all see the
best ( most robust sustainable) strategy not the flukiest.
If it don't suit what you do fine, lets not argue
about it. If nothing else at least this post has made you think about
EXITS!
...and that's my cue to go...
bye
PeterSend BUG REPORTS to
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