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Funny, I was wondering how to do this EXACT thing just yesterday... I have a simple system that in backtest works quite well, but I noticed a fair number of brief whipsaw trades that, had a PSAR been in place, would have just been ignored... But since PSAR was always invoking as a reversal, it wouldn’t work properly. If someone has coded a PSAR flavor that initiates at the entry of the trade, and handles both long and short, boy would that be a fantastic tool to have.
Will watch this thread with interest...
Jonathan
On 1/9/04 3:55 PM, "Al Venosa" <advenosa@xxxxxxxxxxxx> wrote:
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
----- Original Message -----
From: pcwinch <mailto:pcwinch@xxxxxxxxxxxxxxx>
To: 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
Peter
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