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Howard,
That is impressive looking code. It will help me pick up
some coding technique in addition to providing a tool for
evaluating stops and exits.
I think you have zeroed in on an often neglected area of
trading - exits. It is an area where I have so far taken a
very simple approach: aside from stop loss exits, I usually
rely on market timing signals for trade exits.
But as I attempt to set up a test for my market timing
exits I find myself in a bit of conceptual puzzle. Although
I use some qualifying filter to improve the efficiency of
the entries, but these systems work because they stay in
sustained trends. Any exit before the market trend is over
is "bad" in the sense that it removes profit potential of
the overall system. That is because, if a trade is exited
in mid market trend, my systems do not have a reentry rule.
Without running any test code I already know the exits
appear to be "inefficient" on a trade by trade basis but if
I were to make them more efficient on a trade by trade
basis, the over all system will suffer (because the overall
system only enters at market turns). I think I am repeating
myself.
Let me put this another way, it appears to me that the
value of the exit for my market trend following systems
lies in the fact that they allow the market trend entries
to be used.
Thus, I can not see how I can do any relevant testing of my
exits by using random entries (or perfectly good or
perfectly bad entries)? Am I missing something?
Can you, or anyone, provide a hint how I mgiht get out of
my conceptual maze?
Thanks in advance.
b
--- Howard Bandy <howardbandy@xxxxxxxxx> wrote:
> Greetings all --
>
> Included with this message is my code for application of
> parabolic stop
> exits and profit target limit exits. This version is a
> lot more complex
> than the version I posted on December 14, 2003. This
> version handles both
> long and short trades. The comment section at the
> beginning of the code
> gives the details.
>
> I have examined "scans", "explorations" and "trade lists"
> for many tickers
> and believe that all the code is consistent. If any of
> you find any errors,
> please let me know as soon as possible so I can correct
> them.
>
> There are many ways to set the initial conditions for the
> parabolic stop.
> In this version, I set it a multiple of the three day ATR
> away from the
> entry. As the trade progresses, the stop moves upward
> (for a long trade),
> creating a floor under the trade.
>
> There are many ways to set up a profit target (limit
> order) exit. In this
> version, I set it at 7% above (for a long trade) the
> entry. As the trade
> progresses, if the closing prices continue to increase,
> the limit stays at
> its initial value. If the closing prices start moving
> away from the limit
> price, the limit moves closer each day. Eventually the
> stop order and limit
> order will converge and force the exit.
>
> Here is a tool to test exits. The code enters based on a
> moving average
> crossover, but also includes "commented out" code for
> perfect (good)
> entries, perfect (bad) entries, and random entries. So
> you can try out any
> pattern or indicator scheme or random with ease.
>
> OK Guys, and Gals. Let's hear about the performance of
> some of the exits
> you have been thinking about. Let me recommend that all
> posts regarding
> this study have "Exit Study" in the subject line.
>
> If anyone has an idea that they cannot get to work, send
> it on to me and
> I'll code it up. I hope there will be lots of public
> postings, but I will
> respect requests for confidentiality.
>
> Thanks,
> Howard
>
>
> ATTACHMENT part 2 application/octet-stream
name=Sys__Parabolic Stop and Profit Target.afl
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