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B,
Do not agonise...it may sort itself out.
Exiting earlier may reduce drawdowns, you may be able to shift more money into
better trades elsewhere. I do not see any intuitiveness here in what you
say, and the only way to find out is to do it. We could debate till the
cows come home, but easiest just to try and get it to work. If you get out
of a trade that later goes onwards and upwards, oh well that is life, but your
money presumably went into something else. Just be zen, nobody expects to
get the bottoms and tops anyway. It might be surprising how much better
your overall outcome could be even if a small reduction in DD is made because of
the benefit of compounding..
OK?
Peter
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
b
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, January 12, 2004 8:36
AM
Subject: [amibroker] Exit Study - A
conceptual question
Howard,That is impressive looking code. It will
help me pick upsome coding technique in addition to providing a tool
forevaluating stops and exits.I think you have zeroed in on an
often neglected area oftrading - exits. It is an area where I have so far
taken avery simple approach: aside from stop loss exits, I usuallyrely
on market timing signals for trade exits.But as I attempt to set up a
test for my market timingexits I find myself in a bit of conceptual
puzzle. AlthoughI use some qualifying filter to improve the efficiency
ofthe entries, but these systems work because they stay insustained
trends. Any exit before the market trend is overis "bad" in the sense that
it removes profit potential ofthe overall system. That is because, if a
trade is exitedin mid market trend, my systems do not have a reentry
rule.Without running any test code I already know the
exitsappear to be "inefficient" on a trade by trade basis but ifI were
to make them more efficient on a trade by tradebasis, the over all system
will suffer (because the overallsystem only enters at market turns). I
think I am repeatingmyself. Let me put this another way, it
appears to me that thevalue of the exit for my market trend following
systemslies in the fact that they allow the market trend entriesto be
used. Thus, I can not see how I can do any relevant testing of
myexits by using random entries (or perfectly good orperfectly bad
entries)? Am I missing something?Can you, or anyone, provide a hint
how I mgiht get out ofmy 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-streamname=Sys__Parabolic Stop and Profit
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