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b,
Interesting questions... I certainly don't claim to have answers, but
may be we should start from the top? How do you determine that an
exit signal "doesn't work"? What tests do you run to determine that?
Portfolio simulation?
Jitu
--- In amibroker@xxxxxxxxxxxxxxx, b <b519b@xxxx> wrote:
> 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@xxxx> 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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