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I have a couple of systems that work very well with giving buy and
sell/short signals (although I need to alter some parameters slightly
depending on if I am testing for long vs short). They absolutely shine with
the indices or etfs, but are HORRIBLE with individual stocks. I think that
is to be expected...every security has its own psychology behind it and
hence the need for software like AmiBroker in helping to identify that
psychology. That said, what works for a given security may also work well
for other stocks that fall within the same sector. I have also found that
just about every system can be improved upon with a good money management
policy applied to it. It would be a mistake I think to implement a system
with out a sound exit/stop/loss policy.
Those are the quick advice I can give...they may be common sense to most I
suppose.
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of Brian
Sent: Thursday, March 09, 2006 2:12 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Short system advice?
I have some nice, well-tested long systems in place. I was surprised
when testing my discretionary systems, to find that none of my short
signals performed nearly as well as the long signals, in the
optimization/backtest/monte carlo simulations.
Is this common?
In addition, I am looking for some ideas around what indicators to use
as the foundation for building an adequate short system. Any ideas? I
did some searches on previous messages here, and did not find anything
of value. General rules of thumb, and bits of experiential wisdom, are
also welcome -- as they apply to short systems.
Thanks in advance,
Brian
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