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Hi
Chris,
Yes i
like to develop short term systems: the shorter the better, usually 1-10
minute trades. imo, The significance of a signal fades quickly. And
yes, I meant ApplyStop() type stops where you set the position to close at
a given % trade DD. Invariably maxloss stops make me "lock in Losses" and
the price goes my way after I close the position. I don't use complicated
stops and perhaps that is the problem. I find it better to develop system
without and kind of profit/loss stops, just the basic system working on signals
only. Almost always after i have that working adding profit stops will increase
profits and adding Max Loss stops decrease profits.
best
regards,
herman
Herman
Could I trouble you to expand on
that briefly?:
by "max stop loss" I presume you mean an initial capital
protection as per
Applystop(stoptypeloss,...,......) or similar.
or
do you mean trailing stops as in
Applystop(stoptypetrailing,..., ..., ...
?
I appreciate your systems may be shorter term, rather than
longer.
Only ask because this w/e I have been reviewing all my trades
since Jan 2004 (ASX markets, stocks, long only, trend following) and found
that it is my trailing stops (whatever volatility parameter), that curtailed
my results, (together with emotions etc but that is another story). I might
look at locking in the stop at breakeven, then only trailing when there is a
pattern/retracement/consolidation above each successive R-multiple profit
level, starting at 3R. This would have served me far better in the trending
market we have experienced over the last few years.
I am beginning to
think that for shorter term systems, initial Capital protection stops may
prematurely halt the cyclical nature of whatever is causing the system to
work, but need to get to grips with more coding and backtesting skills to
confim this.
Your comments would be most
appreciated.
ChrisB
Herman van den Bergen
<psytek@xxxxxxxx> wrote:
stocks have "character" some work Long and some work short and some
work both ways. Same wrt rhythmic and other characteristics...imho there is
no reason why we should assume any characteristic to be permanent or common
to a large population.
When designing a system I try to find similar performance for
Long and Short, this gives me more confidence that I won't go broke in a
strong trend. Systems that only work Long or Short make me nervous as I
worry that they will stop working abruptly. Sometimes, most of the time I should say... it is
necessary to adjust parameters individually for long and short. I try
to develop systems that give me thousands of trades (minute time frame)
and produce a nice smooth surfaces on the 3D charts. I never trust systems
that give me more than one significant hotspot.
wrt indicator, I don't use any. I trade only very short term patterns
- I am a skeptic on the use of traditional indicators. Never got any to work
well - probably because I don't have the patience (or nerve) to sit through
long trades and through major DDs.
tips? don't use any max loss stops, imho they kill systems. Use
profit stops instead. Design both Entries and exits individually, only
rarely will an entry rule give same performance as an exit rule. The
exception to this may be high speed automated reversal trading systems
(50-100 trades a day) that are in the market full time
jmo... from a developer's viewpoint, I enjoy development more than
trading :-)
herman
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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