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Hi Herman,
I have the same basic experience with stop.
Invariably they diminish the system.
Am intrigued with your profit stops.
How do you determine a profit stop ... Support
resistance levels, fibs???
Have a great day
Ara
----- Original Message -----
Sent: Saturday, March 11, 2006 4:56
AM
Subject: RE: [amibroker] Short system
advice?
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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