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I
simply try to trade price patterns based on a handfull of minute bars... I
expect profitable conditions to exist early in the trade, not near the end.
If a trade doesn't behave as expected soon i feel like gambling, or trying
to get lucky, and I rather get out and wait for another opportunity.
While
this may sound easy it isn't and a lot of work goes into peripheral code to
trade patterns automatically.
best
regards,
herman
Herman,
thanks for the
reply.
Presumably one would have a high win ratio (% of winners) with
these short term systems, and smaller pay off ratios?
When exits are
based on price action or price targets alone, and they do not reach the profit
target, would you use a time based stop?
If not then one could assume
we could use oscillators that will continue to oscillate and return a sell
signal, even if price does not reach the target?
Or indicators that
have a time based decay such as parabolic
SAR?
ChrisB
Herman van den Bergen
<psytek@xxxxxxxx> wrote:
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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