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If you
get a "signal" then this is based on the translation of some logical assumption
into a formula. If the trade doesn't do what the pattern normally predicts then
it "fails" and you should get out, there will be another trade. I never
worry about missing a trade. People may differ on this but I don't think
there are any general rules for profit/loss magnitudes. Let price movement alone
determine your actions, not some arbitrary rule you apply to
everything.
fwiw,
there are way more experience traders on this list that can give you better
advice - for me it is mostly a game.
best
regards,
herman
Herman,
I'm curious -- have you found
that most trades (all products, all
exchanges) should be dumped within a
certain % profit zone? Does
this zone change from exchange to exchange, or
by other factors? Or
are you determining this based on an analysis of each
individual
stock, prior to trading it?
What are people finding to
be the best method?
I will be working with profit stops alongside stop
losses, in
optimization. I used to do that a few years ago, but stopped
for
some reason -- I think I may have gotten poor results at the time,
with them. Will look at it
again.
Thanks,
Brian
--- In
amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
<psytek@xxx>
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
>
>
> -----Original
Message-----
> From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]On
> Behalf Of
kris45mar
> Sent: Saturday, March 11, 2006 7:29
AM
> To: amibroker@xxxxxxxxxxxxxxx
>
Subject: RE: [amibroker] Short system advice?
>
>
> 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@xxx>
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
> -----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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