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RE: [amibroker] Re: Short system advice?



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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 
 
 
 
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]On Behalf Of Brian
Sent: Saturday, March 11, 2006 11:50 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Short system advice?

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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