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Thanks Brian.
Reading between the lines you have a weekly system which works well with trend orientated entry and exit signals. Does this mean you have different types of entry and exit signals for daily of intraday systems? and would one see a different class of entry signal with regard to say intraday trading versus longer term trending. Haven't look at CCI yet although have seen much written about it here.
I guess the stage I am at is saying ok enough of this discretionary stuff, let's put together some ideas for a system: and then finding out there are *many many* ideas out there with which to work. With the power of AB and all these options I feel like a kid in a lolly shop. I would like to limit my system to an EOD stock trading system, long only. Is Woodie's CCI intended for a specific time frame? Will have a look at it anyway.
I guess what I am asking you, and any one who wishes to chip in, is this: are there different
categories of entry / exit signals one should look at depending on one's chosen time frame?
You comments also imply that one should, as Herman indicated, select a timeframe to trade, take the signal, and if there is not the expected result within that chosen timeframe, then use a time based exit signal.
Thanks again.
ChrisB
Brian <brianrichard99@xxxxxxxxxxx> wrote: ChrisB,
I am finding through optimization results that a time period should
be used to determine when to get out of a trade placed according to
a TREND -based buy signal.
I am also finding that oscillator signals work great for determining
exits. My favorite is the % Bollinger Band, for doing this, although
I mix it with two other indicators that confirm the %BB signal
(it's
all determined by the % results for each signal, after everything is
weighted and combined.
Overall, though, I get more profit with weekly trades over anything
else. So I am obviously trend oriented. The oscillators are good for
daily entry points, within the trend. Woodies CCI is great for
seeing the dips which are then confirmed by other oscillators~
The goal of course being to reduce the risk, and not build some
super-fancy over-optimized system. When given the choice to select a
type of indicator or signal amongst a group of nicely-performing
signals, I always favor items that will naturally support my
discretionary style. Whatever reduces the emotions to a feeling of
trust in the numbers...
~Brian
--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
<psytek@xxx> wrote:
>
> 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
>
>
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]On
> Behalf Of kris45mar
> Sent: Saturday, March 11, 2006 10:41 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Short system advice?
>
>
> 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@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
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