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Is there any code available for automatically building a watchlist
of best-performing "random" stocks that work for a specific system,
or would this be inviting too much curve-fitting into one's analysis?
~Brian
--- In amibroker@xxxxxxxxxxxxxxx, millowena@xxx wrote:
>
> Time frames have a bit to do with the problem, but the type of
instrument
> and its time in its cycle are also VERY important. For example,
some
> stocks are more predictable than others, and therefore lend
themselves to
> TA better than others. Then, the stock's behavior changes as a
function
> of its growth cycle and it will no longer be as easy to figure out.
>
> Millowena
>
> On Sat, 11 Mar 2006 19:13:18 -0800 (PST) kris45mar <kris45mar@xxx>
> writes:
> 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@xxx> 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@> 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@> 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@> 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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