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Brian
Many thanks for this input.
Much to think about.
Off to do some homework....
ChrisB
Brian <brianrichard99@xxxxxxxxxxx> wrote: ChrisB,
--- In amibroker@xxxxxxxxxxxxxxx, kris45mar <kris45mar@xxx> wrote:
>
> 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.
>
RESPONSE: I built a
separate optimized system using the same
indicators for weekly and daily trades. One system is weekly and
focuses on identifying the current trend. This system may be used on
a variey of custom watchlists I created using TC2005 EOD data. This
data includes the automatic organization of sectors and indexes in
AB. So I can easily use my system on sectors.
Woodies CCI is the nice one to use. It takes time to learn it. I
know several people who claim to use only that indicator, but I
asked them if they were profitable and most of them said "no." They
were mostly intraday traders though. I find weekly trading to be the
most profitable by far. Depends on your style. I recommend starting
with weely trades with any system and then fine-tuning it for
shorter timeframes to see if you can papertrade it a bit faster and
make more profits because of compounded profits.
> 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.
RESPONSE: Woodies CCI is for any timeframe and it should be used
alone when done properly (the creator says this way makes the most
profit). I do not use it alone because I think each indicator has
inherent "flaws" which is why it's better to look at each
indicator's signal separately, and then give it a weight.
>
> 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?
RESPONSE: For clarification, I wouldn't break them down by number of
bars since opening the trade; I would break them down by period
length and a visual inspection of whether the indicator is leading
or lagging.
>
> 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.
RESPONSE: Simply put, I recommend including optimization tests for
profit stops, stop losses, and also closing a trade after X number
of bars.
>
> Thanks again.
DE NADA AMIGO.
>
> 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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