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Just keep in mind that a 3% stop loss does not necessarily limit
losses to 3% ...
--- In amibroker@xxxxxxxxxxxxxxx, "intermilan04" <intermilan04@xxx>
wrote:
>
> Phsst,
>
> I don't like the trade drawdown more than the system drawdown. I
used
> to think that having a large trade drawdown was OK as long as the
> system drawdown was small, and I think I was wrong.
>
> As a daytrader I take and close out positions daily. Imagine having
> lost 7% on a single trade and having to close out the position at
the
> end of the day...you just registered a huge loss. You are left with
> negative emotion, frustrated because of the lost money. You start
to
> worry about your trading capability and such. I know it's
> psychological stuff but quite important one IMO.
>
> So, as I mentioned earlier I limit my loss at 3%, no matter what.
For
> whatever reason or for no reason, if stock moves 3% against me, I
get
> out. I'd rather not lose 3%, but settling for a 3% loss is
certainly
> better than not having a stop and have a potential to lose big.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@> wrote:
> >
> > Fred's point is accurate IMO....
> >
> > If the Trader has spent blood, sweat and tears over a period of
years
> > building up a serious trading equity, then a 28% System Drawdown
would
> > be demoralizing (only after causing a serious case of "Butt
Pucker").
> >
> > A subsequent post from Ed showed a 'Max Sys DD = -3.6%', but only
> > included 48 trades... which because of the small number of trades
> > seemed to me to be statistically irrelevant.
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@> wrote:
> > >
> > > A Comment and a suggestion ...
> > >
> > > - DrawDowns ... I could be wrong but I suspect most people
can't
> > > tolerate 28% DD's ... To bring that number down to the point
where
> > > at least some people would be comfortable with it using real
money
> > > one would I think have to cut it half. Doing that with an
existing
> > > system by restricting how invested one is will result in the
CAR
> > > being reduced to the square root of its original number.
> > >
> > > - Objective Testing ... Take your data, cut in half ...
Optimize
> > > your system over half of the data and then test the parameter
values
> > > on the other half. This rudimentary view of out of sample
testing
> > > will give you some idea of what you are likely to experience in
real
> > > trading as opposed to totally in sample results.
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "intermilan04"
<intermilan04@>
> > > wrote:
> > > >
> > > > Since I have optimized my system between 1996-2006, I guess
the
> > > > answer would be the same time period.
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@> wrote:
> > > > >
> > > > > That doesn't answer my question ...
> > > > >
> > > > > In the development of the system what range of data ( time
> > > period )
> > > > > did you use ? The same time period ? An earlier one ?
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "intermilan04"
<intermilan04@>
> > > > > wrote:
> > > > > >
> > > > > > The numbers are the result of backtesting my system with
> > > > > > NASDAQ and NYSE tickers (around 7000 tickers) between
> > > > > > 1996/1/1~2006/1/1.
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@>
wrote:
> > > > > > >
> > > > > > > Are the numbers you posted in sample or out of sample ?
> > > > > > >
> > > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "intermilan04"
> > > <intermilan04@>
> > > > > > > wrote:
> > > > > > > >
> > > > > > > > I know it depends on what you want personally for
> > > risk/reward,
> > > > > but
> > > > > > > I'm
> > > > > > > > curious as to what other people's systems (developed
in
> > > > > Amibroker)
> > > > > > > are
> > > > > > > > performing like. You don't have to share your code or
the
> > > idea
> > > > > behind
> > > > > > > > your system (unless you want to), but I'm curious.
> > > > > > > >
> > > > > > > > Over the last 10 years, say, what is your annual
profit %,
> > > max
> > > > > > > > drawdown, % winning trades, etc.?
> > > > > > > >
> > > > > > > > I have a long system that has returned around 110%
since
> > > > > 1996. Its
> > > > > > > > winning % is 47%, and the system drawdown is 28%. It
is a
> > > > > > > > reversal-based, swing-daytrade system.
> > > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
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