|
PureBytes Links
Trading Reference Links
|
With a 3% stop loss you can have the "Big Boys" eat you up each time you
place the stop. Making your position stop out each time. And on the real
down side you can have them bring the stock under your position making your
loss 5% too.
Personally one needs to do what makes them comfortable, however placing
such a tight stop on any trade in my opinion would hurt one in the long run
and not help
Mark
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of intermilan04
Sent: Tuesday, April 18, 2006 8:02 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: System Performances
Postscript:
I did not mean to say that 3% stop loss is the universal best solution.
I meant that having a stop-loss order is the best way to preserve your
capital.
--- In amibroker@xxxxxxxxxxxxxxx, "intermilan04" <intermilan04@xxx> wrote:
>
> Hi Yuki,
>
> Thank you for your thorough reply.
>
> While I agree with a wide bid/ask spread and orders appearing and
> vanishing at incredible pace, I still think that having some kind of
> stop-loss measure is a valuable strategy. IMO, just as likely as you
> stop out lower than 3%, you can stop out higher than 3% (I've seen
> that to happen on my position before). A 3% stop-loss order might not
> get you out at 3% all the time, but it is the best one can do to limit
> the loss.
>
> Regards,
>
> intermilan04
>
> --- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga <yukitaga@> wrote:
> >
> > Hi intermilan04,
> >
> > Let me take a shot at that one. ^_^
> >
> > At least here, there are *plenty* of stocks with a wide bid/ask
> > spread, even stocks that trade 10 million shares or more a day. It
> > depends on the stock, and on the time of day, and on the overall
> > market.
> >
> > Moreover, even with bids and offers up and down the line, you might
> > be *amazed* at how quickly those bids can vanish in response to some
> > negative event, or how one really *large* at market offer (not
> > yours), or a bunch of at market orders hitting at the same time, can
> > move the stock suddenly out of the congestion zone, where there are
> > air pockets galore. Your stop has to be "at market" of course (not
> > stop-limit), or you have no assurance of ever getting out. Most
> > people don't have privileges to see the entire bid-ask tree. They
> > don't see the (sometimes *huge*) air pockets that are lurking above
> > and below the current congestion zone. A stop loss at market only
> > guarantees you'll get out. It absolutely does *not* guarantee you'll
> > get out at some minimum percentage loss. Often? Maybe. But you
> > can't bank on it. And the problem is, when you really need it,
> > that's when it becomes problematic.
> >
> > Yuki
> >
> > Tuesday, April 18, 2006, 11:52:06 AM, you wrote:
> >
> > i> Fred,
> >
> > i> Could you explain as to why 3% wouldn't always limit losses to 3%?
> > i> Assuming the stock has some volume (at least 100K), and I set stop
> > i> loss order as soon as I buy stocks...I'm not quite sure of the
> > i> circumstances where 3% stop loss would not work.
> >
> > i> My system is a daytrading system so there is no gap ups and downs.
> >
> > i> Regards,
> >
> > i> intermilan04
> >
> > i> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@> wrote:
> > >>
> > >> Just keep in mind that a 3% stop loss does not necessarily limit
> > >> losses to 3% ...
> > >>
> > >> --- In amibroker@xxxxxxxxxxxxxxx, "intermilan04" <intermilan04@>
> > >> 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.
> > >> > > > > > > > >
> > >> > > > > > > >
> > >> > > > > > >
> > >> > > > > >
> > >> > > > >
> > >> > > >
> > >> > >
> > >> >
> > >>
> >
> >
> >
> >
> >
> >
> >
> > i> Please note that this group is for discussion between users only.
> >
> > i> To get support from AmiBroker please send an e-mail directly to
> > i> SUPPORT {at} amibroker.com
> >
> > i> For other support material please check also:
> > i> http://www.amibroker.com/support.html
> >
>
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|