|
PureBytes Links
Trading Reference Links
|
Hi Mark,
I apologize if my understanding of a stop order is wrong, but here it is:
When I place a stop order (not stop-limit order), the order is
invisible to the market. Once my stop trigger is hit, it appears to
the market as a market order.
If my understanding above is correct, I need not worry about the "Big
Boys" because they have no way to tell I have such a stop loss measure
in place.
As for the tightness of stop, I think 3% is quite deep of a pocket for
a daytrade.
One needs to assess the length of holding time and volatility of
stocks to find out the right stop amount. If I were to swing trade, I
certainly would not use 3%.
--- In amibroker@xxxxxxxxxxxxxxx, "MailYahoo" <MailYahoo@xxx> wrote:
>
> 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@> 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
>
------------------------ Yahoo! Groups Sponsor --------------------~-->
GFT Forex Trading Accounts As low as $250 with up to 400:1 Leverage. Free Demo.
http://us.click.yahoo.com/lpv1TA/jlQNAA/U1CZAA/GHeqlB/TM
--------------------------------------------------------------------~->
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/
|