|
PureBytes Links
Trading Reference Links
|
SPAM: -------------------- Start SpamAssassin results ----------------------
SPAM: This mail is probably spam. The original message has been altered
SPAM: so you can recognise or block similar unwanted mail in future.
SPAM: See http://spamassassin.org/tag/ for more details.
SPAM:
SPAM: Content analysis details: (5.10 hits, 5 required)
SPAM: NO_REAL_NAME (1.3 points) From: does not include a real name
SPAM: COMMENT (0.8 points) Found a Comment header
SPAM: TO_BE_REMOVED_REPLY (0.4 points) BODY: Says: "to be removed, reply via email" or similar
SPAM: SPAM_PHRASE_02_03 (0.8 points) BODY: Spam phrases score is 02 to 03 (medium)
SPAM: [score: 2]
SPAM: QUOTED_EMAIL_TEXT (-0.8 points) BODY: Contains what looks like a quoted email text
SPAM: MAILTO_TO_SPAM_ADDR (0.7 points) URI: Includes a link to a likely spammer email address
SPAM: FORGED_JUNO_RCVD (2.4 points) 'From' juno.com does not match 'Received' headers
SPAM: AWL (-0.5 points) AWL: Auto-whitelist adjustment
SPAM:
SPAM: -------------------- End of SpamAssassin results ---------------------
Most of the "big boys" know enough about the market to know where you and
a lot of others set their stops. They do not have to see them.
I try to stay out of the crowd.
Millowena
On Tue, 18 Apr 2006 12:44:49 -0000 "intermilan04"
<intermilan04@xxxxxxxxx> writes:
> 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
>
>
>
>
>
>
>
>
------------------------ 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/
|