|
PureBytes Links
Trading Reference Links
|
Stop loss vs. stop limit?
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]On
Behalf Of intermilan04
Sent: Monday, April 17, 2006 7:52 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: System Performances
Fred,
Could you explain as to why 3% wouldn't always limit losses to 3%?
Assuming the stock has some volume (at least 100K), and I set stop
loss order as soon as I buy stocks...I'm not quite sure of the
circumstances where 3% stop loss would not work.
My system is a daytrading system so there is no gap ups and downs.
Regards,
intermilan04
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxx> 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.
> > > > > > > > >
> > > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
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/
|