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Phsst and Dingo and Mark,
I have backtested using a trailing 10% stop and a
10% stop. Both were terrible. My profits were considerably less. I had more
trades and my winning % dropped. I didn't write down the figures because they
were terrible. I guess that my formula requires that you handle the losses to
work. As I said in my last post, I will try to improve it. I did backtest it
using $100000 from 9/28/82 until 12/31/1999 to see what happen before 2000. The
results were
Profit = 523,614
Annual return = 25.78% Winning % = 77.08
System DD = 38.52
Basically it is the same. Therefore, it was
consistant for over 20 years. The only problem is the risk. I will work on it
and post the results if and when I improve them.
Thanks again,
Tom
Subject: [amibroker] Re: Is this a good
system?
> Dingo mentioned stops. You could try percentage
loss, either fixed
or a function of ATR....
My own experience with
stops on actual individual trades (and
backtested results) over quite a
long period of time has proven that
no matter how well you engineer your
stop loss system, you are going
to experience the occasional 35% to 60%
'overnight' loss on individual
stocks that either announce poor guidance or
that have been the
victims of targeted attacks from short sellers who have
managed to
locate a public 'mouthpiece' to publicize their
'rumors'.
Back in the middle to late 80's, a fella named Dan Dorfman on
CNBC
used to regularly cost me high percentage losses on my
individual
stocks by broadcasting rumors that were fed to him by people
that I
later learned were manipulators who had channels to Dorfman in
order
to publicize the messages they wanted publicized.
The smaller
the number of trades in your system, the more closely the
correlation will
be between MaxTradeDD and MaxSysDD.
In my systems, I seek larger number
of trades so that the occasional
50% "Trade" drawdown is offset by the
greater number of trades whose
stability prevents a large MaxSystemDD as a
result of individual Trade
Drawdowns.
Insofar as Dingos comments
about 5% and 10% system drawdowns, I agree
with him.
Even when I am
trading a 'system'... If I experience system drawdowns
of a relative small
percentage that correspond to overall market
volatilitiy, I'll start
downsizing my exposure (abandoning my own
system). I did this in early 2000
and was happy to ignore my systems
during the major market stumble during
that time period.
Unfortunately, I have not been able to automate a
backtest system that
would have taken me out of the market during that
timeframe.
I'm not offering a lesson or instruction, but am just
sharing real
experience.
Please note that this group is for discussion between users only.
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