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Hi cipherscribe
Am I understanding correctly;
in this breakout trade,
do you really want to have your smallest position on
"the best trades ...when stocks simply continue to climb"
and average down
to build your largest position
as prices fall and approach your stop ?
directaim
--- In amibroker@xxxxxxxxxxxxxxx, "cipherscribe"
<adrian.mollenhorst@xxx> wrote:
>
> Hi Everyone,
>
> I am using EOD data to trade daily. If I get a signal, I enter a
> stop-limit order the following morning with IB that gets executed
only
> if the high of today equals or exceeds yesterday's high:
>
> Buy = H>=Ref(HHV(H,1),-1);
>
> I have noticed that when yesterday's high gets taken out, price can
> take a breather and decline, before increasing again - but this is
not
> always the case, and a few of the best trades are when stocks simply
> continue to climb.
>
> Wanting to take advantage of the former, but not miss out on the
> latter, I have been thinking about entering some stop limit orders
> with a GAT (good after time), so I can scale in throughout the day,
> irrespective of the price action other than at some point it has
taken
> out the high of yesterday.
>
> However this is somewhat difficult to backtest, since EOD data
cannot
> state when the low occurred - before or after the breach of
> yesterday's high. So I am hesitant to assume the complete position
is
> just some average between the high and the low.
>
> For those statisticians out there, would it be safe to assume that
50%
> of the lows occurred on either side of the high? If so, then I can
say
> that 50% of the trades had an average entry price of (H+L)/2 and 50%
> of trades had an average entry price of (H+O)/2. Or there could be a
> third option, prices after yesterday's high may not decline, so the
> average of my timed entries could be (H+Ref(HHV(H,1),-1))/2....
>
> Or is it necessary to look into intraday data to track the price
data
> of those equities that have been signaled by my system?
>
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