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In reading my post again, it does seem a bit backward, as you describe.
I guess I was wanting a way to backtest an assumption that by perhaps
averaging my entry over the day, whether I would be better off in the
long run, than having a full position straight up.
I have never really been successful in getting a system that scales in
to show better stats - be it CAR or CAR/MDD or what have you - than a
system that just takes the full position size on the first signal....
--- In amibroker@xxxxxxxxxxxxxxx, "directaim" <directaim@xxx> wrote:
>
>
> 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@> 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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