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The method you described unnerved me,
but, certainly, you are right.
The averaging question,
for your method,
would remain unresolved
until backtested.
--- In amibroker@xxxxxxxxxxxxxxx, "cipherscribe"
<adrian.mollenhorst@xxx> wrote:
>
> 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@> 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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