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Howard, since you are reading this :-)
it's almost "Sinterklaas" here in holland.( the fifth of december )
(Sinterklaas is the origin of your "santa").
This is a feast for children where they put carrots and other healthy horsefood in shoes for the horse of Sinterklaas and make drawings for the holly man.
In return they of course get plenty of candy and toys.
This year I myself have posted a boot under the chimney, and made imo a very very nice drawing for the holly man.
In the accompanying letter i wrote :
Dear dear Sinterklaas,
please don't forget me when you are passing by for my children.
i've been a good father all year, or at least i tried to be very very hard.
Can you please bring me the new book from Blue Owl Press, i haven't slept well in anticipation and all that sleep deprivation is making me moody at times.
I promise to be good for the next year
Your loving
Marc_daddy
apologies to asit for being of topic :-)
--- In amibroker@xxxxxxxxxxxxxxx, asit mistry <asitasu@xxx> wrote:
>
>
> DEAR SIR HOWARD,
>
>
>
> i am very much pleased to hear from expert like you. sir, i have read your both books &
>
> i want to congratulate you for porviding such a informative books on trading system & amibroker. once again i feel exteremly delighted to communicate with the expert in subject.
>
>
>
> sir, i am 100 % agreed on what you said about scalin-in & scaling-out. but as you have rightly pointed to test the alternative i want the coading help from experts like you in the forum.
>
>
>
> sir, i have also found that if we use bearkout trading strategy for n numer of security at time( ie multiple positions),the probability of win is around 30-40 % average. To be profitable in such situation only alternate is to increase reward to risk ratio. for that if we use the strategy i sugessted we can improve system performance to considerable extent.
>
> To clarify my point i would like to give one simple example. Say we have entered in 10
>
> script with 1/4 of position in each. out of 10, 6 trades turn out to be loosser on a/c of stop loss hit. if we scalil-in to the profitable trades such that ultimate position values for profitable trades far exceeds looses.i think i have cleared my idea.
>
>
>
> to test above logic i want some help in coading.
>
>
>
> request all seniour help.
>
>
>
> thank you again bandy sir.
>
>
>
> asit.
>
>
>
>
>
> To: amibroker@xxxxxxxxxxxxxxx
> From: howardbandy@xxx
> Date: Wed, 2 Dec 2009 04:32:03 -0700
> Subject: Re: [amibroker] Re: "smart" trail stop
>
>
>
>
>
>
>
> Greetings --
>
> As a way of testing whether scaling-in works for your trading system, you might code up two separate trading systems.
>
> The first takes a position at your first signal.
>
> The second takes a position when you already have your first signal and then receive your scale-in signal.
>
> Comparing the results of the two will give an indication of whether your system should take its full position immediately, or takes its full position at the scale-in signal, or use the scale-in method. For most systems, the best results come from taking a full position at one of the two signals, rather than scale-in using both signals.
>
> The same thing applies to scaling-out. For most systems, the best results come from a complete exit at a sell signal.
>
> But test to learn how your system acts.
>
> Thanks,
> Howard
>
>
>
> On Tue, Dec 1, 2009 at 9:11 PM, asitasu <asitasu@xxx> wrote:
>
>
>
>
>
>
> hi mark,
>
> exellent job by throwing light on risk/trade management. i have few sugessions to make about different way of putting smart stop. and different way to manage trade to lock & increase profit potential.
> i am not good at writting afl so if you can incorporate following strategy in the afl & give your opinion i would be highly oblige.
> it would be great for rest of our trader community to understang different way of managing trade.
>
> my system(for one position only) :
>
> buy as per your or any rule.
> hear initial position = 1/4 th of max permissable position as per
> money management rule(whichever we follow)
> say for simplysity 100 shares(ie fix position
> sizeing method)
> initial position = 25,
> scale-in 1/4 position as soon as traling stop initiated.
> scale-in remaining position at buyprice + 4*ATR
> sell & trade management as follow
> 1) put initial stop loss at time of entry to low of privious 3 bar
> lowest low minus filter(this is fix stop).
> 2) as soon as trade moves to 2*ATR in favour of trade( current price
> > buyprice+2*ATR. cancell above stop & follow trailing stop.
> trailing stop = low < ideal bar low.
> ideal bar = bar which close at lower than priviou 3 bar low.
> 3) after current price > buyprice + 6*ATR. change
> trailing stop = low < privious bar low - filter
> in my opinion this system will produce optimum return on risk.
>
> kindly favour me in coading above mehod.
>
> asit.
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "de_techneut" <twistedcharts@> wrote:
> >
> > Hi Mark,
> >
> > thanks for sharing this code.
> > this will definitely help me in my further study of the market.
> >
> > I am just starting in Amibroker so i'm not yet an accomplished programmer. (i doubt i ever will be)
> >
> > I know it's probably an open door but here it is anyway:
> > a good stoploss is indeed essential to all trading systems.
> > what is equally important, imo, is a good profit target mechanism as a way to get out of a trade.
> >
> > I find the classic pivots to do a marvelous job at that.
> > I usually calculate pivots depending on the time frame i'm trading, (around 30 to 60 bars) i.e. 1 hour pivots for a minute chart or weekly pivots for a hourly chart.
> >
> > hope this helps you in some way.
> >
> > Thanks for sharing,
> >
> > Marc.
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "r22mark" <mtf_79@> wrote:
> > >
> > > Hi.
> > >
> > > Money / risk management is an area of interest to me. I have tried to create a "smart" trailing stop, one that adjusts itself. There is also some stuff that people may not have encountered - Fixed Fractional Position Sizing with margin (to mimic CFD's) , various buy "filters", PositionScore, and the Graph / indicator plot code is handy for displaying trade arrows, and trade prices. Hope there is something of use for you. This is NOT a ready to trade system - you will likely find results are poor. It IS an example of what can be done other than a basic trail stop. This is an ongoing project. Plot it or drag it onto a chart to view / adjust the parameters.
> > >
> > > The risk management side has:
> > > - initial stop set at 20%.
> > > - after 5 days stop raised /risk reduced by 50%
> > > - stop moved to break even after 10 days
> > > - after 15 days stop raised / risk reduced by 50%
> > > - at any time you have 3 lower lows, risk is reduced by 25%, every time.
> > > - these can all adjusted via parameters.
> > >
> > > Again this is a code in progress, I use Plot() to verify what is happening at each bar. If you want to check my work, uncomment them. Let me know if you find any errors.
> > >
> > > So people. Comments? Ideas? Feedback? I haven't heard of anyone doing "smart" trail stops. Or am I am just wasting my time?
> > >
> > > Mark
> > >
> > >
> > > SetTradeDelays (0,0,0,0);
> > > SetOption("InitialEquity", 100000);
> > > SetOption("AccountMargin", 10); // only put up 10% funds, buying power x 10
> > > SetOption("CommissionMode", 1);
> > > SetOption("CommissionAmount", 0.10); // .1% commission per entry / exit
> > > SetOption("MaxOpenPositions", 12);
> > > SetOption("AllowSameBarExit", True);
> > >
> > > // FIXED FRACTIONAL POSITION SIZING
> > > CapRisk = Param("CapitalRisk", 2, 1,5,0.5); // capital risk %
> > > MaxCap = 10; // max capital % in one trade (10% capital = 2% stop)
> > > StopPct = Param("StopPct", 20, 1,25,1)/100; // stop % - initial risk
> > > FFRisk = Min(CapRisk/(StopPct*BuyPrice)*BuyPrice/10, MaxCap);
> > > "FF risk = " +WriteVal(ffrisk, 1.2);
> > > SetPositionSize(FFRisk * 10, spsPercentOfEquity);
> > >
> > >
> > > // POS SCORE - BANG FOR BUCK ($10,000)
> > > B4B = 10000/Ref(C,-1)*Ref(ATR(200),-1)/100;
> > > "10k BFB = " +WriteVal(B4B, 1.2);
> > > PositionScore = B4B;
> > >
> > >
> > > // INDEX TREND FILTER - 2 x moving averages
> > > SetForeign("$DJ"); // change to whatever index is of interest
> > > IFa = Param("IF FMA", 30,0,100,5); IFb = Param("IF SMA", 100,0,300,5);
> > > IFx = EMA(C,IFa); IFy = MA(C,IFb); IndexFilter = IFx > IFy;
> > > //Plot(IFx, "IF FMA", colorBlue, styleLine); Plot(IFy, "IF SMA", colorOrange, styleLine);
> > > //PlotForeign("XAO", "All Ords", colorBlack, styleLine);
> > > //Plot(IndexFilter,"Index Filter", colorBlack, styleLine);
> > > RestorePriceArrays();
> > >
> > >
> > > // TREND FILTER - 2 x moving averages
> > > j = Param("FMA", 30,0,50,5); k = Param("SMA", 100,0,100,5);
> > > FMA = EMA(C,j); SMA = EMA(C,k); TF = FMA > SMA;
> > > //Plot(FMA, "FMA", colorBlue, styleLine); Plot(SMA, "SMA", colorOrange, styleLine);
> > >
> > >
> > > // VOL FILTER - MONEY FLOW > $1 MILLION
> > > VF = EMA(V*C,21) > 1000000;
> > > Filter = VF; AddColumn(VF, "volFilter"); AddColumn(EMA(V*C,21), "V*C", 1.2); // leaves approx 225 from ASX 300
> > >
> > > BDC1 = Param("#buydays", 20, 5,50,5);
> > > BDC2 = Param("#buydays2", 70, 5,100,5);
> > > Cond1 = H > Ref(HHV(H,BDC1),-1) + 0.01;
> > > Cond2 = H > Ref(HHV(H,BDC2),-1) + 0.01;
> > > Buy = Cond1 AND Cond2 AND IndexFilter AND VF AND TF;
> > > BuyPrice = Max(O, Ref(HHV(H,BDC1),-1) + 0.01);
> > >
> > > Sell = 0;
> > >
> > > // REDUCE RISK - RAISE STOP X 2, RAISE TO BREAKEVEN, TIGHTEN AFTER 3 DOWN DAYS
> > > MSD = Param("#DaysB4MoveStop1", 5, 0,50,1) -1; // needs -1 to calculate correctly
> > > RSP = (100-Param("%raiseStop1By", 50, 0, 100, 5)) / 100;
> > > MSD2 = Param("#DaysB4MoveStop2", 15, 0,50,1) -1;
> > > RSP2 = (100-Param("%raiseStop2By", 50, 0, 100, 5)) / 100;
> > > MSBE = Param("#DaysB4MoveStopBE", 10, 0,50,1) -1;
> > > TSDM = 1 + Param("%raiseStop3DownDays", 25, 0,100,5) / 100 * StopPct; WriteVal(tsdm);
> > > IS = BuyPrice - (BuyPrice*StopPct);
> > > NS = Ref(C,-1) - (Ref(C,-1)*StopPct); // initial stop
> > > NS2 = Ref(C,-1) - (Ref(C,-1)*StopPct*RSP); // reduce risk
> > > NS3 = Ref(C,-1) - (Ref(C,-1)*StopPct*RSP*RSP2); // reduce risk again
> > >
> > >
> > > TS = 0; OpenPos = 0; j = 0; BES = Null; TSD = 0; LowDown = 0;
> > > TSa = Null; Spa = Null; ja = Null; nsa = Null; ns2a = Null;
> > > bpa = Null; besa = Null; ns3a = Null; TSDa = Null; Checka = Null;
> > >
> > > for(i=1; i<BarCount; i++)
> > > {
> > > if(Buy[i] AND OpenPos == 0 AND TS[i] == 0) {
> > > Buy[i] = 1;
> > > bpa[i] = BuyPrice[i];
> > > bes[i] = BuyPrice[i] * 1.005; // .5% to cover comissions, etc
> > > besa[i] = bes[i];
> > > TS = IS[i];
> > > OpenPos = 1;
> > > j = 0;
> > > TSD = L[i] - TS;
> > > TSDa[i] = TSD;
> > > }
> > > else Buy[i] = 0;
> > > if(OpenPos == 1 AND TS[i] > 0 AND L[i] <= TS[i]) {
> > > Sell[i] = 1;
> > > SellPrice[i] = Min(O[i], TS[i]);
> > > SPa[i] = SellPrice[i];
> > > TS = 0;
> > > OpenPos = 0;
> > > j = 0;
> > > BES[i] = 0;
> > > TSD = 0;
> > > TSDa[i] = TSD;
> > > LowDown = 0;
> > > }
> > > else Sell[i] = 0;
> > > // reduce risk after x days, first time
> > > if(TS[i] > 0 AND j <= MSD) {
> > > TS = Max(TS[i], NS[i]);
> > > TSa[i] = TS[i];
> > > NSa[i] = NS[i];
> > > }
> > > if(TS[i] > 0 AND j > MSD) {
> > > TS = Max(TS[i], NS2[i]);
> > > TSa[i] = TS[i];
> > > NS2a[i] = NS2[i];
> > > }
> > > // reduce risk after x days, second time
> > > if(TS[i] > 0 AND j >= MSD2) {
> > > TS = Max(TS[i], NS3[i]);
> > > TSa[i] = TS[i];
> > > NS3a[i] = NS3[i];
> > > }
> > > // raise stop to BE after x days
> > > if(OpenPos == 1) {
> > > BES[i] = Max(BES[i], BES[i-1]);
> > > BESa[i] = BES[i];
> > > }
> > > if(OpenPos == 1 AND j == MSBE) {
> > > TS = Max(TS[i], BES[i]);
> > > TSa[i] = TS[i];
> > > BESa[i] = BES[i];
> > > }
> > > // TSD getting smaller over last 3 days
> > > if(TS[i] > 0) {
> > > TSD[i] = L[i] - TS[i];
> > > TSDa[i] = TSD[i];
> > > if(TSD[i] < TSD[i-1] AND TSD[i-1] < TSD[i-2] AND TSD[i-2] < TSD[i-3]) {
> > > TS = Max(TS[i], TS[i] * TSDM);
> > > TSa[i] = TS[i];
> > > LowDown = 1;
> > > Checka[i] = LowDown;
> > > }
> > > }
> > > j++; ja[i] = j;
> > > }
> > >
> > > Plot(TSa, "Trail Stop", colorBlue, styleLine);
> > > //Plot(bpa, "buyprice", colorGreen, styleLine);
> > > //Plot(spa, "sellprice2", colorRed, styleLine);
> > > //Plot(ja, "j", colorBlack, styleNoLine);
> > > //Plot(NSa, "NS", colorBlack, styleLine);
> > > //Plot(NS2a, "NS2", colorOrange, styleLine);
> > > //Plot(NS3a, "NS3", colorBrown, styleLine);
> > > //Plot(besa, "BES", colorBrightGreen, styleLine);
> > > //Plot(TSDa, "TSD", colorRed, styleLine);
> > > //Plot(Checka, "checkTSD", colorGreen, styleLine);
> > >
> > >
> > > // GRAPH / INDICATOR PLOT
> > > arrows = ParamToggle("Show Buy / Sell arrows?", "Yes please", 0);
> > > if(arrows == 1) {
> > > PlotShapes(Buy*shapeUpArrow,colorBrightGreen,0,Low);
> > > PlotShapes(Sell*shapeDownArrow,colorRed,0,High);
> > > }
> > > bliss = ParamToggle("Show Buy / Sell Prices", "Oh yeah! ",0);
> > > if(bliss == 1) {
> > > PlotShapes( IIf(Buy, shapeSmallCircle, shapeNone),colorBrightGreen, 0, BuyPrice, 0 );
> > > PlotShapes( IIf( Sell, shapeSmallCircle, shapeNone),colorRed, 0 ,SellPrice, 0 );
> > > FirstVisibleBar = Status( "FirstVisibleBar" );
> > > Lastvisiblebar = Status("LastVisibleBar");
> > > for( b = Firstvisiblebar; b <= Lastvisiblebar AND b < BarCount; b++)
> > > {
> > > if( Buy[b] ) PlotText("\n Buy\n "+NumToStr(BuyPrice[b],1.2),b,BuyPrice[b],colorBrightGreen);
> > > else if( Sell[b] ) PlotText("\n Sell\n "+NumToStr(SellPrice[b],1.2),b,SellPrice[b],colorRed);
> > > }
> > > }
> > >
> >
>
>
>
>
>
>
>
> _________________________________________________________________
> New Windows 7: Find the right PC for you. Learn more.
> http://windows.microsoft.com/shop
>
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