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Michel,
The way I attempt to get around this is by reducing
the pieces of my strategy that I test for. Rather than attempt to try to
set up a specific stop, I simply run the System Tester for Longs (or Shorts)
only with a known profitable entry for the Open Long (or Short) option, then set
the Close Long (or short) option for optimizable stop I want to
test.
Then, I can run the normal open and close system
testing by ORing the normal system exit with the stop. It's piecemeal, but
it works.
Hope this helps. ..... John
----- Original Message -----
<BLOCKQUOTE dir=ltr
style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
<A title=Michel.Amelinckx@xxxxxxxxxx
href="mailto:Michel.Amelinckx@xxxxxxxxxx";>Michel Amelinckx
To: <A title=metastock@xxxxxxxxxxxxx
href="mailto:metastock@xxxxxxxxxxxxx";>metastock@xxxxxxxxxxxxx
Sent: Sunday, March 18, 2001 10:29
AM
Subject: RE: Profit Stops
It's
all nice talking about profit stops because it's an important subject.
But anyone using Metastock EOD (don't know with RT) can NOT implement these
things in his SYSTEM TESTING for the simple reason that MS doesn't support to
be able to enter or exit through a stop orders (AT THAT STOP PRICE)
BASED ON SELF CODED RULES like based on ATR. And the different STOP
strategies who are supported ARE NOT OPTIMIZABLE in MS EOD
!
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Greetings
<FONT face=Arial color=#0000ff
size=2>Mickey
<BLOCKQUOTE dir=ltr
style="PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #0000ff 2px solid; MARGIN-RIGHT: 0px">
<FONT face=Tahoma
size=2>-----Original Message-----From:
owner-metastock@xxxxxxxxxxxxx [mailto:owner-metastock@xxxxxxxxxxxxx]On
Behalf Of neoSent: zondag 18 maart 2001 15:08To:
metastock@xxxxxxxxxxxxxSubject: RE: Profit
Stops
<FONT face=Arial color=#008080
size=4>Chuck
<FONT face=Arial color=#008080
size=4>
It
would be great if you could write a book just on stops. This would include
all types of stops including the inactivity stop. Although I have read your
material on ATR's I still do not have a good feel for them and exactly how
they should be used and with what parameters. Should values be different for
low and high volatility stocks as well as MFs and ETFs or does ATR take care
of this?
<FONT face=Arial color=#008080
size=4>
I
also used two types of trailing stops. One is a protective stop order that I
change daily, is looser, and can be triggered by the low of the
day. The other is based on the close of the day. Should these be approached
differently and with what ATR value? Would it be better to place the
protective stop order based on lows?
<FONT face=Arial color=#008080
size=4>
<FONT face=Arial color=#008080
size=4>There is no book like this and we need one. Of course any insight
would be appreciate here and now.
<FONT face=Arial color=#008080
size=4>
<FONT face=Arial color=#008080
size=4>Thanks, neo
<FONT face=Tahoma
size=2>-----Original Message-----From:
owner-metastock@xxxxxxxxxxxxx [mailto:owner-metastock@xxxxxxxxxxxxx]On
Behalf Of CRLeBeau@xxxxxxxSent: Saturday, March 17, 2001
6:05 PMTo: metastock@xxxxxxxxxxxxxSubject: Re:
Profit Stops<FONT
size=2>In a message dated 3/17/01 9:13:57 AM Pacific Standard Time,
neo1@xxxxxxxxx writes: <FONT lang=0 face=Arial
color=#008080 size=4 FAMILY="SANSSERIF">
<BLOCKQUOTE
style="PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #0000ff 2px solid; MARGIN-RIGHT: 0px"
TYPE="CITE">Any thoughts on this?<FONT lang=0 face=Arial
color=#000000 size=3 FAMILY="SANSSERIF">
<FONT lang=0 face=Arial color=#000000
size=2 FAMILY="SANSSERIF">I like to move my stops closer as the
profits get larger. This allows me to have fairly wide stops at
the beginning of a trade (the wide stops at the beginning of a
trade give a higher winning percentage) and then I try to maximize the
size of my winning trades by moving the trailing stops closer so I
give back less of the open profit. This strategy is for trend
following type trades. For counter-trend trades I just
use a profit target and when I see the profit I take it. I have
found that counter trend trades generally tend to produce profits in
the neighborhood of 1.5 to 2.0 ATRs. For trend-following trades I
try to tighten up my stops after 4 ATRs of profit and then hope for
more. I'm leaving for New Zealand this weekend to do a TraderCamp
in Vanuatu with Dr. Elder so I probably won't be able to answer any
e-mail messages while I am out of the country. I'll be back in
the office in April. Chuck LeBeau www.traderclub.com
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