|
PureBytes Links
Trading Reference Links
|
<FONT face=Arial
size=2>There is a book with the title, something like "If it aint going up
don't buy it, if its going down sell it"
<FONT face=Arial
size=2>
A
little while back John Bollinger was interviewed by TASC. He said that he has
found that no matter how good a company appears with a very
undervalued stock price, he wont buy it until the stock price starts to move. He
has found undervalued companies who's price has stayed down for months and
years.
Warren Buffett has
very structured entry and exit strategies that are quite different to Tradsim's.
In recent times he has concentrated on buying entire companies. For this,
Tradsim cannot be used
<FONT face=Arial
size=2>
The legendary
Nicolas Darvas had a very structured entry and exit strategy that was
also quite different to Tradsim's.
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>
From: Andrew Tomlinson
[mailto:andrew_tomlinson@xxxxxxxxxxx] Sent: Saturday, May 15, 2004
10:52 AMTo: equismetastock@xxxxxxxxxxxxxxxSubject: RE:
[EquisMetaStock Group] Event "Cancelled - Open Cost" in Enhanced System
Test
The talk of coin tosses brings up again the issue of whether
entrystrategies actually have any significance. I've just started with
TradeSim,and I was startled by the implication that the choice of entry
system haslittle or no impact on system performance.To quote from
the manual: "Substituting your entry system with a randomentry such as the
outcome of a coin toss will make very little difference inthe net
profitability of your trading system. In fact, using a random entrysuch as a
coin toss will most likely improve system performance provided youhave
chosen a good position sizing strategy because more trades will betaken
compared with using a deterministic trading strategy."That's kind of a
challenge for technical analysis. It implies thatinvestment performance is
all about portfolio structure and risk managementand that entry rules harm
more than they help. It also implies that positiveoutcomes for particular
entry systems or indicators,(pick up any copy ofTechnical Analysis of Stocks
and Commodities), are the result of selectiveor inadequate testing, rather
than being real.What do you guys think?Andrew-----Original
Message-----From: Jose [mailto:josesilva22@xxxxxxxxx] Sent: Saturday,
May 15, 2004 3:07 AMTo: equismetastock@xxxxxxxxxxxxxxxSubject: Re:
[EquisMetaStock Group] Event "Cancelled - Open Cost" inEnhanced System
TestChance of getting all heads or tails in:5 coin tosses in
a row: 3.125% (0.5^5)7 coin tosses in a row:
0.78125% (0.5^7)50 tosses, chance of getting:a single run of 5
coin tosses in a row: approx 27.2%a single run of 7 coin tosses in a row:
approx 5.4%jose '-)--- In
equismetastock@xxxxxxxxxxxxxxx, "rvalue1" <rvalue1@xxxx> wrote:> I
have been using 80% of equity for a while and it works fine. It> shows a
lower return because only 80 % of your equity is invested and > the
final return is a percentage of your account. That keeps me more>
realistic on my expectations of what I would make..> Another interesting
thing..On flipping a coin with a 50% probability > of success, what do
you think are the odds of getting 5 tails (bad > trades in a row out of
50 trades) in a row? Very high - like over > 70% with a Monte Carlo
simulation; per Schaeffer. That shows the > importance of money
management and sticking to a system for the long > haul and not giving up
after a few consecutive bad trades in a row.. > I flipped a coin 25 times
and got 7 tails in a row, and eventually 10 > Heads out of the 25
flips.> --- In equismetastock@xxxxxxxxxxxxxxx, "jose_locatelli">
<jmlocatelli@xxxx> wrote:> > Tom> > > > I
followed the recommendations in your document, and it seems that>
my> > system is now testing well.> > > > Thanks
again,> > J Locatelli> > > > --- In
equismetastock@xxxxxxxxxxxxxxx, "Tom Sprunger"> >
<tlsprunger@xxxx> wrote:> > > Andrew, J
Locatelli,> > > > > > Some of your questions and
problems should be covered in the doc> > below> > >
posted in the Files section on this group.> > > > > >
Sprunger Guide to MS ver8.doc> > > > > > Go read it
carefully.> > > > > > The v8/9 testers have a broker
module. Equis attempted to makeit> > >
"realistic". Yeah, right. Like anyone actually trades like
> this.> > > > > > When the tester gets a
signal it calculates the number of shares> to> > buy
and> > > passes it to the broker. The broker places the trade
if thereare> > > sufficient funds etc. Otherwise it cancels
it.> > > > > > > > > Considered :
means a signal has been generated.> > > Placed: means
an order was sent to the broker for a specific > > number of>
> > shares based on the price on the bar the signal was generatedand
> > the equity> > > being used> > >
Open: means the broker put the order in. If on a buy, you will>
get> > filled> > > if the price is lower than on the bar
the signal was generated,> > otherwise> > > you will
not.> > > Executed: means the order was filled> > >
Cancelled - open cost: means the order was not filled becausethe >
> price on> > > the next bar is more (for a buy) than the price
calculated onthe > > signal bar> > > Cancelled-
Position Limit: means the order was not filled> because>
> you had> > > the max number of position already open>
> > Cancelled - Zero Size: means you did not have enough equity to>
buy> > 1 share> > > > > > There may be some
others.> > > > > > Jose, on your specific
question,> > > (Considered) at 15:50 you got a signal
to buy 3494 shares> > > (Placed) at 15:50 the order for 3494
shares was sent to the> broker> > to> > > execute
on the next bar> > > (Cancelled - Open Cost) at 15:55, the order
for 3492 shares was> > opened and> > > then cancelled
because the price was higher than the price where> > the 3494>
> > shares were calculated.> > > > > > You are
probably using 100% of your equity, right? So at 15:50> >
when the> > > signal was generated it divided your equity by the
price on the> > signal and> > > came up with 3494
shares. On the next bar at 15:55, the price> went> >
up> > > enough that to buy 3494 shares would have taken more funds
than> you> > had> > > equity. So instead of
just buying a share or two less, which is> > what any> >
> real trader would do, it cancelled the entire order and you>
missed> > the> > > signal. No trade.>
> > > > > > > > Tom> > > >
> > > > > > > > ----- Original Message
-----> > > From: "Andrew Tomlinson"
<andrew_tomlinson@xxxx>> > > To:
<equismetastock@xxxxxxxxxxxxxxx>> > > Sent: Wednesday, May
12, 2004 7:33 AM> > > Subject: RE: [EquisMetaStock Group] Event
"Cancelled - Open Cost" > in> > > Enhanced System
Test> > > > > > > > > > > >
> > > Even better, if someone has a list of the comments that
appearin > > the orders> > > report with
explanations. None of them are documented in the> > manual. I am
on> > > the verge of giving up on Metastock 8/9 as a platform for
system> > testing.> > > Too many undocumented bizarre
little tricks to get it to do> simple> > tests. I> >
> haven't done a single system test on this platform that I really>
> have> > > confidence in. Not a basis for successful
trading.> > > > > > (forgive my bitching. Just spent
another 4 hours yesterdaytrying > > to match a> > >
simple system with Colby, with mixed results)> > > > >
> Andrew> > > > > > -----Original
Message-----> > > From: jose_locatelli
[mailto:jmlocatelli@xxxx]> > > Sent: Wednesday, May 12, 2004 7:30
AM> > > To: equismetastock@xxxxxxxxxxxxxxx> > >
Subject: [EquisMetaStock Group] Event "Cancelled - Open Cost" in> >
Enhanced> > > System Test> > > > > >
> > > Hi,> > > I wrote a system test and during the
its simulation some enter > > > signals are cancelled, with a
"Cancelled - Open Cost" event> reported> > > on the Orders
report, shown below. I didn´t find any referenceto> > > this
type of event in the help and in the MS8 manual.> > > > >
> Can any of you explain what this event means? And how to
avoidit?> > > > > > 174 23/4/2004 14:50 5
Considered
Sell 3494 Market 2> > > Signal> > > 174
23/4/2004 14:50 5
Placed
Sell 3494 Market 2> > > Signal> > > 175
23/4/2004 14:55 5
Opened
Sell 3494 Market 2> > > Signal> > > 175
23/4/2004 14:55 5
Executed
Sell 3494 Market > $2.8500> > > Open 2 Signal> >
> 184 23/4/2004 15:50 6
Considered Buy
3492 Market > > Signal> > > 184
23/4/2004 15:50 6
Placed
Buy 3492 Market > > Signal> > > 185
23/4/2004 15:55 6 Cancelled - Open cost Buy 3492 Market
> > Signal> > > > > > Regards,> >
> Locatelli> > > > > > > > > >
> > > > > > > > > > > > >
> Yahoo! Groups Links> > > > > > > > >
> > > > > > > > > > > >
> > > > > > > > > > > >
> > > Yahoo! Groups LinksYahoo! Groups
Links
Yahoo! Groups Sponsor
ADVERTISEMENT
Yahoo! Groups Links
To visit your group on the web, go to:http://groups.yahoo.com/group/equismetastock/
To unsubscribe from this group, send an email to:equismetastock-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|