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One way to start to tackle it is just to run scenarios with different time
stops over a significant amount of data (e.g. for a swing trading
perspective you could look at 3/5/10/15 days). That should give you a sense
of the average performance following the entry signal. Thus a momentum entry
might just give you a kick that lasts a couple of days while a trend
following entry will have some longer trades.
By the way, the MFE and MAE analysis I was considering was one where you are
looking at the max and min equity for every bar during the trade, not just
the hi and lo for the trade. The added time element gives you a lot more
info.
It sounds like a lot of data crunching. Can you cut down the number of
indicators before you start?
Best
Andrew
-----Original Message-----
From: chichungchoi [mailto:chichungchoi@xxxxxxxxxxxx]
Sent: Thursday, March 03, 2005 7:49 PM
To: Metastockusers@xxxxxxxxxxxxxxx
Subject: [Metastockusers] Re: How to select the most appropriated volatility
for Stop Loss indiator?
Hi Andrew:
Thank for your suggestion, I can evaluate the MFE and MAE analysis
for a single indicator. The problem I am facing is how to evaluate
the entry and exit efficiencies independently for a group of
indicators, since they both are influenced each other. If I evaluate
their entry efficiency, then I need to set an arbitrary exiting
strategy for all indicators, so their entry efficiencies can be
compared basing on the same baseline - exit strategy for all of them,
(comparing apples with apples). However, If I evaluate their entry
efficiency using their own exiting strateges for each indicator, then
can their entry efficiencies still be compared with each other?
because in this case, there is no baseline for comparison. (comparing
apples with oranges). Do you have any suggestion on how to look at
MFE and MAE analysis for a group of indicators?
Thank you
Eric
--- In Metastockusers@xxxxxxxxxxxxxxx, "Andrew Tomlinson"
<andrew_tomlinson@xxxx> wrote:
>
> One way is to look at MFE and MAE analysis (e.g. Sweeney, Chande
etc.). But
> you need to have a way to generate C/H/L info for every bar in the
trade -
> tough in Metastock.
>
> -----Original Message-----
> From: chichungchoi [mailto:chichungchoi@x...]
> Sent: Thursday, March 03, 2005 10:49 AM
> To: Metastockusers@xxxxxxxxxxxxxxx
> Subject: [Metastockusers] How to select the most appropriated
volatility for
> Stop Loss indiator?
>
>
>
>
> Does anyone know how to select the most appropriated level of
> volatility stop loss indicator for a group of indicators?
> There are a group of indicators to trigger their buy signals only
and
> their exiting strategies are based on a volatility stop loss
> indicator. For each indicator, their stop loss indicator can be
> optimized for different levels of volatility, but there will be
> difficult for comparing their buy signals' performance, since their
> exiting strategies are using different levels of volatilities or
> comparing apples with oranges. If I set an arbitrary level for the
> volatility stop loss indicator for all indicators, then their buy
> signals' performance can be compared, since we are comparing apples
> with apples. However, I get no idea how to determine the most
> appropriated arbitrary level of volatility for the stop loss
> indicator, does anyone have any great idea?
> Thank you
> Eric
>
>
>
>
>
>
>
>
> Yahoo! Groups Links
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