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PureBytes Links
Trading Reference Links
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I haven't used it, but it seems like Performance Maximizer, developed by
Rina Systems and bought by Omega Research, would help your research here. It
can show you graphically where meaningful stops could be placed based on
your system. Part of this is accomplished by showing the MAE/MFE (max.
adverse excursion/max. favorable excursion).
I think Pierre on this list showed some EL code on how to plot MAE/MFE, too.
The time frame you are trading and the style of your system will, of course,
greatly affect the answer to your questions.
Ryan Jones, of Fixed Ratio money management fame, claims to have never lost
more than $400, and that was because of slippage. His stop is about 100
small points. My understanding is that he trades a very short time frame on
momentum and has a very close stop because of his time frame and system
style.
Neil
| -----Original Message-----
| From: Dark Hacker [mailto:hacker@xxxxxxxxxxxxxxx]
| Sent: Tuesday, June 16, 1998 6:23 PM
| To: Patrick Wahl; omega-list@xxxxxxxxxx
| Subject: Re: Smaller Goal Versus Bigger....
|
|
|
| Somebody needs to do a study wherein they compare the total
| profit/loss given various sets of Stop and Exit points. Maybe a
| 1-point trailing stop is too much. Maybe 1/2 point is too much. On
| average it would be nice to know. Could be a fun statistical
| study. Tradestation already gives you some tools in System
| optimization.
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| For more accuracy maybe perform this analysis under various general
| market conditions ("tranding market", "choppy market", etc).
|
| - Hacker
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