|
PureBytes Links
Trading Reference Links
|
Hi Chuck,
First many thanks for the informative reply. One of my objectives behind
posting the question was to start and interesting discussion. Well,
looks like we might be on the way.
My thoughts and question are below between the ****'s:
CRLeBeau@xxxxxxx wrote:
>
> I like to start with the entry idea combined with a simple exit based on time
> in the trade. Exit after 5 bars for example. I want to know that I have an
> entry that is better than a coin flip so I am looking for winning percentage
> better than 55%. Most entries consist of a setup and a trigger.
***
I must say that I have use the opposite approach. Random entries so that
I could be assured my exit strategy was good whether my entry was or
not. My idea being that if there was an unexpected event then my exit
strategy would always save me from catastrophic losses. I am working on
a system right now though that does use you approach and so far the
results look impressive. Maybe I haven't given enough weight to the
entry strategy. Either way, food for thought here.
***
> Once I find an entry that gets me started in the right direction most of the
> time I then start working on the exits. I like to have a fixed dollar stop
> so I always know what my worst case is likely to be. Then I add a trailing
> stop that moves with the market and keeps losses to less than the worst case
> most of the time. Next I add some kind of profit taking exit that will lock
> in a minimum profit after some profit target has been reached. I'm still
> trying to let the trade run if it wants to but I'm not giving it much room at
> this point.
***
I've wondered about tying my stops to something other than a fixed
dollar amount. Perhaps relate them to the most recent range so that the
stop would have some relationship to volatility. Thoughts?
***
>
> This procedure is for trend following systems and would have to be modified
> somewhat for counter trend trading or very short term trading. In these
> systems I would be more likely to just take a minimum profit without giving
> any back or trying to let the profit run.
>
> Keep the entries as simple as possible. The exits may have to be fairly
> complex. If there are many variables the system is going to look good
> historically but its not going to work in real time. Watch out for data bias
> (like S&Ps and bonds have strong upward bias which means short side systems
> that may be very good in the future will not show good historical results).
>
> I find that I need multiple systems so I can cope with up, down and sideways
> markets over various time frames. I tend to believe that the shorter the time
> frame the more random the price action so tend to favor longer term systems.
> Shorter term systems would be better in theory because of more samples faster
> and possibility of smoother equity curve but randomness and costs make it
> difficult for me to design systems that trade this way. Hope this info helps.
***
Do you feel that day trading something like the S&P should be best
forgotten and full effort be placed into position trading? When I say
position trading I don't mean just the S&P. Perhaps looking at bonds
and/or a variety of commodities. Seems that I've heard the general
consensus leans away from day trading as too nearly impossible.
Thoughts?
***
Your info has been very helpful and hopefully others will jump in here
too.- Regards, Randall
>
> Chuck
> traderclub.com
|