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Re: Testing Exits (Wanring: Long Dull Post)



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Would anyone have the code for the Chandelier thrust?

thanks

Philip


-----Original Message-----
From: William Vedder, Jr <bved01@xxxxxxx>
To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: 30 April 1999 12:02
Subject: Testing Exits (Wanring: Long Dull Post)


>Using Dave DeLuca's Random Trader code, I've been testing various exit 
>strategies and their properties. I'm using daily data for IBM from 
>1/4/84 thru 3/17/99. Here are the exits I've tested:
>
>After a random entry:
>
>1. Exit each trade after 11 days
>2. Exit using Chandelier Standard (using 3 ATRs)
>3. Exit using Chandelier Thrust (using 3 ATRs)
>4. Exit using Parabolic (as coded in TradeStation)
>
>Here are some of the test results:
>
>Exit No.        1         2          3        4
>No. Trades  4068    3909       4840      2288
>Avg Trade Len      11        17         8         11
>Avg MAE (pts)    -2.39     -2.17     -2.01     -2.17
>Avg MFE (pts)     2.36      3.99      2.08      3.01
>Max Equity (k$)   1.6      195       11.2      250
>Min Equity (k$)  (181)     (18)      (70)        (9)
>End Equity (k$)  (152)     176       (51)       245
>Profit Eff (%)   63.4      42.4      80.3       48.6
>Loss Eff (%)     63.2      75.0      79.6       68.8
>Win %            48.2      37.6      50.8       40.3      
>
>Each trade includes comm/skid of $60.
>
>The Chandelier exit is Chuck LeBeau's posted here previously. It 
>basically exits a long trade after price has retraced 3 ATRs from the  
>highest H since entry. The Chandelier "Thrust" reverses the logic 
>somewhat (attempting to minimize profit giveback) by exiting (longs) at 
>the lowest L since entry PLUS 3 ATRs. The parabolic exit uses the canned 
>TS indicator to exit (longs) when price drops thru the parabolic price 
>calculated using the standard accelfactor of 0.02. 
>
>MFE and MAE are maximum favorable excursion and maximum adverse 
>excursion as written about by John Sweeney.
>
>Profit Eff is the profit efficiency calculated as (for winning longs):
>(Exit Price - Entry Price)/(Highest H since entry - Entry Price) * 100%
>Higher numbers indicate less profit giveback.
>
>The Loss Eff is loss efficiency calculated (for losing longs):
>(Entry price - Exit Price)/(Entry Price - Lowest L since entry) * 100%
>Lower numbers indicate the exit is making the best of a bad situation.
>
>These results tell me:
>* in terms of maximizing equity, the best exit appears to be the   
>  parabolic.
>
>* the Chandeleir exit does do what it's supposed to ie. catch the big
>  moves. It's MFE was by far the largest of the group. It's also very 
>  profitable.
>
>* the Chandelier Thrust does do what it's supposed to ie. try to     
>  minimize profit giveback. HOWEVER, as can be seen by the ending
>  equity (poorer than standard Chandelier), minimizing profit giveback
>  doesn't do much for the bottom line. It's nice psychologically to 
>  avoid profit giveback, it much more important to stay with the big
>  moves. This is what the big boys always preach, eh?
>
>* winning % isn't important. The exit w/ the highest win % lost $.
>
>* the parabolic is able to minimize losses as well as the Chandelier. 
>  Additionally, it captures profit better (higher profit eff) and gets
>  out of losers sooner (smaller loss efficiency).
>
>Comments/criticisms are welcome.
>
>As I get time, I'll code the parabolic exit with Wong's entry and post 
>the results. Since Wong's system only entered long trades, I'll include 
>a short entry. I'll also want to test the resulting system on other 
>equities.
>
>Regards,
>Bill Vedder
>