|
PureBytes Links
Trading Reference Links
|
> Why do you think your hard code in the system for money management and % risk
> trailing will will work better than the built in ( Format systems/ stops )
> MM & % risk trailing.
the MM stops are usually ok if you set bouncing ticks to 100%. hans had
bt set at 10% and his stoploss disappeared after the daily bar updated.
he got it back when he changed to 100%. you may get a stoploss on
historical data that didn't happen realtime but i figure, for
backtesting, it's better to err on the conservative side.
NEVER NEVER NEVER use the % risk trailing stops. mb has shown how you
can take a simple ma crossover system and make it APPEAR to be a huge
winner with the trailing stops even though it's a loser if you go
through the trades one-by-one on intraday data.
here's how rick saidenberg explains it in chuck lebeau's forum....
<<
BEWARE! This stop leads to historical results which will not match the
trades you will get while following the system real-time. This situation
occurs when a LongExit occurs on the same bar when the high satisfies
the floor; or when a ShortExit occurs on the same bar when the low
satisfies the floor.
>>
<<
Is this the infamous "bouncing tick" problem I hear so much about?
>>
<<
No. This is different from Bouncing ticks.
% Trail Stop
In historical testing, for a long exit, TS uses the high of a bar to
calculate the trail stop exit level. It then reports the exit price on
that same bar calculated from the high. In real-time, for a long exit,
as soon as the Floor level is reached, TS places a stop to exit the
trade - this is before the completion of the current bar (In
Tools-Options-System, you can set how frequently the trail stop is
recalculated). If the market turns down enough to hit the trail stop, TS
stops you out of the trade correctly. However, if the market
subsequently turns up to make a new high for the bar, the historical
test will show an exit at a higher price.
Bouncing Ticks
TS uses only the OHLC data for historical testing. So whenever there is
more than one trade in a bar (entry and exit count separately), since TS
does not resolve to the tick, TS is prone to giving historical results
which do not match the results in real-time. Bouncing Ticks is for
historical testing. It is an attempt to guess the sequence of ticks in
one bar. It only makes an assumption, so it is never precise. In order
to be confident in a historical test, there must be a maximum of one
trade in each bar. This may require writing code so a system can operate
on a small enough timeframe so each bar contains a maximum of one trade.
>>
--
Dennis
|