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You can hold an intra day system overnight. Intra-day just means that the
compression is less than a day.
Jim Bronke
Phoenix, AZ
----- Original Message -----
From: "david b. stanley" <davestan@xxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Tuesday, May 21, 2002 12:18 PM
Subject: IntraDaySystems/IntraDayStops
: This is a post in regards to mechanical systems in case any
: discrecionary
: traders don't care to finish the post. However, their comments are
: welcome.
:
: An IntraDay system by definition already has a stop. You are stopped out
:
: each day to begin anew tommorow. For my systems, this typically means
: that the same system(without exiting at the end of the trading session)
: loses
: 25% of it's annual profits but also reduces thr drawdown by 60% when
: end-of-session stops are applied. For my tastes, this is a good trade
: off.
:
: Beyond the end-of-session stop, I have NEVER found an acceptible
: intraday stop strategy!
:
: Drawdown tends to increase in whipsaws leaving your broker with higher
: profits for the day than you. The whipsaws occur in both sideways and
: trending days no matter what the exit strategy is based upon.
: Unless you hit a lucky curve fit while testing, drawdown increases and
: profits
: decrease. Applying this lucky curve fit severely breaks down the
: robustness
: of the system when applying to other data sets or realtime.
:
: In my opinion, intraday stops, while increasing the complexity of an
: intraday
: system, always exponentially increase the number of possible compromises
: to the
: robustness of the system.
:
: Bottomline:
: Whipsaw days really hurt and I don't want to encourage more of them.
: Watching a trade go against me all day in the opposite direction hurts
: too but also
: leaves me feeling like an idiot until I've recouped the losses.
: So. Am I ignorant? Is their a stop strategy out there that is , more
: consistantly than not,
: worthwhile to implement or should I continue to close my eyes and let it
: ride?
:
:
:
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