ChrisB, I am finding through optimization results that a time period should be used to determine when to get out of a trade placed according to a TREND -based buy signal.
I am also finding that oscillator signals work great for determining exits. My favorite is the % Bollinger Band, for doing this, although I mix it with two other indicators that confirm the %BB signal (it's all determined by the % results for each signal, after everything is weighted and combined. Overall, though, I get more profit with weekly trades over anything else. So I am obviously trend oriented. The oscillators are good for daily entry points, within the trend. Woodies CCI is great for seeing the dips which are then confirmed by other oscillators~ The goal of course being to reduce the risk, and not build some super-fancy over-optimized system. When given the choice to select a type of indicator or signal amongst a group of nicely-performing signals, I always favor items that will naturally support my discretionary style. Whatever reduces the emotions to a feeling of trust in the numbers... ~Brian --- In [email protected], "Herman van den Bergen" <[EMAIL PROTECTED]> wrote: > > I simply try to trade price patterns based on a handfull of minute bars... I > expect profitable conditions to exist early in the trade, not near the end. > If a trade doesn't behave as expected soon i feel like gambling, or trying > to get lucky, and I rather get out and wait for another opportunity. > > While this may sound easy it isn't and a lot of work goes into peripheral > code to trade patterns automatically. > > best regards, > herman > > > -----Original Message----- > From: [email protected] [mailto:[EMAIL PROTECTED] > Behalf Of kris45mar > Sent: Saturday, March 11, 2006 10:41 AM > To: [email protected] > Subject: RE: [amibroker] Short system advice? > > > Herman, > > thanks for the reply. > > Presumably one would have a high win ratio (% of winners) with these short > term systems, and smaller pay off ratios? > > When exits are based on price action or price targets alone, and they do > not reach the profit target, would you use a time based stop? > > If not then one could assume we could use oscillators that will continue > to oscillate and return a sell signal, even if price does not reach the > target? > > Or indicators that have a time based decay such as parabolic SAR? > > ChrisB > > Herman van den Bergen <[EMAIL PROTECTED]> wrote: > Hi Chris, > > Yes i like to develop short term systems: the shorter the better, > usually 1-10 minute trades. imo, The significance of a signal fades quickly. > And yes, I meant ApplyStop() type stops where you set the position to close > at a given % trade DD. Invariably maxloss stops make me "lock in Losses" and > the price goes my way after I close the position. I don't use complicated > stops and perhaps that is the problem. I find it better to develop system > without and kind of profit/loss stops, just the basic system working on > signals only. Almost always after i have that working adding profit stops > will increase profits and adding Max Loss stops decrease profits. > > best regards, > herman > > > -----Original Message----- > From: [email protected] [mailto:[EMAIL PROTECTED] > Behalf Of kris45mar > Sent: Saturday, March 11, 2006 7:29 AM > To: [email protected] > Subject: RE: [amibroker] Short system advice? > > > Herman > > Could I trouble you to expand on that briefly?: > > by "max stop loss" I presume you mean an initial capital protection as > per > Applystop(stoptypeloss,...,......) or similar. > > or do you mean trailing stops as in > Applystop(stoptypetrailing,..., ..., ... ? > > I appreciate your systems may be shorter term, rather than longer. > > Only ask because this w/e I have been reviewing all my trades since > Jan 2004 (ASX markets, stocks, long only, trend following) and found that it > is my trailing stops (whatever volatility parameter), that curtailed my > results, (together with emotions etc but that is another story). I might > look at locking in the stop at breakeven, then only trailing when there is a > pattern/retracement/consolidation above each successive R-multiple profit > level, starting at 3R. This would have served me far better in the trending > market we have experienced over the last few years. > > I am beginning to think that for shorter term systems, initial Capital > protection stops may prematurely halt the cyclical nature of whatever is > causing the system to work, but need to get to grips with more coding and > backtesting skills to confim this. > > Your comments would be most appreciated. > > ChrisB > > > > Herman van den Bergen <[EMAIL PROTECTED]> wrote: > stocks have "character" some work Long and some work short and some > work both ways. Same wrt rhythmic and other characteristics...imho there is > no reason why we should assume any characteristic to be permanent or common > to a large population. > > When designing a system I try to find similar performance for Long > and Short, this gives me more confidence that I won't go broke in a strong > trend. Systems that only work Long or Short make me nervous as I worry that > they will stop working abruptly. Sometimes, most of the time I should say... > it is necessary to adjust parameters individually for long and short. I try > to develop systems that give me thousands of trades (minute time frame) and > produce a nice smooth surfaces on the 3D charts. I never trust systems that > give me more than one significant hotspot. > > wrt indicator, I don't use any. I trade only very short term > patterns - I am a skeptic on the use of traditional indicators. Never got > any to work well - probably because I don't have the patience (or nerve) to > sit through long trades and through major DDs. > > tips? don't use any max loss stops, imho they kill systems. Use > profit stops instead. Design both Entries and exits individually, only > rarely will an entry rule give same performance as an exit rule. The > exception to this may be high speed automated reversal trading systems > (50-100 trades a day) that are in the market full time > > jmo... from a developer's viewpoint, I enjoy development more than > trading :-) > > herman ------------------------ Yahoo! Groups Sponsor --------------------~--> Try Online Currency Trading with GFT. Free 50K Demo. Trade 24 Hours. Commission-Free. http://us.click.yahoo.com/RvFikB/9M2KAA/U1CZAA/GHeqlB/TM --------------------------------------------------------------------~-> Please note that this group is for discussion between users only. 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