For you, Technical Analisys lovers!

Quote from Roxyman:

Was my trarget wrong, it was not there on the up or down. I don't understand the 90% reference.
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On AMGN your open was 63.82, your target to trigger your trailing stop should be at 63.82 + (0.9*0.6382) = 64.39. My trailing stop is 8% drop from the top so it has triggered at 64.34.
You should be selling your position at this price. Please verify it with the time of my post.
Regards,
 
Now I can see why you use computer robots. It would be tough following even 5 stocks with triggers and trailing stops. and targets and reversals.

It would suck to get withing 99% of the target and miss.
 
Quote from Roxyman:

Now I can see why you use computer robots. It would be tough following even 5 stocks with triggers and trailing stops. and targets and reversals.

It would suck to get withing 99% of the target and miss.
More...

You got to run some of the automatizations, for sure. But there are many of-the-shelf programs that enable you to do that easily. Check IB site for available software packages to automate entries and exits. There are tones of them. Even IB interface by it self can be used to do some of the work for you automatically.
 
Ok, I have ceased to attempt to model this system since it's clear that all the rules haven't been stated. If you read the thread through you will see that rules keep being added. Coding and testing take time and redoing the code and rerunning the test every few posts in not what I want to do.

There is nothing wrong with this incomplete system being posted. There is no requirement that anyone posts any or all of their system rules. I would just think a better answer to my comments about the losses the original as posted system incurred on 9/19 (and a host of other days) would have been to say "yes, I have additional rules to keep that from happening" rather then to question the result or my knowledge of the posted system (which was pretty darn simple).

I believe I have accurately done the testing related to the original post. I have done that on the last years data and it is horribly (and I emphasize that) unprofitable. I would request any third party who has the testing that disagrees with that to step up and say so and we'll compare result and find our mistakes.

Now, let's make another thing clear. I am not saying that the author is not profitable with *his* system. He has not stated in any way that the system described in the opening is the system he is actually trading (in fact, later in the thread he states clearly that the hypothesis system is NOT the exact system he is trading).

It appears that he takes my criticism of his posted public system as a criticism of his private system and nothing could be further from the truth as I can't test or criticize the profitability of something that I do not know the rules for.

I'll say it again. The system as describe is not profitable even under the best of assumptions over the last year on KLAC. As described it is the trading equivalent of doubling your bet at the black jack table each time you lose a hand -- it gains slowly and then loses quickly and catastrophically.

I'm out of this one. Have fun

JB
 
Not to be someone to change his tune, but I went through the posts on this thread, and I agree, the rules keep changing. It would be unfair of me to code up what I think the rules are, and then showing how or how not profitable this system is, when in fact, I might not have it right.

It sounds intriguing, but rules need to be precise in order to test faithfully.

Abogdan, I fully understand if you don't want to provide full algorithm, especially if it's making money for you.
 
Turok, hayman:

In this post I'll try to describe the rules as clear as I could be.

#1. For a given stock calculate the following parameners for each day.

O = (OpenBid + OpenAsk)/2;
 
It's not a question of how you describe them abogdan - you describe them just fine.

The problem for testing is that you add/change rules *after* the testing shows poor results and act incensed that one could possible question you in any challenging way regarding those poor results.

Well, if the tester doesn't have all the necessary rules then you should likely expect the results to be less then stellar and there would no need in that case to be defensive.

JB
 
Turok, hayman:

In this post I'll try to describe the rules as clear as I could be.

#1. For a given stock calculate the following parameters for each day.

O = (OpenBid + OpenAsk)/2;
UpSwing% = 100*(O - LowestAsk)/O
DownSwing% = 100*(HighestBid - O)/O

If UpSwing > DownSwing Then
MaxSwing = UpSwing
Else
MaxSwing = DownSwing
End

Find the Min value of MaxSwing for at least 250 days. (GuaranteedSwing)

ProfitTarget = 0.9*GuaranteedSwing

For each new day repeat calculations so you know your ProfitTarget ahead of the Open.

Design ProfitTrigger using the following:

If your current profit >= ProfitTarget then start calculating MaxProfit. If your 100*(CurrentProfit - MaxProfit)/CurrentProfit >= 8% then Exit

Calculate Delta:

Delta = Abs(EntryPrice - ((Ask+Bid)/2) - Commissions - slippage)

Find optimum Delta over 250 days that has minimum losses using the formula Shares*Delta*Flips

Design FIR filter (length 38) http://www.dspguru.com/info/faqs/firfaq.htm

Run this filter in real time over AskPrice and BidPrice.

If filtered BidPrice is higher then upper limit of delta then go long
If filtered AskPrice is lower then bottom limit of delta then go short.

Optimize delta again to have best profit/loss ratio.
Repeat optimizations every day to tune delta ahead of trading day.

Please let me know if I was clear
 
Quote from Turok:

It's not a question of how you describe them abogdan - you describe them just fine.

The problem for testing is that you add/change rules *after* the testing shows poor results and act incensed that one could possible question you in any challenging way regarding those poor results.

Well, if the tester doesn't have all the necessary rules then you should likely expect the results to be less then stellar and there would no need in that case to be defensive.

JB
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I clicked "submit" button by accident, sorry. I am not defensive at all! I really enjoy your comments! I just want you to be able to verify my results. I could probably even give you the VB code that we run. The last thing I want is to be unclear. Gees!
 
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