You guys that build systems what have you found is the best way to kill off losers if your holding period is just that one day?
For example. If I generate a list of trading ideas each night say 5 longs and 5 shorts because I think the market is not biased in the short run either way.
Is there a best way to determine when an intraday loss should be taken if I enter all positions on the open. In other words, I know that the stock may move randomly from the open up 20 cents or down 20 cents or whatever but at what point would it make sense to mathematically say, this position is likely going to stay a loser all day?
The best I have come up with thusfar is to say that if the stock trades beyond its 10 day ATR against where I entered it (the open) I should throw it out. That seems to allow for enough degree of movement (or randomness) that it won't stop me out of positions that bounce around somewhat before they possibly move in my favor.
Since the ATR is a measure the true range (not just one direction away from a fixed point (in my case the open) it seems to give me just enough room to allow for random movement and keep me in positions that I think have a higher probability of moving in one direction that day even if they don't go in that immediate direction the first hour or so.
Basically what I am trying to do is eliminate the large losers from a strategy that is trading a basket of positions. I don't care about the small losers or even the midsize one but I am looking for a somewhat optimal point at which I can mathemitically say: the odds are that the position is going to remain a loser.
That is, that the intraday move is not just the stock randomly being pushed around but that the stock is moving against me so much that it has a higher likely hood of continuing to move against me rather than going the way I had positioned myself.
If someone has a suggestion other than ATR, or of using ATR differently I would appreciate your thoughts. I am trying to use a logical stop that relates to each individual stock so ATR is my first choice, but I am open to any other suggestions that might lend a marginal increase.
Again, (Iknow I've been long winded) what I am attempting to do is pre-determine a stop loss for an intraday position that protects me from big losers while still having enough leeway to allow the stock to bounce around somewhat if the futures ramp or dump or whatever.
All coments appreciated.
For example. If I generate a list of trading ideas each night say 5 longs and 5 shorts because I think the market is not biased in the short run either way.
Is there a best way to determine when an intraday loss should be taken if I enter all positions on the open. In other words, I know that the stock may move randomly from the open up 20 cents or down 20 cents or whatever but at what point would it make sense to mathematically say, this position is likely going to stay a loser all day?
The best I have come up with thusfar is to say that if the stock trades beyond its 10 day ATR against where I entered it (the open) I should throw it out. That seems to allow for enough degree of movement (or randomness) that it won't stop me out of positions that bounce around somewhat before they possibly move in my favor.
Since the ATR is a measure the true range (not just one direction away from a fixed point (in my case the open) it seems to give me just enough room to allow for random movement and keep me in positions that I think have a higher probability of moving in one direction that day even if they don't go in that immediate direction the first hour or so.
Basically what I am trying to do is eliminate the large losers from a strategy that is trading a basket of positions. I don't care about the small losers or even the midsize one but I am looking for a somewhat optimal point at which I can mathemitically say: the odds are that the position is going to remain a loser.
That is, that the intraday move is not just the stock randomly being pushed around but that the stock is moving against me so much that it has a higher likely hood of continuing to move against me rather than going the way I had positioned myself.
If someone has a suggestion other than ATR, or of using ATR differently I would appreciate your thoughts. I am trying to use a logical stop that relates to each individual stock so ATR is my first choice, but I am open to any other suggestions that might lend a marginal increase.
Again, (Iknow I've been long winded) what I am attempting to do is pre-determine a stop loss for an intraday position that protects me from big losers while still having enough leeway to allow the stock to bounce around somewhat if the futures ramp or dump or whatever.
All coments appreciated.
