dknoonan
27 posts
msg #115552
- Ignore dknoonan |
9/26/2013 4:44:52 PM
Yes. It is one of the many things I've tried to improve results. Over most time spans, close above open (a white candle) gets worse results. I was figuring that entering at ROC(7) < -2 means a descent, so why not wait until it starts its ascent before you get into the trade? But I think that getting into the trade after the first white candle has passed means I miss out on the gain of the first white candle. In most time spans this seems to greatly reduce the gains of the filter. So I commented it out. A similar effect occured when I put "high 1 day ago" as the entry price, and set Conditional Entry to Yes.
So, using this filter to trade is like the old phrase, trying to catch a falling knife. Funny thing is, it catches it pretty well. Or at least it goes up after falling a couple of days after your buy.
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Kevin_in_GA
4,599 posts
msg #115557
- Ignore Kevin_in_GA |
9/26/2013 6:51:02 PM
One could always use a limit order, but you might miss out on a bunch of good trades. Avoiding drawdown is important but for me frequency is what needs to be maximized if the system gives you a positive expectancy.
Note that the last 4 months have not been kind to this system, generating about a 3-4% loss. All part of the larger landscape.
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jimmyjazz
102 posts
msg #115571
- Ignore jimmyjazz |
9/27/2013 10:00:48 AM
Kevin, how does this system different from your z-score approach?
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Kevin_in_GA
4,599 posts
msg #115581
- Ignore Kevin_in_GA |
9/27/2013 12:27:33 PM
The z-score looks at the relative relationship between the stock and the ^SPX. This only looks at ROC.
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dknoonan
27 posts
msg #115668
- Ignore dknoonan |
10/2/2013 1:15:16 AM
On 6/3/13 Mahkoh said this about doubling down to recoup some of the drawdowns:
"In my example from 5/20: Originally 282 trades from 5/18/2012 until 5/18/2013. Of these 98 experienced a drawdown of more than 4 %, which accounts for about 1 out of 3. Average gain if these were opened as 2nd positions 2.31 %, 72 profitable.
If one were to use this doubling down approach, at what point would you double down? Is it when the trade has gone against you 4%?
I think it is interesting that of 98 trades where they went against you by 4% or more, 72 become profitable not too much later. I suppose this is because the filter picks stocks that are in a sustained uptrend ( ROC(80) > 20 ).
I wonder if another way to mitigate big drawdowns is to scale out. After a trade goes down by x percent, sell off half of the position.
I don't think SF can simulate these second position scenarios, whether doubling down or scaling out, right? Is there other simulation software that can?
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Kevin_in_GA
4,599 posts
msg #115672
- Ignore Kevin_in_GA |
10/2/2013 9:50:39 AM
While it is a very different system, I will occasionally double down on a trade in the Pangolin Z system, but only once and only if the stock has dropped by more than 8% from the entry price. This is always recovered some losses, and occasionally turned a losing trade into a small win. I have not optimized this and am not aware of any software that can do this automatically.
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mahkoh
1,065 posts
msg #115680
- Ignore mahkoh |
10/2/2013 2:49:05 PM
"In my example from 5/20: Originally 282 trades from 5/18/2012 until 5/18/2013. Of these 98 experienced a drawdown of more than 4 %, which accounts for about 1 out of 3. Average gain if these were opened as 2nd positions 2.31 %, 72 profitable"
It was the second position that was profitable 72 out of 98 times, that does not mean that the whole trade turned out positive. But is does indicate that you have a good chance of at least recouping some loss.
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mahkoh
1,065 posts
msg #115939
- Ignore mahkoh
modified |
10/15/2013 2:12:21 PM
I have always liked this filter for its sheer simplicity (and its returns, obviously)
However there has also been one thing for me to ponder: The filter assumes that a 2% drop in rate of change has the same impact on a stock, whether it trades for $5 a share or $250 . I don't believe that to be the correct and have been looking for a way to make the ROC requirement variable; the lower the stock's price, the higher the drop needs to be before the filter triggers. I think I have found a way using the square root of the stocks price in a formula:
These settings require a stock that trades at $5 to drop about 5 % before triggering while a stock above 150 will only need to drop about 2 %.
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tonyctl
7 posts
msg #115950
- Ignore tonyctl |
10/15/2013 6:41:59 PM
This is a great idea! What should the exit filter look like if going by the square root of ROC?
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mahkoh
1,065 posts
msg #115968
- Ignore mahkoh |
10/16/2013 1:40:18 PM
However, keep in mind that I just picked some values that result in what I THINK to be correct settings.
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