Kevin_in_GA
4,599 posts
msg #112039
- Ignore Kevin_in_GA |
3/4/2013 2:18:07 PM
Given some of the hits to stocks this filtered entered over the last two months, I am reviewing stop losses built into the filter model. I usually don't advocate the use of stop losses but I think in these types of stocks some downside protection might make sense.
I'll report my findings tonight once I can pull together the data.
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riverrun83716
15 posts
msg #112042
- Ignore riverrun83716 |
3/4/2013 3:00:22 PM
Will be interesting to see your stop analysis. One of the factors with the stocks we have had lately is the bid ask spread is several % when they get bouncing around. A trade on the bid my stop out and the next trade on the offer is right back up. Looking forward to seeing what your work shows. Have made good money with the system but definitely not for the faint of heart.
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Kevin_in_GA
4,599 posts
msg #112045
- Ignore Kevin_in_GA |
3/4/2013 4:06:59 PM
The analysis is all EOD, so it will not necessarily capture the type of volatility you are describing. Nonetheless, these trades are typically held for 3-5 days (often longer for losing trades) and so the results should be fairly indicative of how it might play out going forward.
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oldsmar52
104 posts
msg #112050
- Ignore oldsmar52 |
3/4/2013 7:00:54 PM
Kevin, I seemed to have missed this update. Your exit now is with Williams% r(2) and exit when it goes above 50, is that right? Thanks, Frank
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jficquette
22 posts
msg #112051
- Ignore jficquette |
3/4/2013 7:13:55 PM
Hi Kevin,
Have you experimented with a timestop of say 3-5 days?
-John
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Kevin_in_GA
4,599 posts
msg #112052
- Ignore Kevin_in_GA |
3/4/2013 8:44:03 PM
@Frank:
I have been using the settings from the WFA analysis (the Jan settings I posted on p. 19 of this thread, and for February they were the same). Sorry for the confusion.
@mhp326:
My apologies - I did not see your comments since I was in London on business when this was posted. Thanks for the insight into how you approach system development. We are similar in mindset in a lot of ways. Glad to have you here at SF.
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oldsmar52
104 posts
msg #112053
- Ignore oldsmar52 |
3/4/2013 10:53:18 PM
Kevin, seems like the more I read the more confused I get. The filter being used now is on Page 19? Not the one on Page 1? Thanks much, Frank
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sohailmithani
192 posts
msg #112056
- Ignore sohailmithani |
3/5/2013 9:29:00 AM
so Kevin the exit in place right now is RSI(2) above 55. Right? or did I not read pg 19 correctly.
Thanks
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Kevin_in_GA
4,599 posts
msg #112066
- Ignore Kevin_in_GA |
3/5/2013 11:47:34 AM
That is correct. RSI(2) above 55.
I have finished an analysis of incorporating stop losses into this basic system. I had posted earlier that using these degraded performance, and resulted in lower Sharpe ratios. This is true, but a bit untrue as well. Let me explain.
The results have lower Sharpe ratios, and lower Monte Carlo returns, but overall performance is still quite solid and drawdowns are reduced. The MC averages are useful but they are truly random in selection (trades from this year could show up in 2002 and vice versa, so they need to be taken as guidelines only).
The bottom line is that these systems can incorporate relatively tight stop losses and still work fine, as long as you don't mind having a lower win percentage. To simplify future discussion on this, I will start a new thread specifically for the new filter.
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riverrun83716
15 posts
msg #112148
- Ignore riverrun83716 |
3/11/2013 10:51:37 AM
Kevin did you start the new thread? Can't find it if you did.
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