04/23/2012 Live Update

[Mr. BachNut]

I need a help:

I designed a system, the back test shows, the bigger the stop loss, the higher the winning rate and for the 10K invested, the bigger stop loss even gets better performance, so it seems the bigger stop loss is not a problem here. However the stop loss reads ridiculous to me, if you think 6*ATR(10) is acceptable, how about 20*ATR(10)? Anyone has better idea to check besides the winning rate, the performance, anything else I can add to judge which parameter is the best to use? I really don't want to use a system with 20*ATR(10) as stop loss.

Hard to say without knowing what drives the system. Can a stop be engineered that gets you out when the system is probably wrong but keeps you in when it is probably right?
If the system is intrinsically volatile, a way to deal with it is to keep the big stop loss but adjust trade size so that drawdowns within the stop are tolerable. So, rather than fix the size at $10K, fix the maximum tolerable loss and back calculate into the trade size.

In reality trading, I always use fixed risks. You can see how I use it in my CIS. Say, the risk is $500, the stop loss is 3.1*ATR(10), so the position is always 500 / ( 3.1 * ATR(10) ), in this way, the loss is guaranteed to be around $500, no more surprise.

But in system design, to compare easily, apparently I cannot use fixed risk, because no matter what, a 2*ATR(10) system wins more than 6*ATR(10) system because 2*ATR(10) system would invest more money each trade, so as long as it's a winning system, the 2*ATR(10) system most likely earns more money.

So I'd like use a fixed 10K, to say which one performs better. If a 10K investment on 6*ATR(10) wins more than 2*ATR(10), then apparently, the 6*ATR(10) system is better.

Correct me, if I'm wrong. That's the purpose I'm asking here. If I'd know anything, I won't ask here, will I?

Got it. Yeah. Look into the CALMAR ratio (google ought to have something) and some of the related type calculations. You want something that measures the return you get for the risk you take as not all 15% returns are created equal.

google-ed it here: http://www.investopedia.com/terms/c/cal ... z1ssTYeQyr

looks easy to implement. I just need a total annualized return divide the max loss I suffered. Not exactly the CALMAR, but got the essence, didn't I?

Yep. Hope it helps.

[MrMiyagi]

I actually saw quite a few comments arguing for a greed day today. How many of you guys now think we're to close in green today?

Intentional?

[CarlosDK]

Is it possible you can do some screens 10min before today close and give a reason what you think is most likely for the next day(tomorrow) green or red(gap up down) or so.

Thank you

[CarlosDK]

Is it possible that we broke a topping head and shoulders pattern on daily SPX today?

[Denali92]

If we close green today, that would setup bullish hammer (daily) on all indices. Of course, fat chance that will happen.

I actually saw quite a few comments arguing for a greed day today. How many of you guys now think we're to close in green today?

We have bottomed the last two Aprils on the Monday after opex.... but I would vote GREEN for tomorrow, not today.... and I even think the bottom will be tomorrow....

BUT.... DEC OPEX - low was at the close on the Monday after.... Alas, NO LTRO coming up.

-D

[Cobra]

i actually see 3 or 4 or 5 push up here, so if this still is bears day (after all, we had a huge gap down) then the rebound should fail somewhere around here.

[Cobra]

I actually saw quite a few comments arguing for a greed day today. How many of you guys now think we're to close in green today?

Intentional?

[Cobra]

Is it possible you can do some screens 10min before today close and give a reason what you think is most likely for the next day(tomorrow) green or red(gap up down) or so.

Thank you

This is what the closing statement about. I have it every day.

By the way, welcome aboard!

[uempel]

Overview:

[MrMiyagi]

OK,
sold TZA at 20.16$ so get ready for market to drop..

[stucap]

Anyone else see the PBAR on the IWM on TOS @ 10:50 am to 78.86? Unbelievable.

[TraderGirl]

Apple has found support here, for now...

[zudec]

Anyone else see the PBAR on the IWM on TOS @ 10:50 am to 78.86? Unbelievable.

Yep - I have it on Fidelity

[uempel]

Overview:

The attachment SPX4.png is no longer available

[gappy]

Cobra,
I pride myself on being smart enough to open a bottle of Sake but for the life of me I can't see where to vote for you.

Only stockcharts members can vote. You can help clicking once a day.

OK, I see, not a member 'cause I'm too cheap.

I am shoulder to shoulder with the Crane master here, but will click a day too.

[Petsamo]

XOP is almost green

[MrMiyagi]

Anyone else see the PBAR on the IWM on TOS @ 10:50 am to 78.86? Unbelievable.

Got filled pretty quick.

[gappy]

Anyone else see the PBAR on the IWM on TOS @ 10:50 am to 78.86? Unbelievable.

No, but got one on freestockcharts for SPY to 136.33 at 12:08 and 12:10.

[MrMiyagi]

AAPL green again, running up prior to report tomorrow? Has done it previously.

[CarlosDK]

Cobra any suggestions about the bear flag target?