What about a short term system that primarily looks for super-high volume. I've had some luck with back testing entries that rely almost entirely on volume (in combination with only the most rudamentary price based descrimination, such as up or down days) in mid caps and would be interested in exploring it further.
I spoke to my mate about that EMA system, he wrote it off the top of his head during lunch hour. asked him to back test it and he says its return is about 17% .
I also think volume should play a role in the system. At the end of day most of the indicators are a derivative of Price, Volume and Time.
he must be making fun of me....
what kind of return are we looking for in the system we are working on.
For volume based BUY we could look at a rule like : if a stock has 50% higher than normal volume AND its up 1% on the day.
Just a quick clarification.On Waynes adjustable exits.
Cant use them in a system as the variables have to be fixed.
Fine for discretionary,but how would you pick which variable to use?
Just a quick clarification.
"Adjustable" was meant for development purposes, to give an eyeball idea what might be interesting to backtest. not that the stops should be adjusted after the system is set.
I reckon for a shorter term system, some sort of pullback, flag or triangle entry is good (but hard to code) as these are lower risk (in terms of stop placement).Good morning Wayne....whats your thoughts on entries?
I spoke to my mate about that EMA system, he wrote it off the top of his head during lunch hour. asked him to back test it and he says its return is about 17% .
.
It would make for an interesting study though:
EOD traders versus IntraDay traders. WHo makes more per year annually in terms of R.O.E ?
as per above I had asked him to back test it and he had said 17%, but got a mail from him with the report from backtest. It says 125% profit... Can someone check the nos please..
he may be playing with my mind....
This looks like a test on a singular stock not a portfolio.
Over what period tested?
159 trades with a 2 period average hold smells like a singular test.
Printout looks like tradestation.
Singular tests in isolated periods (He could have selected a single stock in a 12 mth period where it flew),have no statistical significance.
Try 300 stocks over 8 yrs and then 20000 portfolios and you are getting much better.
I also suspect (Most recient peak) he is using ZIG ZAG indicator which cannot be used in systems testing as its Dynamic,in hindsite it appears fixed in practice it isnt fixed until the next Peak or trough is formed at whatever % ZIG ZAG you set. An absolute no no for testing.
Zig Zag is also used for peak and trough indicators.So same applies.
I need the code to run through Tradesim. But suspect its invalid.
the code is amibroker, and the report was from it as well.
System used = my Exp1 5
Initial Equity = 100000
Max Open Positions = 6
Trailing StopLoss = 2%
Round Lot Size = 5
Min Position Value = 5000
All other default settings
period = 1 year
stocks= my portfolio
Happytrader HE is not using this for his usual trade.
as per above I had asked him to back test it and he had said 17%, but got a mail from him with the report from backtest. It says 125% profit... Can someone check the nos please..
he may be playing with my mind....
Motorway thanks for the input, so your looking for a trend reversal? Like a failed attempt to put in a double bottom?
as per above I had asked him to back test it and he had said 17%, but got a mail from him with the report from backtest. It says 125% profit... Can someone check the nos please..
he may be playing with my mind....
the code is amibroker, and the report was from it as well.
System used = my Exp1 5
Initial Equity = 100000
Max Open Positions = 6
Trailing StopLoss = 2%
Round Lot Size = 5
Min Position Value = 5000
All other default settings
period = 1 year
stocks= my portfolio
Happytrader HE is not using this for his usual trade.
the code is amibroker, and the report was from it as well.
System used = my Exp1 5
Initial Equity = 100000
Max Open Positions = 6
Trailing StopLoss = 2%
Round Lot Size = 5
Min Position Value = 5000
All other default settings
period = 1 year
stocks= my portfolio
Happytrader HE is not using this for his usual trade.
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