Mark, I have not seen NASDAQ Level II. Thank you for the information, it seems it's possible to set someone up whose stop order has been set in place.
Regards, intermilan04 --- In amibroker@yahoogroups.com, "MailYahoo" <[EMAIL PROTECTED]> wrote: > > As far as I am concerned your Stop order is open for the market to see > Unless you are trading Millions of Dollars and have a special account > > Have you ever seen NASDAQ Level II in operation? > > > Mark > > > > -----Original Message----- > From: amibroker@yahoogroups.com [mailto:[EMAIL PROTECTED] On Behalf > Of intermilan04 > Sent: Tuesday, April 18, 2006 8:45 AM > To: amibroker@yahoogroups.com > Subject: [amibroker] Re: System Performances > > Hi Mark, > > I apologize if my understanding of a stop order is wrong, but here it is: > > When I place a stop order (not stop-limit order), the order is > invisible to the market. Once my stop trigger is hit, it appears to > the market as a market order. > > If my understanding above is correct, I need not worry about the "Big > Boys" because they have no way to tell I have such a stop loss measure > in place. > > As for the tightness of stop, I think 3% is quite deep of a pocket for > a daytrade. > > One needs to assess the length of holding time and volatility of > stocks to find out the right stop amount. If I were to swing trade, I > certainly would not use 3%. > > --- In amibroker@yahoogroups.com, "MailYahoo" <MailYahoo@> wrote: > > > > With a 3% stop loss you can have the "Big Boys" eat you up each time you > > place the stop. Making your position stop out each time. And on > the real > > down side you can have them bring the stock under your position > making your > > loss 5% too. > > > > Personally one needs to do what makes them comfortable, however placing > > such a tight stop on any trade in my opinion would hurt one in the > long run > > and not help > > > > > > Mark > > > > > > > > -----Original Message----- > > From: amibroker@yahoogroups.com [mailto:[EMAIL PROTECTED] > On Behalf > > Of intermilan04 > > Sent: Tuesday, April 18, 2006 8:02 AM > > To: amibroker@yahoogroups.com > > Subject: [amibroker] Re: System Performances > > > > Postscript: > > > > I did not mean to say that 3% stop loss is the universal best solution. > > I meant that having a stop-loss order is the best way to preserve your > > capital. > > > > --- In amibroker@yahoogroups.com, "intermilan04" <intermilan04@> wrote: > > > > > > Hi Yuki, > > > > > > Thank you for your thorough reply. > > > > > > While I agree with a wide bid/ask spread and orders appearing and > > > vanishing at incredible pace, I still think that having some kind of > > > stop-loss measure is a valuable strategy. IMO, just as likely as you > > > stop out lower than 3%, you can stop out higher than 3% (I've seen > > > that to happen on my position before). A 3% stop-loss order might not > > > get you out at 3% all the time, but it is the best one can do to limit > > > the loss. > > > > > > Regards, > > > > > > intermilan04 > > > > > > --- In amibroker@yahoogroups.com, Yuki Taga <yukitaga@> wrote: > > > > > > > > Hi intermilan04, > > > > > > > > Let me take a shot at that one. ^_^ > > > > > > > > At least here, there are *plenty* of stocks with a wide bid/ask > > > > spread, even stocks that trade 10 million shares or more a day. It > > > > depends on the stock, and on the time of day, and on the overall > > > > market. > > > > > > > > Moreover, even with bids and offers up and down the line, you might > > > > be *amazed* at how quickly those bids can vanish in response to some > > > > negative event, or how one really *large* at market offer (not > > > > yours), or a bunch of at market orders hitting at the same time, can > > > > move the stock suddenly out of the congestion zone, where there are > > > > air pockets galore. Your stop has to be "at market" of course (not > > > > stop-limit), or you have no assurance of ever getting out. Most > > > > people don't have privileges to see the entire bid-ask tree. They > > > > don't see the (sometimes *huge*) air pockets that are lurking above > > > > and below the current congestion zone. A stop loss at market only > > > > guarantees you'll get out. It absolutely does *not* guarantee > you'll > > > > get out at some minimum percentage loss. Often? Maybe. But you > > > > can't bank on it. And the problem is, when you really need it, > > > > that's when it becomes problematic. > > > > > > > > Yuki > > > > > > > > Tuesday, April 18, 2006, 11:52:06 AM, you wrote: > > > > > > > > i> Fred, > > > > > > > > i> Could you explain as to why 3% wouldn't always limit losses > to 3%? > > > > i> Assuming the stock has some volume (at least 100K), and I set > stop > > > > i> loss order as soon as I buy stocks...I'm not quite sure of the > > > > i> circumstances where 3% stop loss would not work. > > > > > > > > i> My system is a daytrading system so there is no gap ups and > downs. > > > > > > > > i> Regards, > > > > > > > > i> intermilan04 > > > > > > > > i> --- In amibroker@yahoogroups.com, "Fred" <ftonetti@> wrote: > > > > >> > > > > >> Just keep in mind that a 3% stop loss does not necessarily limit > > > > >> losses to 3% ... > > > > >> > > > > >> --- In amibroker@yahoogroups.com, "intermilan04" <intermilan04@> > > > > >> wrote: > > > > >> > > > > > >> > Phsst, > > > > >> > > > > > >> > I don't like the trade drawdown more than the system > > drawdown. I > > > > >> used > > > > >> > to think that having a large trade drawdown was OK as long > as the > > > > >> > system drawdown was small, and I think I was wrong. > > > > >> > > > > > >> > As a daytrader I take and close out positions daily. Imagine > > > having > > > > >> > lost 7% on a single trade and having to close out the > > position at > > > > >> the > > > > >> > end of the day...you just registered a huge loss. You are left > > > with > > > > >> > negative emotion, frustrated because of the lost money. You > > start > > > > >> to > > > > >> > worry about your trading capability and such. I know it's > > > > >> > psychological stuff but quite important one IMO. > > > > >> > > > > > >> > So, as I mentioned earlier I limit my loss at 3%, no matter > > what. > > > > >> For > > > > >> > whatever reason or for no reason, if stock moves 3% against > > me, I > > > > >> get > > > > >> > out. I'd rather not lose 3%, but settling for a 3% loss is > > > > >> certainly > > > > >> > better than not having a stop and have a potential to lose big. > > > > >> > > > > > >> > --- In amibroker@yahoogroups.com, "Phsst" <phsst@> wrote: > > > > >> > > > > > > >> > > Fred's point is accurate IMO.... > > > > >> > > > > > > >> > > If the Trader has spent blood, sweat and tears over a > > period of > > > > >> years > > > > >> > > building up a serious trading equity, then a 28% System > > Drawdown > > > > >> would > > > > >> > > be demoralizing (only after causing a serious case of "Butt > > > > >> Pucker"). > > > > >> > > > > > > >> > > A subsequent post from Ed showed a 'Max Sys DD = -3.6%', > > but only > > > > >> > > included 48 trades... which because of the small number of > > trades > > > > >> > > seemed to me to be statistically irrelevant. > > > > >> > > > > > > >> > > > > > > >> > > --- In amibroker@yahoogroups.com, "Fred" <ftonetti@> wrote: > > > > >> > > > > > > > >> > > > A Comment and a suggestion ... > > > > >> > > > > > > > >> > > > - DrawDowns ... I could be wrong but I suspect most people > > > > >> can't > > > > >> > > > tolerate 28% DD's ... To bring that number down to the > point > > > > >> where > > > > >> > > > at least some people would be comfortable with it using > real > > > > >> money > > > > >> > > > one would I think have to cut it half. Doing that with an > > > > >> existing > > > > >> > > > system by restricting how invested one is will result > in the > > > > >> CAR > > > > >> > > > being reduced to the square root of its original number. > > > > >> > > > > > > > >> > > > - Objective Testing ... Take your data, cut in half ... > > > > >> Optimize > > > > >> > > > your system over half of the data and then test the > > parameter > > > > >> values > > > > >> > > > on the other half. This rudimentary view of out of sample > > > > >> testing > > > > >> > > > will give you some idea of what you are likely to > > > experience in > > > > >> real > > > > >> > > > trading as opposed to totally in sample results. > > > > >> > > > > > > > >> > > > --- In amibroker@yahoogroups.com, "intermilan04" > > > > >> <intermilan04@> > > > > >> > > > wrote: > > > > >> > > > > > > > > >> > > > > Since I have optimized my system between 1996-2006, I > > guess > > > > >> the > > > > >> > > > > answer would be the same time period. > > > > >> > > > > > > > > >> > > > > --- In amibroker@yahoogroups.com, "Fred" <ftonetti@> > wrote: > > > > >> > > > > > > > > > >> > > > > > That doesn't answer my question ... > > > > >> > > > > > > > > > >> > > > > > In the development of the system what range of data ( > > time > > > > >> > > > period ) > > > > >> > > > > > did you use ? The same time period ? An earlier one ? > > > > >> > > > > > > > > > >> > > > > > --- In amibroker@yahoogroups.com, "intermilan04" > > > > >> <intermilan04@> > > > > >> > > > > > wrote: > > > > >> > > > > > > > > > > >> > > > > > > The numbers are the result of backtesting my system > > with > > > > >> > > > > > > NASDAQ and NYSE tickers (around 7000 tickers) between > > > > >> > > > > > > 1996/1/1~2006/1/1. > > > > >> > > > > > > > > > > >> > > > > > > --- In amibroker@yahoogroups.com, "Fred" <ftonetti@> > > > > >> wrote: > > > > >> > > > > > > > > > > > >> > > > > > > > Are the numbers you posted in sample or out of > > sample ? > > > > >> > > > > > > > > > > > >> > > > > > > > --- In amibroker@yahoogroups.com, "intermilan04" > > > > >> > > > <intermilan04@> > > > > >> > > > > > > > wrote: > > > > >> > > > > > > > > > > > > >> > > > > > > > > I know it depends on what you want personally > for > > > > >> > > > risk/reward, > > > > >> > > > > > but > > > > >> > > > > > > > I'm > > > > >> > > > > > > > > curious as to what other people's systems > > (developed > > > > >> in > > > > >> > > > > > Amibroker) > > > > >> > > > > > > > are > > > > >> > > > > > > > > performing like. You don't have to share your > > > code or > > > > >> the > > > > >> > > > idea > > > > >> > > > > > behind > > > > >> > > > > > > > > your system (unless you want to), but I'm > curious. > > > > >> > > > > > > > > > > > > >> > > > > > > > > Over the last 10 years, say, what is your annual > > > > >> profit %, > > > > >> > > > max > > > > >> > > > > > > > > drawdown, % winning trades, etc.? > > > > >> > > > > > > > > > > > > >> > > > > > > > > I have a long system that has returned around > 110% > > > > >> since > > > > >> > > > > > 1996. Its > > > > >> > > > > > > > > winning % is 47%, and the system drawdown is 28%. > > > It > > > > >> is a > > > > >> > > > > > > > > reversal-based, swing-daytrade system. > > > > >> > > > > > > > > > > > > >> > > > > > > > > > > > >> > > > > > > > > > > >> > > > > > > > > > >> > > > > > > > > >> > > > > > > > >> > > > > > > >> > > > > > >> > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > i> Please note that this group is for discussion between users only. > > > > > > > > i> To get support from AmiBroker please send an e-mail directly to > > > > i> SUPPORT {at} amibroker.com > > > > > > > > i> For other support material please check also: > > > > i> http://www.amibroker.com/support.html > > > > > > > > > > > > > > > > > > > > > > > Please note that this group is for discussion between users only. > > > > To get support from AmiBroker please send an e-mail directly to > > SUPPORT {at} amibroker.com > > > > For other support material please check also: > > http://www.amibroker.com/support.html > > > > > > Yahoo! Groups Links > > > > > > > > > > > Please note that this group is for discussion between users only. > > To get support from AmiBroker please send an e-mail directly to > SUPPORT {at} amibroker.com > > For other support material please check also: > http://www.amibroker.com/support.html > > > Yahoo! Groups Links > Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
