*sigh* Anyways... NOUN = Frosty... take some time reading acrary's post... and come back after you get a better understanding (meaning knowing about the material... not knowing it exists). I don't think we're all fans of repeating / reposting what others have said... like: Frosty... You maybe better off going through the thread and posting updates once you go through acrary's System Development 101 class... Don't trust acrary or myself. Test, confirm and use. Find the "D" in DUM
I actually posted two summaries of acrary's posts on strategy formation and multiple strategy management: http://www.elitetrader.com/vb/showthread.php?s=&threadid=84891 http://www.elitetrader.com/vb/showthread.php?s=&threadid=84890 You might find these easier to wade through than the really long threads.
may i ask you chloride, why you prefer this exit? i assume you are referring to the timed exit within an ATS.. thank you, bb
Frosty, I have spent months looking into a strategy quite similar to yours. If you go with it all the way, you will find it to be not profitable. If I understand correctly, you have a position and a stop order as well as a profit order. Consider the following : Probability of stop filling x stop order in ticks *is approx. equal to* Probability of taking profit x profit order in ticks Number of ticks in either direction is directly proportional to the probability of the order executing. In order to make a profit, you have to find an edge which *significantly* changes the probability. You may be able to find a very small edge (I did), however, given the fact that you have to pay commissions and the spread, that edge will be negated. In a world with razor-thin spread, 0 commissions, and volatile products, I believe there's a way to profit using your strategy. I believe you will not be profitable using a fixed stop and take profit - sorry.
Hello MGJ, Tonight I did a search on Mr. Le Beau, and here you are. I came across Le Beau's suggestion at his forum (Bulletin #29). I've been following along with his advice and not doing too much in the way of exits for now. It is amazing for me how much does not work and how much comes out in the 48 to 52% winners -- or much less. Do you think this is a fairly good way to go for a beginner? I recently called Mr. Le Beau and he was very very kind and open. I told him that my desire was end of day stock trading and he said his research group consistently found the "Sweet spot" for multiple day holds to be in the 14 to 16 day range. Wow! I looked at some of your posts sir and you are a Phd in backtesting and I'm a first week first grader. Btw I liked your idea book and ordered it. Also saw another thread where you discussed Le Beau - I have that book and just read about the xxx indicator. Do you sometimes use that xxx indicator in your systems? Thanks and take care, Gary
Regarding earlier comments on volume bars, I learned something recently. I could take an intraday strategy that was a nice winner on some volume bars over a few days and turn it into a disaster by offsetting the start time of the first bar in the series, give it a phase shift as it were. The whole game of trading is about weeding out all the random elements, volume bars went on the random pile here...
I think ANYTHING that involves creating backtest simulations, running them, studying the results, and interpreting them for yourself, is good for a beginning system trader. Particularly the "interpreting them for yourself" activity. One benefit of trying lots of different ideas is that you can clearly identify the best-performing one or two among them. You may not yet have the confidence to judge whether a certain result is terrible, mediocre, good, excellent, or world-beating. But you WILL know which result among your candidates, had better-than-all-the-rest performance in your testing.