Hi mrpace, I want to learn how you sit on your position so I can get rid of my fat-finger syndrome. Can you give me a sense of your decision tree and how often do you look at your position? Thank you for your help. Regards, William
I look at my positions all the time....but I was still holding because it hadn't met any of the JH exit rules.....and actually, I thought about setting a hard target exit before I left work today (10am) because it was starting to approach the 10% target that Jack and Spyder talk about. But I decided to NOT place the hard target (33.77) and left for work. I have a 1/2 hour commute, and by the time I got to work and checked out my position at 11am, it was approaching 35! Thus, I decided it was time to bail, but as I posted above, Ameritrade had other plans....
Doug, I am not clear on the first part of your calculation. How do you get to a volatility of 1.37 for TIE?
ATR(100)/Close. I got 1.37 for 11/1/05. Now it is at 1.5+. This is similar to the original turtle trading system where you sort of risk the same amount of money in each bet. -kming-
Thanks. I will learn to accept the risk of the system. P.S. Similar scenerio happened to me a while ago with Tradestation... I just move on.
While doing some ATR calculations I noticed that the daily ATR(14) divided by the Close for some of the stocks we're following is quite close to the standard 5% trailing stop. Consider these values: TIE, close 59.62, atr 2.77 ==> 4.7% NGPS, close 31.46, atr 1.32 ==> 4.2% NTRI, close 40.05, atr 1.76 ==> 4.4% VDSI, close 11.73, atr 0.55 ==> 4.7%
Maybe not. Other than PETS, the higher % ATR are for energy and health care/biotech stocks: Code: Symbol Close Daily ATR(14) ATR % Close Industry GES 33.64 1.11 3.30% Textile - Clothing RTSX 35.71 1.28 3.58% Medical practitioner RATE 33.49 1.37 4.09% Internet providers AQNT 27.62 1.17 4.24% Internet services JMDT 22.45 0.98 4.37% Multimedia software LUFK 47.09 2.17 4.61% Oil&Gas equipment&services CUTR 38.85 1.86 4.79% Medical appliances&equipment RNOW 17.54 0.87 4.96% Application software DPTR 16.55 0.94 5.68% Indipendendt oil&gas PETS 12.43 0.72 5.79% Specialty retail NGAS 10.85 0.76 7.00% Oil&Gas drilling&exploration DCAI 13.71 0.97 7.08% Specialized health services VPHM 18.56 1.37 7.38% Biotechnology
I compiled a list of last month intraday drops for RNOW, NGPS and NTRI. You can find the results in the attached excel spreadsheet. Although this is far from being an accurate study, it served me as a rough estimation in order to calculate my trailing stop levels and positions size. All of the drops I found for these stocks are within 150% of the daily ATR(14). Also, the standard 5% trailing stop is very close to the daily ATR(14) as showed in my previous post. Again, this is just an excercise I run to learn how a few stocks have been moving recently.
This is a technique I use in my other trading. It tries to compensate various system parametres based on their relative volatility to the entire universe. For my universe of about 60 stocks, I calculate the average and then adjust each stock based on its relative volatility. I define volatility as the true range divided by the close over the most recent 100 bars. So for my Jack H universe, I get an overall volatility of 1.153, as of this afternoon and TIE has a vol of 1.24; therefore, I set the "2%" stop at 2.15% and reduce the dollar amount of stock purchased by 7%, I've attached a spreadsheet that you may look at. Note, some of the stocks in the JH Universe get extreme, for example calling for doubling the amount purchased. As a rule of thumb, I limit my adjustments to +/- 35%. Doug ps-like your work on the "intraday drops" it may be something to consider in setting the stop loss point especially on the first day.