Been using the same swing trading system for years. The exit is very simple; (rock solid 70% win rate) C > Ref(HHV(C,2),-1) Same crap everyday. At (12:50 PST), download delayed Yahoo data, scan the stocks in my universe, place orders.
So, you basically get out of a short position if the close is greater than the highest closing price of the past 2 days?
Damn, time passes by quick. Here ya go, posted the whole system 02/16/07. To get it to work think in terms of hand picked stocks. I use 150 ( big guy's from the S&P500. No 1 trick ponies and no stocks less than $8 allowed. http://www.elitetrader.com/vb/showthread.php?s=&postid=1363856#post1363856
That would make order generation as simple as it gets but I have a couple of comments-questions: 1) Let's say I have a trend following strategy and market starts going up then Strategy Execution module will be sending a new buy order every tick to the Order Management module. OMS will accept the first order and reject the rest however this constant order flow requires some extra computing power or it will slow down the system otherwise. 2) When the market went up I took a long position then market starts ranging so my algo does not generate neither buy nor sell orders hence I am stuck with the long position until god knows when. How to handle that, just do nothing and wait for the downtrend until Strategy Execution sends sell order? 3) I have a short term and long term strategies that both generated buy on the uptrend so I am double long position. Now market goes down somewhat/temporarily so my algo generates sell which would be right for the short term but not for the long term position, but it will sell both positions. How to handle that?
What is river? and thanks for your post, I'll have some questions later if you do not mind after digest your post.
============= LOL A TX spread can be right up there with that worst [long everything & lots of size.] Yes; That can be proved, even though good stock mutual funds can do well for a long time.
River is the name of a person who is a member of ET. I had posted the keys for developing and designing ATS's long ago and A mederator deleted the posts. My collaborators were happy about that. Later a prson here was "lifting" one of our designs (he said is was "his" most profitable. (blowinski). It was the beginner level of the Cash Cow. Recently, river, asked me to repost the keys. So I did. I also linked them to a leading indicator of price system for making money. Your questions are very important ones with respect to taking the full offer of the market. They will help a lot of people. become more effective and efficient.