Say if I’ve made 50 trades and these 50 trades are now closed out. I now want to go back and test a theory on these trades.
I want to see whether between the time I bought and the time I sold, if the share ever dropped to below 4% of my buy price. So what I want is to test if a given share price dropped to 4% in the time period I held the share. If this is possible. Can it be performed on a selected group of shares?
Reason for my enquiry. These 50 trades were closed in the range of 70% to -20%. I’m wondering what would happen if the trades were closed at a stop loss of 4%. Would I have saved some capital or would I have missed some of the +% trades?
Hope this makes sense and it someone can educate me on this.
Nick Radge
8th-July-2009, 03:52 PM
You would want to study maximum favourable excursion (MFE) and maximum adverse excursion (MAE).
MAE is the maximum loss of a trade during its complete time period and will help determine an appropriate stop placement. If your winners have low maximum adverse excursion then moving your stops can dramatically increase your results.
bonkerrs
8th-July-2009, 09:51 PM
You would want to study maximum favourable excursion (MFE) and maximum adverse excursion (MAE).
MAE is the maximum loss of a trade during its complete time period and will help determine an appropriate stop placement. If your winners have low maximum adverse excursion then moving your stops can dramatically increase your results.
Thanks Nick for the reply.
I'm reading up at the moment, just general Googled stuff for now, mainly (or only) max. adverse excursion.
I'm guessing if any, probably Amibroker would be the software to perform this back test... anyone?
beamstas
8th-July-2009, 11:30 PM
Amibroker will do it yes
Use the ApplyStop function and set it to 4% :sly:
warezwana
11th-July-2009, 06:58 PM
You would want to study maximum favourable excursion (MFE) and maximum adverse excursion (MAE).
MAE is the maximum loss of a trade during its complete time period and will help determine an appropriate stop placement. If your winners have low maximum adverse excursion then moving your stops can dramatically increase your results.
Nice tip - I have been wondering what these mean and better yet changing things like these for the better.
Amibroker will do it yes
Use the ApplyStop function and set it to 4% :sly:
WOW... That much :eek: would you consider 4% a relatively loose stop Beamstas? i'm sure mines at 1-1.5 probably why my 'number of Bars held' is often low (1-3)
bonkerrs
11th-July-2009, 07:03 PM
Nice tip - I have been wondering what these mean and better yet changing things like these for the better.
WOW... That much :eek: would you consider 4% a relatively loose stop Beamstas? i'm sure mines at 1-1.5 probably why my 'number of Bars held' is often low (1-3)
4% would be a deep stop loss for intra day trading. Maybe more suitable for longer trades (medium term).
