nizar said:
As a result of your stops/exits; Were you stopped out of all your longs during May?
Last May I wasn't exclusively using a 6.5ATR exit. I actually tailored the exit to the last 12 months' price action, so I'd use anything from a 4.5ATR to about a 6ATR exit. I was stopped out of about 1/2 my longs.
nizar said:
Did you end up exiting near the lows?
For about 1/2 of the stopped out positions, yes, the exit corresponded with the low. However, looking at the exits as a whole in retrospect shows quite clearly that I was far better off taking the exits than not.
nizar said:
I really need to do some backtesting bad.
Backtesting is a very powerful tool to give you the confidence to stick with your trading rules.
nizar said:
Another question for you; is your entry (closed on all time high) based on a true all time high? ie. how about a high for the last 5rs, coz stocks like that can still run if the broken overhead resistance was significant eg.MLS at 4c.
I don't actually use an all time high entry as it's a fairly high drawdown entry. This is my entry filter;
CLOSE>Mov(CLOSE,175,EXPONENTIAL) AND H>Ref(HHV(H,2),-1) AND CLOSE>OPEN
1. Close above a long term moving average
2. Highest high value for 3 days
3. White candle
That's it. To date, I haven't found anything else that significantly improves the end result. To be honest, I'm not looking (see later in this reply).
nizar said:
And one more: i would imagine during the last 12-18 months you would have received more entry signals than your trading capital would allow, so how do you choose which trades to take?
Do you look at volumes?
Liquidity?
Share price between a specific range?
Yes, this filter produces many trading signals for my universe (ASX300). I simply started at the letter A and bought until the money ran out. As trades got stopped out, the funds went either to pyramid trades or to new trade signals. I'm now left with 1/2 "legacy" trades which weren't stopped out in May and 1/2 early alphabet trades. There is no performance differential between them. More often than not, the worst looking charts on entry are the ones turning into the biggest winners.
nizar said:
DId you do some sort of MonteCarlo analysis so any combination of trades taken (when the system was backtested) would been profitable?
Yes, I extensively MonteCarloed the system on all sorts of universes including some quite hard to construct ones. It was 100% profitable in all runs, a mandatory condition before I would trade any system.
A few further points I'd make;
1. All you need for consistent results is one or more systems that you know are profitable and that you have absolute confidence in so that you trade them consistently. How one gets to this point is individual. For me, this journey required TradeSim and a mechanical system.
2. Once you have absolute confidence in the profitability and consistency of your trading, then it is time to look at how to improve results in other ways (eg pyramiding/scaling in, leverage, other systems). This is where the real differences to your bottom line can be found, not in tweaking entries.
3. Psychology is truly the key-we are our own worst enemy. I was just recently congratulating myself on how long it has been since I made a trading error (= break system rules) and guess what, I just managed to screw up a gift of a trade in this market (WMT) by ignoring my rules in the heat of the moment. D'Oh!