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General Discussion · Trading for a living - Backtesting Systems
alichambers
msg #44787
6/9/2006 7:19:57 AM

Hi,

I recently made the decision that I wanted to trade for a living. EOD, as I'm not into intraday screen watching. I'm looking at mechanical systems - such as those discussed on this forum - to dictate entry & exit points. I also aware of money management and stop losses.

However... to the point of the post...

With so many systems out there, I'd like to pick a few I like and backtest them. I'd like to test entry points, eg:-

- DMI Cross, and price above MA of x (test ranges)
or
- MACD, etc...

Then test various exit points:

- Trailing stop (low of previous day if long, etc...)
- Price cross through MA

I'd like the backtesting to show:

1. What my ROI would be
2. What my max drawdown would be
3. What my risk/reward ratio is (ie. 1 loss for every 2 gains of 2x)

How do I do this? Is there any software - that is *decently priced and suitably fast* that could run tests on the market and ascertain this sort of information?
The SF backtesting doesn't seem to be detailed enough.

And would it be realistic to make 10% per month trading EOD? With my trading capital available, this would be all I'd need to make to make a living.

Thanks for your help,
Alex




Filter Exchange · Triple Simple Moving Average Crossover
alichambers
msg #44786
6/9/2006 6:40:46 AM

Hi,

I found MA crossovers look *great* on a chart, but if you examine upclose - ie. the actual buy point on the cross, and then the sell point, they are not so good. The lag the market and very often the best part of the move has happened by the time they cross.

I use the "extreme point entry rule" devised by Welles Wilder - ie. once you get a signal, wait for the price to cross the high (if going long) or low (if going short) price of the previous day.

MA crossovers only work on large trending markets. In a sideways market you get whipsawed to death! If you can find a trending market, you're better off using an indicator such as Wilders DMI or Stop and Reverse System (SAR). These are more responsive than MA crossovers and will get you in and out of the trade in better time.

Hope this helps,
Alex


General Discussion · A good system for trending stocks
alichambers
msg #44785
6/9/2006 6:26:00 AM

It looks like an interesting system. Have you backtested it on others - what sort of ROI?

I spreadbet in the UK and I've love to trade GOOG. However, it is such a high priced stock that trading it would violate my 5% money management principle - very often the initial stop can be 1000 points below the buy price.

Alex



Filter Exchange · Volatile stocks
alichambers
msg #44747
6/8/2006 8:13:13 AM

Thanks - I'll have a play around.

Actually - while I do that - I had another thought. If I'm trading DI crosses (typically 8 setting), is it possible to create a filter whereby I can see the average gain for a stock after a DI cross, eg:

(in English)
For each DI cross in the last year, the average stock price moves 5-10% - or something like that.

I use a trailing stop.

Thanks again, alex


Filter Exchange · Volatile stocks
alichambers
msg #44720
6/7/2006 3:37:05 PM

Thanks - I had a look at your filter and I threw out 2000+ matches!

I trade with DMI crosses, so is it possible to find stocks that are going up and down and would trade with DI crosses???

AC


General Discussion · Welles Wilder's book: "New Concepts in Technical Trading Systems"
alichambers
msg #44712
6/7/2006 7:27:03 AM

Hi,

Has anyone read this book - or know of a copy going cheap? I'm very much into Wilder's theories.

I'm tempted to buy it, but it was last produced in 1978 and is quite pricey.

Thanks,
Alex


Filter Exchange · Volatile stocks
alichambers
msg #44711
6/7/2006 7:25:00 AM

Hi,

Does anyone know of a good filter that screens for volatile stocks going up and down? I'm very much into Welles Wilder and his theories - he mentions:

- Commodity Selection Index
- Volatility Index

High CSI values imply trending characteristics - which combined with DI crossovers or SAR can make it a good way to trade the security.

Many thanks,
Alex



General Discussion · Forex
alichambers
msg #44128
5/24/2006 4:50:47 AM

This sounds interesting. Can you provide any more information on the method - for example, do you trade as the price bounces off the fib level?

And with daytrading the forex, do you stay glued to the monitor all day - or are there certain times you find the trading to be good?

Alex


General Discussion · A good system for trending stocks
alichambers
msg #44079
5/23/2006 6:46:55 AM

Hi,

I've been experimenting with Wilders SAR and DMI for entry points into a trending stock. I've noticed that EOD stocks such as GOOG trade very well with this technique. I haven't any formal data - I've just been making manual observations.

I basically wait for the SAR to change direction, then confirm the direction with the DI lines (DI lengths 4 and 14 work well) - ie. if SAR indicates GO LONG, don't go long if +DI line is below -DI line, and vice-versa.

I use an EOD low trailing stop strategy, with a stop-space % added to knock out some volatility. I'm writing a computer programme to find optimal DMI settings against trailing stops and all stop space percentages. I don't own Tradestation, etc but am pretty handy with Visual Basic - and you can download all price data free from Yahoo to use for testing.

However, how does one find nicely trending stocks such as GOOG to trade? GOOG has moved:

$475 - $350 from Jan - Feb 06
then up to $400 and back
then up to $450 and back again

... ie. it TRENDS well (sorry for shouting).

The DMI/SAR system works really well in trending stocks.

Can anyone suggest a SF scan to look for stocks going up and down and trending nicely like this every month or so. I can then apply my system.

Thanks,
Alex


Filter Exchange · Confirmation for DI crosses
alichambers
msg #43736
modified
5/15/2006 10:46:03 AM

Thanks for your reply - however I just found another solution, using PAR and DMI!

http://www.stockfetcher.com/stockdb/fetcher?p=forum⊂=view&fid=1001&tid=36483&start=0

Alex



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