Incredible how many emotional (and sometimes needless) posts we
can find on this blog. I suppose and hope that after the dust of
the start settles down, it will get better.
Entry and exit points are Matts secret and I don't bother about
that. The system result speaks or itself so there is no reasen
to get nervous every trading day, a signal comes and Matt will tell
us or there is no signal and we go on.
What I personally bother about is the entry weightings. Matt
proposed the 100/0/0/0 system, The 40/20/20/20 system and the
40/60/0/0 system. The best would be, when we take the single entry
system when there is only one trade entry, and and the 4 entry
system with high weighting in the 4th when there are 4 entries. I'm
asking myself if there are circumstances when a one (two, three or
four)entry signal is more probable than average.
We would be all happy when this system works as good in future
as in the past, but maybe there will be an improvement of the
system in the direction of a dynamic entry system.
For the moment I decided for me the 45/30/12.5/12.5 weighting. I
will trust the entry and exit signals, but I will set a mental
stoploss 5% below the 4th signal entry.
It seems to me that adding stops to the system could lock in
large losses which don't exist in backtesting the straight sell
signals. I am not inclined to do anything that could change already
stellar backtest results.
If this is a reversion to the mean logic system and the first
buy is on a "stretched rubber band", the second is stretched a
little more, the third......, etc, then why sell just before
the snapback that gives our profits? Matt's system has a "stop" if
you want to call it that. IT's called a sell signal, no? Why would
I want to sell somewhere of my choosing unless I didn't trust that
my performance could come close to the backtest results?
Any modification is potentially dangerous to backtest results.
With such fantastic backtest results, I would first like to achieve
something similar (which would be a big improvement on my prior
results) before trying to make it better on my own !!
For me, it's just keep it simple and work the plan and establish
some consistent results and try not to complicate the situation.
Period.
You are right, we should trust the system in every
case. The March '08 entry would have been a nail biter for
a couple of days after the 4th entry. The trade turned out to
be a very good one and fact is that a huge loss has not
happend in more than a decade, but could happen anytime in the
future.
zwyss - I'm going with the 4-entry system and 58/27/9/6
weighting, inspired by one of your previous posts. This
weighting seems to have such internal harmony. Are you a Zen
master? I will change this weighting dynamically. I
realize that by allocating more to the earlier
entry signals (58/27/9/6 vs. 40/20/20/20), I'm increasing my
potential reward as well as my potential risk. Also, no
stop-losses for me. I'm very comfortable with the back-tested
losing trade stats, even though they will be marginally different
for my weighting.
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entry weighting
Posted by zwyss on 7th of May 2011 at 06:21 am
Incredible how many emotional (and sometimes needless) posts we can find on this blog. I suppose and hope that after the dust of the start settles down, it will get better.
Entry and exit points are Matts secret and I don't bother about that. The system result speaks or itself so there is no reasen to get nervous every trading day, a signal comes and Matt will tell us or there is no signal and we go on.
What I personally bother about is the entry weightings. Matt proposed the 100/0/0/0 system, The 40/20/20/20 system and the 40/60/0/0 system. The best would be, when we take the single entry system when there is only one trade entry, and and the 4 entry system with high weighting in the 4th when there are 4 entries. I'm asking myself if there are circumstances when a one (two, three or four)entry signal is more probable than average.
We would be all happy when this system works as good in future as in the past, but maybe there will be an improvement of the system in the direction of a dynamic entry system.
For the moment I decided for me the 45/30/12.5/12.5 weighting. I will trust the entry and exit signals, but I will set a mental stoploss 5% below the 4th signal entry.
Stops
Posted by dougmil on 7th of May 2011 at 07:46 pm
It seems to me that adding stops to the system could lock in large losses which don't exist in backtesting the straight sell signals. I am not inclined to do anything that could change already stellar backtest results.
If this is a reversion to the mean logic system and the first buy is on a "stretched rubber band", the second is stretched a little more, the third......, etc, then why sell just before the snapback that gives our profits? Matt's system has a "stop" if you want to call it that. IT's called a sell signal, no? Why would I want to sell somewhere of my choosing unless I didn't trust that my performance could come close to the backtest results?
Any modification is potentially dangerous to backtest results. With such fantastic backtest results, I would first like to achieve something similar (which would be a big improvement on my prior results) before trying to make it better on my own !!
For me, it's just keep it simple and work the plan and establish some consistent results and try not to complicate the situation. Period.
Doug Milliken
stops...check this article out
Posted by perthx on 8th of May 2011 at 10:37 pm
maybe somebody at MarketWatch is reading the boards!! lol
ETF investors at risk in next ‘flash crash’
Commentary: Stop orders can’t stop losses in fast-moving markets
Article here
You are right, we should
Posted by zwyss on 8th of May 2011 at 02:55 am
You are right, we should trust the system in every case. The March '08 entry would have been a nail biter for a couple of days after the 4th entry. The trade turned out to be a very good one and fact is that a huge loss has not happend in more than a decade, but could happen anytime in the future.
Well said
Posted by druzin on 7th of May 2011 at 11:58 pm
Well said
zwyss - I'm going with
Posted by yojimbo on 7th of May 2011 at 11:55 am
zwyss - I'm going with the 4-entry system and 58/27/9/6 weighting, inspired by one of your previous posts. This weighting seems to have such internal harmony. Are you a Zen master? I will change this weighting dynamically. I realize that by allocating more to the earlier entry signals (58/27/9/6 vs. 40/20/20/20), I'm increasing my potential reward as well as my potential risk. Also, no stop-losses for me. I'm very comfortable with the back-tested losing trade stats, even though they will be marginally different for my weighting.