I picked the best (the good) and worst (the bad) percentage losers for the week. The Ugly is the peak to trough drawdown that I will suffer, probably around 12% once the dust settles. Such is trading. As ASX.G (or more correctly Peter Bernstein in Against the Gods) mentions "the disutility caused by a loss will always exceed the positive utility provided by a gain of equal size."
Tell me about it!
It was nice to sell into a rising market on Monday, always with the thought in the back of the mind that maybe I am selling at the very bottom of the recent market action. Such is trading.
stevo
6 comments:
Steve,
Given the US rebound close last Friday, I would have guessed you would have over ridden systems and not put any sells into the market on Monday, unless testing has revealed such an approach to be flawed. Particularly at times when asx plays follow the leader maybe a certain % US Friday gain or loss could be something to consider, if it could be tested.
regards,
Peter
I don't override systems.
I have quite a bit of flexibility when making trades. I can buy or sell anytime in the week that the signal is given. It's my call as to when I sell during the week.
My preference is to sell earlier in the week rather than later. I noted the US market rise and saw it as an opportunity to get out into a rising market.
I can't pick what the market will do, but I can follow my rules.
stevo
I think this is where EOW systems can have an advantage over EOD. IF the US is positive on Friday then the implication is that the ASX will open higher on Monday, hence you get out at better prices than if you'd sold at open on the DAY that your exits were triggered.
In summary, as you said, an opportunity to sell into a rising market. Charts of the indexes look positive, but we're by no means out of the woods yet.
ASX.G
You certainly have the runs on the board.
ASX.G.
An EOD system will get you into a winner quicker compared to an EOW system, in which case, the exits will also be delayed.
It can be debated both ways EOD against EOW. In the end, its a lifestyle choice more than anything.
Stevo.
Are there any books out there on systems testing and design that you can recommend for me?
Kaufman Iv got and Robert Pardo's im getting. Any others?
nizar
Alternatively an EOD system will get you into a loser quicker and out of a winner too early.
Lifestyle is very important!
There seem to be as many people selling books as trading the markets, and a lot of them offer nothing new or original.
The usual suspects - Van Tharp, Market Wizards, William O'Neil. I got a lot out of O'Neil's CANSLIM approach - especially N & L. Howard Bandy's book Quantitative Trading Systems could be good, but I haven't read it.
Other authors that spring to mind are Alan Hull and Leon Wilson.
Also the TradeSim manual has some stuff on system testing and Monte Carlo analysis.
I don't know of any one source that has it all. Van Tharp for expectancy, the Amibroker manual for coding, IO (Fred Tonetti) for optimisation code. Alan Hull's book Active Investing was good in terms of backing up some of my methods. It's always nice to have someone agree with me :)
regards
stevo
Post a Comment