Right now I own COG and yes it hurts but I am holding without a stop loss for this reason.
I looked at 1652 trades over about 8 yrs and 140 would have hit a 10% stop. Yes that would have saved you the pain of some 20 of those trades that lost over 18% ( a few over 30%)--- but holding until the zscore trigger exit on those 140 trades resulted in only a net loss of -6.49% instead of the guaranted 10% loss.
With that said if you can recognize when a stock will lose over 10% and not bounce back to a more respectable loss please share.
novacane - has anyone tested a failsafe stop when the stock breaks below the 200ma, and continues lower X number of days later with increasing volume? Or maybe tried to incorporate pivot points? I see these as bad signs. However I completely understand you are sticking with the systen and whats been backtested. If you don't have the discipline to do that, you shouldn't be trading it. The trade I mentioned before was entirely different, and was entered in a shorter term horizon with it's own rules... thus me taking my stop right away as it was apparent the 200ma wasn't going to be broken.
Who knows, when everyone is looking to bail is when a stock can turn around. It could slide further but then snap back into shape next week.
Thank you for sharing "HOW TO DESIGN A SYSTEM (NOT JUST A FILTER" with us.
I have gone through this thread.
Just want to confirm with you hat the back test result show in FIRST page for ENTRY and SECOND page for EXIT of this thread is based on followings:
1. The signal generated at the end of day to be used for entry or exit and price will be based on next day opening price? Is those price based on morning 9.30 am EDT time i.e. New York time?
2. Maximum open trade will be 5 at any point of time or 10? If Signal generated for more than 5 or 10 BUY trade then it will be based on ZSCORE priority?
3. Is there maximum daily limit for number of BUY trade?
3. Each trade will be 10% of equity (Starting equity will be $100,000) i.e. if equity goes up and say now $105,000 then trade amount will be $10,500 and say equity is $95,000 then trade amount will be $9,500?
4. Exit will be based on ZSCORE > -1 or 20 days from the trade date which ever come first?. Is that 20 is 20 trading days i.e. 4 week?" What about holiday?
5. Any other point(s)?
Kevin has run all the possible stops through Stratasearch and nothing improves performance.
I do not believe the system will trigger a trade when a stock is below the 200 ma . Now, if the stock happens to cross below the 200 ma while you are in the trade-that may be something to look at.
It would be interesting to do a separate study on all the trades with greater than a 10% drawdown to find an optimum exit strategy (all I have done is looked strictly at statistics) .Not sure if Stratasearch has that capability and Kevin may have already looked at this with the original creation of the filter.
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