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Enhancement Requests (Implement ASAP)
Max Loss Stop controls
Last Activity 1/7/2015 8:27 PM
5 replies, 1501 viewings

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Jim Dean

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Subject : Max Loss Stop controls
Posted : 11/5/2012 5:33 PM
Post #21896

Please consider doing this ... I've used variants of it for YEARS and it works well across the board for both volatile and stable stocks, and both cheap and expensive stocks ...

THREE inputs:
1. percent of price defines an "equity" gap
2. ATR multiple defines a "volatility" gap
3. radio button or dropdown box selection re the two gaps ...
a. use the smallest gap of the two
b. use the largest gap of the two
c. use the average of the two gaps

This is extremely versatile ... it allows pure percent and pure ATR, or any reasonable mixture. And it's "smart" enough to work with virtually any type of instrument.
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John W

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Subject : RE: Max Loss Stop controls
Posted : 11/5/2012 5:39 PM
Post #21898 - In reply to #21896

This is a very sensible suggestion, very clever! I support this.
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Lain

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Subject : RE: Max Loss Stop controls
Posted : 11/5/2012 7:22 PM
Post #21903 - In reply to #21896

Good idea Jim.

Lain
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Matt B

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Subject : RE: Max Loss Stop controls
Posted : 11/5/2012 9:41 PM
Post #21905 - In reply to #21896

Jim,

Have you ever looked at what Chuck LeBeau has used, i.e. triple stop consisting of the Chandelier Stop, the Yo Yo Stop and the modified SAR? He uses these for swing trades, which these could be considered to a point I suppose. Perhaps this is a stop system that could be tested at Nirvana. It isn't a disaster stop but rather a stop system. Whichever stop is closest is what stops the trade out.

I still like the volatility stop for a black swan stop but the above might be a nice addition.

Matt
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Jim Dean

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Subject : RE: Max Loss Stop controls
Posted : 11/5/2012 9:52 PM
Post #21906 - In reply to #21905

What this thread is about is a simplistic Fixed Loss Stop.

Yes I am super-involved with Stop creation. I've lots and lots of unique stuff that I do. The fanciest one is what I call the "TradeTightSuperStop" that incorporates five different methods dynamically, with inner and outer levels and lots of other goodies ... about 3500 lines of code. It includes Chandelier as one of its five core methods.

But this kind of thing is NOT, afaik, what the "user interface" of OVest will ever incorporate. Those specialty stops are usually a part of the Strategy. I very much would like to be able to mix and match systems, filters and stops a la Strategy Maker ... but that would be in OVest Release 15 or something, I'd think.
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Jim Dean

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Subject : RE: Max Loss Stop controls
Posted : 11/6/2012 10:43 AM
Post #21918 - In reply to #21906

IMPORTANT ADDENDUM to the original post. I'm calling this the EVG (Equity &/or Volatility-Gap) Stop btw.

Please add a FOURTH input to the EVG that is a checkbox, so that the stop can be EITHER a FIXED level (horizontal line on the chart), or a TRAILING STOP ... ideally each of these would be set up in the final CloudVest world as StopMarket order types, but for now a crossover of the fixed or trailing line at the Close of the daily bar would be quite sufficient and helpful.

So, the list of FOUR inputs should be:

1. percent of price defines an "equity" gap

2. ATR multiple defines a "volatility" gap

3. radio buttons or checkbox spec of Trailing vs Fixed, using the starting Gap, and never letting the stop "retreat" (ie it "ratchets" in Trailing mode)

4. dropdown box or radio buttons selection re the two gaps ...
a. use the smallest gap of the two
b. use the largest gap of the two
c. use the average of the two gaps


Also, please ref this thread re applying the EVG stop independently at the Account and Portfolio levels:
http://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=4009
... the Account level, for instance, might implement a FIXED loss version of EVG, and the Portfolio level might (optionally) implement a TRAILING version of EVG.

[Edited by Jim Dean on 11/6/2012 10:49 AM]

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