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Jim Dean

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Joined: 3/13/2006
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Subject : RE: Intraday Stops
Posted : 1/29/2009 12:18 PM
Post #11364 - In reply to #11361

I think I understand it now, Matthew. The power that TP offers is complex enough that it really benefits from the explanations you've provided. Please include these explanations in the new manuals you've been working over - they are incredibly helpful.

Icing on the cake would be a complete example that has one loss-side broker order plus several virtual stops, all in the same step, two on the "grab extreme profit opportunities" side (use SD's as convenient thresholds - if 2 SD's beyond yesterday's (avg + 1 ATR) then exit 1/3 of position; if 3 SD's beyond, exit 2/3 of position), and two on the "protect from loss or disaster" side - your examples of an ATR-based trailing stop and an eighths stop are good ones - maybe include a formula-based MA crossover or something for illustrative purposes.

The one bottom-line limitation that this presents to the EOD user that does NOT plan on any intraday updates is that ONLY the broker-order actually will do him any good ... the virtual logic won't take effect because the PC is shut down, &/or because the data is unchanging in OT during the day. So, a zillion virtual stops would make no difference, without frequent manual updates, or without continuous RT feed.

The original question I believe was related to a stop that compared the price of the current day to the LLV(3)[1] ... ie the lowest of the lows that had occured in the prior three days. As I understand it, the user has two choices in which the backtest will reasonably approximate EOD real-life:

1. Enter C < LLV(3)[1] in an "omniscript" mode, tied to a Stop MOC broker order for the backtest. If the exit occurs in backtest, it will be based on only the C of the current day, since that's what the formula specifies. In real life, the fact that the order is Stop MOC (not just Stop Market), with a broker threshold value of LLV(3)[1], will prevent the broker from exiting the trade earlier, even if the day's L is below the threshold. Thus, the backtest will match real life (not counting slippage). The trader's machine can be turned off during the day. Is this correct?

2. Create an OmniLanguage Stop that specifies BOTH a boolean ExitSignal of: L < LLV(3)[1] ... and also, a scalar ExitLevel = LLV(3)[1]. The backtest will fire on the day's bar if the low got below the threshold, but the ExitLevel value will force the calculated exit price to be at the LLV(3)[1] threshold. Only exception would be if entire day (ie the High for the day) was below the threshold ... in that case, the backtest will exit at the Open ... not a perfect solution, but how can a computer simulate PANIC, anyways?? In real-life, the trader would create a typical Stop Market order based on LLV(3)[1], which the broker would execute at the equivalent intraday point that the backtest would have chosen (disregarding slippage). Is this correct?


I think that these two paragraphs are a complete answer to the original question - Gregg, if we've missed anything, please chime in.

Thanks for your help, Matthew!


[Edited by Jim Dean on 1/29/2009 12:22 PM]

Deleting message 11364 : RE: Intraday Stops


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