BullCharts : Trailing Stops in TradeSim scans

Trailing Stops in TradeSim scans : Hereâ€™s a great article on back...

Sat, 27 Feb 2010 17:08:48 +0000

Author: sonu panwar
Subject: 245
Posted: 27 Feb 2010 at 5:08pm

Here’s a great article on back testing from our good friend [tag]David Jenyns[/tag], author of the [tag]MetaStock Programming Study Guide[/tag], available for purchase at: www.metastock.ca/training/metastock-programming.aspx

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Original Article: www.makeupblog.cn/real-estate/the-secret-art-of-backtesting.html

The Secret Art of [tag]Backtesting[/tag]

If you have not back tested your trading system, you might as well trade with your eyes close.

In fact, whatever technical analysis criterion you use to tradewith, be it [tag]moving averages[/tag], [tag]candle sticks[/tag],[tag]volatility breakouts[/tag], [tag]fibonacci retracements[/tag] orany other [tag]trading system[/tag] you have devised you’re going toneed to back test your trading system thoroughly and objectively inorder to remove any possible doubt about it’s capability.

To remove any self-doubt you need to thoroughly back test orsimulate your trading system in such away that it matches theconditions under which it will be traded. Once you have establishedthat you have a reliable and robust trading system only then will yoube confident in trading your system.

When trading what is the question in most traders’ mind?

To answer this question I shall quote the introduction from Chapter 8 Back Testing of Mark Jurik’s book Computerized Trading:

Will my trading strategy be profitable? After having gone throughthe arduous process of crafting a trading strategy, these are thequestions you must ask yourself. The ability to answer these questionsare the great promises that back testing holds out for all traders. Asuccessful back testing procedure will greatly reduce the probabilitythat you will begin trading with either an unprofitable strategy or onethat does not meet your expectations. By adopting a sound and rigorousback testing approach, you will:

Pinpoint which approaches to the market that are likely to be successful and which ones are not.
Generate good estimates of future performance for each trading strategy you test.
Create a record of your trading strategy’s historical trading performance.
Produce data necessary for other components of your trading approach such as your asset allocation strategy.

Important [tag]Trading System Criteria[/tag]

Profitability is not the only criteria by which a trading systemshould be evaluated. Drawdown and stress should equally be consideredas well… for example, before you open a trading account:

Are you satisfied that your system is reliably profitable?
Will draw downs wipe out your account?
Is your system trading in a way you can tolerate?
Can you tolerate long periods of no trading or too much trading?
Can you tolerate a large string of losses?

Trailing Stops in TradeSim scans : edge Peter left Bullcharts some...

Mon, 12 Feb 2007 18:31:16 +0000

Author: chart rider
Subject: 245
Posted: 12 Feb 2007 at 6:31pm

edge

Peter left Bullcharts some time ago and you wont get a reply from anybody else in the company.

If you can provide further explanation about the particular stop you are trying to code, perhaps I or another reader can help out.

Trailing Stops in TradeSim scans : Hi Peter: Thanks for the pointer...

Sun, 11 Feb 2007 23:30:16 +0000

Author: theedge
Subject: 245
Posted: 11 Feb 2007 at 11:30pm

Hi Peter:

Thanks for the pointer about trailing stops. However, I am having real difficulty with non-returning stops, such as the non-returning mean close trailing stop. A formula is provided in 'Breakthrough Trading', and is included in the version of BullCharts I have purchased recently, however, this is for visual scanning purposes. When I try to convert the code for use on the Exit tab of a TradeSim trading system, I can't seem to make the non-returning part of it work. Any pointers to where I might find working code I can adapt?

Trailing Stops in TradeSim scans : For those who have started investigating...

Thu, 23 Jun 2005 09:28:29 +0000

Author: Peter
Subject: 245
Posted: 23 Jun 2005 at 9:28am

For those who have started investigating the new TradeSim scans, one of the big questions has been "What about Trailing Stops".

The TradeSim application note AN2by Compuvision describes how TradeSim customers can add a volatilitytrailing stops based on the ATR when using Metastock. This method canalso be applied to BullCharts with some small modifications.

As an aside, you can use the BullScript scans in BullCharts to createTradeSim scans, in the same way that you can in Metastock. All of theTradeSim external functions, including ExtFml("TradeSim.TrailingStop")can be used in the same way in this context. The rest of thisdiscussion relates to using the nicer user-interface based TradeSimBullScan.

As the AN2 notes describe, any trailing stop needs to be included as part of the Exit Trigger. Therefore, in BullScan, you need to include any Trailing Stops on the Exit Tab of the editor(not the stops tab). The reason for this is that TradeSim onlycalculates any Initial Stop script once on the day of entry, which isunsuitable for trailing stops as their value changes over time.

Adding an ATR trailing stop to a system:

Go to the Exit tab
If there are already any criteria already there that you want tokeep then you will need to note them down and convert them toBullScript later.
Click on the BullScript radio button just below Exit Condition
Observe the Trailing Stop example on page 12 of AN2.It can be transfered to BullCharts by removing the ExitTrigger:=. Notethat the inputs, and the - (in front of ExtFml) also get removedbecause the AN2 example is for an indicator, and we're building a scan.
That is, copy this script into the BullScript window on the exit tab:

Period:=10;
ARC:=3;
Volatility:=ARC*ATR(Period);

{ Trailing Stop Exit on the Long side }
ExtFml( "TradeSim.TrailingStop",
TRIGGER, LONG, Volatility, CLOSE, LOW)

If you had any other exit conditions, you can add them to the script now. For example: ... ExtFml( "TradeSim.TrailingStop", TRIGGER, LONG, Volatility, CLOSE, LOW) OR CROSS(MA(C,20,S),MA(C,10,S));

See the AN2 document for a more detailed discussion of how this stopworks. In general, an Exit Trigger described in any of the TradeSimmanual notes can be pasted into the BullCharts Exit tab in this way -by removing the final ExitTrigger:= and any inputs.