SmartQuant Discussion

Automated Quantitative Strategy Development, SmartQuant Product Discussion and Technical Support Forums
It is currently Tue Dec 10, 2019 12:11 pm

All times are UTC + 3 hours




Post new topic Reply to topic  [ 13 posts ] 
Author Message
PostPosted: Sun Apr 15, 2007 8:24 pm 
Offline

Joined: Sun Apr 08, 2007 10:41 pm
Posts: 90
Location: Denver, CO
I've read that sometimes the missing component in trailing stops is consideration of the stock's volatility. If the stock swings a lot but generally advances, a too-tight trailing stop will exit too soon. I've read about an "adaptive" trailing stop which somehow considers the stock's volatility as part of the trailing stop computation. Any ideas? I’ve not been able to find an algorithm to try to code to consider adaptive trailing stop. Also what is a good measure of the stock’s volatility?

Thanks for your help.


Top
 Profile  
 
 Post subject:
PostPosted: Sun Apr 15, 2007 8:34 pm 
Offline

Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6816
usually people use TR (True Range) or ATR (Average True Range) indicators as volatility measure.

You can implement any kind of custom stops right in the strategy code in OnBar or OnTrade methods, for example

OnBar(Bar bar)
{
if (ATR[bar] > VolatilityLimit)
close position
}

Regards,
Anton


Top
 Profile  
 
 Post subject:
PostPosted: Mon Apr 16, 2007 12:51 am 
Offline

Joined: Sun Mar 05, 2006 6:29 pm
Posts: 65
Location: England
Look up Chuck Le Beau's Chandelier Exit...


Top
 Profile  
 
 Post subject:
PostPosted: Mon Apr 16, 2007 4:28 am 
Offline

Joined: Fri Mar 09, 2007 8:47 am
Posts: 20
eAscTrend system has good adaptive trailing stops.


Top
 Profile  
 
 Post subject:
PostPosted: Sun Apr 29, 2007 11:54 am 
Offline

Joined: Sun Mar 05, 2006 6:29 pm
Posts: 65
Location: England
Try:
http://www.incrediblecharts.com/forums/messages/12/408999.html
http://www.trading-plan.com/money_stoploss_volatility.html
http://www.tradernexus.com/advancedstop/advancedstop.html


Top
 Profile  
 
 Post subject:
PostPosted: Sun Apr 29, 2007 10:51 pm 
Offline

Joined: Sun Mar 05, 2006 6:29 pm
Posts: 65
Location: England
Actually, this fits in with what I want to do...give me one or two weeks (busy time at work) and I should have a chandelier stop to share.

Also, I use QD. I don't know how this would fit in with OQ - would OQ users need a .dll or can they compile QD C# code - Anton?

Does OQ use VS2005 pro?


Top
 Profile  
 
 Post subject:
PostPosted: Mon Apr 30, 2007 5:19 am 
Offline

Joined: Thu Dec 08, 2005 7:05 pm
Posts: 438
Location: Sydney, Australia
Hi NSTrader,

I have been reading those links and they look very interesting, once you have your Chandelier stop ready I would love a copy of the code for use in QD.

Cheers,

-Mark


Top
 Profile  
 
 Post subject:
PostPosted: Mon Apr 30, 2007 9:10 pm 
Offline

Joined: Sun Mar 05, 2006 6:29 pm
Posts: 65
Location: England
Yeah, no probs....


Top
 Profile  
 
 Post subject:
PostPosted: Fri Jun 22, 2007 8:52 pm 
Offline

Joined: Sun Mar 05, 2006 6:29 pm
Posts: 65
Location: England
My apologies, but my car was in an argument with a train on a level crossing. I was in the car at the time. My programming projects have therefore been postponed - at least for the next few weeks! Chandelier stop is still top of my list though... just concussion makes life interesting!


Top
 Profile  
 
 Post subject:
PostPosted: Sat Jun 23, 2007 2:08 am 
Offline

Joined: Thu Dec 08, 2005 7:05 pm
Posts: 438
Location: Sydney, Australia
No apologies are needed, just be happy that you can still apologies.

Good luck.

-Mark


Top
 Profile  
 
 Post subject:
PostPosted: Tue Apr 22, 2008 9:50 pm 
Offline

Joined: Tue Apr 22, 2008 8:33 pm
Posts: 7
Out of curiousity, how does this work functionally? Is a trailing stop created and sent to a broker and then amended as needed, or does OQ monitor the market and then send the trailing stop order when it is marketable?


Top
 Profile  
 
PostPosted: Mon Jul 18, 2011 12:04 pm 
Offline

Joined: Thu Mar 10, 2011 10:09 pm
Posts: 582
Hi,
So, finally, has anybody implemented Chandelier Exit ? Is it possible to share ?


Top
 Profile  
 
PostPosted: Mon Jul 25, 2011 4:00 pm 
Offline

Joined: Thu Mar 10, 2011 10:09 pm
Posts: 582
So.. I've implemented it myself. But result is a bit disappointing.
It does not improve performance of my intraday trend following strategy(aprox. 1 trade per hour) considerably. Has anybody got better results ??


Top
 Profile  
 
Display posts from previous:  Sort by  
Post new topic Reply to topic  [ 13 posts ] 

All times are UTC + 3 hours


Who is online

Users browsing this forum: No registered users and 1 guest


You cannot post new topics in this forum
You cannot reply to topics in this forum
You cannot edit your posts in this forum
You cannot delete your posts in this forum
You cannot post attachments in this forum

Search for:
Jump to:  
cron
Powered by phpBB® Forum Software © phpBB Group