Fibonacci trailing stop

[Philby]

I am interested in designing up a dynamic trailing stop using a form of regression error or mean reversion with the trailing stop trigger based on a fibonacci retracement count.

Can anybody tell me if they are aware if this has already be built - do not want to recreate the wheel - would rather use whats available.

[marginman]

To protect profits on an existing position, consider using these criteria for for the time frame u r trading:

- 1 period moving average < a 6/4 displaced moving average
- break of auto trend channel, set for intermediate

Would be interested to see other exit criteria...

Kindest Regards, Dean

[MR]

Here is a real-time chart I posted back in November. At the time I told a few of my closer friends I wanted to buy this stock and hold on to it as long as possible. One trailing stop technique I might employ is a pivoting technique, where each pivot becomes a support, kind of like a stair-step approach, moving the stop each step higher.....

[Philby]

Fibonacci trailing stop

Marginman,

I have been playing around with some DMA's as well and the one which seems to give interesting results is a 5,3 DMA. I chose this sequence as 5 & 3 are fib sequence numbers.

Have you looked at this type of rationale ?

Originally posted by marginman
To protect profits on an existing position, consider using these criteria for for the time frame u r trading:

- 1 period moving average < a 6/4 displaced moving average
- break of auto trend channel, set for intermediate

Would be interested to see other exit criteria...

Kindest Regards, Dean

[Philby]

Fibonacci trailing stop

Gents,

Another stop loss position I trialed with reasonable success was to build a spreadsheet and paste in the last 60 days of OHLC prices.

I then used a combination of how far the various prices penetrated below or above a trigger level to help set a trailing stop.

I have attached the spreadsheet which works in both bull and bear positions.

One change I was thinking about was to replace the averaging section in the spreadsheet with a form of standard error or standard deviation term to link a definition of risk into the equation.

[Harndog]

Kase Stops

I am just adding another view to this discussion. I have been using the Kase Stop Amounts and I have found them valuable. Below is a chart on the Dow Futures with the Kase Stops below.
Here is the Dev Stop definition:
"The DevStop is the closest we can come to an ideal stop level in the real world. The indicator mathematics accounts for volatility (which is directly proportional to risk), and also for the variance of volatility (how much risk changes from bar to bar) and volatility skew (the propensity for volatility to spike higher from time to time).

Specifically, the DevStop places exit points at 1, 2 and 3 standard deviations over the mean two bar true range, corrected for skew. So we can take profit or cut losses at levels at which the probability of a trade remaining profitable is low, without taking more of a loss or cutting profits any sooner than necessary."
The Kase Stop amounts "tells a trader how much- the actual dolloar amount per unit - is at risk at the warning line and the 3 stop levels."
Harndog

[pj909]

Harndog,
Where can we get the EFS for Kase stops?

[Harndog]

Kase Statware

I am a monthly subscriber to the the Kase Statware add-on. It costs $195 per month.
The Kase indicators are password protected.
I am sure you can get a trial period to test out the Kase statware to see if the indicators/stops serve you objectives.
Harndog

[soylent]

Trailing XL Spreadsheet?

Philby --

Sounds like an interesting analysis -- but, I tried to open that spreadsheet and it wasn't there?

Is it me or did it not get pasted right? Send it in -- if I can, I'll make it an EFS for you.

Thanks!

-c

[MR]

Soylent, the file is 'zipped' so you may need to find a program such as "WinZip" to open the attachment once you download it. I just downloaded it and it opened fine here. If you make it an EFS, would love to play with it.

Thanks Philby! Always interested in seeing a good spreadsheet! Nice work, and thanks again for sharing it.

[Philby]

Stops

Marc,

No problem.

I have an even more advanced version already written in the Metastock V8 code. If this is similar to the eSignal scripting language you are welcome to it.

I only have GET EOD so I test my theories in Metastock formula section along with the expert system simulations.

[MR]

Philby,

People may not believe this, but a guy in my position who could look at any software available if I really wanted to, yet I honestly haven't looked at Metastock in years. (Advanced GET is all I ever needed!) So, your offer to share that code would not be useful to me. Maybe someone else.

IF, however, you can port your work into EFS script; or the newer, easier-to-use EFS2, that would be really appreciated!!!

Thanks again for offering to share your work ideas here. I wish more people would be this helpful. It is one reason why I think I am addicted to daily coming to eSignalCentral to see what is new!

[JackR]

Marc:

There are few people as lucky in their jobs as you are. You get to be a "Super Moderator", get paid to do that, and get to trade while on the job using software supplied by your employer, and have no pressure to produce successful trades for the firm.

I've only been an AGET EOD user since Nov 03. One thing that is missing is the ability to test a system. Say I want to try using 5% trailing stops, 10% trailing stops, or stops x % under a pivot such as the ones you show for Novell in this thread. Metastock or any of the other fancy packages gives you the capability to set up such a test and determine the best technique for a specific stock. Then you can test it against a series of stocks, and it does it automatically while I sleep. With AGET EOD I must keep changing parameters and running each stock independently. AGET is very nice for helping determine when to buy and can scan a bunch of stocks and select a subset for your further study. You can also set up a scan of owned stocks to watch for specific AGET sells, but once again backtesting a selling approach is tedious in the extreme.

If the eSignal on-line package lets you do what Metastock and its ilk do, it would be nice to see that capability ported into the EOD package.

Keep "Super Moderating", "Superb Moderator" is next on the ladder of success.

[soylent]

EFS for the PhilbyStop

Philby / et al --

I coded up what I think you were doing on the Excel spreadsheet.

I also made the parameters customizable by:
- # of days to look for deviation
- Deviation multiplier
- # of days to use as trailing high/low

In the end, it's a nice cross reference. I find it gives some interesting 'other' signals rather than as a trailing stop. (Could just be bad coding, too). But, it somewhat matches the 6/4 DMA's using H/L closes.

Have fun!

[soylent]

Philby Stop Visual

here's what it looks like...

You can make it a price study but I have so much going on already I wouldn't be able to find it on my chart.