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Thank
you Al, for your very informative post.
<SPAN
class=480544101-18102002>
I
visited the web sites you mentioned... Didn't get too far with the Tharp page
as I had to register, I just don't want any more email. Read some of the
material but was not too impressed. I don't like sites where they are too eager
to get you on their mailing list. Will try to get a look at his book though.
Looked like his methods may not apply to well to mechanical and active
trading... even applying basic stops to mechanical systems seems to kill
them - at least for me: profits drop from >300% to 75%. Also, to keep losses
to 1-2% of total means you have to trade an awful lot of stocks, over
diversification will also reduce your profits. Perhaps they practice more
moderate gains trend following than short term mechanical trading. I am just
rambling a bit :-)
<SPAN
class=480544101-18102002>
I
can't help but think that any interference (MM) with a mechanical system leads
to disaster... but I may be wrong. I have found that potential profitsare
generally inversely proportional to trade duration - therefore my systems are
pretty fast; it is a trade-off between slippage and trade duration.
<SPAN
class=480544101-18102002>
I read
the example about 100 Ph.ds or something like that, doesn't apply to mechanical
trading at all. So I thought that one irrelevant.
<SPAN
class=480544101-18102002>
I
liked the turtle site better...<FONT color=#0000ff face=Arial
size=2>it was interesting to visit the sites and
i will go back to do some more reading tomorrow. Thanks for the interesting
URLs!
<SPAN
class=480544101-18102002>
I have
tried PositionSizing; not much success there either. I must be doing something
wrong...
<SPAN
class=480544101-18102002>
Best
regards,
<SPAN
class=480544101-18102002>Herman.
<BLOCKQUOTE
>
<FONT face=Tahoma
size=2>-----Original Message-----From: Al Venosa
[mailto:avcinci@xxxx]Sent: 17 October, 2002 8:24
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Once again: MoneyManagement
Herman,
I haven't begun real trading with money management techniques yet, so I
cannot give you any examples. But, from all I've read and studied on the
subject (over the last 11 months), I'm convinced beyond all doubt that MMis
the ONLY way to go to make good money, period, regardless of the system you
are using. The whole idea behind MM is to control risk. The underlying theme
is let your profits run, cut your losses short. If you cut your losses
(limited to only 1 or 2% of equity, max), you are still in the game. Now,keep
in mind that you MUST have a positive expectancy system to begin with. No
amount of MM will make a losing system profitable. You should play one of
Tharp's marble games to convince you of the wisdom of proper MM. Visit <A
href="">www.iitm.com to learn all about MM. Also, check
out www.turtletrader.com.
Regarding AB's ability to accommodate MM, it does so somewhat with the
position sizing function. However, innovative MM techniques are not codable
currently (such as pyramiding, playing the market's money, and other forms of
equity manipulations). TJ has promised that capability by years end. Once
that's implemented, I think you may be able to begin creating code that
addresses MM do the degree you need to convince you of its veracity (I hope).
In the mean time, if you want to plunk down $80 to read Tharp's Money
Management Report (a bit expensive but well worth the investment IMO), you
will be in for a good awakening.
Al Venosa
>From: "Herman van den Bergen"
>Reply-To: amibroker@xxxxxxxxxxxxxxx
>To: "Amibroker@xxxx Com"
>Subject: [amibroker] Once again: MoneyManagement
>Date: Thu, 17 Oct 2002 15:59:48 -0400
>
>I have just one question: Does it really work?
>
>Is it worthwhile for me to spend hundreds of hours reading
boring
>books and trying all kinds of code that doesn't work?
>
>Can anybody honestly tell me that they increased performance of
>their trading system by more than 100% or reduced their
Drawdowns
>by 50% or more, using money MM techniques? Or even better:turn
a
>loosing system into a winner?
>
>Or is it ALL about reducing risk and never mind that the
profits
>dwindled to 20% of what it was before MM?
>
>Any encouragement for me to dig into, or not to dig into, this
>topic would be appreciated. Examples of how MM benefited you
>would be appreciated...
>
>Many thanks,
>Herman.
>
>PS. Are MM techniques implemented in AB or externally?
>
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