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Herman:
FWIW, I think you are asking the wrong question.
It is highly unlikely that anyone improves their model testing returnswith
risk control, and it is highly unlikely that someone who does not use risk
control can convincingly demonstrate improved (relative to what and by what
measure?) "RT" trading performance over a reasonable time. By definition,
risk control will constrain the system in some way in return for what the trader
considers to be benefits (e.g., lower drawdown, smaller losses, larger gains,
diversification, etc.). However, it is likely that those
who incorporate all aspects of risk control (i.e., not just stops) arenot
the ones that are blown out of the water financially and/or in terms of
physical/mental health, and that is what risk control is all about.
Consequently, the question really is can you demonstrate to your
satisfaction that failure to use risk control did not contribute to failed
traders. It seems quite logical to me and I have not seen any claims to
the contrary.
Bill
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Herman vanden
Bergen
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, October 18, 2002 9:57
AM
Subject: RE: [amibroker] Re: Once again:
MoneyManagement
Thanks Ara,The question remains: Has "Anybody" on this
list improved their systemreturns by applying MM techniques? We have seen
advocates of MM but not asingle person comes forward to say that the
performance of their System+MMis better than the System alone.We
all use simple common sense MM methods, like DT uses a personal MMscheme,
and most of us have one to suit our personal tolerance for stressand
financial loss. However when I say MM I mean those you find in $100books,
or $2000 trading systems...I have seen hype about all kinds of things
in the trading world, oftendriven by advertising and other means intended
to sell this or that. Is MMone of those?The problem is that we can
"justify" and "rationalize" just about any ideawe want, no matter howbad,
especially so if we can make money doing so. OK,you are right: I am a
skeptical person :-) the reason is that I have wastedway too much time
chasing "good" ideas from others. With a few exceptions Ifound it better
to just go my own way, sometimes by reinventing the wheel...but so what?
What better learning method is there?Best
regards,Herman.> -----Original Message----->
From: akaloustian [mailto:ara1@xxxx]> Sent: 17 October, 2002
11:27 AM> To: <A
href="">amibroker@xxxxxxxxxxxxxxx>
Subject: [amibroker] Re: Once again: MoneyManagement>>>
Herman>> MM is very hard to code... as you stated, the returns
dwindle greatly> so you ligitimately ask "is it worth
it?".>> Consider test results that show a stop loss reducesyour
results> considerably, maybe even makes your sstem a losing
one.>> Since we know that the system was more profitable without
stops, it> means that some of the stocks that went down will come back
up again.> If you were to buy again, some of those stocks at a lower
price, your> performance would improve over the original system, with
lower> drawdown.>> The problem of course is that those
stocks don't meet your original> buying criteria, so you have to
develop a whole new set....>> My simplistic approach has been to
test a system with a sell after x> number of days and primaril look at
the % winners, in order to> evaluate the quality of entry. Practice MM
in real trading. Naturally> this is somewhat time
comsuning....>> So in short, I beleive MM is worthwhile, but
coding is at a much more> complex level than just working with a set of
indicators...>> Ara>> --- In <A
href="">amibroker@xxxx..., "Herman van den Bergen" <<A
href="">psytek@xxxx...> wrote:> > I have just one
question: Does it really work?> >> > Is it worthwhilefor
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 whatit
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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