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Thanks
for Rick, your vote of confidence but really i do not have the market insight
and math background to discuss this intelligently. <FONT
color=#0000ff face=Arial size=2>I happened to
have some time to spare in the last few weeks and the Atc is critical in all my
work development work, so it was a nice review for me as
well.
<SPAN
class=750480403-24102002><FONT color=#0000ff face=Arial
size=2>
<SPAN
class=750480403-24102002><FONT color=#0000ff face=Arial
size=2>The MM topic will resurface when i have
had some time to digest all the very good posts and have had a chance to browse
the web :-)
<SPAN
class=750480403-24102002>
Best
regards,
<SPAN
class=750480403-24102002>Herman.
<SPAN
class=750480403-24102002>
<SPAN
class=750480403-24102002>
<BLOCKQUOTE
>
<FONT face=Tahoma
size=2>-----Original Message-----From: Rick Parsons
[mailto:RickParsons@xxxx]Sent: 23 October, 2002 9:18
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Tharp's ATR-based PositionSizing
<FONT color=#000080
size=2>Herman,
You are going
thru a learning process just like you did with Composites. Now whatwe
need you to do is write a manual on PositionSize!! I'm serious !!
This would be a tremendous help to all the newbies and a refresher courseto
us oldies.
<FONT color=#000080 face="Vladimir Script"
size=5>Rick
<FONT face=Tahoma
size=2>-----Original Message-----From: Herman van den Bergen
[mailto:psytek@xxxx]Sent: Wednesday, October 23, 2002 3:25
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE:
[amibroker] Tharp's ATR-based PositionSizing
<SPAN
class=680315018-23102002>Thank you Al, you say: "if it was 1%, then an 8.95%
profit is fantastic and much better than 120% without position sizing".It
was 1% so now my spirits are UP again :-) but what is "much better" howdo I
optimize for something I can't measure or display (the Tharp equity curve is
virtually flat).
<SPAN
class=680315018-23102002>
<SPAN
class=680315018-23102002>btw I did read whatever emails and help I could
find, <SPAN
class=680315018-23102002>hopefully I am doing something really dumb...
<SPAN
class=680315018-23102002><FONT color=#0000ff face=Arial
size=2><FONT color=#0000ff
face=Arial size=2>
<SPAN
class=680315018-23102002>Best regards,
<SPAN
class=680315018-23102002>Herman.
<SPAN
class=680315018-23102002>
<SPAN
class=680315018-23102002>Ps. My hammering on this topic is getting
embarrassing but if this stuff is really as big as it is supposed to bethen
we'll have lots of happy people when we get to the bottom of this. Perhaps
even a nice piece of code to tag on to our systems: #include Tharp.afl and
magic: no more risk of ruin :-)
<BLOCKQUOTE
>
<FONT face=Tahoma
size=2>-----Original Message-----From: Al Venosa
[mailto:avcinci@xxxx]Sent: 23 October, 2002 2:04
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] Tharp's ATR-based PositionSizing
Herman,
TJ pointed out in an earlier post that when you are using position
sizing, the % drawdown results are not correct and should not be used, so
you have to rely on dollar drawdown rather than % dd. Also, remember,with
position sizing, AB calculates % profit on the basis of total equity,not
on the basis of the amount invested per trade. I don't know what you used
for position size in your formulas but if it was 1%, then an 8.95% profit
is fantastic and much better than 120% without position sizing. If your
equity is $100,000 and in your first trade you invested $10,000 (to give
you your $1000 risk of loss), then an 8.95% profit would return
$895 (8.95% of $10,000) in however many days the trade lasted. Now,
your new equity is $100,895, and AB would calculate a tiny %
profit because it's based on the entire $100,000, not the
$10,000 invested. Maybe TJ will be able to offer a better
explanation tomorrow. Al Venosa<A
href="">
>From: "Herman van den Bergen"
>Reply-To: amibroker@xxxxxxxxxxxxxxx
>To: "Amibroker@xxxx Com"
>Subject: [amibroker] Tharp's ATR-based PositionSizing
>Date: Wed, 23 Oct 2002 11:08:29 -0400
>
>Hello,
>
>further to an earlier post by CS i added the van Tharp's
>ATR-based position sizing code to the StoRSI-BBP system we
have
>been using on the list in several examples. I attach the
backtest
>results for the N100 stocks. Typical results look like
this:
>
> No Stops&PosSizing Tharp PositionSizing Ratio
>NoTharp/Tharp
> Range %Profit Max%DD %Profit Max%DD %Profit Max%DD
> QQQ 7/20/99-10/1/02 128.00% 34.00% 8.95% 2.00% 14.30 17.00
> N100 1250 bars 217.00% 85.00% 7.93% 6.04% 27.36 14.07
>
>
>If, like it has been mentioned on this list several times,
the
>application of van Tharp's techniques are a matter of ruin
or
>no-ruin then we should have at least one single personon
this
>list of about 1000 who can to come forward with a practical
>example that works. My appreciation of this topic swings
from
>great admiration one day to total dismay the next...
>
>Can somebody show where I went wrong and give a correct
example?
>
>Best regards,
>Herman.
>
>
>
><< TharpsStops-N100.htm >>
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