|
PureBytes Links
Trading Reference Links
|
Not any more Rick. When I took Tharp's Advanced Stock Market course
last year, he made a point that the way he suggested calculating expectancyin
his book is indeed very cumbersome. However, he said there is a much easierway.
You simply calculate everything in terms of R-multiples (multiples of risk). For
example, suppose you risk 1% of equity on each trade, and your initial equity is
$100,000. So, the value of 1R is $1000. If your first trade makes $3000, you
have made a 3R profit. If you lose $1500, you lose 1.5R, if you make $10,000,
you make 10R, etc. The easiest way to calculate expectancy is simply to addup
all your R-multiples, net them out by subtracting the negative R-multiples from
the positive ones, then divide by the no. of trades. This gives you your
expectancy per trade. Should be very simple to do in AB.
Al V.
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=RickParsons@xxxx
href="">Rick Parsons
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, October 30, 2002 7:43
PM
Subject: RE: [amibroker] Re: Dynamic
Money Management
>><FONT
color=#000000 size=3>long enough to earn your EXPECTANCY
returns<<
I amin the
middle of Tharp's book, Trade Your Way to Financial
Freedom, and just finished the chapter 6 on Expectancy.
The idea of expectancy is an excellent way to pick the "best"
system.
<FONT color=#000080
size=2>
However if one
wants to calculate Expectancy the way Tharp does, it appears to be VERY
cumbersome when one has to group trades into profit ranges then calculateeach
group separately to get the overall expectancy number. (See pages 149 -
158)
<FONT color=#000080
size=2>
So Iwould
imagine if one wants all the MM and Dynamic Portfolio features, Amibroker
should first calculate expectancy on each system to make sure we have a
positive expectancy system.
<FONT color=#000080
size=2>
<FONT color=#000080
size=2>Comments?
<FONT face="Vladimir Script" color=#000080
size=5>Rick
<FONT face=Tahoma
size=2>-----Original Message-----From: tchan95014
[mailto:tchan95014@xxxx]Sent: Wednesday, October 30, 2002
5:02 PMTo: amibroker@xxxxxxxxxxxxxxxSubject:
[amibroker] Re: Dynamic Money ManagementI
completely agree with the quoted message. TR is flexible enoughto
allow for almost any (risk) ideas you can think of to do the position
sizing: newrisk, volatility, margin, market activities, group risk,
group heat, portfolio risk / heat... and yes, the portfolio level
position sizing is the best feature. You can even combine different
systems each with different portfolio. It is a DOS software but it is
powerful.Money management (or rather more accurately, position
sizing or bet sizing) is an area not very often discussed and not often
appreciated.I have posted some time ago, you can get some very
detailed info from TradingRecipes.com as well as traderclub.com by
searching on "Mark Johnson"This gentleman was kind enough to
post many of the ACTUAL works he put in using TR. 1) He
offered right there a very simple long term trend following system that
works for FREE. 2) He tested it using 1-contract with the
worst possible fills you can get 3) He test it using
regular 1-contract test 4) He then tested it using TR with
position sizing with a portfolio of more than 10 or 15 futures contracts
(You even get the TR code for FREE too, it is so easy you can learnby
reading it and understand the logic behind it.) 5) He
tested them over 10 or 20 years of history data. Itis
an eye opening experience you do not want to miss.He also listed his
own trading results from actually following a vendor system for 3 or 4
years, most people would agree it was excellent results.Go to
both sites mentioned above and read as much as you can. If you are
interested in this subject, I have not found a better place for
education. All others only talk (including Tharp, although I have to
admit his book is OK), but you see hard numbers here.While we
are searching for a Holy grail system spending endless time there,
position sizing might offer a much easier path because it optimizesthe
profit while controls the risk of your choice, you know you can live
long enough to earn your EXPECTANCY returns.Wealth Lab is another
software that claimed to have this capability but again is never
actually verified to be correct. (There was a long debate, discussion
and even tests on the trader club board about this but was never
actually confirmed whether it is working correctly.)TR will cost you
> $2000 while Athena, last heard, will cost you > $40000 (that is
right!) They were originated from the same idea and might even be from
the same group of persons (NOT Tharp though)I think, AB even with
its current capability is very close to be able to do the portfolio
level position sizing already. (with this AddToComposit() for now. Do
not quote me, it just came out of my head.) I think Tomasz can do it in
a very short time, the only issue is to test it. It takes time to
provide all the flexibility and iron out all the bugs, it is a big
challenge.With current AB structure,I think it has paved ways for
much more flexibility than TR can ever provide. Monte Carlo, 2/3D
surface chart built in, any taker? ;-)Bob from TR has promised a
window version for years, but nothing has come out
yet.Thomas--- In amibroker@xxxx, "Al Venosa"
<avcinci@xxxx> wrote:> Tomasz:> > Yesterday,I
posted a message on Van Tharp's forum about your plans > to
incorporate innovative money management and pyramiding techniques
> in a future version of AB. Below is a response from a user of
Trading > Recipes, who claims that TR is the only software that
handles MM > corrrectly. Here is what he said:> > "It
DOES position sizing. the RIGHT way. I own the program and it is
> GREAT. It took me about 5 minutes to get over the fact that itis
> still a DOS based app. But it's really the ONLY tool that doesit
the > correct way.> > I talked to AmiBroker about 6
months ago, and they told me the same > thing. Plus once they do
release the program with position sizing, it > still has to be
proven that they have done it right. > > There are three other
companies that I know have that have tried to > do position sizing.
Two of them got it wrong. www.rinasystems.com and >
www.bhld.com> > The third is the athena program that is
mentioned in Van's book. I > haven't ever had the privilege of
playing with that program, but I > believe I read somewhere thatit
used output files from trade > station. So, it would also fall into
the category of a program that > isn't truely implementing position
sizing at the portfolio level like > Trading Recipes
does."> > To explain what he meant by doing it 'the right
way', here is what he > said: > > "TRADING RECIPES'
approach lets you combine trading signals and trade > sizing
strategies into simulations which exactly mimic the way you > would
trade in real time. A core feature, which sets it apart from > all
other "money management" (or backtesting) software, is its > ability
to perform dynamic money management (DMM) and risk control at >
the portfolio level. With DMM, position sizes are determined with >
full knowledge of what's going on at the portfolio level at the >
moment the sizing decision is made. Just like you do in reality. >
Other software packages simply sum individual pre-calculated equity >
curves. This way, position sizes are calculated with no knowledge of
> what the current portfolio conditions are at the crucial moment
when > a position sizing decision is to be made. This is nothow
you would > make decisions in reality and therefore such simulations
offer no > useful information to the trader. DMM avoids this
pitfall."> > TJ, will your approach be able to do DMM as
described above? > Personally, I have no desire to use any program
based on DOS. I think > the position sizing algorithm now
included in AB does almost what > this guy describes except for
scaling in and out of trades and basing > one's decisions onthe
value of the entire portfolio of multiple > stocks rather than a
portfolio of one stock. > > Al V.Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
|