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I told myself I would not continue this discussion any more, but I just
gotta respond. Mark is 100% correct, Herman. And MM is not dependent on anytype
of trading methodology. It doesn't matter what type of system you use.You
are simply managing how much to invest. I don't know what resources you think
you need to apply MM to trading, but lots of people do it who are not
millionaires or associated with huge trading firms. I think all you need isyour
own intellect and imagination and some knowledge of the fundamentals. As for the
lack of code submitted by anyone on this board, the reason is that the version
of AB incorporating MM is not available yet. When TJ releases it, I'm certain
that lots of great code by the many ingenious participants on this forum will
come forth. Meanwhile, you still have available AB's position sizing algorithm
to allow you to start practicing it. That's all. I'm done.
Best regards,
AV :-))
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Herman vanden
Bergen
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, November 02, 2002 5:27
AM
Subject: RE: [amibroker] Re: Dynamic
Money Management
Hello Mark,Thanks for trying to help me. I
am just being practical. I am not saying that MM doesn't work for certain
trading methodologies I just said I that I am making zero progress trying
to apply it to my type of systems and that there is no indication that I
would make progress any time soon even if I spend a lot more time on it. I do
not have resources like some of the large investment companies who have
managed to apply Tharp's MM successfully; my time and resources
are limited.If nobody out of a 1000 AB users can
crank out some basic MM code that works than certainly I will not be ableto
do it either. When you have some working MM code I'd love to hear from you.
:-) My decision is to wait for others to
come forward with more concrete material or for Tomasz to implement MM inAB.
MM might well be another type of unattainable HG
for many.
Best regards,
Herman.>
-----Original Message-----> From: MarkF2 [<A
href="">mailto:feierstein@xxxx]>
Sent: 01 November, 2002 12:56 PM> To: amibroker@xxxxxxxxxxxxxxx>
Subject: [amibroker] Re: Dynamic Money Management>>>Hi
Herman- Not trying to start an argument, but feel compelled to> comment
because you could not be more wrong. MM is incredibly> important
and DOES give rock-solid, tangible results. Also, much of>
Tharp's book is NOT irrelevant to mechanical traders. It's clear
to> me that you just don't understand it. I remember you wrote
something> similar about a technique in an article by William Eckhardt,
one of> the greatest traders of all time, because you hadn't takenthe
time to> grasp his concept, either. >> I offer this
as constructive criticism and urge you and anyone else> who has given
up on MM to go back and study it until you do get it.> It's not fun and
it's certainly not as sexy as developing new> indicators. But,
IMHO, it's the boring stuff and the details most> people overlook that
will make you money trading. Unfortunately, that> takes a lot of
time and effort. Thomas Edison once said: "Opportunity> is missed
by most people because it is dressed in overalls and looks> like
work." Think about it.>> Best Regards,>>
Mark>>> --- In amibroker@xxxx, "Herman van den Bergen"
<psytek@xxxx> wrote:> > Thanks Rick,> >>>
Enough time on MM, I stuck it out way too long. I am going back> >
to my other work where I am getting more tangible results.>
>> > I am disappointed about all the hoopla about MM (it sounded
like> > the HG of MM) that hasn't resulted in any practical
and> > verifiable code whatsoever. Much of Tharp's book deals
with> > issues that are irrelevant to the true mechanical trader,
imho he> > is inconsistent in his method and presentation. He blends
the> > most basic stuff with advanced stuff which I find
very> > distracting. Book stuffing? But perhaps I am just not
smart> > enough> >> >> > If anybody
ever develops some practical afl code or has a> > complete an
applied case with tangible results, not just words, I> > would
appreciate you sharing it.> >> > happy trading,>
> Herman.> > -----Original Message----->
> From: Rick Parsons [<A
href="">mailto:RickParsons@xxxx...]>
> Sent: 31 October, 2002 10:49 AM> > To:
amibroker@xxxx> > Subject: RE: [amibroker] Re: Dynamic
Money Management> >> >> >
Herman,> > Your formula listed at the bottom of the
chart may be outdated.> > Did you see Al's post on R multiples and
how Expectancy changes> > as equity changes?> >>
> Rick> > -----Original
Message-----> > From: Herman van den Bergen
[mailto:psytek@xxxx...]>
> Sent: Thursday, October 31, 2002 1:49 PM>
> To: amibroker@xxxx>
> Subject: RE: [amibroker] Re: Dynamic Money
Management> >> >> > Hi
Rick, glad to see somebody else struggle through this :-)> > we
should compare notes someday.> >>
> I am curious: what is you typical trading system
like, short> > term (days) or long term (months)?>
>> > Rick, Van Tharp talks about
Expectancy as if it were a stable> > parameter which is certainly
not the case for short term trading> > systems (if my formula is
correct). The Expectancy trends vary> > very similar to my Equity
charts - as expected, so perhaps both> > can be used for equal
purposes. Van Tharp does not seem to> > consider that many systems
fade in and out of performance and> > that a good trading composite
system would dynamically switch> > systems (at best people onlyseem
to switch stocks) to take> > advantage of high performance periods
for the different systems.> >> >>
> Expectation = ( 1 + AveWinTrade/abs(AveLosTrade))
*> > PercentWinners - 1;> >>
> Best regards,>
> Herman> >>
> -----Original Message----->
> From: Rick Parsons [<A
href="">mailto:RickParsons@xxxx...]>
> Sent: 30 October, 2002 7:43 PM>
> To: amibroker@xxxx>
> Subject: RE: [amibroker] Re: Dynamic Money
Management> >> >>
> >>long enough to earn your
EXPECTANCY returns<<> >>
> I am in 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.> >>
> 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 calculate
each group separately to> > get the overall expectancy number.
(See pages 149 - 158)> >>
> So I would 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.> >>
> Comments?> >>
> Rick>
> -----Original
Message-----> >
From: tchan95014 [<A
href="">mailto:tchan95014@xxxx...]>
> Sent: Wednesday, October
30, 2002 5:02 PM> >
To: amibroker@xxxx>
> Subject: [amibroker]Re:
Dynamic Money Management> >> >>
> I completely agree with
the quoted message.> >>
> TR is flexible enough to
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 learn by> > 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>
> optimizes the 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, itis 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@xxxxx,
"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 it is>
> > still a DOS based
app. But it's really the ONLY tool> > that does it>
> 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 that it 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 not> > how 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 decisionson
the value of the entire portfolio of> > multiple>
> > stocks rather than a
portfolio of one stock.>
> >>
> > Al V.>
>> >> >>
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