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IMO, "money management, risk management and position-sizing" are all
methods developed to help an individual combat the natural human
tendency to act contrary to these methods. They are merely
psychological cushions that serve to help us trust our own technical
indicators when they take the random dip that they often take. The
indicators are correct. At least, mine are... but it took 6 solid
years of observational, visual testing to determine which ones to
use, and none of this testing ultimately depended on optimization or
backtesting.
~Bman
--- In amibroker@xxxxxxxxxxxxxxx, "sebastiandanconia"
<sebastiandanconia@xxx> wrote:
>
> I'm seeing interesting backtest results related to this.
>
> What I did was take a group of stocks (that I had pre-screened for
> certain minimum RS and fundamental criteria) and allocate them
into 2
> sets of portfolios of six stocks each. In one set of portfolios I
used
> ranking based on RS and fundamentals to allocate stocks (top 6 in
rank
> went into Portfolio 1, second 6 into Portfolio 2, etc.). In the
second
> set of portfolios I allocated randomly using alphabetical order
(first 6
> stocks in alphabetical order went into Portfolio 1, second 6 into
> Portfolio 2, etc.).
>
> Intuitively, the portfolios based on rank should have been better
> performers but it didn't seem to matter. I think that there's
simply a
> certain unavoidable amount of randomness about the way stocks will
> behave that can't be accurately forecast, no matter how detailed
the
> pre-analysis is.
>
> That would explain why so many mutual fund managers with enormous
> resources of fundamental and economic data, computing power, etc.,
can't
> beat an unmanaged SP500 Index fund. It also lends credence to the
idea
> that consistently superior performance comes from the things over
which
> investors have direct control, like money management, risk
management
> and position-sizing.
>
>
> S.
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tom Tom" <michel_b_g@> wrote:
> >
> > To go on dicussion about random walk, nice article at the middle
of
> this
> > page :
> >
> > http://www.duke.edu/~rnau/411georw.htm
> >
> > Combine: Random Walk and Prediction.
> > Technical analysis... usefull ? Financial information ...
usefull ?
> Even
> > illegal information (hidden to public) .. usefull ? Last one
maybe.
> Others,
> > humm....
> > This is what about deals this article.
> >
> > For me, next theory could be a Chaotic Fractal Near-Random
Walk... :
> ))
> > Chaotic : because spurious peak in the data wich can initiate
further
> > mouvment
> > Fractal : year, month, day, hour, minute, sec... same patterns
> > Near-Random Walk : Random Walk but predictable, because i don't
think
> price
> > move randomly...
> > If they move randomly... tehnical or fundamental analysis are
useless,
> so
> > there is no mean to try to trade at all, (only to give
commission to
> the
> > broker héhé).
> >
> > Seriously, from this article, what seems emerging from last
years, is
> that
> > price is random walk, but volatility maybe not... It is well
explained
> in
> > the article. Arch and Garch model are mentionned.
> > Someone try this on AB ? Trade based only about volatility
prediction
> (so
> > predict risk, and manage portfolio depending those prediction
about
> > volatility)... and so don't bother with the price random-walk ?
> >
> >
> > Cheers,
> > Mich
> >
> > _________________________________________________________________
> > Les révélations de la starac 6 commentées par Jérémy!
> > http://starac2006.spaces.live.com/
> >
>
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