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DT/Anthony:
A method I use is to apply the UPI (Ulcer Performance Index) to the equity
curve. This then gives you a measure of the "quality" of the equity that is
generated. Do you like a very smooth curve (little drawdown) but that
slopes upward very gently, or do you want a more upsloping equity curve but
one that has (perhaps) more dips/drawdowns? What is the balance? UPI number
comparisons will give you one way of deciding.
This approach is more suited as another evaluation technique of different
backtest system results.
You seem to be using the equity cross of its moving average as a way to stop
or start trading the system. I agree with this. It was the primary reason I
stopped trading a CMO variation as I think I mentioned in another message of
several days ago. I also plot in the same window, the RSI of the equity
curve and look for declines as another warning sign.
Ken
-----Original Message-----
From: dtsokakis [mailto:TSOKAKIS@x...]
Sent: Friday, July 26, 2002 9:23 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re:Money management
Anthony,
I thought to begin this thread with a method I use for years, even
with MSEXCEL the ...happy 99 times [I sold the whole thing when the
portfolio equity crossed its 15-day MA, after a long extra-bullish
period, no doubt about it]
Do you critisize the cross EMA40 method or the Equity itself ?
In the second case, we will loose the method [I hope to see other
methods too].
I would like your opinion for this EMA40 idea.
Of course, any other criticism is always appreciated.
The Smoothed Stochastic CCI Equity curve is another [perhaps
interesting] subject.
I will post later the full formula to see better.
DT
--- In amibroker@xxxx, Anthony Faragasso <ajf1111@xxxx> wrote:
> Dimitri,
>
> Thank you for continuing this Thread, It is an important part of any
> traders success or failure.
>
> Strategy and Money management are the two most important parts of
any
> trader's overall plan.
>
> The best entry rule is useless without proper risk control. You can
> almost perfectly analyze a developing market situation, find the
best
> strategy to exploit that situation, and be almost perfectly correct
in
> your forcast of what that market will do, and yet still lose money
if
> you do not use proper risk control and money management.
>
> There are so many variables which constitute Money management , that
> just pinning it to an Equity curve crossover would be dangerous for
most
> traders. In the 3 gifs that you have posted , the Drawdowns in the
> equity curves appear to be excessive even though the equity curves
are
> above the 40 period EMA , how do you protect yourself from these
> drawdowns ? Are you in that much cash to absorb these drawdowns ?
>
>
> Anthony
>
>
>
> Dimitris Tsokakis wrote:
>
> > Another [interesting] example.Athens SE General Index had a nice
> > fitting to the Stochastic CCI system from A [Aug 2000] toB [April
> > 2001]. Take the Profits [nearly +60%] and stay in cash.The 40-day
EMA
> > cross at B is more than clear.The system is no good anymore for a
> > quite long period.Slightest attempts for the Equity red curve to
> > exceed its EMA were very dangerous until mid December 2001.A new
> > fitting period seem to begin and give some interesting profits
[+10%]
> > till Feb 2002 and out of thesystem again and again.The actual
Equity
> > curve should point 17000, the equity without this type of
management
> > is at 7276.The all-season "blind backtesting" has no relation with
> > real trading conditions.Any excellent system may change.You
should be
> > there to stop it, instead of insisting with some fanatism and
loose
> > the profits and a part of theinitial equity in the name of the
holly
> > system.Dimitris Tsokakis
> >
> >
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>
> >
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