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Herman,
I haven't begun real trading with money management techniques yet, so I cannot give you any examples. But, from all I've read and studied on the subject (over the last 11 months), I'm convinced beyond all doubt that MM is the ONLY way to go to make good money, period, regardless of the system you are using. The whole idea behind MM is to control risk. The underlying theme is let your profits run, cut your losses short. If you cut your losses (limited to only 1 or 2% of equity, max), you are still in the game. Now, keep in mind that you MUST have a positive expectancy system to begin with. No amount of MM will make a losing system profitable. You should play one of Tharp's marble games to convince you of the wisdom of proper MM. Visit www.iitm.com to learn all about MM. Also, check out www.turtletrader.com.
Regarding AB's ability to accommodate MM, it does so somewhat with the position sizing function. However, innovative MM techniques are not codable currently (such as pyramiding, playing the market's money, and other forms of equity manipulations). TJ has promised that capability by years end. Once that's implemented, I think you may be able to begin creating code that addresses MM do the degree you need to convince you of its veracity (I hope). In the mean time, if you want to plunk down $80 to read Tharp's Money Management Report (a bit expensive but well worth the investment IMO), you will be in for a good awakening.
Al Venosa
>From: "Herman van den Bergen"
>Reply-To: amibroker@xxxxxxxxxxxxxxx
>To: "Amibroker@xxxx Com"
>Subject: [amibroker] Once again: MoneyManagement
>Date: Thu, 17 Oct 2002 15:59:48 -0400
>
>I have just one question: Does it really work?
>
>Is it worthwhile for me to spend hundreds of hours reading boring
>books and trying all kinds of code that doesn't work?
>
>Can anybody honestly tell me that they increased performance of
>their trading system by more than 100% or reduced their Drawdowns
>by 50% or more, using money MM techniques? Or even better: turn a
>loosing system into a winner?
>
>Or is it ALL about reducing risk and never mind that the profits
>dwindled to 20% of what it was before MM?
>
>Any encouragement for me to dig into, or not to dig into, this
>topic would be appreciated. Examples of how MM benefited you
>would be appreciated...
>
>Many thanks,
>Herman.
>
>PS. Are MM techniques implemented in AB or externally?
>
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